KBRA Assigns Ratings to BANK 2024-BNK47
26 Jun 2024 | New York
KBRA is pleased to announce the assignment of ratings to 15 classes of BANK 2024-BNK47, a $1.1 billion CMBS conduit transaction collateralized by 52 commercial mortgage loans secured by 81 properties.
The collateral properties are located throughout 32 MSAs, of which the three largest are New York (12.0%), Jacksonville (9.2%), and Dallas-Fort Worth (8.3%). The pool has exposure to all major property types, with three types representing more than 10.0% of the pool balance: retail (40.1%), office (16.9%), and industrial (12.1%). The loans have principal balances ranging from $1.0 million to $100.0 million for the largest loan in the pool, St. Johns Town Center (9.2%), which is secured by a 1.0 million sf portion of a 1.4 million sf super regional mall located in Jacksonville, Florida, approximately 13 miles southeast of the city’s CBD. The five largest loans, which also include Dallas Market Center (8.3%), Woodfield Mall (7.3%), Westwood Gateway II (6.9%), and Danbury Fair Mall (6.4%), represent 38.3% of the initial pool balance, while the top 10 loans represent 62.4%.
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 1 . On an aggregate basis, KNCF was 14.2% 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, 40.5% less than third party appraisal values. The pool has an in-trust KLTV of 80.0% and an all-in KLTV of 81.0%. 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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Methodologies
- On June 24, 2024, the U.S. CMBS Multi-Borrower Rating Methodology and the U.S. CMBS Property Evaluation Methodology was renamed to North American CMBS Multi-Borrower Rating Methodology and North American CMBS Property Evaluation Methodology, respectively.