NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigned its final ratings to thirteen classes of CGCMT 2012-GC8, a $1.04 billion CMBS conduit transaction collateralized by 57 fixed rate commercial mortgage loans that are secured by 139 properties. Concurrently, we have withdrawn our preliminary ratings on the certificates, which were assigned on September 6, 2012 (see our ratings list below).
The collateral properties are located in 31 states, and the three largest state exposures include New York (31.4%), Texas (14.9%), and Florida (13.3%). The pool has exposure to three property types with concentrations in excess of 10%: office (44.2%), retail (19.6%), and lodging (17.4%).
KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of underlying collateral properties' financial and operating performance, which determine KBRA’s estimate of sustainable net cash flow (KNCF) and KBRA value. The analysis included a detailed evaluation of the underlying collateral properties’ financial and operating performance using our CMBS Property Evaluation Guidelines to determine Kroll Net Cash Flow (KNCF), which on an aggregate basis was 6.8% less than the issuer cash flow. KBRA capitalization rates were applied to each asset’s KCNF to derive individual property values that, on an aggregate basis, were 32.9% less than third party appraisal values. The pool has an in-trust KLTV of 94.8% and an all-in LTV of 97.5%.
KNCF and KBRA capitalization rates were among the key inputs used in our credit modeling process. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan that were used by KBRA to assign our credit ratings for this transaction.
Final Ratings Assigned: CGCMT 2012-GC8
|Class of Certificate||KBRA Ratings||Class Balance ($)|
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