NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks for GS Mortgage Securities Trust (GSMS) 2016-GS4 Commercial Mortgage Pass-Through Certificates, Series 2016-GS4:
--$31,820,000 class A-1 'AAAsf'; Outlook Stable;
--$201,522,000 class A-2 'AAAsf'; Outlook Stable;
--$175,000,000 class A-3 'AAAsf'; Outlook Stable;
--$267,043,000 class A-4 'AAAsf'; Outlook Stable;
--$43,192,000 class A-AB 'AAAsf'; Outlook Stable;
--$810,965,000b class X-A 'AAAsf'; Outlook Stable;
--$48,761,000b class X-B 'AA-sf'; Outlook Stable;
--$92,388,000c class A-S 'AAAsf'; Outlook Stable;
--$48,761,000c class B 'AA-sf'; Outlook Stable;
--$184,777,000c class PEZ 'A-sf'; Outlook Stable;
--$43,628,000c class C 'A-sf'; Outlook Stable;
--$53,893,000a class D 'BBB-sf'; Outlook Stable;
--$53,893,000ab class X-D 'BBB-sf'; Outlook Stable;
--$21,814,000a class E 'BB-sf'; Outlook Stable;
--$10,266,000a class F 'B-sf'; Outlook Stable;
--$37,212,204a 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.
These expected ratings are based on information provided by the issuer as of Nov. 23, 2016. Fitch does not rate the $37,212,204 class G.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 33 loans secured by 95 commercial properties having an aggregate principal balance of approximately $1.03 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 80.3% of the properties by balance and cash flow analysis of 93.5% of the pool.
The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.34x, a Fitch stressed loan-to-value (LTV) of 94.6%, and a Fitch debt yield of 10.6%. Fitch's aggregate net cash flow represents a variance of 13.2% to issuer cash flows.
KEY RATING DRIVERS
Lower Fitch Leverage: The Fitch stressed debt service coverage ratio (DSCR) on the trust-specific debt is 1.34x, higher than the 2015 and YTD 2016 averages of 1.18x and 1.20x, respectively. The Fitch stressed loan-to-value (LTV) ratio on the trust-specific debt is 94.6%, lower than the 2015 and YTD 2016 averages of 109.3% and 105.7%, respectively, for the other Fitch-rated deals.
Highly Concentrated Pool: The largest 10 loans in the transaction comprise 65.8% 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 54.6%, respectively. The pool's concentration results in a loan concentration index (LCI) of 541, which is higher than the 2015 average of 367 and 2016 YTD average of 419.
Credit Opinion Loans: The three largest loans in the pool, AMA Plaza (9.7% of the pool), 225 Bush Street (9.7% of the pool) and 540 West Madison (7.3% of the pool), have investment grade credit opinions. AMA Plaza has an investment-grade credit opinion of 'BBBsf*' on a stand-alone basis. 225 Bush Street has an investment-grade credit opinion of 'BBB+sf*' on a stand-alone basis. 540 West Madison has an investment-grade credit opinion of 'BBB-sf*' on a stand-alone basis. The three loans have a weighted average Fitch DSCR and Fitch LTV of 1.53x and 58.6%, respectively.
For this transaction, Fitch's net cash flow (NCF) was 11% 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-GS4 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 'AA-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 'A-sf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on page 10.
DUE DILIGENCE USAGE
Fitch was provided with due diligence information from [Ernst & Young LLP]. 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.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016)
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions (pub. 18 Aug 2016)
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 01 Jul 2016)
Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 16 Jun 2016)
Global Structured Finance Rating Criteria (pub. 27 Jun 2016)
Rating Criteria for Structured Finance Servicers (pub. 01 Jul 2016)
Rating Criteria for U.S. Commercial Mortgage Servicers (pub. 14 Feb 2014)
U.S. and Canadian Multiborrower CMBS Surveillance Criteria (pub. 11 Nov 2016)
GS Mortgage Securities Trust 2016-GS4 - Appendix
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1
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