KBRA Assigns Preliminary Ratings to BMO 2024-C9
21 Jun 2024 | New York
KBRA is pleased to announce the assignment of preliminary ratings to 16 classes of BMO 2024-C9, a $943.3 million CMBS conduit transaction collateralized by 44 commercial mortgage loans secured by 73 properties.
The collateral properties are located throughout 28 MSAs, of which the three largest are Dallas – Fort Worth (21.3%), New York (11.4%), and Jacksonville (8.6%). The pool has exposure to all major property types, with four types representing more than 10.0% of the pool balance: retail (41.0%), office (16.8%), multifamily (11.2%), and mixed-use (10.6%). The loans have principal balances ranging from $2.7 million to $94.0 million for the largest loan in the pool, Grapevine Mills (10.0%), which is secured by a 1.6 million sf portion of Grapevine Mills, a 1.8 million sf, discount-oriented super regional mall located in Grapevine, Texas, approximately 23 miles northwest of Dallas. The five largest loans, which also include St. Johns Town Center (8.6%), 680 Madison Avenue (8.5%), Dallas Market Center (8.0%), and 20 & 40 Pacifica (7.3%), represent 42.3% of the initial pool balance, while the top 10 loans represent 62.0%.
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 U.S. CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 13.9% 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, 38.2% less than third party appraisal values. The pool has an in-trust KLTV of 86.4% and an all-in KLTV of 86.6%. 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.
Click here to view the report.