Kroll Bond Rating Agency Assigns Preliminary Ratings to GSMS 2014-GC26

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of the GSMS 2014-GC26 (see ratings list below). GSMS 2014-GC26 is a $1.25 billion CMBS conduit transaction collateralized by 92 fixed rate commercial mortgage loans that are secured by 133 properties.

The underlying collateral properties are located in 29 different states, with two state exposures each representing more than 10.0% of the pool balance: Texas (18.2%) and California (10.3%). The pool has exposure to all the major property types, with three exposures that each represent more than 10.0% of the pool balance: retail (40.8%), office (27.5%) and multifamily (15.1%). The loans have principal balances ranging from $1.7 million to $88.5 million for the largest loan in the pool, Queen Ka'ahumanu Center (7.1%), a 570,904 sf regional mall located in Kahului, Hawaii, on the island of Maui. The top five loans, which also include 1201 North Market Street (6.8%), 5599 San Felipe (6.4%), Twin Cities Premium Outlets (5.2%) and Fenley Office Portfolio (3.7%), represent 29.1% of the initial pool balance, while the top 10 loans represent 40.2%.

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, KNCF was 3.7% 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, 33.8% less than third party appraisal values. The pool has an in-trust KLTV of 102.7% and an all-in KLTV of 104.0%. 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, GSMS 2014-GC26 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: GSMS 2014-GC26

Class   Class Balance   Expected Rating
A-1   $46,189,000   AAA(sf)
A-2   $71,003,000   AAA(sf)
A-3   $40,000,000   AAA(sf)
A-4   $280,000,000   AAA(sf)
A-5   $349,842,000   AAA(sf)
A-AB   $91,592,000   AAA(sf)
X-A   $971,195,000*   AAA(sf)
X-B   $56,483,000*   AAA(sf)
X-C   $29,811,000*   BB(sf)
X-D   $61,190,419*   NR
A-S   $92,569,000   AAA(sf)
B   $56,483,000   AA(sf)
PEZ   $189,846,000   A(sf)
C   $40,794,000   A(sf)
D   $95,707,000   BBB-(sf)
E   $29,811,000   BB(sf)
F   $15,690,000   B(sf)
G   $12,551,000   B-(sf)
H   $32,949,419   NR

* Notional balance

 

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: GSMS 2014-GC26 17G-7 Disclosure Report.

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

CMBS: GSMS 2014-GC26 Presale Report 
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012CMBS 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 Contacts:
Kroll Bond Rating Agency
Ed Barrett, 215-882-5845
ebarrett@kbra.com
or
Joe Kelly, 646-731-2365
jkelly@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Josh Fischler, 646-731-2351
jfischler@kbra.com

Contacts

Analytical Contacts:
Kroll Bond Rating Agency
Ed Barrett, 215-882-5845
ebarrett@kbra.com
or
Joe Kelly, 646-731-2365
jkelly@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Josh Fischler, 646-731-2351
jfischler@kbra.com