NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of
preliminary ratings to 16 classes of GSMS 2019-GC38 (see ratings list
below), a $756.4 million CMBS conduit transaction collateralized by 36
commercial mortgage loans secured by 53 properties.
The collateral properties are located in 16 states, with four states,
New York (24.6%), California (15.3%), Texas (13.1%) and Illinois
(12.3%), representing more than 10.0% of the pool balance. The pool has
exposure to all of the major property types, with five each representing
10.0% or more of the pool balance: retail (22.7%), office (19.7%), mixed
use (14.1%), industrial (13.6%) and multifamily (12.1%). The loans have
principal balances ranging from $2.0 million to $65.0 million for the
largest loan in the pool, 365 Bond (8.6%), which is secured by a
430-unit, Class A, high-rise multifamily building located in the Gowanus
neighborhood of New York City’s borough of Brooklyn. The five largest
loans, which also include Torrance Towne Center (6.9%), Pace Gallery
(6.6%), Heitman Life Storage Portfolio (6.0%), and Albertsons Industrial
– IL (5.5%), represent 33.5% of the initial pool balance, while the top
10 loans represent 54.8%.
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
6.6% 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, 41.4% less than third party appraisal values. The pool has an
in-trust KLTV of 95.4% and an all-in KLTV of 104.5%. 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
2019-GC38 published at www.kbra.com.
The report includes our GSMS
2019-GC38 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 2019-GC38
|Class||Initial Class Balance||Expected KBRA Rating|
|A-3||See Footnote (1)||AAA(sf)|
|A-4||See Footnote (1)||AAA(sf)|
1The exact initial balances of the Class A-3 and A-4
certificates will not be determined until final pricing. However, the
aggregate certificate balance of the Class A-3 and A-4 certificates is
expected to be $425.678 million. Each class’ initial certificate balance
is expected to fall within the following ranges: Class A-3 – $50.0
million to $190.0 million; Class A-4 – $235.678 million – $375.678
million. 2In satisfaction of the US Risk Retention rules,
these classes are expected to be purchased and retained by the retaining
third party purchaser (in satisfaction of the retention obligations of
GSMC in its capacity as the retaining sponsor), a third-party purchaser
on the closing date. Such classes will represent an “eligible horizontal
residual interest” and will represent at least 5.0% of the fair market
value of all non-residual certificates issued. 3Notional
To access ratings, reports and disclosures, click here.
Related Publications: (available
2019-GC38 Pre-Sale Report
2019-GC38 KBRA Conduit KCAT
CMBS Multi-Borrower Rating Methodology
CMBS Property Evaluation Methodology
for Rating Interest-Only Certificates in CMBS Transactions
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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, is 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.
Lynn D’Eugenio, Senior Director
Michael Brown, Senior Director
Praveen Pallapothula, Associate