DBRS Morningstar Assigns Provisional Ratings to PFP 2021-8, Ltd.

ENPNewswire-September 15, 2021--DBRS Morningstar Assigns Provisional Ratings to PFP 2021-8, Ltd

(C)2021 ENPublishing - http://www.enpublishing.co.uk

Release date- 14092021 - DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the following classes of notes to be issued by PFP 2021-8, Ltd. (the Issuer).

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.

Coronavirus Overview

With regard to the Coronavirus Disease (COVID-19) pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remains highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, feeling more immediate effects. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis. For example, DBRS Morningstar may front-load default expectations and/or assess the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations.

The initial collateral consists of 46 short-term, floating-rate mortgage assets with an aggregate cutoff date balance of $1.1 billion secured by 55 properties. The aggregate unfunded future funding commitment of the future funding participations as of the cutoff date is approximately $125.9 million. The holder of the related future funding companion participations, an affiliate of Prime Group, has full responsibility to fund the future funding companion participations. The collateral pool for the transaction is static with no ramp-up period or reinvestment period; however, the Issuer has the right to use principal proceeds to acquire related fully funded future funding participations, subject to stated criteria, during the replenishment period, which ends on or about the payment date in September 2024, and among other criteria, includes a no-downgrade rating agency confirmation (RAC) by DBRS Morningstar for the acquisition of related companion participations exceeding $1.0 million. As of September 14, 2021, five loans (#16, 330 S Wells; #31, Addison Springs; #32, Gateway Marketplace; #40, Rockhill Industrial Portfolio; and #44, Billings Retail), representing 6.6% of the initial pool balance, have not closed. Interest can be deferred for Class C, Class D, Class E, Class F, and Class G Notes, and interest deferral will not result in an event of default. The transaction will have a sequential-pay structure.

Of the 55 properties, 36 are multifamily assets (57.8% of the mortgage asset cutoff date balance) and 11 are office assets (18.6% of the mortgage asset cutoff date balance). No other property type exceeds 10.2% of the mortgage asset cutoff date balance. The loans are mostly secured by cash flowing assets, most of which are in a period of transition with plans to stabilize and improve the asset value. Sixteen loans are whole loans and the other 30 are participations with companion participations that have remaining future funding commitments totaling...

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