DBRS Morningstar Confirms All Classes of GS Mortgage Securities Trust, Series 2011-GC3

DBRS Limited (DBRS Morningstar) confirmed all classes of Commercial Mortgage Pass-Through Certificates Series 2011-GC3 issued by GS Mortgage Securities Trust, Series 2011-GC3 as follows:

-- Class A-4 at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AAA (sf)
-- Class D at AAA (sf)
-- Class E at A (sf)
-- Class X at BBB (sf)
-- Class F at BBB (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of the transaction, which has had a collateral reduction of 51.0% since issuance, with 35 of the original 57 loans remaining in the pool as of the February 2020 remittance report. All of the remaining loans were structured with 10-year terms and will mature in either 2020 or 2021. Eleven loans, representing 43.5% of the pool, are scheduled to mature in December 2020. Twenty-five loans, representing 54.9% of the pool, including eight loans in the top 15, are fully defeased.

As of the February 2020 remittance, only 10 non-defeased loans are left in the pool. These loans reported a weighted-average (WA) YE2018 debt service coverage ratio and debt yield of 2.60 times (x) and 18.5%, respectively, representing a WA cash flow improvement of 35.7% over the DBRS Morningstar net cash flow figures derived at issuance.

At issuance, DBRS Morningstar assigned an investment-grade shadow rating for the Oxford Valley Mall (Prospectus ID#7, 8.7% of the pool). This loan is secured by a regional mall and adjacent power center in Middletown Township, Pennsylvania, approximately 25 miles northeast of the Philadelphia central business district. DBRS Morningstar has been monitoring the loan since late 2018 when Sears (formerly 13.9% of the net rentable area) announced plans to close. There are now two vacant anchor boxes at the subject, with the future of the property’s non-collateral Macy’s reportedly in question as the retailer recently announced plans to complete rounds of store closures over the next few years.

Given the extended vacancies for the anchor boxes at the subject that could bring challenges for the sponsor’s efforts to refinance the loan at the December 2020 maturity, DBRS Morningstar has removed the shadow rating for this loan with this review.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Class X is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall.

All ratings are subject to surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by DBRS Morningstar.

DBRS Morningstar provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loans in the transaction:

-- Prospectus ID#7 – Oxford Valley Mall (8.7% of the pool) (DBRS Morningstar Hotlist)
-- Prospectus ID#18 – 701 Lincoln Road (2.6% of the pool) (DBRS Morningstar Hotlist)

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.com The platform includes issuer and servicer data for most outstanding CMBS transactions (including non-DBRS Morningstar-rated), as well as loan-level and transaction-level commentary for most DBRS Morningstar-rated and -monitored transactions.

Notes:
The principal methodology is the North American CMBS Surveillance Methodology, which can be found on dbrsmorningstar.com under Methodologies & Criteria. For a list of the structured-finance-related methodologies that may be used during the rating process, please see the DBRS Morningstar Global Structured Finance Related Methodologies document, which can be found on dbrsmorningstar.com in the Commentary tab under Regulatory Affairs. Please note that not every related methodology listed under a principal structured finance asset class methodology may be used to rate or monitor an individual structured finance or debt obligation.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at info@dbrsmorningstar.com.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process. Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The DBRS Morningstar long-term rating scale definition indicates that ratings of CCC or lower are assigned when the bond is highly likely to default or default is imminent, thereby prevailing over a sensitivity analysis.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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