DBRS Morningstar Confirms Ratings on BRSP 2021-FL1, Ltd.

DBRS Limited (DBRS Morningstar) confirmed its ratings on all classes of notes issued by BRSP 2021-FL1, Ltd. as follows:

-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar’s issuance expectations. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info@dbrsmorningstar.com.

The transaction closed in July 2021 with an initial collateral pool of 31 floating-rate mortgage loans secured by 41 mostly transitional properties with a cut-off balance of $800.0 million, excluding approximately $58.1 million of future funding participations. Most loans were in a period of transition with plans to stabilize and improve asset value. The transaction is structured with a Reinvestment Period through the July 2023 Payment Date, whereby the Issuer may acquire Funded Companion Participations and introduce new loan collateral into the trust subject to the Reinvestment Criteria as defined at issuance. The transaction has a sequential-pay structure.

As of the May 2022 remittance, the pool comprises 33 loans secured by 40 properties with a cumulative trust balance of $800.0 million. Since issuance, three loans with a former cumulative trust balance of $137.9 million have been successfully repaid from the pool. Over the same period, five loans with a current cumulative trust balance of $137.1 million have been contributed to the trust. As of the May 2022 remittance, there were no funds remaining in the Reinvestment Account.

In general, borrowers are progressing toward completion of the stated business plans. Of the current collateral pool, 28 of the 33 outstanding loans were structured with future funding components and, according to an update from the collateral manager, it had advanced $19.3 million in loan future funding through March 2022 to 20 individual borrowers to aid in property stabilization efforts. The largest advances were made to the borrowers of the Gables Uptown Tower ($2.6 million) and La Mirada ($1.8 million) loans. The Gables Uptown Tower loan is secured by a 196-unit, Class B multifamily property in Dallas, Texas, and the La Mirada loan is secured by a 200-unit Class B multifamily property in Tucson, Arizona. The borrowers on both loans have used loan future funding for ongoing capital improvement projects at the respective properties. An additional $57.0 million of unadvanced loan future funding allocated to 28 individual borrowers remains outstanding with the largest portion ($8.3 million) allocated to the borrower of the 360 Wythe loan. The loan is secured by an 89,701-square-foot mixed-use property in Brooklyn, New York, with loan future funding available to fund capital improvements, leasing costs, and debt service shortfalls.

The transaction consists of 26 loans (totalling 80.0% of the current trust balance) secured by multifamily properties, six loans (totalling 16.8% of the current trust balance) secured by office properties, and one loan (totalling 3.1% of the current trust balance) secured by a mixed-use property. In comparison with the transaction closing in July 2021, loans secured by multifamily properties have increased by 7.9% of the trust balance at issuance. In addition, loans secured by office and mixed properties have remained consistent with issuance, while the only loan secured by a self-storage property (previously totalling 7.9% of the pool) was repaid.

By geographical concentration, the collateral is most heavily concentrated in Texas and California, with loans representing 30.3% and 25.7% of the cumulative loan balance, respectively. Six loans, representing 17.1% of the cumulative trust balance, are in urban markets with DBRS Morningstar Market Ranks of 6, 7, and 8. These markets have historically shown greater liquidity and demand. The remaining 27 loans, representing 48.9% of the cumulative loan balance, are secured by properties in markets with DBRS Morningstar Market Ranks of 3, 4, and 5, which are suburban in nature and have historically had higher probability of default levels when compared with properties in urban markets. In comparison with issuance, properties in urban and suburban markets have increased as a percent of the transaction from 13.0% and 79.1%, respectively, as one loan, formerly representing 7.9% of the transaction at issuance, has repaid.

As of the May 2022 remittance, there are no loans in special servicing and no loans being monitored on the servicer’s watchlist. In addition, no loans have been modified and no borrowers have requested or were granted forbearances.

There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

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

DBRS Morningstar provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for this transaction.

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.

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.

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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