KBRA Assigns Preliminary Ratings to BMO 2024-C8
11 Mar 2024 | New York
KBRA is pleased to announce the assignment of preliminary ratings to 18 classes of BMO 2024-C8, a $683.4 million CMBS conduit transaction collateralized by 52 commercial mortgage loans secured by 65 properties. The collateral properties are located throughout 19 MSAs, of which the three largest are New York (17.2%), Atlanta (13.1%), and Chicago (11.4%). The pool has exposure to all major property types, with three types representing more than 10.0% of the pool balance: retail (48.5%), multifamily (17.0%) and industrial (15.8%). The loans have principal cut-off balances ranging from $860,970 to $68.0 million for the largest loan in the pool, Danbury Fair Mall (9.9%), which is secured by a 923,598 sf portion of a 1.3 million sf, super-regional mall located in Danbury, Connecticut. The five largest loans, which also include 60 Hudson (2nd largest, 9.5%), Fayette Pavilion (3rd largest, 9.5%), Tekni-Plex Industrial Portfolio (4th largest, 8.5%), and Axis Apartments (5th largest, 8.5%), represent 46.0%, while the top 10 loans represent 68.7%.
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 12.9% 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, 39.2% less than third party appraisal values. The pool has an in-trust KLTV of 79.1% and an all-in KLTV of 80.2%. 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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Methodologies
- CMBS: U.S. CMBS Multi-Borrower Rating Methodology
- CMBS: U.S. CMBS Property Evaluation Methodology
- CMBS: Methodology for Rating Interest-Only Certificates in CMBS Transactions
- Structured Finance: Global Structured Finance Counterparty Methodology
- CMBS: U.S. CMBS Single Borrower & Large Loan Rating Methodology
- ESG Global Rating Methodology