Approximately $532.6 Million of Structured Securities Affected
New York, November 03, 2017 -- Moody's Investors Service has affirmed the ratings of nine classes in
GS Mortgage Securities Trust 2010-C2 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Nov
4, 2016 Affirmed Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Nov
4, 2016 Affirmed Aaa (sf)
Cl. B, Affirmed Aa1 (sf); previously on Nov 4,
2016 Affirmed Aa1 (sf)
Cl. C, Affirmed Aa3 (sf); previously on Nov 4,
2016 Affirmed Aa3 (sf)
Cl. D, Affirmed Baa3 (sf); previously on Nov 4,
2016 Affirmed Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on Nov 4,
2016 Affirmed Ba2 (sf)
Cl. F, Affirmed B2 (sf); previously on Nov 4,
2016 Affirmed B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Nov
4, 2016 Affirmed Aaa (sf)
Cl. X-B, Affirmed Ba3 (sf); previously on Nov
4, 2016 Affirmed Ba3 (sf)
RATINGS RATIONALE
The ratings on the seven P&I Classes were affirmed due to the transaction's
key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR).
The ratings on two IO Classes, Classes X-A and X-B,
were affirmed based on the credit performance of the referenced classes.
Moody's rating action reflects a base expected loss of 0.6%
of the current balance, compared to 0.8% at Moody's
last review. Moody's base expected loss plus realized losses is
now 0.4% of the original pooled balance, compared
to 0.5% at securitization. Moody's provides
a current list of base expected losses for conduit and fusion CMBS transactions
on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. Performance
that falls outside the given range can indicate that the collateral's
credit quality is stronger or weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a significant
amount of loan paydowns or amortization, an increase in the pool's
share of defeasance or an improvement in pool performance.
Factors that could lead to a downgrade of the ratings include a decline
in the performance of the pool, loan concentration, an increase
in realized and expected losses from specially serviced and troubled loans
or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in July 2017, and "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower CMBS"
published in July 2017. Please see the Rating Methodologies page
on www.moodys.com for a copy of these methodologies.
Additionally, the methodology used in rating Cl. X-A
and Cl. X-B was "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017. Please
see the Rating Methodologies page on www.moodys.com for
a copy of this methodology.
DEAL PERFORMANCE
As of the October 13, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 1.7% to $561.1
million from $876.4 million at securitization. The
certificates are collateralized by 27 mortgage loans ranging in size from
less than 1% to 15% of the pool, with the top ten
loans constituting 69% of the pool. Three loans, constituting
16% of the pool, have investment-grade structured
credit assessments. Five loans, constituting 11% of
the pool, has defeased and is secured by US government securities.
Two loans, constituting 10% of the pool, are on the
master servicer's watchlist. The watchlist includes loans
that meet certain portfolio review guidelines established as part of the
CRE Finance Council (CREFC) monthly reporting package. As part
of Moody's ongoing monitoring of a transaction, the agency
reviews the watchlist to assess which loans have material issues that
could affect performance.
There are no loans in special servicing and no loans have been liquidated
from the pool.
Moody's received full year 2016 and partial year 2017 operating results
for 100% of the pool. Moody's weighted average conduit
LTV is 83.2%, compared to 81.1% at last
review. Moody's conduit component excludes loans with structured
credit assessments, defeased and CTL loans, and specially
serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 21.7% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 1.68X and 1.31X,
respectively, compared to 1.73X and 1.33X at the last
review. Moody's actual DSCR is based on Moody's NCF
and the loan's actual debt service. Moody's stressed
DSCR is based on Moody's NCF and a 9.25% stress rate
the agency applied to the loan balance.
The largest loan with a structured credit assessment is the Cole Portfolio
I Loan ($31.5 million -- 5.6% of the
pool), which is secured by a portfolio of 20 single tenant properties
located across 13 states. The portfolio consists of 17 retail properties,
two industrial properties and one ground leased parcel that is improved
with a retail building. In aggregate, the portfolio contains
approximately 555,100 square feet (SF) and was 100% leased
as of June 2017, the same as at last review. Moody's structured
credit assessment and stressed DSCR are aa3 (sca.pd) and 1.58X,
respectively.
The second largest loan with a structured credit assessment is the Cole
Portfolio II Loan ($30.0 million -- 5.3%
of the pool), which is secured by a 14 single tenant properties
and one multi-tenant industrial property located across 11 states.
In aggregate, the portfolio contains approximately 331,500
SF and was 100% leased as of June 2017. Moody's structured
credit assessment and stressed DSCR are a1 (sca.pd) and 1.55X,
respectively.
The third largest loan with a structured credit assessment is the Payless
and Brown Industrial Portfolio ($27.4 million -- 4.9%
of the pool), which is secured by two single tenant industrial properties.
The Payless Distribution Center represents the larger of the two properties
and totals approximately 802,000 SF of the Northbrook Industrial
Park in Brookville, Ohio. The property was built in 2008
and has 32' ceiling heights, three grade drive-in doors,
76 dock high doors, and approximately 25,000 SF of office
space. The remainder of the collateral is represented by the Brown
Shoe Distribution Center, a 352,000 SF warehouse/distribution
building located in Lebec, California. The property was built
in 2008 and has 32' ceiling heights, a single grade drive-in
door, 38 exterior docks with levelers and approximately 12,000
SF of office space. The portfolio is exposed to concentration risk
as two tenants occupy all of the NRA. Moody's structured
credit assessment and stressed DSCR are baa1 (sca.pd) and 1.57X,
respectively.
The top three conduit loans represent 33% of the pool balance.
The largest loan is the 52 Broadway Loan ($83.8 million
-- 14.9% of the pool), which is secured by a
19-story, 400,000 SF, Class B office building
located in downtown Manhattan, New York. The property was
constructed in 1982 and renovated in 2002. The United Federation
of Teachers has occupied the entire building since the 2002 renovation.
They are currently operating under a long term net lease expiring in August
2034. Moody's LTV and stressed DSCR are 99.6% and
1.02X, respectively, compared to 101.3%
and 1.00X at the last review.
The second largest conduit loan is the Station Square Loan ($55.9
million -- 10.0% of the pool), which is secured
by a 670,000 SF mixed use property located in Pittsburgh,
Pennsylvania. The property is comprised of four buildings containing
449,000 SF of office space and 220,000 SF of retail space,
two open-air parking lots offering approximately 2,500 spaces,
a covered parking garage offering 1,210 spaces, docks leased
to the Gateway Clipper Fleet, marina slips, an outdoor amphitheater
leased to a third party operator and land under a gas stations owned by
a third party operator. The age of the improvements vary,
with the oldest structure built in 1897 and the newest structure built
in 2001. Moody's LTV and stressed DSCR are 79% and 1.30X,
respectively, compared to 80.4% and 1.28X at
the last review.
The third largest loan is the 123 South Broad Loan ($43.8
million -- 7.8% of the pool), which is secured
by two interconnected Class B office buildings located in the central
business district of Philadelphia, PA. The two buildings
are referred to as the Wells Fargo Building and the Witherspoon Building.
The property was 71% leased as of June 2017, compared to
95% in June 2016 and 85% at securitization. There
were 24 vacant units totaling over 180,000 SF. Property performance
has declined in 2017 due to the increase in vacancy. Moody's LTV
and stressed DSCR are 89.2% and 1.21X, respectively,
compared to 68% and 1.51X at the last review.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's did not use any stress scenario simulations in its analysis.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the credit rating action on the support provider and in relation to
each particular credit rating action for securities that derive their
credit ratings from the support provider's credit rating.
For provisional ratings, this announcement provides certain regulatory
disclosures in relation to the provisional rating assigned, and
in relation to a definitive rating that may be assigned subsequent to
the final issuance of the debt, in each case where the transaction
structure and terms have not changed prior to the assignment of the definitive
rating in a manner that would have affected the rating. For further
information please see the ratings tab on the issuer/entity page for the
respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Tulay Sangiray
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Matthew Halpern
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
