DBRS Confirms Ratings on Citigroup Commercial Mortgage Trust 2014-GC21

DBRS Limited (DBRS) has today confirmed the following classes of Commercial Mortgage Pass-Through Certificates, Series 2014-GC21 issued by Citigroup Commercial Mortgage Trust 2014-GC21 as follows:

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

All trends are Stable. DBRS does not rate the first loss piece, Class G. The Class A-S, Class B and Class C certificates are exchangeable for the Class C certificates (and vice versa).

The rating confirmations reflect the overall stable performance of the transaction. At issuance, the pool consisted of 70 fixed-rate loans secured by 111 commercial properties. As of the February 2017 remittance, there has been a collateral reduction of 2.4% since issuance with all 70 of the original loans outstanding, with an outstanding trust balance of $1.015 billion. Since issuance, three loans, representing 2.2% of the pool balance, have fully defeased. Based on the most recent year-end (YE) reporting for the underlying loans, the pool reported a weighted-average (WA) debt service coverage ratio (DSCR) of 1.65 times (x) and a WA debt yield of 10.0%, both an improvement over the DBRS issuance figures of 1.39x and 8.5%, respectively. It is noteworthy that the servicer’s reported figures for the fifth-largest loan, U-Haul Storage Portfolio (Prospectus ID#5, 3.8% of the pool) are likely artificially inflated due to the inclusion of non-collateral income, with the YE2015 DSCR reported at 2.47x, as compared with the DBRS DSCR at issuance of 1.34x. Excluding this loan, the WA DSCR and WA debt yield for the pool (as based on the most recent YE reporting) would be 1.61x and 9.7%, respectively. Approximately 82.8% of the pool is reporting year-to-date 2016 figures, with a WA DSCR and WA debt yield of 1.76x and 10.6%, respectively, for those loans as based on those figures.

As of the February 2017 remittance, there are six loans on the servicer’s watchlist, representing 6.7% of the pool balance. Three loans (representing 2.8% of the pool) are watchlisted for upcoming tenant rollover. The other three loans are being monitored for declining cash flows and a low DSCR. There are no loans in special servicing.

At issuance, DBRS shadow-rated the 375 Park Avenue loan (Prospectus ID#1, 15.7% of the pool balance) and The Paramount Building loan (Prospectus ID#6, 4.1% of the pool balance) investment grade. DBRS has today confirmed that the performance of these loans remain consistent with investment-grade loan characteristics.

The rating assigned to Class F materially deviates from the higher ratings implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology. The deviations are warranted due to the sustainability of loan performance trends not demonstrated.

DBRS has provided updated loan-level commentary and analysis for larger and/or pivotal watchlisted loans, as well as for the largest 15 loans in the pool, in the DBRS CMBS IReports platform. To view these and future loan-level updates provided as part of DBRS’s ongoing surveillance for this transaction, please log into DBRS CMBS IReports at www.ireports.dbrs.com.

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

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.

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

The principal methodologies are North American CMBS Rating Methodology (January 2017) and CMBS North American Surveillance (December 2016), which can be found on www.dbrs.com under Methodologies.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.