Morningstar DBRS Confirms Credit Ratings on All Classes of LoanCore 2021-CRE6 Issuer Ltd.

DBRS Limited (Morningstar DBRS) confirmed its credit ratings on the notes issued by LoanCore 2021-CRE6 Issuer Ltd. (the Issuer) 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)

Morningstar DBRS also changed the trends on Classes F and G to Stable from Negative. All other trends are Stable.

The credit rating confirmations and trend changes reflect the increased collateral reduction to the transaction, which, as of the February 2025 reporting, totaled 28.7% since closing, with an additional 15.3% in collateral reduction realized since the previous Morningstar DBRS credit rating action in June 2024, thereby increasing the credit support to the overall pool. In its previous review, Morningstar DBRS noted its concern about the increased credit risk to the transaction because of the concentration of loans secured by office properties, which have been underperforming in recent years. As such, Morningstar DBRS changed the trends on Class F and Class G to Negative.

While two of the loans formerly secured by office properties totaling $68.8 million were repurchased from the trust by the Issuer, the office collateral concentration as of February 2025 remains elevated (five loans, totaling 36.0% of the current trust balance), including the largest and second-largest loans in the pool: 433 North Camden (Prospectus ID#1; 12.9% of the current trust balance) and 110 Atrium (Prospectus ID#12; 11.8% of the current trust balance). While select borrowers are lagging in the respective business plans, the credit ratings reflect the outstanding credit risks and the increased subordination to the notes supports the trend changes. Beyond the office concentration, 12 loans totaling 56.4% of the pool are secured by multifamily collateral. Although a few borrowers are facing increased execution risk with the respective business plans because of a combination of factors, including increased construction costs, slower-than-anticipated rent growth, and increased debt service costs, multifamily properties have historically exhibited lower default rates and the ability to better retain property cash flow and value. Additionally, the transaction benefits from the unrated, first-loss piece of $100.0 million and the below-investment-grade rated bonds, Class F and Class G, which have outstanding balances of $39.0 million and $65.5 million, respectively.

In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. To access this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com.

The transaction closed in November 2021 with an initial collateral pool of 31 floating-rate mortgage loans secured by 46 mostly transitional properties with a cut-off date balance of $1.22 billion. Most of the loans are in a period of transition with plans to stabilize and improve asset value. The transaction was structured with a Reinvestment Period that expired with the November 2023 Payment Date. As of the February 2025 remittance, the pool comprises 21 loans secured by 22 properties with a cumulative trust balance of $890.8 billion. In addition to the two loans repurchased by the Issuer, two loans with a former trust balance of $121.0 million have also been paid in full since the previous Morningstar DBRS credit rating action. Beyond the multifamily and office concentrations noted above, the remaining four loans are secured by hotel, mixed-use, and manufactured housing properties.

Leverage across the pool has decreased as of the February 2025 reporting when compared with issuance metrics. The current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) is 66.1%, with a current WA stabilized LTV of 63.9%. In comparison, these figures were 71.1% and 64.3%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated as majority of the individual property appraisals were completed in 2021 or 2022 and may not reflect the current environment of rising interest rates or widening capitalization rates. In its analysis, Morningstar DBRS applied upward LTV adjustments for 12 loans, representing 71.6% of the current trust balance, generally reflective of higher cap rate assumptions compared with the implied cap rates based on the original appraisals. The impacted loans included the 10 largest loans in the pool and all office loans, resulting in individual loan-level expected loss levels ranging from approximately 50.0% to 200.0% of the pool's WA expected loss.

As of the February 2025 remittance, one loan is specially serviced, representing 1.9% of the pool, and one loan, representing 7.6% of the pool, is being monitored on the servicer's watchlist for a low debt service coverage ratio (DSCR). The sole loan in special servicing is 1900 W Lawrence Avenue (Prospectus ID#31), which is secured by a mixed-use property consisting of 59 residential units and 19,000 square feet of retail space in Chicago. The loan initially matured in July 2023 but did not transfer to special servicing until December 2023. According to the special servicer, the forbearance period ended with the October 2024 remittance and a receiver was placed in November 2024. As per the September 2024 rent roll, the consolidated occupancy rate at the subject was 86.4% with net cash flow (NCF) of $1.7 million and a DSCR of 0.59 times (x) for the trailing 12 months ended August 31, 2024. In comparison, at the time of last review, the consolidated occupancy rate of 94.9%, with a NCF of $1.6 million and DSCR of 0.53x. Morningstar DBRS analysed this loan with a liquidation scenario based on a 25% haircut to the issuance as-is value of $41.7 million given recent performance declines and the loan's prolonged resolution timeline, resulting in an implied loss severity in excess of 10.0%.

As a result of lagging business plans and loan exit strategies, the borrowers of 16 loans, representing 76.1% of the current trust balance, have received loan modifications and/or forbearances. The terms of the modifications vary from loan to loan; however, common terms include the waiver of the requirement to purchase of new interest rate cap agreements, fresh equity contributions, and deposits into interest reserve accounts. Additionally, the transaction faces heightened maturity risk as 17 loans, representing 82.6% of the current trust balance, will mature in 2025. While all of the loans have built-in extension options, Morningstar DBRS notes that based on current collateral performance, most loans will not qualify to exercise those options and therefore will likely need to be modified.

Through January 2025, the lender had advanced cumulative loan future funding of $87.5 million allocated to 14 of the 21 remaining individual borrowers to aid in property stabilization efforts. Some of the largest advances have been made to the borrowers of loans secured by office properties, including 110 Atrium ($16.4 million) and 433 North Camden ($15.0 million). These properties are located in Bellevue, Washington and Beverley Hills, California; respectively, with the advanced funds used primarily to fund capital expenditure projects and accretive leasing costs. An additional $42.5 million of loan future funding allocated to 10 individual borrowers remains available. The largest portion of the available funds, $11.3 million, is allocated to the borrower of Tower 250 loan (Prospectus ID#41, 4.0% of the pool), which is secured by an office property in Salt Lake City, Utah. Funds are available to finance capital expenditure projects and leasing costs. The borrower is behind in its stabilization plan, as according to the Q3 2024 update from the collateral manager, the property was only 42.2% occupied and was not generating positive cash flow. While the loan does not mature until January 2027, in its current analysis, Morningstar DBRS applied upward As-Is and Stabilized LTV adjustments of approximately 85.0% and 65.0%, respectively, in addition to an increased probability of default penalty. The adjustments resulted in an increased loan-level expected loss approximately two times greater than the expected loss for the pool.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

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

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (August 13, 2024; https://dbrs.morningstar.com/research/437781/morningstar-dbrs-criteria-approach-to-environmental-social-and-governance-factors-in-credit-ratings).

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

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

The principal methodology is North American CMBS Surveillance Methodology (December 13, 2024; https://dbrs.morningstar.com/research/444617/north-american-cmbs-surveillance-methodology).

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

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 info-DBRS@morningstar.com.

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.

Morningstar DBRS 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
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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://dbrs.morningstar.com/about/methodologies.

-- North American CMBS Multi-Borrower Rating Methodology / North American CMBS Insight Model v 1.2.0.0 (December 13, 2024;
https://dbrs.morningstar.com/research/444616/north-american-cmbs-multi-borrower-rating-methodology)
-- Morningstar DBRS North American Commercial Real Estate Property Analysis Criteria (September 19, 2024;
https://dbrs.morningstar.com/research/439702/morningstar-dbrs-north-american-commercial-real-estate-property-analysis-criteria)
-- Legal Criteria for U.S. Structured Finance (December 03, 2024;
https://dbrs.morningstar.com/research/444064/legal-criteria-for-us-structured-finance)
-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024;
https://dbrs.morningstar.com/research/428623/interest-rate-stresses-for-us-structured-finance-transactions)
-- North American Commercial Mortgage Servicer Rankings (August 23, 2024;
https://dbrs.morningstar.com/research/438283/north-american-commercial-mortgage-servicer-rankings)

A description of how Morningstar DBRS analyzes structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/410863.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.