Kroll Bond Rating Agency Assigns Preliminary Ratings to GSMS 2015-GC28

NEW YORK--()--Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of the GSMS 2015-GC28 transaction (see ratings list below). GSMS 2015-GC28 is a $913.5 million CMBS conduit transaction collateralized by 74 fixed rate commercial mortgage loans that are secured by 112 properties.

The underlying collateral properties are located in 24 different states, with three states representing more than 10.0% of the pool balance: California (19.3%), Texas (12.3%) and Utah (11.9%). There is exposure to all of the major property type segments, with three that each account for over 10.0% of the pool: office (35.9%), retail (28.3%) and multifamily (17.7%). The loans have principal balances ranging from $2.2 million to $108.8 million for the largest loan in the pool, Airport Technology Park (11.9%), a 1.0 million sf, Class-B office/R&D complex located in Salt Lake City, Utah. The top five loans, which also include Discovery Corporate Center (5.5%), Campus Marketplace (4.5%), The Avenue at Lubbock (4.3%), and Lincoln City Outlet Center (3.0%), represent 29.2% of the initial pool balance, while the top 10 loans represent 41.2%.

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 6.1% 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, 34.1% less than third party appraisal values. The pool has an in-trust KLTV of 102.9% and an all-in KLTV of 104.6%. 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 2015-GC28 published today at www.kbra.com. The report includes our new KBRA Comparative Analytic Tool (KCAT). KCAT is an easy to use, Excel based workbook that provides the following information:

  • KBRA Deal Tape – contains KBRA loan level details for every loan in the pool, and the ability for users to input adjustments to KNCF and KBRA Cap Rates and see the related impact on key deal metrics.
  • KBRA Credit Metrics Comparison Tool – Enables the user to compare the subject transaction to a user-defined transaction comp set. The feature provides many of the fields that are provided in our CMBS Monthly Trend Watch publication.
  • Excel based property cash flow statements for the top 20 loans.

Preliminary Ratings Assigned: GSMS 2015-GC28

Class

     

Class Balance (US$)

     

Expected Rating

A-1       $35,865,000       AAA(sf)
A-2       $136,986,000       AAA(sf)
A-3       $8,225,000       AAA(sf)
A-4       $180,000,000       AAA(sf)
A-5       $224,609,000       AAA(sf)
A-AB       $53,795,000       AAA(sf)
X-A       $696,577,000 *       AAA(sf)
X-B       $43,393,000 *       AAA(sf)
X-C       $21,697,000 *       BB-(sf)
X-D       $15,987,000 *       B-(sf)
X-E       $27,406,796 *       NR
A-S       $57,097,000       AAA(sf)
B       $43,393,000       AA(sf)
PEZ       $165,580,000 **       A-(sf)
C       $65,090,000       A-(sf)
D       $43,393,000       BBB-(sf)
E       $21,697,000       BB-(sf)
F       $15,987,000       B-(sf)
G       $27,406,796       NR

* Notional balance

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

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 2015-GC28 17g-7 Disclosure Report.

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

CMBS: GSMS 2015-GC28 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:
Kroll Bond Rating Agency
Ravish Kamath, 646-731-2328
rkamath@kbra.com
or
Yee Cent Wong, 646-731-2374
ywong@kbra.com
or
Anna Hertzman, 646-731-2367
ahertzman@kbra.com
or
Christina Moy, 646-731-2327
cmoy@kbra.com

Contacts

Analytical:
Kroll Bond Rating Agency
Ravish Kamath, 646-731-2328
rkamath@kbra.com
or
Yee Cent Wong, 646-731-2374
ywong@kbra.com
or
Anna Hertzman, 646-731-2367
ahertzman@kbra.com
or
Christina Moy, 646-731-2327
cmoy@kbra.com