NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigned its final ratings to twelve classes of GSMS 2012-GCJ9, a $1.39 billion CMBS conduit transaction collateralized by 74 fixed rate commercial mortgage loans that are secured by 135 properties. Concurrently, we have withdrawn our preliminary ratings on the certificates, which were assigned on November 12, 2012 (see our ratings list below).
The collateral properties are located in 28 states, and the three largest state exposures include New York (24.2%), California (16.7%), and Florida (8.3%). The pool has exposure to seven major property types, and the three largest property type exposures include office (34.5%), lodging (17.9%), and mixed use (16.9%). The top five loans represent 37.1%, and include Bristol Portfolio (10.1%), Pinnacle I (9.3%), Cooper Hotel Portfolio (6.9%), Jamaica Center (5.8%) and 9201 Sunset (5.0%). The top 10 loan exposures represent 55.5%.
KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of underlying collateral properties' financial and operating performance, which determine KBRA’s estimate of sustainable net cash flow (KNCF) and KBRA value. The analysis included a detailed evaluation of the underlying collateral properties’ financial and operating performance using our CMBS Property Evaluation Guidelines to determine KNCF, which on an aggregate basis was 6.6% less than the issuer cash flow. KBRA capitalization rates were applied to each asset’s KCNF to derive individual property values that, on an aggregate basis, were 36.7% less than third party appraisal values. The pool has an in-trust KLTV of 97.7% and an all-in LTV of 101.8%.
KNCF and KBRA capitalization rates were among the key inputs used in our credit modeling process. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan that were used by KBRA to assign our credit ratings for this transaction.
Final Ratings Assigned: GSMS 2012-GCJ9
|Class A-1||AAA(sf)||$ 72,318,000||Assigned|
|Class A-3||AAA(sf)||$ 607,410,000||Assigned|
|Class A-AB||AAA(sf)||$ 90,017,000||Assigned|
|Class A-S||AAA(sf)||$ 111,115,000||Assigned|
|Class X-B||AAA(sf)||$ 305,564,224(2)||Assigned|
|Class B||AA-(sf)||$ 90,280,000||Assigned|
|Class C||A-(sf)||$ 57,293,000||Assigned|
|Class D||BBB-(sf)||$ 57,293,000||Assigned|
|Class E||BB(sf)||$ 27,779,000||Assigned|
|Class F||B+(sf)||$ 22,570,000||Assigned|
|Class G||NR||$ 50,349,224||NR|
|(1)||Notional balance is equal to the aggregate outstanding balances of the Class A-1, A-2, A-3, A-AB and A-S certificates.|
|(2)||Notional balance is equal to the aggregate outstanding balances of the Class B, C, D, E, F and G certificates.|
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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.