Kroll Bond Rating Agency Assigns Preliminary Ratings to CGCMT 2015-GC31

NEW YORK--()--Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of the CGCMT 2015-GC31 (ratings list below). CGCMT 2015-GC31 is a $723.3 million CMBS conduit transaction collateralized by 50 fixed rate commercial mortgage loans that are secured by 76 properties. The pool balance of $723.3 million is the lowest among all of the conduits KBRA has rated to date.

The properties in the collateral pool are located in 26 states, with three that represent more than 10.0% of the pool balance: Texas (16.1%), California (14.1%) and Illinois (13.8%). The pool has exposure to all the major property types, with four that represent more than 10.0% of the pool balance: office (38.6%), mixed use (19.3%), retail (16.7%) and multifamily (12.5%). Additionally, the pool has a lodging exposure of 3.7%, which is the lowest among the 20 CMBS conduits rated by KBRA over the past six months. The loans have principal balances ranging from $2.4 to $100.0 million for the largest loan in the pool, 135 South LaSalle (13.8%), a 1.3 million sf, Class-A office building located within the Central Loop District of Chicago, Illinois. The top five loans, which also include Selig Office Portfolio (10.0%), Dallas Market Center (9.9%), Pasadena Office Tower (5.8%), and St. Anthony's Healthplex North (4.1%), represent 43.7%.

KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of the 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 6.3% 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, 37.9% less than third party appraisal values. The pool has an in-trust KLTV of 97.8% and an ending in-trust KLTV of 86.2%, which is the fourth lowest among the last 20 KBRA rated conduits. The all-in KLTV, inclusive of additional indebtedness held outside the trust, is 99.7%. 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-GC31 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-GC31

 
Class           Class Balance (US$)           Expected Rating
A-1           $28,330,000           AAA(sf)
A-2           $2,298,000           AAA(sf)
A-3           $160,000,000           AAA(sf)
A-4           $268,724,000           AAA(sf)
A-AB           $46,974,000           AAA(sf)
X-A           $565,089,000*           AAA(sf)
X-B           $42,871,000*           AAA(sf)
A-S           $58,763,000           AAA(sf)
B           $42,871,000           AA-(sf)
PEZ           $135,486,000           A-(sf)
C           $33,852,000           A-(sf)
D           $24,284,000           BBB(sf)
E           $11,000,000           BBB-(sf)
F           $14,864,000           BB-(sf)
G           $12,231,000           B-(sf)
H           $19,132,869           NR

* Notional balance

 

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 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: CGCMT 2015-GC31 Representations & Warranties Disclosure Report.

Related publications (available at www.krollbondratings.com):
CMBS: CGCMT 2015-GC31 Presale Report
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012CMBS 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.
Ravish Kamath, 646-731-2328
rkamath@kbra.com
or
Joseph Kelley, 646-731-2365
jkelly@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Sacheen Shah, 646-731-2417
sshah@kbra.com

Contacts

Analytical:
Kroll Bond Rating Agency, Inc.
Ravish Kamath, 646-731-2328
rkamath@kbra.com
or
Joseph Kelley, 646-731-2365
jkelly@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Sacheen Shah, 646-731-2417
sshah@kbra.com