Fitch Ratings has assigned the following ratings and Rating Outlooks for
GS Mortgage Securities Trust (GSMS) 2016-GS3 Commercial Mortgage
Pass-Through Certificates, Series 2016-GS3.
-- $28,475,000 class A-1 'AAAsf'; Outlook Stable;
-- $77,052,000 class A-2 'AAAsf'; Outlook Stable;
-- $265,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $320,243,000 class A-4 'AAAsf'; Outlook Stable;
-- $57,066,000 class A-AB 'AAAsf'; Outlook Stable;
-- $841,316,000b class X-A 'AAAsf'; Outlook Stable;
-- $53,417,000b class X-B 'AA-sf'; Outlook Stable;
-- $93,480,000c class A-S 'AAAsf'; Outlook Stable;
-- $53,417,000c class B 'AA-sf'; Outlook Stable;
-- $192,301,000c class PEZ 'A-sf'; Outlook Stable;
-- $45,404,000c class C 'A-sf'; Outlook Stable;
-- $53,417,000a class D 'BBB-sf'; Outlook Stable;
-- $53,417,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $24,038,000a class E 'BB-sf'; Outlook Stable;
-- $10,683,000a class F 'B-sf'; Outlook Stable;
-- $40,063,502a class G 'NR'.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest only.
(c) Class A-S, B and C certificates may be exchanged for class PEZ
certificates, and class PEZ certificates may be exchanged for class A-S,
B and C certificates.
Since Fitch published its expected ratings on Sept. 14, 2016, the
notional balance of the interest-only class X-B changed from $98,821,000
to $53,417,000. The rating for the class changed from 'A-sf' to 'AA-sf'.
These ratings are based on information provided by the issuer as of
Sept. 13, 2016. Fitch does not rate the $40,063,502 class G.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 34 loans secured by 152 commercial
properties having an aggregate principal balance of approximately $1.07
billion as of the cut-off date. The loans were contributed to the trust
by Goldman Sachs Mortgage Company.
Fitch reviewed a comprehensive sample of the transaction's collateral,
including site inspections on 70.6% of the properties by balance and
cash flow analysis of 92.9% of the pool.
The transaction has a Fitch stressed debt service coverage ratio (DSCR)
of 1.30x, a Fitch stressed loan-to-value (LTV) of 97.2%, and a Fitch
debt yield of 9.9%. Fitch's aggregate net cash flow represents a
variance of 11.4% to issuer cash flows.
KEY RATING DRIVERS
Lower Fitch Leverage: The Fitch stressed DSCR on the trust-specific debt
is 1.30x, higher than the 2015 and YTD 2016 averages of 1.18x and 1.18x,
respectively. The Fitch stressed LTV ratio on the trust-specific debt is
97.2%, lower than the 2015 and YTD 2016 averages of 109.3% and 106.5%,
respectively, for the other Fitch-rated deals.
Highly Concentrated Pool: The largest 10 loans in the transaction
comprise 62.1% of the pool by balance. Compared to other Fitch-rated
U.S. multiborrower deals, the concentration in this transaction is
higher than the 2015 and YTD 2016 average concentrations of 49.3% and
55.3%, respectively. The pool's concentration results in a loan
concentration index (LCI) of 486, which is higher than the 2015 average
of 367 and 2016 YTD average of 428.
Credit Opinion Loans: Three loans in the pool, representing 21.5% of the
total pool balance, received investment-grade credit opinions. The
largest loan in the pool, 10 Hudson Yards (8.2% of the pool), received
an investment-grade credit opinion of 'AAAsf' on a fusion basis. The
second largest loan, 540 West Madison (8.1% of the pool), received an
investment-grade opinion of 'A+sf' on a fusion basis. Veritas
Multifamily Pool 1 (5.2% of the pool) received an investment-grade
credit opinion of 'AAAsf' on a fusion basis.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 5.8% below the
most recent year's net operating income (NOI); for properties for which
a full-year NOI was provided, excluding properties that were stabilizing
during this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted loans
and in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to GSMS 2016-GS3
certificates and found that the transaction displays average
sensitivities to further declines in NCF. In a scenario in which NCF
declined a further 20% from Fitch's NCF, a downgrade of the junior
'AAAsf' certificates to 'A-sf' could result. In a more severe scenario,
in which NCF declined a further 30% from Fitch's NCF, a downgrade of the
junior 'AAAsf' certificates to 'BBBsf' could result. The presale report
includes a detailed explanation of additional stresses and sensitivities
on page 11.
DUE DILIGENCE USAGE
Fitch was provided with due diligence information from Ernst & Young LL.
The due diligence focused on a comparison and re-computation of certain
characteristics with respect to each of the mortgage loans. Fitch
considered this information in its analysis and the findings did not
have an impact on our analysis. A copy of the ABS Due Diligence Form-15E
received by Fitch in connection with this transaction may be obtained
through the link contained on the bottom of the related rating action
commentary.
Additional information is available at www.fitchratings.com.
Applicable Criteria
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01
Sep 2016)
https://www.fitchratings.com/site/re/886006
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage
Transactions (pub. 18 Aug 2016)
https://www.fitchratings.com/site/re/885802
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial
Mortgage Transactions (pub. 01 Jul 2016)
https://www.fitchratings.com/site/re/882237
Criteria for Rating Caps and Limitations in Global Structured Finance
Transactions (pub. 16 Jun 2016)
https://www.fitchratings.com/site/re/882401
Global Structured Finance Rating Criteria (pub. 27 Jun 2016)
https://www.fitchratings.com/site/re/883130
Rating Criteria for Structured Finance Servicers (pub. 01 Jul 2016)
https://www.fitchratings.com/site/re/884140
Rating Criteria for U.S. Commercial Mortgage Servicers (pub. 14 Feb 2014)
https://www.fitchratings.com/site/re/735382
U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S.
Re-REMIC Criteria (pub. 13 Nov 2015)
https://www.fitchratings.com/site/re/873395
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1012492
ABS Due Diligence Form 15E 1
https://www.fitchratings.com/creditdesk/press_releases/content/ridf15E_frame.cfm?pr_id=1012492&flm_nm=15e_1012492_1.pdf
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1012492
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND
DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING
THIS LINK: HTTPS://WWW.FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS.
IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE
AVAILABLE ON THE AGENCY'S PUBLIC WEB SITE AT WWW.FITCHRATINGS.COM.
PUBLISHED RATINGS, CRITERIA, AND METHODOLOGIES ARE AVAILABLE FROM THIS
SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS
OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE, AND OTHER RELEVANT POLICIES
AND PROCEDURES ARE ALSO AVAILABLE FROM THE CODE OF CONDUCT SECTION OF
THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE
RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR
RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY
CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH
WEBSITE.
Copyright © 2016 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its
subsidiaries. 33 Whitehall Street, NY, NY 10004. Telephone:
1-800-753-4824, (212) 908-0500. Fax: (212) 480-4435. Reproduction or
retransmission in whole or in part is prohibited except by permission.
All rights reserved. In issuing and maintaining its ratings and in
making other reports (including forecast information), Fitch relies on
factual information it receives from issuers and underwriters and from
other sources Fitch believes to be credible. Fitch conducts a reasonable
investigation of the factual information relied upon by it in accordance
with its ratings methodology, and obtains reasonable verification of
that information from independent sources, to the extent such sources
are available for a given security or in a given jurisdiction. The
manner of Fitch's factual investigation and the scope of the third-party
verification it obtains will vary depending on the nature of the rated
security and its issuer, the requirements and practices in the
jurisdiction in which the rated security is offered and sold and/or the
issuer is located, the availability and nature of relevant public
information, access to the management of the issuer and its advisers,
the availability of pre-existing third-party verifications such as audit
reports, agreed-upon procedures letters, appraisals, actuarial reports,
engineering reports, legal opinions and other reports provided by third
parties, the availability of independent and competent third- party
verification sources with respect to the particular security or in the
particular jurisdiction of the issuer, and a variety of other factors.
Users of Fitch's ratings and reports should understand that neither an
enhanced factual investigation nor any third-party verification can
ensure that all of the information Fitch relies on in connection with a
rating or a report will be accurate and complete. Ultimately, the issuer
and its advisers are responsible for the accuracy of the information
they provide to Fitch and to the market in offering documents and other
reports. In issuing its ratings and its reports, Fitch must rely on the
work of experts, including independent auditors with respect to
financial statements and attorneys with respect to legal and tax
matters. Further, ratings and forecasts of financial and other
information are inherently forward-looking and embody assumptions and
predictions about future events that by their nature cannot be verified
as facts. As a result, despite any verification of current facts,
ratings and forecasts can be affected by future events or conditions
that were not anticipated at the time a rating or forecast was issued or
affirmed.
The information in this report is provided "as is" without any
representation or warranty of any kind, and Fitch does not represent or
warrant that the report or any of its contents will meet any of the
requirements of a recipient of the report. A Fitch rating is an opinion
as to the creditworthiness of a security. This opinion and reports made
by Fitch are based on established criteria and methodologies that Fitch
is continuously evaluating and updating. Therefore, ratings and reports
are the collective work product of Fitch and no individual, or group of
individuals, is solely responsible for a rating or a report. The rating
does not address the risk of loss due to risks other than credit risk,
unless such risk is specifically mentioned. Fitch is not engaged in the
offer or sale of any security. All Fitch reports have shared authorship.
Individuals identified in a Fitch report were involved in, but are not
solely responsible for, the opinions stated therein. The individuals are
named for contact purposes only. A report providing a Fitch rating is
neither a prospectus nor a substitute for the information assembled,
verified and presented to investors by the issuer and its agents in
connection with the sale of the securities. Ratings may be changed or
withdrawn at any time for any reason in the sole discretion of Fitch.
Fitch does not provide investment advice of any sort. Ratings are not a
recommendation to buy, sell, or hold any security. Ratings do not
comment on the adequacy of market price, the suitability of any security
for a particular investor, or the tax-exempt nature or taxability of
payments made in respect to any security. Fitch receives fees from
issuers, insurers, guarantors, other obligors, and underwriters for
rating securities. Such fees generally vary from US$1,000 to US$750,000
(or the applicable currency equivalent) per issue. In certain cases,
Fitch will rate all or a number of issues issued by a particular issuer,
or insured or guaranteed by a particular insurer or guarantor, for a
single annual fee. Such fees are expected to vary from US$10,000 to
US$1,500,000 (or the applicable currency equivalent). The assignment,
publication, or dissemination of a rating by Fitch shall not constitute
a consent by Fitch to use its name as an expert in connection with any
registration statement filed under the United States securities laws,
the Financial Services and Markets Act of 2000 of the United Kingdom, or
the securities laws of any particular jurisdiction. Due to the relative
efficiency of electronic publishing and distribution, Fitch research may
be available to electronic subscribers up to three days earlier than to
print subscribers.
For Australia, New Zealand, Taiwan and South Korea only: Fitch Australia
Pty Ltd holds an Australian financial services license (AFS license no.
337123) which authorizes it to provide credit ratings to wholesale
clients only. Credit ratings information published by Fitch is not
intended to be used by persons who are retail clients within the meaning
of the Corporations Act 2001.
View source version on businesswire.com: http://www.businesswire.com/news/home/20160930005795/en/
Canada
Deutschland
España
France
Italia
Schweiz (DE)
United Kingdom
