KBRA Assigns Preliminary Ratings to GSMS 2019-GC40

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of GSMS 2019-GC40 (see ratings list below), a $914.2 million CMBS conduit transaction collateralized by 35 commercial mortgage loans secured by 44 properties.

The collateral properties are located in 19 states, with two states representing more than 10.0% of the pool balance: New York (26.7%) and California (19.3%). Hawaii (8.2%) rounds out the top three state exposures. The pool has exposure to all of the property types, with the top three being office (34.3%), industrial (21.2%), and mixed-use (17.8%). The loans have principal balances ranging from $3.3 to $78.0 million for the largest loan in the pool, Diamondback Industrial Portfolio 2 (8.5%), which is secured by three single tenant warehouse/distribution industrial properties located in three states that together comprise 2.5 million sf. The five largest loans, which also include 250 Livingston (8.2%), Waterfront Plaza (8.2%), 101 California Street (7.9%), and Moffett Towers II Building V (6.8%), represent 39.7% of the initial pool balance, while the top 10 loans represent 62.4%.

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 U.S. CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 9.7% 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, 39.8% less than third party appraisal values. The pool has an in-trust KLTV of 89.5% and an all-in KLTV of 105.4%. 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 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: GSMS 2019-GC40

       
Class     Initial Class Balance     Expected KBRA Rating
A-1     $16,403,000     AAA (sf)
A-2     $131,938,000     AAA (sf)
A-3     $191,600,000     AAA (sf)
A-4     $251,415,000     AAA (sf)
A-AB     $24,636,000     AAA (sf)
A-S     $98,999,000     AAA (sf)
B     $41,799,000     AA- (sf)
C     $35,200,000     A- (sf)
D     $19,800,000     BBB+ (sf)
E     $16,499,000     BBB- (sf)
F     $16,500,000     BB- (sf)
G-RR     $8,800,000     B- (sf)
H-RR     $26,400,274     NR
X-A     $714,991,0001     AAA (sf)
X-B     $76,999,0001     AAA (sf)
X-D     $36,299,0001     BBB- (sf)
X-F     $16,500,0001     BB- (sf)
Loan-Specific Certificates2      
DB-A     $5,321,000     NR
DB-B     $19,899,000     NR
DB-C     $24,408,000     NR
DB-D     $33,164,000     NR
DB-E     $25,392,000     NR
DB-F     $7,003,500     NR
DB-VR     $6,062,500     NR
DB-X     $25,220,0001     NR
 

1 Notional balance.

2 Loan-specific certificates are only entitled to amounts received with respect to the Diamondback Industrial Portfolio 1 and Diamondback Industrial Portfolio 2 Trust Subordinate Companion Loans.

To access ratings, reports and disclosures, click here.

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 designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is 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

Analytical Contacts:

Erika Hinman, Associate Director
(646) 731-2418
ehinman@kbra.com

Lynn D’Eugenio, Senior Director
(646) 731-2487
ldeugenio@kbra.com

Dayna Carley, Senior Director
(646) 731-2391
dcarley@kbra.com

Elizabeth Yash, Associate Director
(646) 731-3346
eyash@kbra.com

Contacts

Analytical Contacts:

Erika Hinman, Associate Director
(646) 731-2418
ehinman@kbra.com

Lynn D’Eugenio, Senior Director
(646) 731-2487
ldeugenio@kbra.com

Dayna Carley, Senior Director
(646) 731-2391
dcarley@kbra.com

Elizabeth Yash, Associate Director
(646) 731-3346
eyash@kbra.com