KBRA Assigns Preliminary Ratings to 3650R 2021-PF1

Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of 3650R 2021-PF1, a $918.6 million CMBS conduit transaction collateralized by 35 commercial mortgage loans secured by 42 properties.

The collateral properties are located throughout 15 MSAs, of which the three largest are Los Angeles (22.2%), New York (13.9%) and Boston (8.5%). The pool has exposure to most major property types, with four types representing more than 15.0% of the pool balance: office (27.5%), retail (23.9%), multifamily (23.0%), and mixed-use (16.1%). The loans have principal balances ranging from $4.4 million to $77.9 million for the largest loan in the pool, CX - 350 & 450 Water Street (8.5%), which is secured by a 915,233 sf Class-A office and lab complex located in Cambridge, Massachusetts. The five largest loans, which also include 50 Horseblock (6.4%), Rox San (5.7%), 520 Almanor (5.4%), and Plaza La Cienega (5.4%), represent 31.5% of the initial pool balance, while the top 10 loans represent 53.5%.

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 12.3% 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, 45.0% less than third party appraisal values. The pool has an in-trust KLTV of 104.1% and an all-in KLTV of 113.5%. 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.

Click here to view the report. To access ratings and relevant documents, click here.

Related Publications

• 3650R 2021-PF1 KBRA Conduit KCAT
• U.S. CMBS Multi-Borrower Rating Methodology
• U.S. CMBS Property Evaluation Methodology
• Methodology for Rating Interest-Only Certificates in CMBS Transactions
• Global Structured Finance Counterparty Methodology
• ESG Global Rating Methodology

Disclosures

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.

About KBRA

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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