NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to the GSMS 2014-GC18 transaction (see ratings listed below). GSMS 2014-GC18 is a $1.1 billion CMBS conduit transaction collateralized by 74 fixed-rate commercial mortgage loans that are secured by 141 commercial properties.
The loans have principal balances ranging from $1.3 million to $111.0 million for the largest loan, which is secured by The Shops at Canal Place (10.0%), a 216,938 sf regional mall located in New Orleans, Louisiana. The five largest loans, which also include Cityscape - East Office/Retail (9.0%), The Crossroads (9.0%), 1500 Spring Garden (7.2%) and Wyoming Valley Mall (7.0%), represent 42.1% of the initial pool balance, while the top 10 loans represent 52.0%, The collateral properties are located in 27 different states, with only two states representing more than 12.0% of the pool balance, Pennsylvania (16.7%) and Michigan (12.9%). The pool has exposure to two property types that each represent more than 15.0% of the pool balance: retail (40.5%) and mixed-use (16.1%). The majority of the loans (46 loans, 60.0% of the pool balance) were used to refinance existing debt, while the proceeds from 25 loans (29.5%) were used for property acquisitions. Of the remaining three loans, two (10.0%) were used for recapitalization purposes and the related proceeds for one (0.6%) were used for both acquisition and refinance purposes.
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, 32.2% less than third party appraisal values. The pool has an in-trust KLTV of 99.6% and an all-in KLTV of 102.3%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each loan, which are then used to assign the credit ratings.
For complete details on the analysis, please see our Presale Report, GSMS 2014-GC18, published today at www.krollbondratings.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.
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Preliminary Ratings Assigned: GSMS 2014-GC18 |
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| Class | Balance | Credit Enhancement | Expected Rating | ||||||||||||
| A-1 | $56,812,000 | 30.000% | AAA(sf) | ||||||||||||
| A-2 | $116,213,000 | 30.000% | AAA(sf) | ||||||||||||
| A-3 | $216,747,000 | 30.000% | AAA(sf) | ||||||||||||
| A-4 | $301,979,000 | 30.000% | AAA(sf) | ||||||||||||
| A-AB | $87,793,000 | 30.000% | AAA(sf) | ||||||||||||
| X-A(1) | $847,754,000 | N/A | AAA(sf) | ||||||||||||
| X-B(2) | $22,273,000 | N/A | BB+(sf) | ||||||||||||
| X-C(3) | $66,818,128 | N/A | NR | ||||||||||||
| A-S | $68,210,000 | 23.875% | AAA(sf) | ||||||||||||
| B | $76,563,000 | 17.000% | AA(sf) | ||||||||||||
| PEZ(4) | $189,318,000 | 13.000% | A-(sf) | ||||||||||||
| C | $44,545,000 | 13.000% | A-(sf) | ||||||||||||
| D | $55,682,000 | 8.000% | BBB-(sf) | ||||||||||||
| E | $22,273,000 | 6.000% | BB+(sf) | ||||||||||||
| F | $12,528,000 | 4.875% | B+(sf) | ||||||||||||
| G | $54,290,128 | 0.000% | NR(sf) | ||||||||||||
1 Notional balance equal to the aggregate outstanding balance
of the Class A-1, A-2, A-3, A-4, A-AB and A-S certificates.
2 Notional
balance equal to the aggregate outstanding balance of the Class E
certificates.
3 Notional balance equal to the aggregate
outstanding balance of the Class F and G certificates.
4 Class
PEZ balance represents the maximum amount of Class PEZ certificates that
could be issued in an exchange, as described in the presale report.
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-GC18 17g-7 Disclosure Report.
Related publications (available at www.krollbondratings.com):
CMBS:
U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012
CMBS
Property Evaluation Guidelines, published June 10, 2011
