KBRA Affirms All Ratings for BXMT 2021-FL4

KBRA affirms all of its outstanding ratings for BXMT 2021-FL4, a CRE CLO transaction with the ability to acquire and sell (rebalancing provision) loan participations related to the transaction collateral. 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 with losses. However, this is offset by transaction deleveraging.

At the time of this review, the total collateral balance is $880.5 million, which is comprised of 22 first mortgage loans secured by 26 properties. For the life of the transaction, the issuer is permitted to acquire funded companion participations related to the collateral assets, provided the acquisition criteria are satisfied.

As of the January 2025 remittance period, there is one specially serviced asset (5.6% of the pool), which is REO. KBRA identified nine loans (48.9%) as K-LOCs, including the REO asset. These include five top 10 loans (33.1%):

One additional loan has an estimated loss given default:

The remaining three loans represent 10.5% of the pool.

The transaction’s WA KLTV is 132.8%, compared to 137.4% at last review and 128.5% at securitization. The KDSC at Index Cap is 1.02x, compared to 0.97x at last review and 1.12x at closing. The overcollateralization and interest coverage tests have each been satisfied during each distribution date since issuance.

At securitization, 26 loans (83.3% of the issuance loan pool) had related companion participations representing unfunded future advance obligations, with an aggregate unfunded amount of $760.0 million. In total, there are currently 13 loans (73.2% of the current loan pool), with unfunded future advance obligations with an aggregate of $139.4 million unfunded as of September 2024.

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