KBRA announces the assignment of preliminary ratings to five classes of SDR 2024-DSNY, a CMBS single-borrower securitization.

The collateral for the transaction is a $735.0 million non-recourse, first lien mortgage loan comprised of two loans that are expected to be co-originated by Wells Fargo Bank, National Association, Bank of America, N.A. and Goldman Sachs Bank USA. The floating rate loans are expected to have a two-year initial term with three 12-month extension options and require monthly interest-only payments. The mortgage loans will be secured by the borrowers’ leasehold interests in three adjacent full-service hotels, the Walt Disney World Dolphin, Walt Disney World Swan and Walt Disney World Swan Reserve, located in the Epcot Resort area of Walt Disney World in Lake Buena Vista, Florida. The portfolio features 294,000 sf of indoor meeting space, 18 food & beverage outlets, multiple outdoor pools, a full-service spa, three fitness centers, two business centers, retail outlets, basketball and sand volleyball courts, an on-site Disney Planning Center, a private beach and complimentary theme park shuttle service as well as water transport to Epcot and Hollywood Studios. Including the construction cost of the Swan Reserve of $196.9 million, the sponsors have invested approximately $455.8 million on capital improvements over the last 10 years. For the TTM 2/2024 period, the portfolio achieved an occupancy of 83.4% with an ADR of $270.28, resulting in a revenue per available room (RevPAR) of $225.27. As of TTM 1/2024, the portfolio achieved occupancy, ADR, and RevPAR penetration rates of 115.9%, 121.5% and 140.1%, respectively.

KBRA’s analysis of the transaction included a detailed evaluation of the property’s cash flows using our U.S. CMBS Property Evaluation Methodology, and the application of our U.S. CMBS Single Borrower & Large Loan Rating Methodology. In addition, KBRA also relied on its Global Structured Finance Counterparty Methodology for assessing counterparty risk in this transaction, its Methodology for Rating Interest-Only Certificates in CMBS Transactions, and its ESG Global Rating Methodology, to the extent deemed applicable.

The results of our analysis yielded a KBRA net cash flow (KNCF) for the portfolio of approximately $106.5 million, which is 7.1% below the issuer’s NCF, and a KBRA value of approximately $1.17 billion, which is 24.9% below the aggregate of the appraiser’s as-is values. The resulting in-trust KBRA Loan to Value (KLTV) is 62.8%. In our analysis of the transaction, we also reviewed and considered third party engineering, environmental, and appraisal reports, the results of our site inspection of the property, and legal documentation review.

To access rating and relevant documents, click here.

Click here to view the report.

Methodologies

• CMBS: U.S. CMBS Property Evaluation Methodology
• CMBS: U.S. CMBS Single Borrower & Large Loan Rating Methodology
• CMBS: Methodology for Rating Interest-Only Certificates in CMBS Transactions
• Structured Finance: Global Structured Finance Counterparty Methodology
• ESG Global Rating Methodology

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

Doc ID: 1003976

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