DBRS Assigns Provisional Ratings to Citigroup Commercial Mortgage Trust 2014-GC25

DBRS has today assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2014-GC25 (the Certificates), to be issued by Citigroup Commercial Mortgage Trust 2014-GC25:

-- 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-AB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-D at AAA (sf)
-- Class X-E at AAA (sf)
-- Class X-F at AAA (sf)
-- Class X-G at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (sf)
-- Class PEZ at A (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class F at B (sf)

All trends are Stable.

Classes X-D, X-E, X-F, X-G, D, E, and F will be privately placed pursuant to Rule 144A.

Classes X-A, X-B, X-D, X-E, X-F and X-G balances are notional. DBRS ratings on interest-only (IO) certificates address the likelihood of receiving interest based on the notional amount outstanding. DBRS considers the IO 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 62 fixed-rate loans secured by 99 commercial properties. The conduit pool was analyzed to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Stabilized Net Cash Flow and their respective actual constants, two loans, representing 0.5% of the pool, had a DBRS Term Debt Service Coverage Ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low interest rate environment, DBRS applied its refinance constants to the balloon amounts, resulting in 69.8% of the pool having DBRS Refinance DSCRs below 1.00x.

The pool is concentrated by loan size as the top ten loans represent 59.7% of the overall pool balance, with the entire pool having a concentration profile equivalent to a pool of 21 equal-sized loans. Two loans, representing 15.2% of the pool (including the largest loan in the pool), are structured as IO for the full loan term. An additional 33 loans, representing 59.8% of the pool, have remaining partial IO periods ranging from ten to 71 months. The transaction’s scheduled amortization by maturity at -12.1% is in line with other recent conduit transactions.

The DBRS sample included 29 of the 62 loans in the pool, representing 75.2% of the pool by loan balance. Of the sampled loans, four loans were given Above Average property quality and no loans were given Below Average property quality. In addition, eight loans, representing 23.4% of the pool, are secured by multiple property portfolios, and another five loans, representing 7.4% of the pool, are cross-collateralized and cross-defaulted, all of which enhances diversity at the loan level.

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

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.