Approximately $663.2 million of structured securities affected
New York, March 04, 2019 -- Moody's Investors Service ("Moody's") has upgraded
the ratings on four classes and affirmed the ratings on three classes
in GS Mortgage Securities Trust 2011-GC3 Commercial Mortgage Pass-Through
Certificates, Series 2011-GC3 as follows:
Cl. A-4, Affirmed Aaa (sf); previously on Dec
14, 2017 Affirmed Aaa (sf)
Cl. B, Upgraded to Aaa (sf); previously on Dec 14,
2017 Affirmed Aa1 (sf)
Cl. C, Upgraded to Aa2 (sf); previously on Dec 14,
2017 Affirmed A1 (sf)
Cl. D, Upgraded to A3 (sf); previously on Dec 14,
2017 Affirmed Baa2 (sf)
Cl. E, Upgraded to Baa3 (sf); previously on Dec 14,
2017 Affirmed Ba2 (sf)
Cl. F, Affirmed B2 (sf); previously on Dec 14,
2017 Affirmed B2 (sf)
Cl. X*, Affirmed B1 (sf); previously on Dec 14,
2017 Affirmed B1 (sf)
* Reflects Interest Only Classes
RATINGS RATIONALE
The ratings on four principal and interest (P&I) classes were upgraded
due to a significant increase in defeasance (50% of the current
pool balance compared to 9% at the last review).
The ratings on two remaining P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value
(LTV) ratio, Moody's stressed debt service coverage ratio (DSCR)
and the transaction's Herfindahl Index (Herf), are within
acceptable ranges.
The rating on the IO class was affirmed based on the credit quality of
the referenced classes.
Moody's rating action reflects a base expected loss of 0.2%
of the current pooled balance, compared to 1.7% at
Moody's last review. Moody's base expected loss plus realized
losses is now 0.1% of the original pooled balance,
compared to 0.9% at the last review. 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 ratings all classes except interest-only
class 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. The methodologies used in
rating interest-only class were "Approach to Rating US and Canadian
Conduit/Fusion CMBS" published in July 2017, "Moody's Approach to
Rating Large Loan and Single Asset/Single Borrower CMBS" published in
July 2017, and "Moody's Approach to Rating Structured Finance Interest
Only (IO) Securities" published in February 2019. Please see the
list of ratings at the top of this announcement to identify which classes
are interest-only (indicated by the *). Please see the
Rating Methodologies page on www.moodys.com for a copy of
these methodologies.
DEAL PERFORMANCE
As of the January 11, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 49.9% to
$701.7 million from $1.4 billion at securitization.
The certificates are collateralized by 35 mortgage loans ranging in size
from less than 1% to 13.5% of the pool, with
the top ten loans (excluding defeasance) constituting 46.5%
of the pool. Twenty loans, constituting 50.1%
of the pool, have defeased and are secured by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity.
Loan concentration has an important bearing on potential rating volatility,
including the risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. The pool has a Herf of 6,
compared to 12 at Moody's last review.
Two loans, constituting 3.3% 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.
No loans have been liquidated from the pool. No loans are currently
in special servicing.
Moody's received full year 2017 operating results and full or partial
year 2018 operating results for 100.0% of the pool (excluding
specially serviced and defeased loans). Moody's weighted
average conduit LTV is 69%, compared to 76% at Moody's
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 20% to the most recently
available net operating income (NOI). Moody's value reflects
a weighted average capitalization rate of 9.6%.
Moody's actual and stressed conduit DSCRs are 2.02X and 1.58X,
respectively, compared to 1.74X and 1.43X 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 top three conduit loans represent 32.7% of the pool
balance. The largest loan is the Cape Cod Mall Loan ($88.5
million -- 12.6% of the pool), which is secured
by 521,881 square feet (SF) portion of a 722,000 SF Simon
regional mall located in Hyannis, Massachusetts. The mall
is anchored by Macy's, Macy's Home and Sears. The improvements
and land for Macy's and Macy's Home are not part of the collateral.
As of September 2018, the collateral space was 97% leased,
compared to 96% leased as of June 2017. The loan has amortized
approximately 12% since securitization. Moody's LTV and
stressed DSCR are 83% and 1.30X, respectively,
compared to 85% and 1.27X at the last review.
The second largest loan is the Whalers Village Loan ($80.0
million -- 11.4% of the pool), which is secured
by a 110,521 SF open-air lifestyle center located on Maui's
Ka'anapali Beach in Lahaina, Hawaii. As of September
2018, the property was 94% occupied by 78 retail tenants
and restaurants. Moody's LTV and stressed DSCR are 55% and
1.71X, respectively, compared to 60% and 1.58X
at the last review.
The third largest loan is the Oxford Valley Mall Loan ($61.0
million -- 8.7% of the pool), which is secured
by a super-regional mall, a retail shopping center and an
office building located in Middletown Township, Pennsylvania.
The office building is freely releasable under the terms of the loan.
Moody's has not attributed any value to the office component of the collateral
since securitization. As of September 2018, the collateral
space was 81% leased, compared to 82% leased as of
June 2017. The loan has amortized approximately 14% since
securitization. Moody's LTV and stressed DSCR are 76% and
1.53X, respectively.
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.
Biao He
Asst Vice President - 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
Romina Padhi
VP - Senior Credit Officer
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
