Morningstar DBRS Confirms Credit Ratings on All Classes of GWT Commercial Mortgage Trust 2024-WLF2, Stable Trends

DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2024-WLF2 issued by Great Wolf Trust 2024-WLF2 as follows:

-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (low) (sf)
-- Class HRR at BB (high) (sf)

All trends are Stable.

The credit rating confirmations reflect the stable performance of the transaction, which remains in line with issuance expectations from May 2024.

The transaction is collateralized by the borrower's fee-simple interests in nine Great Wolf Lodge resorts totaling 4,083 keys; 575,166 square feet (sf) of indoor water park space; 120,242 sf of outdoor waterpark space; 59 food and beverage outlets; and 79,680 sf of meeting space across nine U.S. states. The properties are generally within a four-hour drive of major metropolitan areas, which provides the demand base for these leisure-oriented assets. The properties are highly amenitized and provide guests with a virtually all-inclusive vacation experience. The sponsor, a joint venture between Blackstone Real Estate Partners IX L.P. (Blackstone IX) and Centerbridge Partners, L.P. Blackstone IX, an affiliate of Blackstone Inc., has invested approximately $126.6 million, or $37,418 per key, in capital improvements to the portfolio since 2019, excluding a $160.0 million expansion and renovation of the Poconos, Philadelphia, property.

The transaction proceeds of $1.3 billion, along with a mezzanine loan of $250.0 million, repaid approximately $1.3 billion of existing commercial mortgage-backed securities (CMBS) debt across the portfolio and $239.0 million of construction debt for the Perryville, Maryland, asset; returned $7.0 million of cash equity to the borrower; and funded closing costs. As a result of the financing, the sponsor maintained approximately $880.4 million of implied equity.

The loan pays interest only (IO) and is structured with an initial two-year term and three one-year extension options. The loan has a partial pro rata/sequential-pay structure that allows for pro rata paydowns of the first 30.0% of the original principal balance. Additionally, the transaction allows for the release of properties from the portfolio subject to a release price of 105% of the allocated loan amount (ALA) for the initial 30% of the total balance and a release price of 110% of the ALA for the remaining 70% of the total balance.

According to the YE2024 financial reporting, the portfolio generated $183.4 million of net cash flow (NCF), resulting in a debt service coverage ratio (DSCR) of 1.61 times (x) compared with the Morningstar DBRS NCF of $185.98 million and DSCR of 1.50x. Per the December 2024 STR, Inc. report, the portfolio's reported weighted-average (WA) occupancy rate, average daily rate, and revenue per available room (RevPAR) metrics were 79.6%, $251.80, and $200.80, respectively. At issuance, Morningstar DBRS concluded to a stabilized RevPAR figure of $218.84. Although the collateral's current performance is slightly below Morningstar DBRS' expectations at issuance, Morningstar DBRS anticipates that performance will stabilize over the five-year (fully extended) loan term, given the high quality of the property and the borrower's level of commitment.

For the purposes of this credit rating action, Morningstar DBRS maintained the valuation approach from issuance, which was based on a WA capitalization rate of 9.74% applied to the Morningstar DBRS NCF of $185.98 million. Morningstar DBRS maintained a qualitative adjustment of 5% to the loan-to-value ratio (LTV) sizing benchmarks to reflect the potential for increased cash flow from recent renovations, modernized properties, and their locations within strong markets. The Morningstar DBRS concluded value of $1.9 billion represents a variance of -17.9% from the issuance appraised value of $2.3 billion and implies a whole-loan LTV of 81.2%.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (August 13, 2024) at https://dbrs.morningstar.com/research/437781.

All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is North American CMBS Surveillance Methodology (February 28, 2025) https://dbrs.morningstar.com/research/448963.

Other methodologies referenced in this transaction are listed at the end of this press release.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at info-DBRS@morningstar.com.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- North American Single-Asset/Single-Borrower Ratings Methodology (February 28, 2025),
https://dbrs.morningstar.com/research/448962
-- Morningstar DBRS North American Commercial Real Estate Property Analysis Criteria (September 19, 2024)
https://dbrs.morningstar.com/research/439702
-- Legal Criteria for U.S. Structured Finance (December 3, 2024)
https://dbrs.morningstar.com/research/444064
-- Interest Rate Stresses for U.S. Structured Finance Transactions (March 27, 2025)
https://dbrs.morningstar.com/research/450750
-- North American Commercial Mortgage Servicer Rankings (August 23, 2024)
https://dbrs.morningstar.com/research/438283

A description of how Morningstar DBRS analyzes structured finance transactions and how the methodologies are collectively applied can be found at (July 17, 2023): https://dbrs.morningstar.com/research/417279.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.