TEXT-S&P cuts, affirms GS Mortgage Securities II 2005-ROCK
(The following statement was released by the rating agency) OVERVIEW -- We lowered our rating on class J from GS Mortgage Securities Corp. II's series 2005-ROCK, a U.S. CMBS transaction and removed it from CreditWatch with negative implications. -- In addition, we affirmed our ratings on 11 other classes from the same transaction and removed seven of them from CreditWatch with negative implications. -- The collateral in this stand-alone transaction consists of a fixed-rate interest-only mortgage loan. -- The rating actions reflect our analysis of the transaction, which included our revaluation of the collateral and follows our analysis of the transaction using our recently updated criteria for rating U.S. and Canadian CMBS transactions. NEW YORK (Standard & Poor's) Dec. 7, 2012--Standard & Poor's Ratings Services today lowered its rating on the class J trust pass-through certificates from GS Mortgage Securities Corp. II's series 2005-ROCK, a U.S. commercial mortgage-backed securities (CMBS) transaction, and removed it from CreditWatch with negative implications. At the same time, we affirmed our ratings on 11 other classes and removed seven of them from CreditWatch with negative implications, where we placed them on Sept. 5, 2012 (see list). Today's rating actions follow our analysis of the transaction using our recently updated criteria for rating U.S. and Canadian CMBS transactions, and the application of the criteria was the primary driver of the rating actions. The analysis of stand-alone (single borrower) transactions is predominantly a recovery-based approach that assumes a loan default. Reflecting this approach, our property-level analysis included a revaluation of a portfolio of 12 individual office/retail properties and plaza totaling 6.6 million sq. ft. in midtown Manhattan (Rockefeller Center). The mortgage loan in the trust is secured by a first priority mortgage (up to a maximum of $1.21 billion) on the fee and leasehold interests of the borrower in Rockefeller Center and a first priority pledge of all of the equity interests in the borrower. Based on our analysis, we derived our sustainable net cash flow, which we then divided by a capitalization rate of 6.25% to determine our expected-case value. This yielded a loan-to-value ratio of 42.1%. We based the downgrade of class J to 'BB+ (sf)' on our recently updated criteria for rating U.S. and Canadian CMBS transactions, which applies a credit enhancement minimum equal to 1% of the transaction or loan amount to address the potential for unexpected trust expenses that may be incurred during the life of the loan or transaction. These potential unexpected trust expenses may include servicer fees, servicer advances, workout or corrected mortgage fees, and potential trust legal fees. The affirmed ratings on the principal and interest certificate classes reflect subordination and liquidity support levels that are consistent with the outstanding ratings. We tempered our rating actions because the mortgage is recorded at $1.21 billion and the maximum amount recoverable in a mortgage foreclosure action may not be sufficient to repay the loan. Any amount over $1.21 billion would be considered unsecured debt of the borrower. Additionally, in connection with a foreclosure on the equity pledge before a foreclosure on the mortgage, significant real property transfer tax would be payable by the trust because the resulting transfer would be treated as a transfer of property under New York law. We affirmed our 'AAA (sf)' rating on the class X-1 interest-only (IO) certificates based on our current criteria. We based our analysis, in part, on a review of the borrower's operating statements for the collateral office/retail properties for the nine months ended Sept. 30, 2012, year-end 2011 and 2010, and the June 2012 rent rolls. The master servicer, Wells Fargo Bank N.A., reported an overall occupancy of 94.1% as of June 30, 2012, and a debt service coverage of 2.23x for the same reporting period. As of the Dec. 3, 2012, trustee remittance report, the mortgage loan has a trust and whole loan balance of $1.685 billion. In addition, the equity interests in the borrower of the whole loan secure a subordinate mezzanine loan totaling $320.0 million. The mortgage loan is IO, pays interest based on 5.6435% per annum, and matures on May 1, 2025. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at "here" RELATED CRITERIA -- Rating Methodology And Assumptions For U.S. And Canadian CMBS, Sept. 5, 2012 -- CMBS Global Property Evaluation Methodology, Sept. 5, 2012 -- Global Methodology For Rating Interest-Only Securities, April 15, 2010 -- U.S. CMBS Legal And Structured Finance Criteria: Property-Specific And Large Loan Transactions, May 1, 2003 RELATED RESEARCH -- Industry Economic and Ratings Outlook: U.S. Commercial Real Estate Trends Are Improving And CMBS Performance Is Stabilizing, Nov. 5, 2012 -- U.S. And Canadian CMBS Ratings Affected By The Sept. 5, 2012, CreditWatch Actions, Sept. 5, 2012 -- Application of CMBS Global Property Evaluation Methodology In U.S. and Canadian Transactions, Sept. 5, 2012 -- The Application Of Standard & Poor's Revised U.S. And Canadian CMBS Criteria For The Sept. 5, 2012, CreditWatch Actions, Sept. 5, 2012 RATING LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE GS Mortgage Securities Corp. II Trust pass-through certificates series 2005-ROCK Rating Class To From J BB+ (sf) A- (sf)/Watch Neg RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE GS Mortgage Securities Corp. II Trust pass-through certificates series 2005-ROCK Rating Class To From A AAA (sf) AAA (sf) A-FL AAA (sf) AAA (sf) B AAA (sf) AAA (sf) C-1 AAA (sf) AAA (sf)/Watch Neg C-2 AAA (sf) AAA (sf)/Watch Neg D AAA (sf) AAA (sf)/Watch Neg E AA+ (sf) AA+ (sf)/Watch Neg F AA (sf) AA (sf)/Watch Neg G A+ (sf) A+ (sf)/Watch Neg H A (sf) A (sf)/Watch Neg X-1 AAA (sf) AAA (sf) Primary Credit Analyst: Della Cheung, New York (1) 212-438-1000; firstname.lastname@example.org Secondary Credit Analyst: Barbara A Hoeltz, New York (1) 212-438-1000; email@example.com No content (including ratings, credit-related analyses and data, model, software, or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced, or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor's Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be (New York Ratings Team)
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