Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of ratings to 11 classes of STWD 2021-FL2, a $1.275 billion managed CRE CLO with the ability to reinvest principal proceeds for up to 30 months. Initially, the transaction will be collateralized by 24 whole loans (or participations therein) with an in-trust balance of $1.275 billion. The transaction also provides the ability to reinvest principal proceeds after the initial 24-month reinvestment period ends for the earlier of up to six months or when $127.5 million (10.0% of initial pool balance) is reinvested. Additionally, the transaction provides the sponsor with the ability to effectuate significant modifications to performing loans.
The transaction includes two par value tests (a reinvestment par value test, which combined with the interest coverage test, is referred to as the reinvestment note protection tests, and a distribution par value test, which combined with the interest coverage test, is referred to as the distribution note protection tests). If the distribution note protection tests are not satisfied on any determination date, on the following payment date, interest proceeds remaining after interest is paid to the Class E notes (and E-E and E-X, if any) will be used to pay down the principal balances of the Class A through E notes in sequential order until the tests are satisfied or the Class A through E (and E-E and E-X, if any) notes are paid in full.
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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