KBRA assigns preliminary ratings to Citigroup Commercial Mortgage Trust 2021-PRM2
NEW YORK–(COMMERCIAL THREAD) – Kroll Bond Rating Agency (KBRA) announces preliminary rating assignments to nine categories of Citigroup Commercial Mortgage Trust 2021-PRM2, a single-borrower CMBS securitization.
The collateral for the transaction is a $ 340.0 million non-recourse first mortgage. The variable rate loan has an initial term of two years with three options for one year extension and requires monthly interest payments based solely on one month’s LIBOR. The loan is secured by the borrower’s fee simple interest in 21 self-storage properties and one mixed-use property. The portfolio properties total 2.8 million square feet, including 1.1 million square feet of commercial and parking space, with assets ranging from 38,970 square feet to 1.3 million square feet. The properties self-storage space comprises 1.7 million square feet (14,764 units) of total space, with self-storage space ranging from 38,220 square feet (359 units) to 177,165 square feet (1,901 square feet). Overall, 56.7% of self-storage sf in the portfolio (34.1% of total sf) are air conditioned. The properties are located in 16 different MSAs in 12 states, with two state exposures each representing more than 10.0% of the pool balance: Boston (41.4%) and Florida (11.9%). The assets were built between 1916 and 2019 and are on average about 23 years old. In July 2021, the portfolio had a weighted average occupancy rate of 93.6% for self-storage and 72.7% for retail space.
KBRA’s transaction analysis included a detailed property cash flow valuation using our US CMBS property valuation methodology and the application of our US CMBS Single Borrower & Large Loan Rating methodology. In addition, KBRA also relied on its overall structured finance counterparty methodology to assess the counterparty risk in this transaction and its overall ESG rating methodology, to the extent deemed applicable.
The results of our analysis yielded a KBRA Net Cash Flow (KNCF) of $ 22.3 million, 7.5% lower than the issuer’s NCF, and a KBRA value of approximately 254.0 million dollars, or 48.0% less than the value of the appraiser’s portfolio for the subject. The resulting KBRA Loan to Value (KLTV) trust is 133.9%. In our analysis of the transaction, we have also reviewed and taken into account third party technical, environmental and valuation reports; the results of our site inspection; and review of legal documentation.
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Further information on key credit considerations, sensitivity analyzes which examine the factors that may affect these credit ratings and how they could lead to an improvement or a downgrade, and ESG factors (when they are a key factor in the change in credit rating or rating outlook) can be found in the full assessment report referenced above.
A description of all substantially significant sources that were used to prepare the credit rating and information about the method (s) (including significant models and sensitivity analyzes of the relevant key rating assumptions, if any) used to determine The credit rating is available in the Information Disclosure Form (s) located here.
Information on the meaning of each rating category can be found here.
Further information relating to this rating measure is available in the information disclosure form (s) referenced above. Additional information regarding KBRA’s 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 United States Securities and Exchange Commission as NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a credit rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a credit rating agency with the UK Financial Conduct Authority under the temporary registration regime. In addition, KBRA is appointed as the designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.