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KBRA Affirms All Ratings for FS Rialto 2021-FL2

1 Aug 2025   |   New York

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KBRA affirms all of its outstanding ratings for FS Rialto 2021-FL2, a CRE CLO transaction with a 24-month reinvestment period. The reinvestment period ended in April 2023, as expected. The affirmations follow a surveillance review of the transaction, which has exhibited continued deleveraging since the end of the reinvestment period. However, the transaction has exhibited a worsening in collateral performance since last review, including the addition of specially serviced assets and K-LOCs.

At the time of this review, the total collateral balance is $564.3 million, which is comprised of 20 first mortgage loans secured by 35 properties. As of the July 2025 remittance period, there are two specially serviced assets (13.3% of the current pool balance), which include one REO asset (6.1%) and one non-performing matured balloon loan (7.2%). KBRA identified seven K-LOCs (38.0%), which include the specially serviced loans. One of the K-LOCs (11.1%) has an estimated loss. The K-LOCs are depicted in the table below:

Loss Given Default (000s) Loss Severity 33 Park West Dallas OF $62,515 11.1% N C Y Occupancy $2,262 3.6% 34 Grace Chamblee MF $40,903 7.2% Y NPMB Y Specially Serviced - - 8 The 903 Apartments MF $34,397 6.1% Y REO N Specially Serviced - - 7 18220 Liberty IN $33,414 5.9% N C, WL Y Occupancy - - 27 University City Portfolio MF $17,892 3.2% N C, WL Y Occupancy - - 21 8378 Melrose Ave MU $13,000 2.3% N C, WL Y Occupancy - - 24 Cambridge Heights MF $12,061 2.1% N C, WL Y Occupancy - - Total K-LOCs $214,184 38.0% $2,262 1. K-LOC Date is the date when the most recent K-LOC was initially determined. 2. Loss Given Default assumes a 100% probability of default (PD). KBRA may determine a lower PD when estimating losses to a transaction. KBRA Estimated 2 K-LOCs Prosp. ID Loan Name Prop Type Current In- Trust Balance (000s) % of Deal Balance SS Loan Status Mod (Y/N) Primary K-LOC Reason
Source: KBRA

The transaction’s WA KLTV is 127.9%, compared to 126.5% at last review and 128.1% at securitization. The KDSC at Index Cap is 1.14x, compared to 1.15x at last review and 1.08x at securitization. The overcollateralization and interest coverage tests have each been satisfied during each distribution date since issuance.

At securitization, 19 loans (77.2% of the issuance loan pool) had related companion participations representing unfunded future advance obligations, with an aggregate unfunded amount of $88.9 million. In total, there are currently 11 loans (52.5% of the current balance) with unfunded future advance obligations with an aggregate of $56.6 million unfunded.

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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), one of the major credit rating agencies (CRA), is a full-service CRA 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. In addition, KBRA is designated as a Designated Rating Organization (DRO) by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized as a Qualified Rating Agency by Taiwan’s Financial Supervisory Commission and is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider (CRP) in the U.S.

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