Goldman's Next CMBS Has Big Dose of Split Loans

Goldman Sachs is marketing $848.4 million of bonds backed by commercial mortgages.

The collateral for GSMS 2015-GC34 consists of 56 loans that are secured by 75 properties; five loans, representing 34.1% of the pool, are structured as split loans. In other words, the properties securing the loans also secure one or more other loans. These loans are Illinois Center (the largest in the pool), 750 Lexington Ave (the second largest), Hammons Hotel portfolio (third largest), DoubleTree Hotel Universal (12th largest) and Hyatt Place Texas Portfolio (17th largest).

The $260 million Illinois Center loan is represented by three pari passu notes: a $100 million A-2 note that will be contributed to this securitization; a $100 million A-1 note that was contributed to another securitization, CGCMT 2015-GC33; and a $60 million A-3 note that is expected to be contributed to a future securitization.

The $130 million 750 Lexington loan is represented by two pari passu notes: an $84.5 million A-1 note that will be contributed to this securitization and a $45.5 million A-2 note that is expected to be contributed to a future securitization.

The $250.2 million Hammons Hotel Portfolio loan is represented by four pari passu notes: a $72.4 million A-2 note that will be contributed to this securitization, a $99.9 million A-1 note that was contributed to the CGCMT 2015-GC33 securitization, and an A-3 and A-4 note with an aggregate balance of $78.2 million that is expected to be contributed to future securitizations.

The $51 million DoubleTree Hotel Universal is represented by two pari passu notes: an $18.5 million A-1 note that will be contributed to this securitization and a $32.5 million A-2 note that is expected to be contributed to a future securitization.

The $38.5 million Hyatt Place Texas Portfolio is represented by two pari passu notes: a $13.5 million A-2 note that will be contributed to this securitization and a $25 million A-1 note that is expected be contributed to the JPMBB 2015-C32 securitization.

Overall leverage in GSMS 2015-GC34 is high. According to Kroll Bond Rating Agency, the pool's exposure to loans with loan-to-value ratios above 100% is higher than the average of the last 22 deals the rating agency rated in the past six months; 39 loans, or 74.4% of the pool, have LTVs above 100% and 21 of those have LTVs in excess of 110%.

Nevertheless, Kroll assigned an AAA rating to the deal's super senior notes, which benefit from 30% credit enhancement, as well as to the junior senior notes, which have 25.25% credit enhancement. All of these notes have a 9.3-year weighted average life.

The trust will also sell BBB- rated bonds that benefit from 8.375% credit enhancement.

This article originally appeared in Structured Finance News
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Secondary markets Bond insurance Securitization Commercial lending
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