NEW YORK, September 20, 2021--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 38 classes of BANK 2021-BNK36, a $1.3 billion CMBS conduit transaction collateralized by 92 commercial mortgage loans secured by 128 properties.
The collateral properties are located throughout 36 MSAs, of which the three largest are Chicago (14.3%), New York (10.9%), Los Angeles (6.9%). The pool has exposure to all of the major property types, with two types representing more than 15.0% of the pool balance: retail (34.5%) and office (23.8%). The loans have principal balances ranging from $992,951 to $127.0 million for the largest loan in the pool, One North Wacker (10.0%), which is secured by a 1.4 million sf, Class-A LEED Platinum certified office tower located in the West Loop neighborhood of Chicago, Illinois, within the city’s CBD. The five largest loans, which also include Arizona Mills (5.9%), ExchangeRight Portfolio 50 (5.2%), International Plaza I (5.1%), and Suarez Puerto Rico Industrial Portfolio (4.7%), represent 30.9% of the initial pool balance, while the top 10 loans represent 49.1%.
KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of the underlying collateral properties' financial and operating performance, which determine KBRA’s estimate of sustainable net cash flow (KNCF) and KBRA value using our U.S. CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 8.9% less than the issuer cash flow. KBRA capitalization rates were applied to each asset’s KNCF to derive values that were, on an aggregate basis, 44.2% less than third party appraisal values. The pool has an in-trust KLTV of 94.6% and an all-in KLTV of 97.2%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan that are then used to assign our credit ratings.
Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.
Information on the meaning of each rating category can be located here.
Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.
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Erin Qu, Senior Analyst (Lead Analyst)
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Lynn D'Eugenio, Senior Director
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Keith Kockenmeister, Senior Managing Director (Rating Committee Chair)
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Michele Patterson, Managing Director
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