$318.7 million and $227.6 million of structured securities affected
New York, February 16, 2021 -- Moody's Investors Service ("Moody's"), has assigned definitive ratings
to ten classes of CMBS securities, issued by BX Trust 2021-LBA,
Commercial Mortgage Pass-Through Certificates, Series 2021-LBA:
BX Trust 2021-LBA Fund JV
Cl. A-JV, Definitive Rating Assigned Aaa (sf)
Cl. B-JV, Definitive Rating Assigned Aa3 (sf)
Cl. C-JV, Definitive Rating Assigned A3 (sf)
Cl. D-JV, Definitive Rating Assigned Baa3 (sf)
Cl. X-JV-CP*, Definitive Rating Assigned
Baa2 (sf)
* Reflects interest-only classes
BX Trust 2021-LBA Fund V
Cl. A-V, Definitive Rating Assigned Aaa (sf)
Cl. B-V, Definitive Rating Assigned Aa3 (sf)
Cl. C-V, Definitive Rating Assigned A3 (sf)
Cl. D-V, Definitive Rating Assigned Baa3 (sf)
Cl. X-V-CP*, Definitive Rating Assigned
Baa2 (sf)
* Reflects interest-only classes
RATINGS RATIONALE
The certificates are collateralized by 2 loans: (i) a floating rate
interest-only commercial mortgage loan secured by the borrowers'
fee simple and/or leasehold interests in 35 industrial, multi-
and single-tenanted, commercial properties located in 6 states
(collectively the Fund JV loan and portfolio); and (ii) a floating
rate interest-only commercial mortgage loan secured by the borrowers'
fee simple interests in 17 industrial, multi- and single-tenanted,
commercial properties in 4 states (collectively the Fund V loan and portfolio).
Our ratings are based on the credit quality of the loans and the strength
of the securitization structures.
The Fund JV loan and the Fund V loan are independent obligations of separate
(although affiliated) borrowers and are not cross-collateralized
or cross-defaulted. Likewise in the trust, each mortgage
loan backs an independent series of non-pooled certificates as
the Fund JV certificates are backed only by the Fund JV loan and the Fund
V certificates are backed only by the Fund V Loan.
Fund JV
The Fund JV portfolio contains a total of 6,585,422 SF across
5 different property subtypes. The subtypes include: warehouse/distribution
(30 properties, 91.4% of NRA); business park
(2 properties, 4.8% of NRA); warehouse (1 property,
1.7% of NRA); manufacturing light (1 property,
1.6% of NRA); and food logistics (1 property,
0.6% of NRA). Construction dates for properties in
the portfolio range between 1967 and 2019, with a weighted average
year built of 1994. Property sizes for assets range between 14,400
SF and 529,970 SF, with an average size of 189,905 SF.
Clear heights for properties range between 20 feet and 36 feet,
with a weighted average, maximum clear height for the portfolio
of approximately 28 feet. As of December 31, 2020,
the portfolio was approximately 95.9% leased.
The portfolio is geographically diverse as the properties are located
across 9 Moody's RYG Markets in 6 states. The top five Moody's
RYG market concentrations are Oakland (3 properties; 20.0%
of NRA), Riverside (5 properties; 16.5% of NRA),
Seattle (7 properties; 10.7% of NRA), Dallas
(3 properties; 8.4% of NRA) and Salt Lake City (3 properties;
7.5% of NRA). The 6 states are California (14 properties;
43.6% of NRA), Nevada (6 properties; 25.2%
of NRA), Washington (7 properties; 10.7% of NRA),
Texas (3 properties; 8.4% of NRA), Utah (3 properties;
7.5% of NRA), and Colorado (2 properties; 4.6%
of NRA). The portfolio properties are primarily located in global
gateway markets and generally situated within close proximity to major
transportation arteries.
Fund V
The Fund V portfolio contains a total of 2,925,833 SF across
6 different property subtypes. The subtypes include: warehouse/distribution
(9 properties, 77.0% of NRA); manufacturing (2
properties, 6.7% of NRA); flex (2 properties,
6.8% of NRA); business park (2 properties, 6.0%
of NRA); warehouse (1 property, 3.5% of NRA);
and secured yard (1 property, 0.0% of NRA (does not
include improvements)). Construction dates for properties in the
portfolio range between 1954 and 2020, with a weighted average year
built of 1997. Property sizes for assets range between 60,786
SF and 682,290 SF, with an average size of 209,901 SF.
Clear heights for properties (excluding the secure yard) range between
15 feet and 36 feet, with a weighted average, maximum clear
height for the portfolio of approximately 27 feet. As of December
31, 2020, the portfolio was approximately 94.5%
leased.
The portfolio is geographically diverse as the properties are located
across 8 Moody's RYG Markets in 4 states. The top five Moody's
RYG market concentrations are Phoenix (1 property; 23.3%
of NRA), Riverside (4 properties; 21.9% of NRA),
Portland (4 properties; 18.1% of NRA), Orange
County (1 property; 11.9% of NRA) and Los Angeles (3
properties; 11.8% of NRA). The 4 states are
California (10 properties; 50.8% of NRA), Arizona
(1 property; 23.3% of NRA), Oregon (4 properties;
18.1% of NRA), and Washington (2 properties;
7.8% of NRA). The portfolio properties are primarily
located in global gateway markets and generally situated within close
proximity to major transportation arteries.
Moody's approach to rating this transaction involved the application of
both our Large Loan and Single Asset/Single Borrower CMBS methodology
and our IO Rating methodology. The rating approach for securities
backed by a single loan compares the credit risk inherent in the underlying
collateral with the credit protection offered by the structure.
The structure's credit enhancement is quantified by the maximum deterioration
in property value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss for
various rating levels. In assigning single borrower ratings,
we also consider a range of qualitative issues as well as the transaction's
structural and legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the severity
of loss upon a default, which is largely driven by each loan's loan-to-value
ratio, referred to as the Moody's LTV or MLTV. As described
in the CMBS methodology used to rate this transaction, we make various
adjustments to the MLTV. We adjust the MLTV for each loan using
a value that reflects capitalization (cap) rates that are between our
sustainable cap rates and market cap rates. We also use an adjusted
loan balance that reflects each loan's amortization profile.
The MLTV reported in this publication reflects the MLTV before the adjustments
described in the methodology.
The securitization consists of two non-crossed floating-rate,
interest-only, first lien mortgage loans with an aggregated
outstanding cut-off date principal balance of $944,000,000,
which is composed of the Fund JV loan of $555,000,000
and the Fund V loan of $389,000,000. The mortgage
loans have an initial two-year term, with five, one-year
extension options.
Fund JV
The Moody's first-mortgage DSCR is 3.05x and Moody's first-mortgage
stressed DSCR (at a 9.25% constant) is 0.66x.
Moody's DSCR is based on our assessment of the property's stabilized NCF.
The first mortgage balance of $555,000,000 represents
a Moody's LTV of 133.1%.
Moody's grades properties on a scale of 0 to 5 (best to worst) and considers
those grades when assessing the likelihood of debt payment. The
factors considered include property age, quality of construction,
location, market, and tenancy. The portfolio's weighted
average property quality grade is 1.12, demonstrating both
the high quality of the properties and the strength of the markets they
are located in.
Fund V
The Moody's first-mortgage DSCR is 3.28x and Moody's first-mortgage
stressed DSCR (at a 9.25% constant) is 0.67x.
Moody's DSCR is based on our assessment of the property's stabilized NCF.
The first mortgage balance of $389,000,000 represents
a Moody's LTV of 130.0%.
Moody's grades properties on a scale of 0 to 5 (best to worst) and considers
those grades when assessing the likelihood of debt payment. The
factors considered include property age, quality of construction,
location, market, and tenancy. The portfolio's weighted
average property quality grade is 1.05, demonstrating both
the high quality of the properties and the strength of the markets they
are located in.
Notable strengths of the transaction include: proximity to global
gateway markets, tenant granularity, operating performance,
geographic diversity, acquisition financing and experienced sponsorship.
Notable concerns of the transaction include: high Moody's loan-to-value
ratio (LTV), tenant rollover, age of the properties,
floating-rate/interest-only mortgage loan profiles and certain
credit negative legal features.
The principal methodology used in rating all classes except interest-only
classes was "Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in September 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1190579.
The methodologies used in rating interest-only classes were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published
in September 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1190579
and "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in February 2019 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1111179.
Please see the list of ratings at the top of this announcement to identify
which classes are interest-only (indicated by the *).
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of these methodologies.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an aggregation
of adjusted loan level proceeds derived from our Moody's loan level LTV
ratios. Major adjustments to determining proceeds include leverage,
loan structure, and property type. These aggregated proceeds
are then further adjusted for any pooling benefits associated with loan
level diversity, other concentrations and correlations.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. Performance
that falls outside the given range may indicate that the collateral's
credit quality is stronger or weaker than Moody's had previously anticipated.
Factors that may cause an upgrade of the ratings include significant loan
pay downs or amortization, an increase in the pool's share of defeasance
or overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall performance
of the pool, loan concentration, increased expected losses
from specially serviced and troubled loans or interest shortfalls.
The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to disrupt
economies and credit markets across sectors and regions. Our analysis
has considered the effect on the performance of commercial real estate
from the current weak US economic activity and a gradual recovery for
the coming months. Although an economic recovery is underway,
it is tenuous and its continuation will be closely tied to containment
of the virus. As a result, the degree of uncertainty around
our forecasts is unusually high.
We regard the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
Further information on the representations and warranties and enforcement
mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1265431.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security or pursuant
to a program for which the ratings are derived exclusively from existing
ratings in accordance with Moody's rating practices. For ratings
issued on a support provider, this announcement provides certain
regulatory disclosures in relation to the credit rating action on the
support provider and in relation to each particular credit rating action
for securities that derive their credit ratings from the support provider's
credit rating. For provisional ratings, this announcement
provides certain regulatory disclosures in relation to the provisional
rating assigned, and in relation to a definitive rating that may
be assigned subsequent to the final issuance of the debt, in each
case where the transaction structure and terms have not changed prior
to the assignment of the definitive rating in a manner that would have
affected the rating. For further information please see the ratings
tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
The ratings have been disclosed to the rated entity or its designated
agent(s) and issued with no amendment resulting from that disclosure.
These ratings are solicited. Please refer to Moody's Policy
for Designating and Assigning Unsolicited Credit Ratings available on
its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1243406.
At least one ESG consideration was material to the credit rating action(s)
announced and described above.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the EU and is endorsed
by Moody's Deutschland GmbH, An der Welle 5, Frankfurt
am Main 60322, Germany, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that issued the credit rating is available on www.moodys.com.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the UK and is endorsed
by Moody's Investors Service Limited, One Canada Square,
Canary Wharf, London E14 5FA under the law applicable to credit
rating agencies in the UK. Further information on the UK endorsement
status and on the Moody's office that issued the credit rating is
available on www.moodys.com.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Shand Evans
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Gregory Ingaglio
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
