Kroll Bond Rating Agency Assigns Preliminary Ratings to GSMS 2017-GS6

NEW YORK--()--Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of preliminary ratings to 13 classes of the GSMS 2017-GS6 transaction (see ratings list below). GSMS 2017-GS6 is a $959.1 million CMBS conduit transaction collateralized by 33 commercial mortgage loans secured by 73 properties.

The properties in the collateral pool are located in 26 states and Washington, DC, with only California (25.8%) representing more than 10.0% of the pool balance. The pool has exposure to all of the major property types, with two that represent more than 15.0% of the pool balance: office (52.2%) and retail (18.9%). The loans have principal balances ranging from $5.7 million to $95.5 million for the largest loan in the pool, 1999 Avenue of the Stars (10.0%), an 821,357 sf, Class-A office tower located in the Century City neighborhood of Los Angeles. The five largest loans, which also include Lafayette Centre (8.4%), Pentagon Center (8.3%), U.S. Industrial Portfolio (7.5%), and GSK R&D Centre (6.8%), represent 41.0% of the initial pool balance, while the 10 largest loans represent 66.3%.

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 Methodology. On an aggregate basis, KNCF was 10.9% 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, 39.1% less than third party appraisal values. The pool has an in-trust KLTV of 93.3% and an all-in KLTV of 102.9%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan that are then used to assign our credit ratings.

For complete details on the analysis, please see our presale report, GSMS 2017-GS6 published today at www.kbra.com. The report includes our KBRA Comparative Analytic Tool (KCAT), 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 included in our CMBS Monthly Trend Watch publication.
  • Excel-based property cash flow statements for the top 20 loans.

Preliminary Ratings Assigned: GSMS 2017-GS6

 
  Class     Initial Class Balance     Expected KBRA Rating  
  A-1     $15,431,000     AAA(sf)  
  A-2     $250,000,000     AAA(sf)  
  A-3     $359,651,000     AAA(sf)  
  A-AB     $29,390,000     AAA(sf)  
  A-S     $84,147,000     AAA(sf)  
  X-A     $738,619,000*     AAA(sf)  
  B     $45,579,000     AA-(sf)  
  C     $42,074,000     A-(sf)  
  X-B     $87,653,000*     AAA(sf)  
  D     $46,748,000     BBB-(sf)  
  X-D     $46,748,000*     BBB-(sf)  
  E**     $17,530,000     BB-(sf)  
  F**     $10,518,000     B-(sf)  
  G**     $33,893,308     NR  
  Retained Interest**     $24,170,112     NR  

*Notional balance
**To satisfy the US risk retention rules, a third party purchaser will purchase an “eligible horizontal residual interest” consisting of the Class E, F and G certificates representing at least 2.48% of the fair market value and GSMC or a majority-owned affiliate will retain an “eligible vertical interest” representing approximately 2.52% of the transaction’s par value.

Representations & Warranties Disclosure

All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s asset-level representations, warranties and enforcement mechanisms set forth in the related offering documents when issuing credit ratings. KBRA’s disclosure for this transaction is contained in the report entitled CMBS: GSMS 2017-GS6 Representations & Warranties Disclosure

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

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:
KBRA
Anna Hertzman, 646-731-2367
ahertzman@kbra.com
or
Yee Cent Wong, 646-731-2374
ywong@kbra.com
or
Robin Regan, 646-731-2358
rregan@kbra.com
or
Ravish Kamath, 646-731-2328
rkamath@kbra.com

Contacts

Analytical:
KBRA
Anna Hertzman, 646-731-2367
ahertzman@kbra.com
or
Yee Cent Wong, 646-731-2374
ywong@kbra.com
or
Robin Regan, 646-731-2358
rregan@kbra.com
or
Ravish Kamath, 646-731-2328
rkamath@kbra.com