KBRA Assigns Preliminary Ratings to GSMS 2017-GS8

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Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of GSMS 2017-GS8 (see ratings list below), a $1.0 billion CMBS conduit transaction collateralized by 36 commercial mortgage loans secured by 200 properties.

The collateral properties are located in 35 states and Mexico, with two state exposures each representing more than 10.0% of the pool balance: California (36.1%), New York (20.7%). The pool has exposure to most of the major property types, with three representing more than 10.0% of the pool balance: office (31.2%), retail (27.6%), and lodging (22.0%). The loans have principal balances ranging from $5.2 million to $100.0 million for the largest loan in the pool, Worldwide Plaza (9.8%), a 2.0 million sf, Class-A office building located in the Midtown area of New York City’s borough of Manhattan. The five largest loans, which also include Residence Inn Anaheim (7.7%), Spectrum Office Portfolio (6.9%), Life Time Fitness Portfolio (5.6%), and Starwood Lodging Hotel Portfolio (4.9%), represent 34.8% of the initial pool balance, while the top 10 loans represent 56.4%.

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 CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 6.9% 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, 40.5% less than third party appraisal values. The pool has an in-trust KLTV of 96.7% and an all-in KLTV of 108.6%. 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 2017-GS8 published today at www.kbra.com. The report includes our KBRA 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.

Preliminary Ratings Assigned: GSMS 2017-GS8

Class     Initial Class Balance     Expected KBRA Rating
A-1     $14,278,000     AAA(sf)
A-2     $72,424,000     AAA(sf)
A-3     $270,000,000     AAA(sf)
A-4     $311,927,000     AAA(sf)
A-AB     $35,645,000     AAA(sf)
A-BP     $10,000,000     AAA(sf)
A-S     $70,152,000     AAA(sf)
B     $44,642,000     AA(sf)
C     $56,122,000     A(sf)
D     $28,979,000     BBB+(sf)
E-RR1     $27,142,000     BBB-(sf)
F-RR1     $26,786,000     BB-(sf)
G-RR1     $10,204,000     B-(sf)
H-RR1     $42,091,386     NR
X-A     $774,426,0002     AAA(sf)
X-B     $100,764,0002     AAA(sf)
X-BP     $10,000,0002     AAA(sf)
X-D     $28,979,0002     BBB+(sf)

1 In satisfaction of the US Risk Retention rules, these classes will be purchased and retained by 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.
2 Notional balance

Representations & Warranties Disclosure

All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s asset-level representations, warranties and enforcement mechanisms set forth in the related offering documents when issuing credit ratings. KBRA’s disclosure for this transaction is contained in the report entitled CMBS: GSMS 2017-GS8 Representations & Warranties Disclosure Report.

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




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About Kroll Bond Rating Agency

KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).

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Business Wire: 15:01 GMT Wednesday 8th November 2017

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