DBRS Morningstar Upgrades Ratings on Six Classes of LoanCore 2021-CRE4 Issuer Ltd.

DBRS, Inc. (DBRS Morningstar) upgraded its ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2021-CRE4 issued by LoanCore 2021-CRE4 Issuer Ltd. (the Issuer) as follows:

-- Class B to AA (sf) from AA (low) (sf)
-- Class C to A (sf) from A (low) (sf)
-- Class D to BBB (high) (sf) from BBB (sf)
-- Class E to BBB (sf) from BBB (low) (sf)
-- Class F to BB (sf) from BB (low) (sf)
-- Class G to B (high) (sf) from B (low) (sf)

DBRS Morningstar also confirmed its ratings on one class as follows:

-- Class A at AAA (sf)

All trends are Stable.

The rating upgrades reflect the increased credit support to the bonds as a result of successful loan repayment, representing a collateral reduction of 23.6% since issuance, based on the July 2022 remittance. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at [email protected].

The initial collateral consisted of 16 floating-rate mortgages secured by 22 mostly transitional properties with a cut-off date balance totaling approximately $600.4 million, excluding approximately $79.4 million of future funding commitments and $30.0 million of funded companion participations. Most loans are in a period of transition with plans to stabilize performance and improve the asset value. The collateral pool for the transaction is static with no ramp-up or reinvestment period; however, during the Replenishment Period, the Issuer may acquire funded Future Funding Participations and permitted Funded Companion Participations with principal repayment proceeds. As of July 2022, the Replenishment Account has a balance of $5.2 million.

According to the July 2022 remittance report, 12 loans remain in the pool with a current principal balance of $453.4 million. According to the collateral manager, cumulative loan future funding of $48.8 million has been advanced to two individual borrowers through June 2022 to date to aid in business plan completion with $28.0 million advanced to the borrower of the Horizon Sunnyvale loan and $20.7 million advanced to the borrower of the 15000 Aviation loan. In both instances, the collateral for the individual loans are office properties where the borrower’s business plan is to complete significant property repositioning through capital improvement projects and offer competitive leasing packages to lease the vacant properties. An additional $53.2 million of loan future funding allocated to eight individual borrowers remains outstanding, including an additional $7.0 million allocated to the Horizon Sunnyvale loan and $9.6 million to the 15000 Aviation loan.

The pool is concentrated by property type as five loans (51.6% of the pool) are secured by office properties, three loans (20.7% of the pool) are secured by retail properties, and two loans (19.9% of the pool) are secured by multifamily properties. In contrast, office, retail, and multifamily properties represented 38.8%, 22.1%, and 25.5% of the pool, respectively, as of August 2021 reporting. The transaction also continues to benefit from a concentration of properties in urban markets as four loans representing 29.2% of the pool are in markets with a DBRS Morningstar Market Rank of 7 and 8.. The remaining properties in the transaction are in markets that DBRS Morningstar characterizes as suburban. In contrast, urban and suburban markets represented 23.7% and 76.3% of the pool, respectively, as of August 2021.

There are two loans on the servicer’s watchlist, representing 12.3% of the current trust balance, that are being monitored for upcoming maturity; however, each loan has an extension option remaining. There are no loans in special servicing; however, the lender has provided loan modifications to five borrowers, representing 34.4% of the outstanding pool balance. In general, the modifications allowed borrowers to exercise loan extension options by waiving required performance thresholds, or the lender waived debt service carry reserve replenishment requirements.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors 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.

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 the following loans in the transaction:

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.com. The platform includes issuer and servicer data for most outstanding CMBS transactions (including non-DBRS Morningstar rated), as well as loan-level and transaction-level commentary for most DBRS Morningstar-rated and -monitored transactions.

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 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. Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The DBRS Morningstar long-term rating scale definition indicates that ratings of CCC or lower are assigned when the bond is highly likely to default or default is imminent, thereby prevailing over a sensitivity analysis.

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

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