KBRA announces the assignment of ratings to four classes of GSMS 2023-SHIP, a CMBS single-borrower securitization.

The collateral for the transaction is a $1.035 billion non-recourse, first lien mortgage loan originated by Goldman Sachs Bank USA. The fixed rate loan has a three-year term and requires monthly interest-only payments based on a fixed rate of 5.38%. There is also expected to be a $150.0 million mezzanine loan. The mortgage loan will be secured by the borrower's fee simple interests in 12 industrial assets which are 100.0% leased to Amazon.com Services LLC and guaranteed by Amazon.com Inc. (NASDAQ: AMZN), a High Quality Credit Worthy Tenant (HQCWT), on a NNN basis. The transaction has a remaining portfolio weighted average lease term of 14.2 years, approximately 11 years past loan maturity. The properties total approximately 8.9 million sf and are located in nine different secondary and tertiary MSAs across 10 states, with five state exposures each representing more than 10.0% of the pool balance: New Mexico (20.6%), Ohio (14.7%), North Dakota (11.7%), Alabama (10.1%), and Washington (10.0%). The assets were recently built between 2020 and 2022 and represent a variety of different Amazon facilities including sortation, cross-dock, and Amazon robotics facilities.

KBRA’s analysis of the transaction included a detailed evaluation of the properties’ cash flows using our U.S. CMBS Property Evaluation Methodology and the application of our U.S. CMBS Single Borrower & Large Loan Rating Methodology. In addition, KBRA also relied on its Global Structured Finance Counterparty Methodology for assessing counterparty risk in this transaction and its ESG Global Rating Methodology, to the extent deemed applicable.

The results of our analysis yielded a KBRA net cash flow (KNCF) for the portfolio of approximately $74.4 million, which is 9.3% below the issuer’s NCF, and an aggregate KBRA value of approximately $992.5 million ($111 per sf), which is 37.6% less than the appraiser’s aggregate as-is appraised value of $1.6 billion. The resulting in-trust KBRA Loan to Value (KLTV) is 104.3%. In our analysis of the transaction, we also reviewed and considered third-party engineering, environmental, and appraisal reports, the results of our site inspection of the property, and legal documentation review.

To access ratings and relevant documents, click here.

Click here to view the report.

Related Publications

• U.S. CMBS Single Borrower & Large Loan Rating Methodology
• U.S. CMBS Property Evaluation Methodology
• Global Structured Finance Counterparty Methodology
• ESG Global Rating Methodology

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

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