DBRS Finalizes Provisional Ratings on Citigroup Commercial Mortgage Trust 2014-GC21

DBRS has today finalized the provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2014-GC21 (the Certificates), to be issued by Citigroup Commercial Mortgage Trust 2014-GC21. The trends are Stable.

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-C at AAA (sf)
-- Class X-D at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (sf)
-- Class PEZ at A (sf)
-- Class C at A (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class F at B (high) (sf)

Classes X-C, X-D, D, E and F have been privately placed pursuant to Rule 144A.

The Class X-A, X-B, X-C and X-D balances are notional. DBRS ratings on interest-only certificates address the likelihood of receiving interest based on the notional amount outstanding. DBRS considers the interest-only certificates’ position within the transaction payment waterfall when determining the appropriate rating.

Up to the full certificate balance of the Class A-S, Class B and Class C certificates may be exchanged for Class PEZ certificates. Class PEZ certificates may be exchanged for up to the full certificate balance of the Class A-S, Class B and Class C certificates.

The collateral consists of 70 fixed-rate loans secured by 111 commercial properties, comprising a total transaction balance of $1,040,215,548. The DBRS sample included 32 loans, representing 72.0% of the pool. The largest loan in the pool, Maine Mall, is a dominant super-regional mall sponsored by GGP, whom DBRS considers to be a strong borrower and mall operator. The mall has demonstrated extremely stable in-line sales of at least $443 psf since 2010, not including sales from the Apple store. The pool is relatively diverse based on loan size, with a concentration level similar to a pool of 26 equal-sized loans, despite the largest loan representing 12.0% of the pool. Increased pool diversity helps to insulate the higher-rated classes from event risk. The transaction also has minimal hotel concentration, with only four limited-service hotels represented in the deal, totaling a combined 3.8% of the pool. Hotel properties have higher cash flow volatility than traditional property types, and underlying revenue can fall swiftly during a downturn and cash flow can fall even faster because of the high operating leverage.

The transaction’s second-largest loan, Newcastle Senior Housing Portfolio (9.9% of the pool) consists of 26 independent senior living facilities run by a single operator. While no health-care services are provided by the properties, it is an operator-intensive business with significant value attributed to non-real estate-related services. To account for the unique risks associated with independent living facilities, DBRS models loans backed by independent living facilities with a significantly higher cash flow volatility, probability of default and loss severity than a loan secured by a multifamily property to account for the elevated risk. Approximately 20.4% of the pool is secured entirely or in part by multifamily properties, which is unique for a non-agency conduit transaction and above the concentration level of other recently rated DBRS conduit transactions.

The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance.

Notes:
All figures are in U.S. dollars unless otherwise noted.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link to the right under Other Research or by contacting us at info@dbrs.com.

The applicable methodology is CMBS Rating Methodology, which can be found on our website under Methodologies.