GSMS 2012-GCJ9 is a $1.39 billion CMBS conduit transaction collateralized by 74 fixed rate commercial mortgage loans that are secured by 135 properties. The top five loans represent 37.1% and include Bristol Portfolio (10.1%), Pinnacle I (9.3%), Cooper Hotel Portfolio (6.9%), Jamaica Center (5.8%) and 9201 Sunset (5.0%). The top 10 loan exposures represent 55.5%. The properties are located in 28 states, and the three largest state concentrations are New York (24.2%), California (16.7%) and Florida (8.3%). The pool has exposure to five property types with concentrations in excess of 10.0%: office (34.5%), lodging (17.4%), mixed use (17.9%), retail (12.8%) and multifamily (12.3%).
KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of underlying collateral properties' financial and operating performance, which determine KBRA’s estimate of sustainable net cash flow (KNCF) and KBRA value. The analysis incorporates a detailed evaluation of underlying collateral properties’ financial and operating performance using our CMBS Property Evaluation Guidelines to determine Kroll Net Cash Flow (KNCF), which is a key input used in our credit modeling process. 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, 36.7% less than third party appraisal values. The pool has an in-trust KLTV of 97.7% and an all-in KLTV of 101.8%. 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.
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.
Preliminary Ratings Assigned: GSMS 2012-GCJ9
|Class of Certificate||Initial Class Balance ($)||Expected KBRA Ratings|
|Class A-1||$ 72,318,000||AAA(sf)|
|Class A-3||$ 607,410,000||AAA(sf)|
|Class A-AB||$ 90,017,000||AAA(sf)|
|Class A-S||$ 111,115,000||AAA(sf)|
|Class X-B||$ 305,564,224||AAA(sf)|
|Class B||$ 90,280,000||AA-(sf)|
|Class C||$ 57,293,000||A-(sf)|
|Class D||$ 57,293,000||BBB-(sf)|
|Class E||$ 27,779,000||BB(sf)|
|Class F||$ 22,570,000||B+(sf)|
|Class G||$ 50,349,224||NR|
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 GSMS 2012-GCJ9 17g-7 Disclosure Report.
About Kroll Bond Rating Agency
Kroll Bond Rating Agency, Inc. (www.krollbondratings.com) is registered with the SEC as a nationally recognized statistical rating organization (NRSRO). Kroll Bond Rating Agency was established in 2010 to restore trust in credit ratings by establishing new standards for assessing risk and by offering accurate, clear, and transparent ratings.