KBRA Downgrades Eight Ratings and Affirms All Other Ratings for CGCMT 2015-GC31
6 Jun 2024 | New York
KBRA downgrades the ratings of eight classes of certificates and affirms all other outstanding ratings of CGCMT 2015-GC31, a $637.8 million CMBS conduit transaction. The rating actions follow a surveillance review of the transaction, which has exhibited an increase in the estimated pool losses since last review, primarily associated with the largest loan in the pool, 135 South LaSalle (15.7% of the pool balance), which is 90+ days delinquent and was determined to be non-recoverable during the April 2024 remittance period.
As of the May 2024 remittance period, there are two specially serviced assets (16.5%), including 135 South LaSalle (largest, 15.7%). KBRA identified eight K-LOCs (41.8%), including the specially serviced assets. Of the K-LOCs, three (26.1%) have estimated losses. The K-LOCs include:
Five top 10 loans (39.4%):
- 135 South LaSalle (largest, 15.7% of the pool balance, 70.7% estimated loss severity)
- Selig Office Portfolio (2nd largest, 11.3%)
- Pasadena Office Tower (4th largest, 6.3%, 15.3%)
- Rockside Road Office Portfolio (5th largest, 4.1%, 14.9%)
- Promenades Plaza (10th largest, 2.0%)
The remaining three K-LOCs do not have estimated losses and represent 2.4% of the pool balance.
Excluding the K-LOCs with estimated losses, the transaction’s WA KLTV is 100.7%, compared to 100.5% at last review and 97.8% at securitization. The KDSC is 2.06x, compared to 2.12x at last review and 2.13x at securitization.
Details concerning the classes with rating changes are as follows:
- Class A-S to AA- (sf) from AAA (sf)
- Class B to BBB- (sf) from AA- (sf)
- Class PEZ to CCC (sf) from BBB (sf)
- Class C to CCC (sf) from BBB (sf)
- Class D to CC (sf) from BB- (sf)
- Class E to C (sf) from B- (sf)
- Class F to C (sf) from CCC (sf)
- Class G to C (sf) from CC (sf)
To access rating and relevant documents, click here.
Click here to view the report.
Related Publication
Methodologies
- CMBS: Methodology for Rating Interest-Only Certificates in CMBS Transactions
- CMBS: U.S. CMBS Multi-Borrower Rating Methodology
- CMBS: U.S. CMBS Single Borrower & Large Loan Rating Methodology
- CMBS: U.S. CMBS Property Evaluation Methodology
- Structured Finance: Global Structured Finance Counterparty Methodology
- ESG Global Rating Methodology