KBRA Preliminary Ratings to GSMS 2020-GC47

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of GSMS 2020-GC47 (see ratings list below), a $771.9 million CMBS conduit transaction collateralized by 29 commercial mortgage loans secured by 60 properties.

The collateral properties are located throughout 33 MSAs, the largest three of which are New York (40.5%), Los Angeles (11.0%), and San Jose (8.4%). The pool has exposure to all of the major property types, with three types representing more than 10.0% of the pool balance: office (32.9%), mixed-use (23.2%), and multifamily (23.2%). The loans have principal balances ranging from $4.0 million to $65.0 million for the largest loan in the pool, 1633 Broadway (8.4%), which is secured by a 2.6 million sf, 48-story, Class-A, LEED certified office building located in Midtown Manhattan. The five largest loans, which also include Moffett Towers Buildings A, B, & C (8.4%), 711 Fifth Avenue (8.1%), Saban Self Storage Portfolio (7.8%), and 650 Madison Avenue (6.7%), represent 39.4% of the initial pool balance, while the top 10 loans represent 68.2%.

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 9.4% 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, 43.8% less than third party appraisal values. The pool has an in-trust KLTV of 96.4% and an all-in KLTV of 112.7%. 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.

Click here to view the report. To access ratings and relevant documents, click here.

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Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the U.S. Information Disclosure Form located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the U.S. Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

KBRA is a full-service credit rating agency registered as an NRSRO with the U.S. Securities and Exchange Commission. 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) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.

Contacts

Analytical Contacts

Teena Andrade, Associate (Lead Analyst)
+1 (646) 731-2457
tandrade@kbra.com

Lynn D’Eugenio, Senior Director
+1 (646) 731-2487
ldeugenio@kbra.com

Dayna Carley, Senior Director
+1 (646) 731-2391
dcarley@kbra.com

Scarlett Qi, Associate
+1 (646) 731-2468
sqi@kbra.com

Nitin Bhasin, Senior Managing Director (Rating Committee Chair)
+1 (646) 731-2334
nbhasin@kbra.com

Business Development Contact

Michele Patterson, Managing Director
+1 (646) 731-2397
mpatterson@kbra.com

Contacts

Analytical Contacts

Teena Andrade, Associate (Lead Analyst)
+1 (646) 731-2457
tandrade@kbra.com

Lynn D’Eugenio, Senior Director
+1 (646) 731-2487
ldeugenio@kbra.com

Dayna Carley, Senior Director
+1 (646) 731-2391
dcarley@kbra.com

Scarlett Qi, Associate
+1 (646) 731-2468
sqi@kbra.com

Nitin Bhasin, Senior Managing Director (Rating Committee Chair)
+1 (646) 731-2334
nbhasin@kbra.com

Business Development Contact

Michele Patterson, Managing Director
+1 (646) 731-2397
mpatterson@kbra.com