DBRS Morningstar Confirms Ratings on All Classes of PFP 2021-8, Ltd.

DBRS Limited (DBRS Morningstar) confirmed its ratings on all classes of notes issued by PFP 2021-8, Ltd. as follows:

-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar’s issuance expectations. 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].

At issuance, the collateral consisted of 46 floating-rate mortgages secured by 55 mostly transitional commercial real estate properties totalling approximately $1.1 billion, excluding approximately $125.9 million of future funding commitments. Most loans were in a period of transition with plans to stabilize and improve asset value. The transaction is structured with a Replenishment Period through the September 2024 Payment Date, whereby the Issuer has the right to use principal proceeds to acquire related fully funded future funding participations subject to stated criteria. The transaction will pay sequentially following the end of the Replenishment Period.

As of the July 2022 remittance, the pool comprises 44 loans secured by 53 properties with a cumulative trust balance of $1.1 billion. Since issuance, two loans with a former cumulative trust balance of $67.7 million have been successfully repaid from the pool. As of the July 2022 remittance, there was $15.0 million available in the Permitted Funded Companion Participation Acquisition account.

Most borrowers are progressing toward completing the stated business plans as through June 2022, the collateral manager had advanced $41.9 million in loan future funding to 21 individual borrowers since the transaction closed in September 2021. The majority of this amount has been released to the borrower of the Fort Collins Portfolio loan ($11.2 million) to fund capital improvements. An additional $86.9 million of loan future funding allocated to 29 borrowers to further aid in property stabilization efforts remains outstanding. The majority of this potential funding is allocated to the borrowers of the River Centre Office Campus loan ($17.9 million) and the Greenwood Corporate Plaza loan ($10.4 million) to fund capital improvements and leasing costs.

The collateral pool is concentrated by property type as 20 loans, representing 58.5% of the cumulative loan balance, are secured by multifamily properties and 11 loans, representing 19.8% of the cumulative loan balance, are secured by office properties. By geographical concentration, the collateral is most heavily concentrated in California and Colorado, with loans representing 25.0% and 13.5% of the cumulative loan balance, respectively. Five loans, representing 16.6% of the cumulative trust balance, are in urban markets with DBRS Morningstar Market Ranks of 6, 7, and 8. These markets have historically shown greater liquidity and demand. There are 21 loans, representing 42.7% of the cumulative loan balance, secured by properties in markets with a DBRS Morningstar Market Rank of 3 or 4, which are suburban in nature and have historically had higher probability of default levels when compared with properties in urban markets.

As of the July 2022 reporting, all loans remain current with no loans on the servicer’s watchlist or in special servicing. There have been two loans, representing 3.1% of the pool balance, that have reported loan modifications. The San Carlos Tech Center loan was modified to allow for the early termination of a tenant lease. In conjunction with the lease termination, the borrower agreed to deposit funds into a cash collateral reserve equal to the amount of rent beyond the termination date. The 970 Stewart loan was modified in order to activate cash management provisions.

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:

-- Prospectus ID#1 – NYC Multifamily Portfolio (6.7% of the pool)
-- Prospectus ID#3 – River Centre Office Campus (5.0% of the pool)
-- Prospectus ID#6 – Fort Collins Portfolio (4.8% of the pool)
-- Prospectus ID#4 – Avenues at Verdier Pointe (4.6% of the pool)
-- Prospectus ID#8 – Santa Fe Lofts (3.4% of the pool)

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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