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TMCNet:  KBRA Assigns Preliminary Ratings to GSMS 2019-GC38

[February 07, 2019]

KBRA Assigns Preliminary Ratings to GSMS 2019-GC38

Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of GSMS 2019-GC38 (see ratings list below), a $756.4 million CMBS conduit transaction collateralized by 36 commercial mortgage loans secured by 53 properties.

The collateral properties are located in 16 states, with four states, New York (24.6%), California (15.3%), Texas (13.1%) and Illinois (12.3%), representing more than 10.0% of the pool balance. The pool has exposure to all of the major property types, with five each representing 10.0% or more of the pool balance: retail (22.7%), office (19.7%), mixed use (14.1%), industrial (13.6%) and multifamily (12.1%). The loans have principal balances ranging from $2.0 million to $65.0 million for the largest loan in the pool, 365 Bond (8.6%), which is secured by a 430-unit, Class A, high-rise multifamily building located in the Gowanus neighborhood of New York City's borough of Brooklyn. The five largest loans, which also include Torrance Towne Center (6.9%), Pace Gallery (6.6%), Heitman Life Storage Portfolio (6.0%), and Albertsons Industrial - IL (5.5%), represent 33.5% of the initial pool balance, while the top 10 loans represent 54.8%.

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 CMBS Property Evaluation Methodology. 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, 41.4% less than third party appraisal values. The pool has an in-trust KLTV of 95.4% and an all-in KLTV of 104.5%. 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 2019-GC38 published at The report includes our GSMS 2019-GC38 KBRA Conduit 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.

Preliminary Ratings Assigned: GSMS 2019-GC38

Class     Initial Class Balance     Expected KBRA Rating
A-1     $9,271,000     AAA(sf)
A-2     $77,492,000     AAA(sf)
A-3     See Footnote (1)     AAA(sf)
A-4     See Footnote (1)     AAA(sf)
A-AB     $17,070,000     AAA(sf)
A-S     $60,515,000     AAA(sf)
B     $36,877,000     AA(sf)
C     $34,985,000     A-(sf)
D     $21,181,000     BBB+(sf)
E-RR2     $17,587,000     BBB-(sf)
F-RR2     $9,456,000     BB+(sf)
G-RR2     $8,510,000     BB-(sf)
H-RR2     $7,564,000     B(sf)
I-RR2     $30,258,365     NR
X-A     $590,026,0003     AAA(sf)
X-B     $36,877,0003     AAA(sf)
X-D     $21,181,0003     BBB+(sf)

1The exact initial balances of the Class A-3 and A-4 certificates will not be determined until final pricing. However, the aggregate certificate balance of the Class A-3 and A-4 certificates is expected to be $425.678 million. Each class' initial certificate balance is expected to fall within the following ranges: Class A-3 - $50.0 million to $190.0 million; Class A-4 - $235.678 million - $375.678 million. 2In satisfaction of the US Risk Retention rules, these classes are expected to be purchased and retained by the retaining third party purchaser (in satisfaction of the retention obligations of GSMC in its capacity as the retaining sponsor), a third-party purchaser on the closing date. Such classes will represent an "eligible horizontal residual interest" and will represent at least 5.0% of the fair market value of all non-residual certificates issued. 3Notional balance.

To access ratings, reports and disclosures, click here.

Related Publications: (available at


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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, is 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.

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