Press Release|CMBS
View PDF

KBRA Affirms All Ratings for M360 2021-CRE3

19 Sep 2025   |   New York

Contacts

KBRA affirms all of its outstanding ratings for M360 2021-CRE3, a CRE CLO transaction. The affirmations follow a surveillance review of the transaction, which reflects a decline in credit metrics since the last ratings change in September 2024. The transaction’s specially serviced loans and K-LOCs with estimated losses have increased since last ratings change, and the transaction continues to fail the note protection test, resulting in accumulating interest deferrals. However, the collateral notes have paid down by 47.1% since securitization and 27.4% since last ratings change.

At the time of this review, the total collateral balance is $219.0 million, which is comprised of 17 first mortgage loans secured by 17 properties. During the reinvestment period, the issuer could acquire previously unidentified whole loans and senior participations that satisfied the eligibility criteria. The reinvestment period ended in October 2023, as expected. As of the August 2025 remittance period, there are eight specially serviced assets (57.8% of the current pool balance), which include seven non-performing matured balloon loans (52.3%) and one matured performing loan (5.4%). In addition, two loans (15.0%) are matured performing but have not transferred to the special servicer. KBRA identified 10 K-LOCs (72.8%), including the specially serviced assets. Of the K-LOCs, eight (57.8%) have estimated losses. The K-LOCs are depicted in the table below:

Loss Given Default (000s) Loss Severity 1 Fishermen's Village MU 41,184 18.8% Y NPMB N Specially Serviced $13,184 32.0% 3 One & Two Conway Park OF 25,856 11.8% Y NPMB N Specially Serviced $17,156 66.4% 2 River Road I & II OF 25,368 11.6% N MP, WL N Maturity - - 4 Gatehall IV OF 17,076 7.8% Y NPMB N Specially Serviced $11,376 66.6% 14 Highland Place II OF 11,879 5.4% Y NPMB N Specially Serviced $4,980 41.9% 26 Embassy Apartments MF 8,783 4.0% Y MP N Specially Serviced $1,495 17.0% 18 The Fives at Erieview OF 8,034 3.7% Y NPMB Y Specially Serviced $3,345 41.6% 56 Hollister Oak Apartments MF 7,992 3.6% Y NPMB N Specially Serviced $792 9.9% 25 ICON Center Retail RT 7,491 3.4% N MP, WL Y Maturity - - 31 Targeting Centre OF 5,670 2.6% Y NPMB Y Specially Serviced $3,990 70.4% Total K-LOCs $159,333 72.8% $56,318 1. Loss Given Default assumes a 100% probability of default (PD). KBRA may determine a lower PD when estimating losses to a transaction. KBRA Estimated 1 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 173.8%, compared to 153.8% at the last ratings change in September 2024 and 131.0% at securitization. The KDSC at Index Cap is 0.88x, compared to 1.07x at the last ratings change and 1.01x at securitization. The overcollateralization test was not satisfied from the November 2023 to March 2025 distribution dates. As of the August 2025 distribution period, the test has been satisfied. The interest coverage test was not satisfied during the April and August 2025 distribution periods.

At securitization, 38 loans (90.3% of the issuance pool) had related companion participations representing unfunded future advance obligations, with an aggregate unfunded amount of $100.0 million. In total, there are currently 16 loans (96.2% of the current pool), with unfunded future advance obligations with an aggregate of $36.0 million unfunded. However, of the remaining loans with unfunded future advance obligations, nine (61.2%) are in default and the obligations will not be paid going forward, which total $33.5 million of unfunded future advance obligations.

To access ratings and relevant documents, click here.

Click here to view the report.

Related Publication

Methodologies

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.

Doc ID: 1011322