Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of the CGCMT 2016-GC36 transaction (see ratings list below). CGCMT 2016-GC36 is a $1.2 billion CMBS conduit transaction collateralized by 58 commercial mortgage loans secured by 104 properties.

The underlying collateral properties are located in 25 states, with two state exposures, Texas (15.1%) and New York (14.6%), that represent more than 10.0% of the pool balance. There is exposure to all the major property type segments, with three that represent more than 15.0% of the pool balance: office (31.1%), retail (27.0%), and lodging (21.6%). The loans have principal balances ranging from $2.5 million to $115.0 million for the largest loan in the pool, 5 Penn Plaza (9.9%), which is secured by a 650,329 sf, Class-B office building located in the Midtown neighborhood of New York City’s borough of Manhattan. The top five loans, which also include Sheraton Denver Downtown Fee (9.5%), Austin Block 21 (9.5%), Glenbrook Square (8.8%), and Westin Boston Waterfront (4.7%), represent 42.5% of the initial pool balance, while the top 10 loans represent 59.4%.

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 using our CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 4.9% 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, 39.4% less than third party appraisal values. The pool has an in-trust KLTV of 101.4% and an all-in KLTV of 103.6%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan, which are then used to assign our credit ratings.

For complete details on the analysis, please see our presale report, CGCMT 2016-GC36 published today at www.kbra.com. The report includes our new KBRA Comparative Analytic Tool (KCAT). KCAT is 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 provided in our CMBS Monthly Trend Watch publication.
  • Excel based property cash flow statements for the top 20 loans.

Preliminary Ratings Assigned: CGCMT 2016-GC36

Class           Class Balance           Rating
A-1           $42,973,000           AAA(sf)
A-2           $22,079,000           AAA(sf)
A-3           $33,518,000           AAA(sf)
A-4           $225,000,000           AAA(sf)
A-5           $415,175,000           AAA(sf)
A-AB           $70,409,000           AAA(sf)
X-A           $861,171,0001           AAA(sf)
X-B           $75,136,0001           AAA(sf)
A-S           $52,017,000           AAA(sf)
B           $75,136,000           AA(sf)
EC           $182,060,0002           A-(sf)
C           $54,907,000           A-(sf)
D           $65,021,000           BBB-(sf)
X-D           $65,021,0001           BBB-(sf)
E           $28,898,000           BB(sf)
F           $11,560,000           BB-(sf)
G           $15,894,000           B-(sf)
H           $43,347,829           NR

1Notional balance

2Represents the maximum amount of Class EC certificates that could be issued in an exchange

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 can be found in the report entitled CMBS: CGCMT 2016-GC36 Representations & Warranties Report.

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

CMBS: CGCMT 2016-GC36 Presale Report

CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published December 3, 2015

CMBS Property Evaluation Methodology, published December 3, 2015

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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).