NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigned its final ratings to 15 classes of the GSMS 2013-GCJ14 transaction (see ratings list below). GSMS 2013-GCJ14 is a $1.2 billion CMBS conduit transaction collateralized by 84 fixed rate commercial mortgage loans that are secured by 132 properties.
The loans have principal balances ranging from $1.6 million to $150.0 million for the largest loan in the pool, which is secured by 11 West 42nd Street (12.1%), a 943,701 sf Class-A office building located in Midtown Manhattan, New York. The top five loans, which also include ELS Portfolio (8.8%), W Chicago – City Center (7.5%), Cranberry Woods Office Park (4.5%) and Mendoza Multifamily Portfolio (4.0%), represent 36.9% of the initial pool balance, while the top 10 loans represent 49.0%. The underlying collateral properties are located in 31 different states. The three largest state exposures are New York (17.1%), Texas (14.1%) and Illinois (11.4%). The pool has exposure to five property types with concentrations in excess of 10.0%, which are office (23.8%), retail (20.6%), hospitality (18.8%), multifamily (15.8%) and manufactured housing (10.4%).
KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of underlying collateral properties' financial and operating performance, which determine KBRA’s estimate of sustainable net cash flow (KNCF) and KBRA value using our CMBS Property Evaluation Guidelines On an aggregate basis, the resulting KNCF for the collateral properties was 5.5% less than the issuer cash flow on a weighted average basis. KBRA capitalization rates were applied to each asset’s KNCF to derive individual property values that were, on an aggregate basis, 32.1% less than third party appraisal values. The weighted average capitalization rate for the transaction was 9.4%. The pool has an in-trust KLTV of 96.5% and an all-in KLTV of 98.6%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each loan, which are then used to assign our credit ratings.
Related publications (available at www.krollbondratings.com):
CMBS Presale Report: GSMS 2013-GCJ14
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012
CMBS Property Evaluation Guidelines, published June 10, 2011