Goldman Sachs and Cantor Fitzgerald's next conduit securitization will depend on 590 Madison Avenue to boost the credit credentials of its collateral pool.
GSMS 2015-GS1 will offer $820.6 million of securities backed by 39 commercial mortgage loans that are, in turn, secured by 69 properties. In the property mix is a $100 million loan that is a slice of a larger loan secured by trophy property 590 Madison Ave., located in midtown Manhattan.
The Madison Ave. property boasts investment grade credentials equivalent to a AAA' rating, according to Kroll Bond Rating Agency. Its weighted average (WA) loan-to-value ratio, as measured by Kroll, is 44.9%, serving to lower the overall leverage in the pool to a WA LTV of 96.7%. That's the lowest of any of the 25 conduits rated by the agency in the last six months. Without the loan the figure would be 103.8%.
The entire 590 Madison Ave. loan has a balance of $650 million and is represented by three senior A notes totaling $369.4 million and a subordinated B note totaling $280.6 million. The $100 million senior A-2 note is the one bundled into GSMS 2015-GS1, a $100 million pari passu A-3 note is expected to be dropped into a future CMBS transaction, and a $169.4 million pari passu A-1 note as well as the subordinate B note are backing GSMS 2015-590M securitization.
The loan in the GSMS 2015-GS1 pool represents 12.2% of the transaction balance, which according to Kroll is high relative to other conduits it rates, where the largest loan is typically less than 10.0% of the pool.
While the investment grade property boosts the credit profile of the transaction, the pool also has the highest tertiary market exposure (32.8%) than any of the CMBS conduits rated by Kroll over the past six months, which ranged from 8.3% to 27.3%, and averaged 16.0%. Tertiary market properties are more vulnerable to fluctuations and downturns in the national economy compared to primary market properties.
Kroll has assigned preliminary 'AAA" ratings to the super senior notes that benefit from 30% credit enhancement and the junior/senior notes that benefit from 23.75% credit enhancement.
The trust will also offer subordinate notes that range from 'AA-' to 'B-.' The notes are structured with a final maturity date of November 2048.
The transaction is entirely comprised of loans with 10-year terms. Nearly three-quarters of the pool (23 loans, 71.4%) is comprised of loans that pay only interest for at least a period: 14 (33.1%) pay only interest for a partial term and nine (38.4%) are pay only interest for the entire term. The balance of the pool is comprised of amortizing balloon loans (16 loans, 28.6%) that require principal payments throughout their respective terms.
