Press Release|CMBS

KBRA Downgrades Eight Ratings and Affirms All Other Ratings for CGCMT 2015-GC35

20 Nov 2024   |   New York

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KBRA downgrades the ratings of eight classes of certificates and affirms all other outstanding ratings for CGCMT 2015-GC35, a $932.7 million CMBS conduit transaction. The downgrades follow a surveillance review of the transaction, which has exhibited an increase in KBRA's estimated losses on six of the K-LOCs (42.1% of the pool balance), five of which (40.6%) are among the top 10 loans in the pool. The rating actions also considers the likelihood of interest shortfalls reaching higher in the capital structure as the servicer works through the resolutions of the transaction’s specially serviced assets and loans that may be unable to refinance at their impending maturity dates.

As of the November 2024 remittance period, there are four specially serviced assets (18.5%), two of which are 90 + days delinquent (10.6%), and two that are current (7.9%). KBRA identified ten loans (56.8%) as K-LOCs. This includes:

Seven top 10 loans (54.6%):

  • Paramus Park (Largest, 12.9% of the pool balance, 47.4% loss severity)
  • 590 Madison Avenue (2nd largest, 10.7%)
  • South Plains Mall (3rd largest, 10.7%, 22.1%)
  • Doubletree Jersey City (6th largest, 6.4%, 14.3%)
  • Illinois Center (7th largest, 6.0%, 48.3%)
  • 750 Lexington Avenue (8th largest, 4.6%, 80.1%)
  • Hammons Hotel Portfolio (10th largest, 3.3%)

One additional K-LOC has an estimated loss:

  • Cortez Plaza East (1.5% of the pool balance, 50.8% of loss severity)

The remaining two K-LOCs do not have estimated losses and represent 0.7% of the pool balance.

Excluding K-LOCs with estimated losses, the transaction’s WA KLTV is 89.6%, compared to 104.8% at last review and 99.0% at securitization. The KDSC is 1.64x, compared to 1.67x at last review and 1.91x at securitization.

Details concerning the classes with rating changes are as follows:

  • Class B to A- (sf) from AA (sf)
  • PEZ Certificates to BB- (sf) from A- (sf)
  • Class C to BB- (sf) from A- (sf)
  • Class D to CCC (sf) from BBB- (sf)
  • Class E to CC (sf) from B (sf)
  • Class F to C (sf) from B- (sf)
  • Class G to C (sf) from CCC (sf)
  • Class X-D to CCC (sf) from BBB- (sf)

To access ratings and relevant documents, click here.

Click here to view the report.

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Methodologies

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. 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. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

Doc ID: 1006969

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