KBRA Assigns Preliminary Ratings to Starz Mortgage Securities 2021-1 DAC

LONDON--(BUSINESS WIRE)--Kroll Bond Rating Agency UK Limited (KBRA) is pleased to announce the assignment of preliminary ratings to ten classes of Starz Mortgage Securities 2021-1 DAC, a static CRE CLO transaction. The transaction has no reinvestment ability but allows the issuer to modify performing loans and sell credit risk and defaulted assets. It is the inaugural post-credit-crisis, broadly distributed, European CRE CLO transaction.

The transaction is collateralised by nine commercial mortgage loans secured by 17 properties and will issue notes in sterling (GBP) and euro (EUR). Six of the loans (84.8% of the transaction balance) are GBP-denominated, with exposure across eight regions throughout the UK, and three of the loans (15.2%) are EUR-denominated, with exposure across Spain (5.8%), Ireland (4.8%), and the Netherlands (4.6%).

This transaction also includes separate par value tests and interest coverage tests (the note protection tests) for each currency pool. If the GBP pool’s note protection tests are not satisfied on any determination date, on the following payment date, interest proceeds that would otherwise be available for payment to the Class E, Class F, and Subordinated Notes will be used to pay down the principal balances of the Class A1 through D1 Notes in sequential order until the tests are satisfied. Likewise, if the EUR pool’s note protection tests are not satisfied, interest proceeds that would otherwise be available for payment to the Class E, Class F, and Subordinated Notes will be used to pay down the principal balances of the Class A2 through D2 Notes, in sequential order until the tests are satisfied. If available interest proceeds are insufficient to satisfy the tests or pay down the applicable classes of Notes, available principal proceeds will be used for such purpose.

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Related Publications

• European CMBS Rating Methodology
• European RMBS Rating 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.

This credit rating is endorsed by Kroll Bond Rating Agency Europe Limited for use in the European Union. Information on a credit rating’s endorsement status is available on its rating page at KBRA.com.

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 UK

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. Kroll Bond Rating Agency UK is located at Augustine House, Austin Friars, London, EC2N 2HA, United Kingdom.