DBRS Morningstar Confirms Ratings on All Classes of BANK 2021-BNK35

DBRS Limited (DBRS Morningstar) confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-BNK35 issued by BANK 2021-BNK35 as follows:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-4-1 at AAA (sf)
-- Class A-4-2 at AAA (sf)
-- Class A-4-X1 at AAA (sf)
-- Class A-4-X2 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-5-1 at AAA (sf)
-- Class A-5-2 at AAA (sf)
-- Class A-5-X1 at AAA (sf)
-- Class A-5-X2 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class A-S at AAA (sf)
-- Class A-S-1 at AAA (sf)
-- Class A-S-2 at AAA (sf)
-- Class A-S-X1 at AAA (sf)
-- Class A-S-X2 at AAA (sf)
-- Class B at AAA (sf)
-- Class B-1 at AAA (sf)
-- Class B-2 at AAA (sf)
-- Class B-X1 at AAA (sf)
-- Class B-X2 at AAA (sf)
-- Class C at AA (low) (sf)
-- Class C-1 at AA (low) (sf)
-- Class C-2 at AA (low) (sf)
-- Class C-X1 at AA (low) (sf)
-- Class C-X2 at AA (low) (sf)
-- Class X-D at A (low) (sf)
-- Class X-FG at BBB (low) (sf)
-- Class X-H at BB (high) (sf)
-- Class X-J at B (high) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (high) (sf)
-- Class F at BBB (low) (sf)
-- Class G at BB (high) (sf)
-- Class H at BB (sf)
-- Class J at B (sf)

All trends are Stable.

The Class A-4-1, A-4-2, A-4-X1, A-4-X2, A-5-1, A-5-2, A-5-X1, A-5-X2, A-S-1, A-S-2, A-S-X1, A-S-X2, B-1, B-2, B-X1, B-X2, C-1, C-2, C-X1, and C-X2 certificates are also offered certificates. Such classes of certificates, together with the Class A-4, A-5, A-S, B, and C certificates, constitute the Exchangeable Certificates. The Class A-1, A-2, A-SB, A-3, D, E, F, G, and H certificates, together with the RR Interest and the Exchangeable Certificates with a certificate balance, are referred to as the principal balance certificates.

The rating confirmations reflect the recent vintage and overall stable performance of the transaction, which remains in line with DBRS Morningstar’s expectations at issuance. The transaction consists of 76 fixed-rate loans secured by 109 commercial and multifamily properties with a trust balance of $1.4 billion. There has been negligible collateral reduction of 0.24% since issuance. Amortization will be limited through the life of the deal as there are 48 loans, representing 75.0% of the pool balance, that are structured with full-term interest-only (IO) periods. An additional six loans, representing 9.2% of the pool balance, have partial IO terms. The lack of amortization is partially offset by the pool’s favorable issuance leverage metrics with weighted-average (WA) DBRS Morningstar issuance and balloon loan-to-value (LTV) ratios of 54.9% and 52.7%, respectively. However, it is noteworthy that the pool’s WA leverage metrics are significantly reduced because of the very low LTVs of the shadow-rated loans and co-operative loans, the latter of which represents 9.4% of the pool balance. By property type, the pool is most concentrated by loans backed by office, retail, and multifamily properties, representing 28.7%, 24.9%, and 23.9% of the current pool balance, respectively.

Given the recent vintage, updated financial reporting for the underlying loans was generally limited. According to the May 2022 reporting, there are no loans in special servicing or on the watchlist and there have been no recorded defaults or other materially adverse credit events since issuance.

Three loans, Four Constitution Square (Prospectus ID #3, 4.0% of the pool), River House Coop (Prospectus ID #4, 3.9% of the pool, and Three Constitution Square (Prospectus ID #12, 2.7% of the pool), were assigned investment-grade shadow ratings at issuance. As part of this review, DBRS Morningstar concluded performance remains consistent with the originally assigned shadow ratings.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

Classes X-A, X-B, X-D, X-FG, X-H, X-J, and X-K are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall.

All ratings are subject to surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by DBRS Morningstar.

DBRS Morningstar provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for this transaction.

The DBRS Viewpoint platform provides additional information on this transaction and underlying loans including DBRS Morningstar metrics, commentary, servicer-reported cash flows, and other performance-related data. For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.com.

Notes:
All figures are in U.S dollars unless otherwise noted.

The principal methodology is North American CMBS Surveillance Methodology (March 4, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria. For a list of the structured-finance-related methodologies that may be used during the rating process, please see the DBRS Morningstar Global Structured Finance Related Methodologies document, which can be found on dbrsmorningstar.com in the Commentary tab under Regulatory Affairs. Please note that not every related methodology listed under a principal structured finance asset class methodology may be used to rate or monitor an individual structured finance or debt obligation.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at [email protected].

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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