KBRA Assigns Preliminary Ratings to GSMS 2019-GC39

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of
preliminary ratings to 15 classes of GSMS 2019-GC39 (see ratings list
below), a $802.5 million CMBS conduit transaction collateralized by 36
commercial mortgage loans secured by 64 properties.

The collateral properties are located in 22 states, with three state
exposures, California (25.2%), New York (23.6%) and Florida (12.1%),
representing more than 10.0% of the pool balance. The pool has exposure
to all of the major property types, with three each representing 10.0%
or more of the pool balance: office (40.7%), retail (23.0%), and
multifamily (13.0%). The loans have principal balances ranging from $2.0
million to $77.5 million for the largest loan in the pool, 101
California Street (largest, 9.7%), which is secured by a 1.3 million sf,
Class-A office tower located in the Financial District of San Francisco,
California. The five largest loans, which also include 59 Maiden Lane
(9.3%), Moffett Towers II Building V (8.1%), Albertsons Industrial – PA
(7.7%), and Waterford Lakes Town Center (6.9%), represent 41.6% of the
initial pool balance, while the top 10 loans represent 63.9%.

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 7.4% 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, 40.0% less than third party appraisal values. The pool
has an in-trust KLTV of 93.5% and an all-in KLTV of 105.0%. 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
published at www.kbra.com.
The report includes our GSMS
2019-GC39 KBRA Conduit Comparative Analytic Tool (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.

To access ratings, reports and disclosures, click here.

Preliminary Ratings Assigned: GSMS 2019-GC39

Class     Initial Class Balance     Expected KBRA Rating
A-1     $13,478,000       AAA (sf)
A-2     $122,528,000       AAA (sf)
A-3     $175,000,000       AAA (sf)
A-4     $209,062,000       AAA (sf)
A-AB     $21,171,000       AAA (sf)
A-S     $81,185,000       AAA (sf)
B     $35,761,000       AA- (sf)
C     $33,827,000       A- (sf)
D     $18,364,000       BBB+ (sf)
E     $14,497,000       BBB- (sf)
F     $15,464,000       BB- (sf)
G-RR     $7,732,000       B- (sf)
H-RR     $25,129,711       NR
X-A     $622,424,0001       AAA (sf)
A-B     $69,588,0001       AAA (sf)
X-D     $32,861,0001       BBB- (sf)
RR Interest     $16,247,420       NR
RR Certificates     $13,095,580       NR

1 Notional balance.


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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.


Analytical Contacts:
Triantafyllou, Associate Director
(646) 731-2396

D’Eugenio, Senior Director
(646) 731-2487

Hinman, Associate Director
(646) 731-2418

Cent Wong, Senior Managing Director
(646) 731-2374

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