KBRA Assigns Preliminary Ratings to GSMS 2019-GC40

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of
preliminary ratings to 16 classes of GSMS 2019-GC40 (see ratings list
below), a $914.2 million CMBS conduit transaction collateralized by 35
commercial mortgage loans secured by 44 properties.

The collateral properties are located in 19 states, with two states
representing more than 10.0% of the pool balance: New York (26.7%) and
California (19.3%). Hawaii (8.2%) rounds out the top three state
exposures. The pool has exposure to all of the property types, with the
top three being office (34.3%), industrial (21.2%), and mixed-use
(17.8%). The loans have principal balances ranging from $3.3 to $78.0
million for the largest loan in the pool, Diamondback Industrial
Portfolio 2 (8.5%), which is secured by three single tenant
warehouse/distribution industrial properties located in three states
that together comprise 2.5 million sf. The five largest loans, which
also include 250 Livingston (8.2%), Waterfront Plaza (8.2%), 101
California Street (7.9%), and Moffett Towers II Building V (6.8%),
represent 39.7% of the initial pool balance, while the top 10 loans
represent 62.4%.

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 9.7% 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, 39.8% less than third party appraisal values. The pool
has an in-trust KLTV of 89.5% and an all-in KLTV of 105.4%. 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
published at www.kbra.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 ratings that differ from the
preliminary ratings.

¹ Notional balance.

² Loan-specific certificates are only entitled to amounts
received with respect to the Diamondback Industrial Portfolio 1 and
Diamondback Industrial Portfolio 2 Trust Subordinate Companion Loans.

To access ratings, reports and disclosures, click here.

Related Publications: (available at www.kbra.com)

• GSMS
  2019-GC40 Pre-Sale Report
• GSMS
  2019-GC40 KBRA Conduit KCAT
• U.S.
  CMBS Multi-Borrower Rating Methodology
• U.S.
  CMBS Property Evaluation Methodology
• Methodology
  for Rating Interest-Only Certificates in CMBS Transactions
• Global
  Structured Finance Counterparty Methodology

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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.

Contacts

Analytical Contacts:

Erika Hinman, Associate Director
(646) 731-2418
ehinman@kbra.com

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

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

Elizabeth Yash, Associate Director
(646) 731-3346
eyash@kbra.com