NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of the GSMS 2014-GC22 transaction (see ratings list below). GSMS 2014-GC22 is a $961.5 million CMBS conduit transaction collateralized by 58 fixed rate commercial mortgage loans that are secured by 113 properties.
The underlying collateral properties are located in 29 different states, with four state exposures each representing more than 10.0% of the pool balance: North Carolina (11.7%), Michigan (11.7%), Maine (11.4%) and Washington (10.4%). The pool has exposure to all the major property types, with four that represent more than 10.0% of the pool balance, including retail (24.0%), multifamily (23.3%), office (20.6%) and mixed-use (12.3%). The loans have principal balances ranging from $2.3 million to $110.0 million for the largest loan in the pool, Maine Mall (11.4%), a super-regional mall located in South Portland, Maine. The five largest loans, which also include Selig Office Portfolio (10.4%), EpiCentre (8.8%), Ridgeview Apartments (6.9%), and The Cove Apartments (4.4%), represent 42.0% of the initial pool balance, while the top 10 loans represent 58.3%. The majority of the pool balance (22 loans, 64.0%) is comprised of loans with interest-only periods, of which 18 (32.5%) are partial-term IO and four (31.5%) are full-term IO. The balance of the pool is comprised of amortizing balloon loans (36 loans, 36.0%) that require principal payments throughout their respective terms.
KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of the 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 Guidelines. On an aggregate basis, KNCF was 4.1% 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, 34.7% less than third party appraisal values. The pool has an in-trust KLTV of 103.1% and an all-in KLTV of 103.5%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan, which are then used to assign our credit ratings.
For complete details on the analysis, please see our presale report, GSMS 2014-GC22 published today at www.krollbondratings.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 final ratings that differ from the preliminary ratings.
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Preliminary Ratings Assigned: GSMS 2014-GC22 |
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| Class | Class Balance | Expected Rating | ||||||
| A-1 | $36,754,000 | AAA(sf) | ||||||
| A-2 | $8,879,000 | AAA(sf) | ||||||
| A-3 | $197,682,000 | AAA(sf) | ||||||
| A-4 | $160,000,000 | AAA(sf) | ||||||
| A-5 | $217,072,000 | AAA(sf) | ||||||
| A-AB | $52,638,000 | AAA(sf) | ||||||
| X-A | $719,897,000* | AAA(sf) | ||||||
| X-B | $72,110,000* | AAA(sf) | ||||||
| X-C | $16,826,000* | BB+(sf) | ||||||
| X-D | $54,082,512* | NR | ||||||
| A-S | $46,872,000 | AAA(sf) | ||||||
| B | $72,110,000 | AA-(sf) | ||||||
| PEZ | $157,440,000** | A(sf) | ||||||
| C | $38,458,000 | A(sf) | ||||||
| D | $60,092,000 | BBB-(sf) | ||||||
| E | $16,826,000 | BB+(sf) | ||||||
| F | $20,431,000 | B+(sf) | ||||||
| G | $33,651,512 | NR | ||||||
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* Notional Amount |
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** Represents the maximum amount of Class PEZ certificates that could be issued. |
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17g-7 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 entitled CMBS: GSMS 2014-GC22 17g-7 Disclosure Report.
Related publications (available at www.krollbondratings.com):
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012
CMBS Property Evaluation Guidelines, published June 10, 2011
About Kroll Bond Rating Agency
KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).
