KBRA Assigns Preliminary Ratings to GPMT 2018-FL1

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to seven classes of GPMT 2018-FL1, a $826.6 million commercial real estate collateralized loan obligation (CRE CLO) securitization. The transaction is initially expected to be collateralized by 23 whole loans (or participations thereof) with a total in-trust balance of $748.0 million, and $78.6 million cash collateral. The cash collateral is expected to be used to acquire two delayed-close loans ($68.1 million), and an unfunded companion participation ($10.5 million) related to one of the transaction’s initial assets, when such participation is funded.

Assuming the cash collateral is used to successfully fund the targeted assets, the transaction will be collateralized by 25 non-recourse loans and participations with an aggregate balance of $826.6 million. The mortgage assets will be secured by the fee simple interests in 22 properties (82.3%), fee and leasehold interests in two properties (10.2%), and leasehold interest in one property (7.5%).

The transaction permits the acquisition of additional companion participations related to the initial assets for 30 months, post-closing. In addition, defaulted loans can be sold to the preferred shareholder at par under certain circumstances. The transaction also features an overcollateralization test, the failure of which will result in diversion of all interest proceeds remaining after paying Class D interest to pay down the principal of the most senior class, until such test passes again.

KBRA’s analysis of the transaction involved a detailed evaluation of the underlying cash flows using our CMBS Property Evaluation Methodology and the application of our US CMBS Multi-Borrower Rating Methodology. The analysis resulted in KBRA’s values to be, on average, 39.8% and 50.2% lower than the appraiser’s as-is values and stabilized values, respectively. The resulting in-trust KBRA Loan to Value (KLTV), assuming that all the future funding commitments are fully funded, was 125.3%. We also conducted scenario analyses to evaluate and incorporate the impact of the transaction’s various structural features in our ratings assignment process.

For complete details on the analysis, please see our pre-sale report, GPMT 2018-FL1 published at www.kbra.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 ratings that differ from the preliminary ratings.

Preliminary Ratings Assigned: GPMT 2018-FL1

Class   Initial Note Balance   Expected KBRA Rating
A   $442,215,000   AAA (sf)
A-S   $52,693,000   AAA (sf)
B   $49,595,000   AA- (sf)
C   $47,527,000   A- (sf)
D   $68,192,000   BBB- (sf)
E   $35,130,000   BB- (sf)
F   $37,195,000   B- (sf)
Preferred Shares   $94,022,414   NR

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 CMBS: GPMT 2018-FL1 Representations & Warranties Disclosure.

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

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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.

Contacts

Kroll Bond Rating Agency
Analytical Contacts:
Aaron Reed, Director
(646) 731-2306
areed@kbra.com
or
Michael Brown, Senior Director
(646) 731-2307
mbbrown@kbra.com
or
Nitin Bhasin, Managing Director
(646) 731-2334
nbhasin@kbra.com
or
Robin Regan, Managing Director
(646) 731-2358
rregan@kbra.com

Contacts

Kroll Bond Rating Agency
Analytical Contacts:
Aaron Reed, Director
(646) 731-2306
areed@kbra.com
or
Michael Brown, Senior Director
(646) 731-2307
mbbrown@kbra.com
or
Nitin Bhasin, Managing Director
(646) 731-2334
nbhasin@kbra.com
or
Robin Regan, Managing Director
(646) 731-2358
rregan@kbra.com