Kroll Bond Rating Agency Assigns Preliminary Ratings to CGCMT 2015-GC29

NEW YORK--()--Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of the CGCMT 2015-GC29 transaction (see ratings list below). CGCMT 2015-GC29 is a $1.1 billion CMBS conduit transaction collateralized by 86 fixed rate commercial mortgage loans that are secured by 108 properties.

The underlying collateral properties are located in 26 states, with three states representing more than 10.0% of the pool balance: New York (31.5%), Washington (11.2%) and Arizona (11.2%). The pool has exposure to all the major property types, with four that represent more than 10.0% of the pool balance: office (38.5%), retail (16.9%), mixed-use (16.2%) and multifamily (14.5%). The loans have principal balances ranging from $619,367 to $125.0 million for the largest loan in the pool, Selig Office Portfolio (11.2%), a nine property, 1.6 million sf office portfolio located in Seattle, Washington. The top five loans, which also include 160 Fifth Avenue (9.8%), 3 Columbus Circle (8.9%), Apollo Education Group Headquarters (8.2%), and Parkchester Commercial (5.8%), represent 43.9% of the initial pool balance, while the top 10 loans represent 57.2%.

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 4.0% 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, 37.4% less than third party appraisal values. The pool has an in-trust KLTV of 100.7% and an all-in KLTV of 108.8%. 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 2015-GC29 published today at www.krollbondratings.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: CGCMT 2015-GC29

             
Class     Class Balance (US$)     Expected Rating
A-1     $29,302,000     AAA(sf)
A-2     $146,427,000     AAA(sf)
A-3     $220,000,000     AAA(sf)
A-4     $334,415,000     AAA(sf)
A-AB     $52,822,000     AAA(sf)
X-A     $838,892,000*     AAA(sf)
X-B     $72,704,000*     AAA(sf)
X-D     $65,713,000*     BBB-(sf)
A-S     $55,926,000     AAA(sf)
B     $72,704,000     AA(sf)
PEZ     $180,362,000**     A-(sf)
C     $51,732,000     A-(sf)
D     $65,713,000     BBB-(sf)
E     $23,769,000     BB(sf)
F     $11,185,000     BB-(sf)
G     $15,380,000     NR
H     $39,148,505     NR

* Notional balance

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

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

CMBS: CGCMT 2015-GC29 Presale Report

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

CMBS Property Evaluation Guidelines, published March 3, 2015

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, Inc.
Ed Barrett, 215-882-5845
ebarrett@kbra.com
or
Joseph Kelly, 646-731-2365
jkelly@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Sacheen Shah, 646-731-2417
sshah@kbra.com
or
Follow us on Twitter!
@KrollBondRating

Contacts

Analytical:
Kroll Bond Rating Agency, Inc.
Ed Barrett, 215-882-5845
ebarrett@kbra.com
or
Joseph Kelly, 646-731-2365
jkelly@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Sacheen Shah, 646-731-2417
sshah@kbra.com
or
Follow us on Twitter!
@KrollBondRating