KBRA Assigns Preliminary Ratings to Greystone 2021-HC2

Kroll Bond Rating Agency (KBRA) announces the assignment of preliminary ratings to eight classes of Greystone 2021-HC2, a managed CRE CLO securitization with the ability to reinvest principal proceeds for 36 months including a 180-day ramp-up period.

The transaction will initially be collateralized by 27 whole loans (or participations therein) with an in-trust balance of $403.5 million and $46.5 million of cash collateral. The cash collateral can be used to acquire previously unidentified whole loans or senior participation interests, and funded companion participations relating to existing assets during the ramp-up period, subject to satisfaction of the eligibility criteria. During the first 36 months of the transaction’s life (the reinvestment period), principal proceeds received with respect to the mortgage assets can be reinvested in new assets or to acquire funded companion participations, provided the reinvestment criteria are satisfied and the assets meet certain specified eligibility criteria. These criteria include, among other things, maximum stabilized LTV and minimum stabilized DSC requirements; pool level concentration limits for property type and geography; certain requirements related to participation interests; caps on the amount of related future funding obligations on an asset level and pool level basis; and the requirement that the rating condition, or rating agency confirmation (RAC), is satisfied with respect to KBRA. The transaction provides the sponsor with the ability to effectuate modifications to performing loans subject to certain restrictions and criteria, and dispose of loans at par under certain circumstances.

This transaction also includes an interest coverage (IC) test and a par value (also known as an overcollateralization, or OC) test (the note protection tests). If either test is not satisfied on any determination date, on the following payment date, interest proceeds remaining after interest is paid to the Class E notes will be used to pay down the principal balances of the Class A through E notes in sequential order until the tests are satisfied, or the Class A through E notes are paid in full.

Click here to view the report. To access ratings and relevant documents, click here.

Related Publications

• U.S. CMBS Multi-Borrower Rating Methodology
• U.S. CMBS Property Evaluation Methodology
• Global Structured Finance Counterparty Methodology
• ESG Global Rating Methodology

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

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