DBRS Morningstar Confirms Ratings on All Classes of BANK 2021-BNK32

DBRS Limited (DBRS Morningstar) confirmed its ratings on all classes of Commercial Mortgage Pass Through Certificates, Series 2021-BNK32 issued by BANK 2021-BNK32 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 AAA (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 (high) (sf)
-- Class C-1 at AA (high) (sf)
-- Class C-2 at AA (high) (sf)
-- Class C-X1 at AA (high) (sf)
-- Class C-X2 at AA (high) (sf)
-- Class X-D at A (sf)
-- Class D at A (high) (sf)
-- Class E at A (low) (sf)
-- Class X-F at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class X-G at BBB (low) (sf)
-- Class G at BB (high) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of the pool in the two years since issuance, with a small concentration of loans on the servicer’s watchlist and no loans in special servicing or delinquent as of the September 2023 remittance. Cash flows overall are stable, with the 15 largest loans in the pool generally reporting increased cash flows over the issuance figures.

The transaction consists of 64 loans secured by 106 properties with a current trust balance of $901.6 million, representing a minimal collateral reduction of 0.4% since issuance, per the August 2023 remittance report. Amortization will be limited through the life of the deal as 38 loans, representing 78.8% of the pool balance, are interest only (IO) for their full term. An additional eight loans, representing 10.7% of the pool balance, have partial IO periods that remain in place. The lack of amortization is partially offset by the pool’s favourable leverage metrics with DBRS Morningstar weighted-average issuance and balloon loan-to-value (LTV) ratios of 51.0% and 49.6%, respectively; however, the pool also exhibits heavy leverage barbelling as a result of the very low LTVs being concentrated among the shadow-rated loans and co-operative loans. By property type, the pool is most concentrated by loans backed by office and retail properties, which represent 25.5% and 20.8%, respectively. Another 19 loans, representing 8.3% of the pool, are backed by residential co-operative properties.

The pool’s office concentration is noteworthy given the low investor appetite for this property type and the high vacancy rates in many submarkets as a result of the shift in workplace dynamics. Despite this, the office loans in this pool are generally performing in line with DBRS Morningstar’s expectations. The pool’s office exposure is concentrated in four of the top 10 loans, which represent 25.1% of the pool. The largest of these is Pathline Park 9 & 10 (Prospectus ID#1; 10.0% of the pool), which is secured by an office building in Sunnyvale, California. The property is 100.0% occupied by Proofpoint Inc. on a lease through 2031 with no termination options.

The second- and third-largest office loans are 605 Third Avenue (Prospectus ID#4; 7.9% of the pool), and 530 Seventh Avenue Fee (Prospectus ID#5; 6.1% of the pool). 605 Third Avenue is secured by a class A office property in Midtown East Manhattan with stable occupancy and minimal near term rollover while 530 Seventh Avenue Fee is backed by the ground interest under an office property located approximately seven blocks to the west near Times Square. Both loans benefit from a low A-note LTVs of 33.7% and 39.0%, respectively, based on the DBRS Morningstar value derived at issuance and debt service coverage ratios of more than 3.00 times. Both loans were assigned investment-grade shadow ratings by DBRS Morningstar at issuance and, with this review, the shadow ratings were maintained given the loans’ low leverage points and stable performance.

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 (July 4, 2023) https://www.dbrsmorningstar.com/research/416784.

Classes X-A, X-B, X-D, X-F, and X-G 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 credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by DBRS Morningstar.

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

The principal methodology is the North American CMBS Surveillance Methodology (March 16, 2023; https://www.dbrsmorningstar.com/research/410912).

Other methodologies referenced in this transaction are listed at the end of this press release.

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 credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

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

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577]

The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

North American CMBS Multi-Borrower Rating Methodology (March 16, 2023)/North American CMBS Insight Model v 1.1.0.0 (https://www.dbrsmorningstar.com/research/410913)

Rating North American CMBS Interest-Only Certificates (December 19, 2022; https://www.dbrsmorningstar.com/research/407577)

DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria (September 22, 2023; https://www.dbrsmorningstar.com/research/420982)

North American Commercial Mortgage Servicer Rankings (August 23, 2023; https://www.dbrsmorningstar.com/research/419592)

Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023; https://www.dbrsmorningstar.com/research/415687)

Legal Criteria for U.S. Structured Finance (December 7, 2022; https://www.dbrsmorningstar.com/research/407008)

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://www.dbrsmorningstar.com/research/417279.

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