KBRA Withdraws One Rating and Affirms All Other Ratings for Starz Mortgage Securities 2021-1 DAC
11 Apr 2024 | London
KBRA withdraws the rating on one class of notes and affirms all other outstanding ratings for Starz Mortgage Securities 2021-1 DAC, a static commercial real estate collateralised loan obligation (CRE CLO) transaction. The rating actions follow a surveillance review of the transaction. Although the transaction has benefitted from an increase in subordination levels due to portfolio deleveraging from the repayment of six loans and amortisation, this is offset by concerns about refinancing risk for the three remaining loans in the transaction, two of which KBRA has previously identified as K-LOCs.
The transaction has no reinvestment ability but allows the issuer to modify performing loans and sell credit risk and defaulted assets. At closing, the transaction was collateralised by nine commercial mortgage loans: six of the loans were GBP-denominated with an aggregated cut-off balance of £185.4 million and three of the loans were EUR-denominated with an aggregate balance of €39.1 million. At the time of this review, six loans have paid off in full. The transaction is currently collateralised by three loans: two are GBP-denominated with a current balance of £50.9 million (72.6% reduction since securitisation) and one is EUR-denominated with a current balance of €12.0 million (69.3% reduction).
The transaction features note protection tests, which have been satisfied during each remittance period since closing. The transaction structure initially featured a modified pro-rata structure but principal payments from the loans are now paying the notes on a sequential basis.
KBRA utilised information obtained from the servicer from February 2024, which included updated property, loan, and note balances from the period.
To access rating and relevant documents, click here.
Click here to view the report.