KBRA Downgrades Six Ratings and Affirms All Other Ratings for GSMS 2019-GC40
3 Jul 2024 | New York
KBRA downgrades six ratings and affirms all other outstanding ratings for GSMS 2019-GC40, a $763.0 million CMBS conduit transaction. The rating actions follow a surveillance review of the transaction, which exhibits a decline in credit metrics and an increase in KBRA's estimated losses since last review and securitization.
As of the June 2024 remittance period, three loans (5.7% of the current pool balance) are specially serviced, of which one is 90+ days delinquent (2.7%), one is 30+ days delinquent (2.6%) and another (0.4%) is current. KBRA identified six K-LOCs (21.0%), including the specially serviced assets. Three of the K-LOCs have estimated losses.
The K-LOCs include two top 10 loans:
- 250 Livingston (largest, 9.8% of pool balance, 32.1% estimated loss severity)
- Nitya Tower (10th largest, 4.0%, 42.0%)
One other K-LOC has an estimated loss:
- 57 East 11th Street (2.6%, 74.7% estimated loss severity)
The remaining three K-LOCs do not have estimated losses and represent 4.6% of the pool balance.
Excluding the K-LOCs with estimated losses, the transaction's WA KLTV is 92.6%, compared to 94.6% at last review and 89.5% at securitization. The WA KDSC is 1.96x, compared to 2.13x at last review and 2.36x at issuance.
Details for the classes with rating changes are as follows:
- Class D to BBB (sf) from BBB+ (sf)
- Class E to BB- (sf) from BBB- (sf)
- Class F to B- (sf) from BB- (sf)
- Class G-RR to CCC (sf) from B- (sf)
- Class X-D to BB- (sf) from BBB- (sf)
- Class X-F to B- (sf) from BB- (sf)
To access rating and relevant documents, click here.
Click here to view the report.