KBRA Assigns Ratings to Benchmark 2024-V5
31 Jan 2024 | New York
KBRA is pleased to announce the assignment of ratings to 13 classes of Benchmark 2024-V5, an $884.8 million CMBS conduit transaction collateralized by 36 commercial mortgage loans secured by 102 properties.
The collateral properties are located throughout 28 MSAs, of which the three largest are New York (18.5%), Detroit (9.6%), and Washington – NoVA – MD (8.4%). The pool has exposure to most property types, with five types representing more than 10.0% of the pool balance: multifamily (29.2%), retail (26.7%), industrial (15.8%), lodging (12.3%), and self-storage (10.7%). The loans have principal balances ranging from $2.3 million to $75.0 million for the largest loan in the pool, Highland Multifamily Portfolio (8.5%), which is secured by one age-restricted and four garden-style multifamily complexes that contain a total of 1,390 units located throughout the northern side of Detroit, Michigan. The five largest loans, which also include Tysons Corner Center (8.4%), DoubleTree by Hilton Hotel Orlando at SeaWorld (6.8%), Acquisition America Portfolio (6.8%), and Blue Owl Tenneco Portfolio (Pool B) (6.8%), represent 37.2% of the initial pool balance, while the top 10 loans represent 62.2%.
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 9.9% 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, 36.5% less than third party appraisal values. The pool has an in-trust KLTV of 88.1% and an all-in KLTV of 88.6%. 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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