KBRA Assigns Ratings to WFCM 2024-C63
29 Aug 2024 | New York
KBRA is pleased to announce the assignment of ratings to 16 classes of WFCM 2024-C63, a $714.0 million CMBS conduit transaction collateralized by 30 commercial mortgage loans secured by 50 properties.
The collateral properties are located throughout 14 MSAs, of which the three largest are New York (26.3%), Dallas – Fort Worth (12.4%), and Inland Empire (9.1%). The pool has exposure to all major property types, with four types representing more than 10.0% of the pool balance: retail (26.9%), lodging (23.2%), multifamily (16.8%), and office (16.5%). The loans have principal balances ranging from $1.0 million to $65.0 million for the largest loan in the pool, Bridge Point Rancho Cucamonga (9.1%), which is comprised of two adjacent Class-A, LEED Gold certified warehouse and distribution facilities that together contain 2.2 million sf, located in Ranch Cucamonga, California, approximately 45 miles east of Los Angeles. The five largest loans, which also include Grapevine Mills (8.4%), Marriott Myrtle Beach Grande Dunes Resort (8.4%), 610 Newport Center (7.7%), and Holiday Inn & Suites Ocean City (7.4%), represent 41.0% of the initial pool balance, while the top 10 loans represent 68.8%.
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 12.2% 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, 36.3% less than third party appraisal values. The pool has an in-trust KLTV of 74.3% and an all-in KLTV of 77.7%. 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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