KBRA Assigns Ratings to WFCM 2024-5C2
27 Nov 2024 | New York
KBRA is pleased to announce the assignment of ratings to 14 classes of WFCM 2024-5C2, a $720.0 million CMBS conduit transaction collateralized by 27 commercial mortgage loans secured by 144 properties.
The collateral properties are located throughout 39 MSAs, of which the three largest are New York (27.7%), Sacramento (8.5%), and Detroit (6.4%). The pool has exposure to all major property types, with five types representing more than 10.0% of the pool balance: retail (20.3%), lodging (17.1%), mixed-use (16.5%), office (15.9%), self-storage (11.6%), and industrial (10.4%). The loans have principal balances ranging from $4.7 million to $67.0 million for the largest loan in the pool, Bay Plaza Community Center (9.6%), a 568,813 sf, mixed-use retail and office center located in the Baychester neighborhood of New York City’s borough of Bronx, approximately 15 miles northeast of Midtown Manhattan. The five largest loans, which also include Mini Mall Self Storage (9.6%), Sacramento Gateway (8.5%), Interstate Industrial Portfolio (8.1%), and Northeastern Hotel Portfolio (7.6%), represent 43.3% of the initial pool balance, while the top 10 loans represent 67.3%.
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 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, 35.8% less than third party appraisal values. The pool has an in-trust KLTV of 88.7% and an all-in KLTV of 96.4%. 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.
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