NEW YORK–(BUSINESS WIRE) – The Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings for 38 classes of BANK 2021-BNK36, a $ 1.3 billion CMBS conduit transaction.
The secured properties are in 36 MSAs, the three largest of which are Chicago (14.3%), New York (10.9%) and Los Angeles (6.9%). The pool is involved in all major property types, with two types accounting for more than 15.0% of the pool balance: retail (34.5%) and office (23.8%). The loans have principal balances of $ 992,951 million to $ 127.0 million for the largest loan in the pool, One North Wacker (10.0%), which is supported by a 1.4 million sf, Class-A LEED Platinum certified office tower in the West borough Loop is backed by Chicago, Illinois, in 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%) , make up 30.9% of the initial pool balance, while the top 10 loans make up 49.1%.
KBRA’s analysis of the transaction included our multi-credit rating process, which begins with our analysts assessing the financial and operational performance of the underlying collateral properties, KBRA’s sustainable net cash flow (KNCF) estimate and KBRA value using our US CMBS property determine valuation methodology. On an aggregated basis, the KNCF was 8.9% below the issuer’s cash flow. KBRA capitalization rates were applied to the KNCF of each asset to derive values that, on an aggregated basis, were 44.2% lower than third party estimates. The pool has a trust KLTV of 94.6% and an all-in KLTV of 97.2%. The model uses rental and occupancy stress, probability of default regressions, and loss ratio calculations to determine the losses for each collateral loan, which are then used to map our credit ratings.
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Learn more about key credit considerations, sensitivity studies that take into account what factors may affect these credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (if they are a significant factor in changing the credit rating or the rating outlook) can be found in the full rating report listed above.
A description of all the materially significant sources used in establishing the credit rating and information about the methodology (s) (including any material models and sensitivity analyzes of the relevant key assumptions for the rating, if any) that were used in determining the credit rating , are available on the information disclosure form (s) located here.
Information on the meaning of the individual assessment categories can be found here.
Further information on this rating measure can be found in the information disclosure forms mentioned above. Further information on KBRA guidelines, methods, rating scales and indications is available at www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered as an NRSRO with the Securities and Exchange Commission. 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 with the UK Financial Conduct Authority as a CRA under the temporary registration system. In addition, KBRA has been named by the Ontario Securities Commission as the designated rating organization for issuers of asset-backed securities for the submission of a short prospectus or shelf prospectus. KBRA is also recognized as a credit rating provider by the National Association of Insurance Commissioners.