Approximately $1.4 Billion of Structured Securities Affected
New York, March 18, 2011 -- Moody's Investors Service has assigned provisional to ratings ten class
of CMBS securities, issued by GSMCS 2011-GC3, Commercial
Mortgage Pass-Through Certificates, Series 2011-GC3.
US$86M Cl. A-1 Certificate, Assigned (P)Aaa
US$399M Cl. A-2 Certificate, Assigned (P)Aaa
US$128M Cl. A-3 Certificate, Assigned (P)Aaa
US$532.011M Cl. A-4 Certificate, Assigned
US$59.526M Cl. B Certificate, Assigned (P)Aa3
US$54.275M Cl. C Certificate, Assigned (P)A3
US$59.526M Cl. D Certificate, Assigned (P)Baa3
US$24.511M Cl. E Certificate, Assigned (P)Ba2
US$19.259M Cl. F Certificate, Assigned (P)B2
Cl. X Certificate, Assigned (P)Aaa (sf)
The Certificates are collateralized by 57 fixed rate loans secured by
111 properties. The ratings are based on the collateral and the
structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real estate
and structured finance analysis. Based on commercial real estate
analysis, Moody's determines the credit quality of each mortgage
loan and calculates an expected loss on a loan specific basis.
Under structured finance, the credit enhancement for each certificate
typically depends on the expected frequency, severity, and
timing of future losses. Moody's also considers a range of qualitative
issues as well as the transaction's structural and legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which
is largely driven by each loan's DSCR, and 2) Moody's
assessment of the severity of loss upon a default, which is largely
driven by each loan's LTV ratio.
The Moody's Actual DSCR of 1.71X is higher than the 2007
conduit/fusion transaction average of 1.31X. The Moody's
Stressed DSCR of 1.22X is higher than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 89.6% is lower than the
2007 conduit/fusion transaction average of 110.6%.
Moody's Total LTV ratio (inclusive of subordinated debt) of 92.0%
is also considered when analyzing various stress scenarios for the rated
Moody's also considers both loan level diversity and property level
diversity when selecting a ratings approach.
With respect to loan level diversity, the pool's loan level
Herfindahl Index is 23. The score is within the band of Herfindahl
scores found in most multi-borrower transactions issued since 2009.
With respect to property level diversity, the pool's property
level Herfindahl Index is 34. The transaction's property
diversity profile is higher than the indices calculated in most multi-borrower
transactions issued since 2009.
Moody's also grades properties on a scale of 1 to 5 (best to worst) and
considers those grades when assessing the likelihood of debt payment.
The factors considered include property age, quality of construction,
location, market, and tenancy. The pool's weighted
average property quality grade is 2.25, which is in the band
of average grades found in previously rated conduit and fusion securitizations.
The transaction benefits from four loans, representing approximately
6.0% of the pool balance in aggregate, assigned an
investment grade credit estimate. Loans assigned investment grade
credit estimates are not expected to contribute any loss to a transaction
in low stress scenarios, but are expected to contribute minimal
amounts of loss in high stress scenarios.
The principal methodology used in this rating was "CMBS: Moody's
Approach to Rating Fusion Transactions" published in April 2005.
Moody's analysis employs the excel-based CMBS Conduit Model v2.50
which derives credit enhancement levels based on an aggregation of adjusted
loan level proceeds derived from Moody's loan level DSCR and LTV ratios.
Major adjustments to determining proceeds include loan structure,
property type, sponsorship and diversity.
The V Score for this transaction is assessed as Low/Medium, the
same as the V score assigned to the U.S. Conduit and CMBS
sector. This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average disclosure
of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of available
credit information and the potential variability around the various inputs
to a rating determination. The V Score ranks transactions by the
potential for significant rating changes owing to uncertainty around the
assumptions due to data quality, historical performance, the
level of disclosure, transaction complexity, the modeling,
and the transaction governance that underlie the ratings. V Scores
apply to the entire transaction (rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the collateral
used in determining the initial rating were decreased by 5%,
14%, or 23%, the model-indicated rating
for the currently rated Aaa classes would be Aa1, Aa2, A1,
respectively. Parameter Sensitivities are not intended to measure
how the rating of the security might migrate over time; rather they
are designed to provide a quantitative calculation of how the initial
rating might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each scenario
from a quantitative/model-indicated standpoint. Qualitative
factors are also taken into consideration in the ratings process,
so the actual ratings that would be assigned in each case could vary from
the information presented in the Parameter Sensitivity analysis.
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's Investors
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
MD - Structured Finance
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's Assigns Provisional Ratings to Ten CMBS Classes of GSMSC 2011-GC3
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