KBRA Assigns Preliminary Ratings to GSMS 2019-GSA1

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of GSMS 2019-GSA1 (see ratings list below), a $864.2 million CMBS conduit transaction with 49 loans secured by 84 properties.

The collateral properties are located in 19 states, with the top three states represented by California (22.6%), New Jersey (13.6%), and Texas (12.4%). The pool has exposure to all of the major property types, with the top three being retail (26.5%), office (20.7%), and multifamily (19.1%). The loans have principal balances ranging from $2.2 million to $50.0 million for the largest loan in the pool, SoCal Retail Portfolio (5.8%), which is secured by 13 retail properties and one medical office property located in Southern California that together comprise 1.5 million sf. The five largest loans, which also include One and Olney Shopping Center (5.8%), 1950-2000 Alameda de las Pulgas (5.8%), Mediterranean Apartments (4.3%) and New Jersey Center of Excellence (4.2%), represent 25.9% of the initial pool balance, while the top 10 loans represent 44.8%.

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 U.S. CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 7.6% 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, 40.0% less than third party appraisal values. The pool has an in-trust KLTV of 103.0% and an all-in KLTV of 104.3%. 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.

Preliminary Ratings Assigned: GSMS 2019-GSA1

Class

Initial Class Balance

Expected KBRA Rating

A-1

$14,908,000

AAA (sf)

A-2

$26,937,000

AAA (sf)

A-3

$102,466,000 - $240,796,0001

AAA (sf)

A-4

$301,782,000 - $440,112,0001

AAA (sf)

A-AB

$20,542,000

AAA (sf)

A-S

$74,540,000

AAA (sf)

B

$39,971,000

AA (sf)

C

$36,730,000

A- (sf)

D

$24,847,000

BBB+ (sf)

E

$19,455,000

BBB- (sf)

F-RR

$21,606,000

BB (sf)

G-RR

$8,642,000

B (sf)

H-RR

$33,489,960

NR

X-A

$679,505,0002

AAA (sf)

X-B

$76,701,0002

AAA (sf)

X-D

$44,292,0002

BBB- (sf)

 

1The exact initial certificate balances will not be determined until final pricing; however, they are expected to fall within the above ranges. 2Notional balance.

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.

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:

John Triantafyllou, Director
(646) 731-2396
jtriantafyllou@kbra.com

Yee Cent Wong, Senior Managing Director
(646) 731-2374
ywong@kbra.com

James Wang, Senior Director
(646) 731-2450
jwang@kbra.com

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

Business Development:

Michele Patterson, Managing Director
(646) 731-2397
mpatterson@kbra.com

Contacts

Analytical:

John Triantafyllou, Director
(646) 731-2396
jtriantafyllou@kbra.com

Yee Cent Wong, Senior Managing Director
(646) 731-2374
ywong@kbra.com

James Wang, Senior Director
(646) 731-2450
jwang@kbra.com

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

Business Development:

Michele Patterson, Managing Director
(646) 731-2397
mpatterson@kbra.com