KBRA Assigns Preliminary Ratings to BBCMS 2024-C24
24 Jan 2024 | New York
KBRA is pleased to announce the assignment of preliminary ratings to 15 classes of BBCMS 2024-C24, a $693.7 million CMBS conduit transaction collateralized by 34 commercial mortgage loans secured by 90 properties.
The collateral properties are located throughout 30 MSAs, of which the three largest are Chicago (15.0%), Houston (11.3%), and Milwaukee (8.8%). The pool has exposure to most major property types, with three types representing more than 10.0% of the pool balance: retail (43.0%), multifamily (28.0%), and office (14.3%). The loans have principal balances ranging from $3.3 million to $67.5 million for the largest loan in the pool, Woodfield Mall (9.7%), which is secured by the fee simple interest in a 2.2 million sf, super-regional mall located in Schaumburg, Illinois, approximately 27 miles northwest of the Chicago CBD. The five largest loans, which also include Rhino Portfolio 3 (9.4%), Arundel Mills and Marketplace (8.6%), RTL Retail Portfolio (8.0%), and AutoNation (6.1%), represent 41.8% of the initial pool balance, while the top 10 loans represent 60.1%.
KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of the underlying collateral properties' financial and operating performance, which determine KBRA’s estimate of sustainable net cash flow (KNCF) and KBRA value using our U.S. CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 10.4% less than the issuer cash flow. KBRA capitalization rates were applied to each asset’s KNCF to derive values that were, on an aggregate basis, 40.0% less than third party appraisal values. The pool has an in-trust KLTV of 86.1% and an all-in KLTV of 87.0%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan that are then used to assign our credit ratings.
To access rating and relevant documents, click here.
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