KBRA Downgrades Eight Ratings and Affirms All Other Ratings for CGCMT 2015-GC35
20 Nov 2024 | New York
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.