KBRA Affirms All Ratings for TRTX 2021-FL4
27 Mar 2024 | New York
KBRA affirms all of its outstanding ratings for TRTX 2021-FL4, a CRE CLO transaction with a two-year reinvestment period. The affirmations follow a surveillance review of the transaction, which has exhibited a worsening in collateral performance since securitization including the addition of K-LOCs. Also, the transaction is currently undercollateralized following the sale by the trust to a third party of the 1525 Wilson asset at a loss. However, the magnitude of the changes and undercollateralization does not warrant ratings adjustments at this time.
At the time of this review, the total collateral balance is $1.0 billion, which is comprised of 21 first mortgage loans secured by 80 properties. During the transaction’s reinvestment period, the issuer had the ability to acquire previously unidentified whole loans and senior participations with principal proceeds from the mortgage assets, provided such assets satisfied the reinvestment criteria and eligibility criteria. The reinvestment period ended as expected in March 2023 and the final reinvestment assets were acquired in May 2023.
As of the March 2024 remittance period, there is one specially serviced asset (6.0%), which is REO. KBRA identified three K-LOCs (18.9%), including the REO asset. The K-LOCs include:
- 888 Broadway (3rd largest, 7.0% of the current pool)
- Tower Plaza (7th largest, 6.0%, REO, 47.5% estimated loss severity)
- One Bay Plaza (8th largest, 5.9%)
The transaction’s WA KLTV is 139.6%, compared to 133.5% at last review and 127.4% at securitization. The KDSC at Index Cap is 0.96x, compared to 1.07x at last review and 1.02x at closing. The overcollateralization and interest coverage tests have each been satisfied during each distribution date since issuance.
At securitization, 16 loans (91.2% of the issuance pool) had related companion participations representing unfunded future advance obligations, with an aggregate unfunded amount of $137.9 million. In total, there are currently 14 loans (67.5% of the current pool), with aggregate unfunded future advance obligations of $80.5 million as of September 2023.
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