KBRA Assigns Preliminary Ratings to Citigroup Commercial Mortgage Trust 2021-PRM2

Kroll Bond Rating Agency (KBRA) announces the preliminary assignment of ratings to nine classes of Citigroup Commercial Mortgage Trust 2021-PRM2, a CMBS singe-borrower securitization.

The collateral for the transaction is a $340.0 million non-recourse, first lien mortgage loan. The floating rate loan has an initial two-year term with three one-year extension options and requires monthly interest-only payments based on one-month 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 sf, inclusive of 1.1 million sf of commercial and parking space, with assets ranging from 38,970 sf to 1.3 million sf. The self-storage space at the properties comprises 1.7 million sf (14,764 units) of the total space, with self-storage space ranging from 38,220 sf (359 units) to 177,165 sf (1,901 sf). Overall, 56.7% of the portfolio’s self-storage sf (34.1% of total sf) is climate-controlled. The properties are located in 16 different MSAs across 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 approximately 23 years old. As of July 2021, the portfolio had a weighted average occupancy rate of 93.6% for self-storage and 72.7% for the commercial space.

KBRA’s analysis of the transaction included a detailed evaluation of the properties’ cash flows using our U.S. CMBS Property Evaluation Methodology and the application of our U.S. CMBS Single Borrower & Large Loan Rating Methodology. In addition, KBRA also relied on its Global Structured Finance Counterparty Methodology for assessing counterparty risk in this transaction and its ESG Global Rating Methodology, to the extent deemed applicable.

The results of our analysis yielded a KBRA net cash flow (KNCF) of $22.3 million, which is 7.5% below the issuer’s NCF, and a KBRA value of approximately $254.0 million, which is 48.0% lower than the appraiser’s portfolio value for the subject. The resulting in-trust KBRA Loan to Value (KLTV) is 133.9%. In our analysis of the transaction, we also reviewed and considered third party engineering, environmental, and appraisal reports; the results of our site inspection; and legal documentation review.

Click here to view the report. To access ratings and relevant documents, click here.

Related Publications

• U.S. CMBS Property Evaluation Methodology
• U.S. CMBS Single Borrower & Large Loan Rating Methodology
• Methodology for Rating Interest-Only Certificates in CMBS Transactions
• Global Structured Finance Counterparty Methodology
• ESG Global Rating Methodology

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. 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 as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

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