Kroll Bond Rating Agency Assigns Preliminary Ratings to CGCMT 2014-GC23

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of the CGCMT 2014-GC23 transaction (see ratings list below). CGCMT 2014-GC23 is a $1.2 billion CMBS conduit transaction collateralized by 80 fixed rate commercial mortgage loans that are secured by 99 properties.

The underlying collateral properties are located in 31 states and the District of Columbia, with three state exposures each representing more than 10.0% of the pool balance: New York (22.3%), California (14.4%) and Texas (11.4%). The pool has exposure to all the major property types, with five such exposures that each represent more than 10.0% of the pool balance: retail (32.8%), multifamily (20.0%), lodging (17.1%), mixed-use (12.6%) and office (11.3%). The loans have principal balances ranging from $2.0 million to $140.0 million for the largest loan in the pool, 28-40 West 23rd Street (11.4%), a 571,205 sf mixed-use building located in New York City. The top five loans, which also include Selig Office Portfolio (7.9%), Hyatt NYC Portfolio (7.3%), Chula Vista Center (5.7%), and Palm Islands Apartments (5.2%), represent 37.4% of the initial pool balance, while the 10 largest loans represent 54.1%. The majority of the pool balance (35 loans, 68.1%) consists of loans with interest-only periods, of which 32 (43.7%) are partial-term IO and three (24.4%) are full-term IO. The balance of the pool is comprised of amortizing balloon loans (48 loans, 31.9%) that require principal payments throughout their respective terms.

KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of the 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, KNCF was 4.9% 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, 35.4% less than third party appraisal values. The pool has an in-trust KLTV of 94.0% and an all-in KLTV of 98.2%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan, which are then used to assign our credit ratings.

For complete details on the analysis, please see our presale report, CGCMT 2014-GC23 published today at www.kbra.com. The preliminary ratings are based on information known to KBRA at the time of this publication. Information received subsequent to this release could result in the assignment of final ratings that differ from the preliminary ratings.

Preliminary Ratings Assigned: CGCMT 2014-GC23

Class Class Balance Expected Rating
A-1 $49,642,000 AAA(sf)
A-2 $85,798,000 AAA(sf)
A-3 $300,000,000 AAA(sf)
A-4 $345,240,000 AAA(sf)
A-AB $81,766,000 AAA(sf)
X-A $957,932,000* AAA(sf)
X-B $80,084,000* AAA(sf)
X-C $24,641,000* BB(sf)
X-D $55,443,996* NR
A-S $95,486,000 AAA(sf)
B $80,084,000 AA(sf)
PEZ $224,853,000** A-(sf)
C $49,283,000 A-(sf)
D $64,683,000 BBB-(sf)
E $24,641,000 BB(sf)
F $9,241,000 BB-(sf)
G $46,202,996 NR

* Notional Amount

** Represents the maximum amount of Class PEZ certificates that could be issued.

17g-7 Disclosure

All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report entitled CMBS: CGCMT 2014-GC23 17g-7 Disclosure Report.

Related publications (available at www.kbra.com):

CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012

CMBS Property Evaluation Guidelines, published June 10, 2011

About Kroll Bond Rating Agency

KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).

Contacts

Analytical:
Kroll Bond Rating Agency
Ed Barrett, 215-882-5845
ebarrett@kbra.com
or
Mike Brown, 646-731-2307
mbbrown@kbra.com
or
Anna Hertzman, 646-731-2367
ahertzman@kbra.com
or
Josh Fischler, 646-731-2351
jfischler@kbra.com

Sharing

Contacts

Analytical:
Kroll Bond Rating Agency
Ed Barrett, 215-882-5845
ebarrett@kbra.com
or
Mike Brown, 646-731-2307
mbbrown@kbra.com
or
Anna Hertzman, 646-731-2367
ahertzman@kbra.com
or
Josh Fischler, 646-731-2351
jfischler@kbra.com