NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 14 classes of GSMS 2018-GS9 (see ratings list below), an $887.1 million CMBS conduit transaction collateralized by 37 commercial mortgage loans secured by 228 properties.
The collateral properties are located in 36 states and Cabo San Lucas, Mexico, with three state exposures each representing more than 10.0% of the pool balance: Texas (18.4%), Michigan (10.9%), and Arizona (10.5%). The pool has exposure to all of the major property types, with four each representing 10.0% or more of the pool balance: office (34.0%), retail (26.3%), lodging (15.4%), and industrial (10.6%). The loans have principal balances ranging from $1.3 million to $72.5 million for the largest loan in the pool, Marina Heights State Farm (8.2%), a 2.0 million sf Class-A office complex located in Tempe, Arizona, approximately nine miles east of the Phoenix CBD. The five largest loans, which also include Apple Campus 3 (7.7%), Twelve Oaks Mall (7.5%), ESA Portfolio (7.5%), and U.S. Industrial Portfolio (7.2%), represent 38.0% of the initial pool balance, while the top 10 loans represent 63.8%.
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 Methodology. On an aggregate basis, KNCF was 7.3% 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, 37.8% less than third party appraisal values. The pool has an in-trust KLTV of 92.5% and an all-in KLTV of 102.8%. 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 pre-sale report, GSMS 2018-GS9 published today at www.kbra.com. The report includes our GSMS 2018-GS9 KBRA Conduit 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 2018-GS9
|Class||Initial Class Balance||Expected KBRA Rating|
1 To satisfy the US risk retention rules, a third party purchaser will purchase and retain an “eligible horizontal residual interest” consisting of the Class F-RR and G-RR certificates, representing approximately 1.57% of the aggregate fair value of all of the non-residual interests issued by the issuer, determined in accordance with GAAP.
2 Notional balance.
3 To satisfy the remaining risk retention requirements, GSMC is expected to retain a portion of the RR Interest, which is an “eligible vertical interest” in the form of a single vertical security in the aggregate amount of approximately 3.43% of the aggregate certificate balance of all the non-residual interests issued by the issuer.
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 available here.
Related Publications: (available at www.kbra.com)
- CMBS: GSMS 2018-GS9 Pre-Sale Report
- U.S. CMBS Multi-Borrower Rating Methodology
- CMBS Property Evaluation Methodology
- Methodology for Rating Interest-Only Certificates in CMBS Transactions
About KBRA and KBRA Europe
KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.