DBRS Morningstar Confirms All Ratings on BANK 2021-BNK32

DBRS Limited (DBRS Morningstar) confirmed its ratings on the following classes of Commercial Mortgage Pass Through Certificates, Series 2021-BNK32 issued by BANK 2021-BNK32:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-4-1 at AAA (sf)
-- Class A-4-2 at AAA (sf)
-- Class A-4-X1 at AAA (sf)
-- Class A-4-X2 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-5-1 at AAA (sf)
-- Class A-5-2 at AAA (sf)
-- Class A-5-X1 at AAA (sf)
-- Class A-5-X2 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-S-1 at AAA (sf)
-- Class A-S-2 at AAA (sf)
-- Class A-S-X1 at AAA (sf)
-- Class A-S-X2 at AAA (sf)
-- Class B at AAA (sf)
-- Class B-1 at AAA (sf)
-- Class B-2 at AAA (sf)
-- Class B-X1 at AAA (sf)
-- Class B-X2 at AAA (sf)
-- Class C at AA (high) (sf)
-- Class C-1 at AA (high) (sf)
-- Class C-2 at AA (high) (sf)
-- Class C-X1 at AA (high) (sf)
-- Class C-X2 at AA (high) (sf)
-- Class X-D at A (sf)
-- Class D at A (high) (sf)
-- Class E at A (low) (sf)
-- Class X-F at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class X-G at BBB (low) (sf)
-- Class G at BB (high) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of the transaction since issuance in 2021. The transaction consists of 64 fixed-rate loans secured by 106 properties with a trust balance of $903.7 million. There has been a minimal change, with only a 0.11% collateral reduction since issuance. Amortization will be limited through the life of the deal as there are 38 loans, representing 78.6% of the pool balance, that are interest only (IO) for their full term. An additional 12 loans, representing 14.5% of the pool balance, have partial IO periods that remain in place. The lack of amortization is partially offset by the pool’s favourable leverage metrics with DBRS Morningstar weighted-average issuance and balloon loan-to-value (LTV) ratios of 51.0% and 49.6%, respectively; however, the pool also exhibits heavy leverage barbelling as a result of the very low LTVs of the shadow-rated loans and co-operative loans. By property type, the pool is most concentrated by loans backed by office, retail, self-storage, and multifamily properties, representing 25.5%, 20.5%, 18.5%, and 15.1% of the pool, respectively. There are also 19 loans, representing 8.3% of the pool, backed by residential co-operative loans.

According to the February 2022 reporting, there are no loans in special servicing or that are delinquent, but there are two loans (1.9% of the pool) on the servicer's watchlist that are being monitored for cash flow-related reasons. The larger of the two, 111 Fourth Avenue (Prospectus ID#15, 1.7% of the pool), is secured by a 161-unit residential co-operative property in Manhattan’s East Village. At issuance, the $15.0 million loan had an LTV of 8.0% based on the appraised value of $187.1 million, which assumed the property’s use as a conventional multifamily building. The co-operative intended to use roughly $9.9 million of mortgage proceeds for renovations through 2023 with $1.0 million for a facade restoration, $1.2 million for a new roof and roof gardens, and $7.7 million for new HVAC and boiler systems.

Two loans, 605 Third Avenue Trust (Prospectus ID#4, 7.9% of the pool) and 530 Seventh Avenue Fee (Prospectus ID#5, 6.1% of the pool), were assigned investment-grade shadow ratings at issuance. As part of this review, DBRS Morningstar concluded that current and expected ongoing performance remains consistent with the originally assigned shadow ratings.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

Classes X-A, X-B, X-D, X-F, and X-G are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall.

All ratings are subject to surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by DBRS Morningstar.

The DBRS Viewpoint platform provides additional information on this transaction and underlying loans including DBRS Morningstar metrics, commentary, servicer-reported cash flows, and other performance-related data.

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.com. The platform includes issuer and servicer data for most outstanding CMBS transactions (including non-DBRS Morningstar rated), as well as loan-level and transaction-level commentary for most DBRS Morningstar-rated and -monitored transactions.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is North American CMBS Surveillance Methodology (March 4, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria. For a list of the structured-finance-related methodologies that may be used during the rating process, please see the DBRS Morningstar Global Structured Finance Related Methodologies document, which can be found on dbrsmorningstar.com in the Commentary tab under Regulatory Affairs. Please note that not every related methodology listed under a principal structured finance asset class methodology may be used to rate or monitor an individual structured finance or debt obligation.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at info@dbrsmorningstar.com.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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