Approximately $483.8 Million of Structured Securities Affected
New York, February 24, 2011 -- Moody's Investors Service (Moody's) upgraded the rating of one pooled
class and affirmed the ratings of six pooled classes and six non-pooled,
or rake, classes, of GS Mortgage Securities Corporation II
Commercial Mortgage Pass-Through Certificates Series 2001-GL
III as follows:
Cl. A-2, Affirmed at Aaa (sf); previously on
Aug 20, 2001 Definitive Rating Assigned Aaa (sf)
Cl. X-1, Affirmed at Aaa (sf); previously on
Aug 20, 2001 Definitive Rating Assigned Aaa (sf)
Cl. X-2, Affirmed at Aaa (sf); previously on
Aug 20, 2001 Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Aug 13,
2004 Upgraded to Aaa (sf)
Cl. C, Affirmed at Aa1 (sf); previously on Mar 19,
2009 Downgraded to Aa1 (sf)
Cl. D, Affirmed at Aa3 (sf); previously on Mar 19,
2009 Downgraded to Aa3 (sf)
Cl. E, Upgraded to A2 (sf); previously on Mar 19,
2009 Downgraded to A3 (sf)
Cl. F-919, Affirmed at A1 (sf); previously on
Mar 19, 2009 Downgraded to A1 (sf)
Cl. F-NFC, Affirmed at Aa3 (sf); previously on
Mar 25, 2010 Confirmed at Aa3 (sf)
Cl. F-GGP, Affirmed at A3 (sf); previously on
Mar 25, 2010 Confirmed at A3 (sf)
Cl. G-NFC, Affirmed at Baa2 (sf); previously
on Mar 25, 2010 Downgraded to Baa2 (sf)
Cl. G-GGP, Affirmed at Baa1 (sf); previously
on Mar 25, 2010 Confirmed at Baa1 (sf)
Cl. H-GGP, Affirmed at Baa2 (sf); previously
on Mar 25, 2010 Confirmed at Baa2 (sf)
RATINGS RATIONALE
The upgrade is due to the improved credit quality of the pool due to the
pay-off of the the DDR Portfolio Loan ($146.3 million)
which paid off in February 2011.
The affirmations are due to key parameters, including Moody's
loan to value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable
ranges.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key parameters
may indicate that the collateral's credit quality is stronger or weaker
than Moody's had anticipated during the current review. Even so,
deviation from the expected range will not necessarily result in a rating
action. There may be mitigating or offsetting factors to an improvement
or decline in collateral performance, such as increased subordination
levels due to amortization and loan payoffs or a decline in subordination
due to realized losses.
Primary sources of assumption uncertainty are the current sluggish macroeconomic
environment and varying performance in the commercial real estate property
markets. However, Moody's expects to see increasing or stabilizing
property values, higher transaction volumes, a slowing in
the pace of loan delinquencies and greater liquidity for commercial real
estate in 2011. The hotel and multifamily sectors are continuing
to show signs of recovery, while recovery in the office and retail
sectors will be tied to recovery of the broader economy. The availability
of debt capital continues to improve with terms returning toward market
norms. Moody's central global macroeconomic scenario reflects an
overall sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
The principal methodology used in this rating was Moody's "CMBS:
Moody's Approach to Rating Large Loan/Single Borrower Transactions" published
in July 2000.
Moody's review incorporated the use of the excel-based CMBS Large
Loan Model v 8.0 which is used for both large loan and single borrower
transactions. The large loan model derives credit enhancement levels
based on an aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, property type, and
sponsorship. These aggregated proceeds are then further adjusted
for any pooling benefits associated with loan level diversity, other
concentrations and correlations. The model also incorporates a
supplementary tool to allow for the testing of the credit support at various
rating levels. The scenario or "blow-up" analysis tests
the credit support for a rating assuming that loans in the pool default
with an average loss severity that is commensurate with the rating level
being tested.
Moody's Investors Service did not receive or take into account a third-party
due diligence report on the underlying assets or financial instruments
related to the monitoring of this transaction in the past six months.
Moody's ratings are determined by a committee process that considers both
quantitative and qualitative factors. Therefore, the rating
outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance
of commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of quantitative
tools -- MOST® (Moody's Surveillance Trends) and CMM
(Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated March 25, 2010. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
DEAL PERFORMANCE
As of the February 7, 2011 Payment Date, the transaction's
certificate balance has decreased by 32% to $483.8
million from $709.6 million at securitization due to scheduled
loan amortization and the payoff of one loan in the pool, the DDR
Portfolio Loan. Currently the pool consists of four fixed-rate
loans secured by six properties.
Moody's was provided with operating results for the year-to-date
period ending September 2010 and rent rolls dated September 2010 for each
of the properties in the pool. Moody's weighted average loan
to value (LTV) ratio is 47%, compared to 53% at last
review. Moody's stressed debt service coverage ratio (DSCR)
is 2.20X, compared to 1.98X at last review.
Moody's stressed DSCR is based on Moody's net cash flow (NCF)
and a 9.25 stressed rate applied to the loan balance.
Moody's uses a variation of Herf to measure diversity of loan size,
where a higher number represents greater diversity. Loan concentration
has an important bearing on potential rating volatility, including
risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. Large loan transactions have
a Herf of less than 20. The pool has a Herf of 3 compared to 4
at last review.
The largest loan in the pool is the 919 Third Avenue Loan ($199.3
million -- 47% of the pooled balance). It is secured
by a fee and leasehold interest in a 47-story Class A office tower
located on Third Avenue between East 55th and 56th Streets in New York
City. As of September 2010 the property was 100% leased.
Three long term tenants account for 73% of total net rentable area.
These include two law firms, Schulte Roth & Zabel LLP and Debevoise
& Plimpton LLP, and BNP Paribas. Both Schulte Roth &
Zabel and Debevoise & Plimpton have lease expirations in 2021.
The BNP Paribas lease expires in 2016. The loan has amortized 12%
since securitization due to the 30-year amortization schedule.
Loan maturity is in August 2011. One non-pooled class,
Class F-919, is associated with the 919 Third Avenue Loan.
The loan sponsor is a subsidiary of Reckson Associates Realty Corporation.
Moody's LTV ratio for the pooled debt is 57%, compared
to 59% at last review.
Northridge Fashion Center ($105.5 million -- 25%)
is secured by a portion of a 1.4 million square foot super-regional
shopping center located in Northridge, California. The mall
was substantially rebuilt following the 1994 Northridge earthquake and
was again renovated and expanded in 1998. The mall is anchored
by JC Penney, Macy's, Macy's Home Furnishings
and Macy's Mens, Sears and a Pacific Theatres 10Plex.
In-line mall occupancy, as of September 2010, was 74%.
Comparable in-line tenant sales for calendar year 2010 were $461
per square foot for tenants occupying less than 10,000 square feet,
compared to $436 and $526 per square foot in 2009 and 2008,
respectively. The loan has amortized 12% since securitization
due to the 30-year amortization schedule. The loan sponsor
is General Growth Properties Inc. (GGP). GGP emerged from
Chapter 11 bankruptcy protection on November 10, 2011. The
loan matures in July 2011. However, if no Insolvency Event
occurs prior to July 2011 the borrower may extend the loan to December
2014. Two non-pooled classes are associated with the Northridge
Fashion Center Loan. These are Classes F-NFC and G-NFC.
Moody's LTV ratio for the pooled debt is 48%, the same
as at last review.
The GGP Portfolio Loan ($58.3 million -- 14%)
is secured by the borrower's interest in three regional shopping centers
located in tertiary retail markets in Missouri, Oregon and Kentucky.
The malls are the Capital Mall located in Jefferson City Missouri,
Gateway Mall located in Springfield, Oregon and Greenwood Mall located
in Bowling Green, Kentucky. The malls are anchored by Dillard's,
JC Penney, Sears and Capital 8 Theaters (Capital Mall); Kohl's,
Sears, Target and Cabela's (Gateway Mall); and Dillard's,
JC Penney, Macy's and Sears (Greenwood Mall). In-line
portfolio occupancy, as of September 2010, was 76%,
ranging from 60% at Gateway Mall to 65% at Capital Mall
and 89% at Greenwood Mall. Comparable in-line tenant
sales for calendar year 2010 averaged $283 per square foot for
tenants occupying less than 10,000 square feet, compared to
$273 and $272 per square foot in 2009 and 2008, respectively.
The loan has amortized 12% since securitization due the 30-year
amortization schedule. The loan sponsor is GGP. The loan
matures in April 2011. However, if no Insolvency Event occurs
prior to April 2011 the borrower may extend the loan to October 2014.
Four non-pooled classes are associated with the GGP Portfolio Loan.
These are Classes F-GGP, G-GGP, H-GGP
and J-GGP. Moody's LTV ratio for the pooled debt is
48%, the same as at last review.
Willowbrook Mall ($57.1 million -- 14%) is secured
by the borrower's interest in a 1.5 million square foot super-regional
mall located in Houston, Texas. The mall is anchored by Dillard's,
Macy's, JC Penney and Sears. None of the anchor stores
are included in the loan collateral. In-line mall space
was 97% leased as of September 2010. Comparable in-line
tenant sales for calendar year 2010 were $508 per square foot for
tenants occupying less than 10,000 square feet, compared to
$491 and $520 per square foot in 2009 and 2008, respectively.
The loan has amortized 14% since securitization due to the 30-year
amortization schedule. The loan sponsor is a 50/50 joint venture
between GGP and the New York State Common Retirement Fund. The
loan matures in April 2011. The borrower has indicated its intention
to pay the loan off by the maturity date. Moody's LTV ratio
is 30%, compared to 39% at last review.
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, and confidential and proprietary Moody's Analytics
information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
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.
New York
Jay Rosen
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Michael M. Gerdes
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Upgrades One Pooled CMBS Class of GS Mortgage Securities Corporation II 2001-GL III
