KBRA Assigns Preliminary Ratings to BANK 2024-BNK48

KBRA is pleased to announce the assignment of preliminary ratings to 36 classes of BANK 2024-BNK48, a $1.1 billion CMBS conduit transaction collateralized by 40 commercial mortgage loans secured by 79 properties.

The collateral properties are located throughout 29 MSAs, of which the three largest are New York (20.0%), Washington - NoVA - MD (9.5%), and San Francisco (7.8%). The pool has exposure to all major property types, with four types representing more than 10.0% of the pool balance: lodging (28.2%), retail (20.8%), office (17.6%), and mixed-use (14.9%). The loans have principal balances ranging from $1.1 million to $100.0 million for the largest loan in the pool, Soho Grand & The Roxy Hotel (9.2%), which is secured by two boutique, luxury, full-service hotels located in lower Manhattan that range in size from 201 to 347 keys and total 548 keys. The five largest loans, which also include Biltmore Park Town Square (8.3%), VISA Global HQ (7.8%), Poindexter Industrial Portfolio (7.8%), and Grapevine Mills (7.4%), represent 40.4% of the initial pool balance, while the top 10 loans represent 64.0%.

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 North American CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 12.6% 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, 36.6% less than third party appraisal values. The pool has an in-trust KLTV of 80.8% and an all-in KLTV of 83.5%. 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.

Click here to view the report.

Methodologies