NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks for GS Mortgage Securities Trust (GSMS) 2015-GS1 commercial mortgage pass-through certificates:
--$29,163,000 class A-1 'AAAsf'; Outlook Stable;
--$200,000,000 class A-2 'AAAsf'; Outlook Stable;
--$297,565,000 class A-3 'AAAsf'; Outlook Stable;
--$47,694,000 class A-AB 'AAAsf'; Outlook Stable;
--$625,710,000b class X-A 'AAAsf'; Outlook Stable;
--$43,082,000b class X-B 'AA-sf'; Outlook Stable;
--$51,288,000c class A-S 'AAAsf'; Outlook Stable;
--$43,082,000c class B 'AA-sf'; Outlook Stable;
--$141,554,000c class PEZ 'A-sf'; Outlook Stable;
--$47,184,000c class C 'A-sf'; Outlook Stable;
--$42,056,000 class D 'BBB-sf'; Outlook Stable;
--$42,056,000b class X-D 'BBB-sf'; Outlook Stable;
--$20,515,000a class E 'BB-sf'; Outlook Stable;
--$8,207,000a class F 'B-sf'; Outlook Stable.
(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.
A full list of rating actions follows at the end of this ratings action commentary.
The ratings are based on information provided by the issuer as Nov. 3, 2015. Fitch does not expect to rate the $33,849,000 class G.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 39 loans secured by 69 commercial properties having an aggregate principal balance of approximately $820.6 million as of the cut-off date. The loans were contributed to the trust by Goldman Sachs Mortgage Company and Cantor Commercial Real Estate Lending, L.P.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 75.9% of the properties by balance, cash flow analysis of 87.6%, and asset summary reviews on 100% of the pool.
KEY RATING DRIVERS
Fitch Leverage Below Recent Transactions: The Fitch debt service coverage ratio (DSCR) and loan to value (LTV) are 1.24x and 102.2%, respectively. The leverage metrics for this transaction are better than for other recent Fitch-rated fixed-rate multiborrower transactions. The 2015 year-to-date (YTD) average DSCR and LTV are 1.19x and 109.6% and the 2014 average DSCR and LTV were 1.19x and 106.2%, respectively.
High Pool Concentration: The top 10 loans comprise 65.5% of the pool, which is much higher than recent averages of 48.5% and 50.5% for YTD 2015 and 2014, respectively. Additionally, the LCI is 564 and the SCI is 589, both of which are higher than recent respective averages of 349 and 384 for YTD 2015.
Investment-Grade Credit Opinion Loan: The largest loan in the pool, 590 Madison (12.2% of the pool), was assigned an 'AAA' credit opinion within the context of this pool.
High Quality Collateral: Two properties, 590 Madison Avenue and Element LA, were assigned Fitch's highest property quality grade of 'A' and Deerfield Crossing was assigned a grade of 'A-'. These three properties total 32.8% of the pool in which site inspections were performed. The majority of the inspected pool (57.9%) was assigned a property quality grade of 'B+' or 'B'. Only 9.3% of the inspected pool was assigned a property quality grade of 'B-', indicating below average property quality.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 4.9% below the most recent year's net operation income (NOI; for properties for which a full year NOI was provided, excluding properties that were stabilizing during this period). The following rating sensitivities describe how the ratings would react to further NCF declines below Fitch's NCF. The implied rating sensitivities are only indicative of some of the potential outcomes and do not consider other risk factors to which the transaction is exposed. Stressing additional risk factors may result in different outcomes. Furthermore, the implied ratings, after the further NCF stresses are applied, are more akin to what the ratings would be at deal issuance had those further stressed NCFs been in place at that time.
Fitch evaluated the sensitivity of the ratings assigned to GSMS 2015-GS1 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the senior 'AAAsf' certificates to 'Asf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the senior 'AAAsf' certificates to 'BBB+sf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on pages 11 - 12.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from Ernst & Young LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to each of the 39 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. 14 May 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions (pub. 27 Aug 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=870009
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 28 May 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=865499
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952
Rating Criteria for Structured Finance Servicers (pub. 23 Apr 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864375
Rating Criteria for U.S. Commercial Mortgage Servicers (pub. 14 Feb 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=735382
U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria (pub. 13 Nov 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=873395
Related Research
GSMS 2015-GS1 Commercial Mortgage Trust -- Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=873518
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=995730
ABS Due Diligence Form 15E 1
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=995730
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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