Fitch Upgrades Three Classes of GSMSC 2006-GG6
KEY RATING DRIVERS
The upgrades reflect increased credit enhancement due to actual and expected continued paydown of the senior classes due to scheduled amortization and the pool's upcoming maturity schedule (45.5 and 54.5% of the pool matures during the remainder of 2015 and 2016, respectively). The ratings also reflect the significant defeased collateral supporting the notes. Since Fitch's last rating action the largest loan in the pool (12.6%) defeased.
Fitch modeled losses of 7.1% of the remaining pool; expected losses on the original pool balance total 10%, including $269.3 million (6.9% of the original pool balance) in realized losses to date. Fitch's expected losses include 100% loss (totaling $23.4 million) to the B notes on two loans, which were previously modified into A/B note splits. Fitch has designated 35 loans (22.8%) as Fitch Loans of Concern, which includes six specially serviced assets (3.2%).
As of the August 2015 distribution date, the pool's aggregate principal balance has been reduced by 56.3% to $1.7 billion from $3.9 billion at issuance. Per the servicer reporting, 17 loans (20.5% of the pool) are defeased. Interest shortfalls are currently affecting classes F through S.
The largest contributor to expected losses is a loan (2.4% of the pool) secured by a 72,451 square foot (sf) community shopping center located in Murrieta, CA. The property experienced occupancy issues after the majority of tenants either vacated and/or filed bankruptcy. As a result, the original loan transferred to special servicing in 2009, and was subsequently returned to the master servicer after it was modified and restructured into an A/B note in February 2011. The servicer-reported debt service coverage ratio and occupancy were 1.16x and 89%, respectively, as of year-end 2014.
The second largest contributor to expected losses is a 123,461 sf office building located in Coral Springs, FL (0.9%). The asset has been real estate owned since January 2013 and was a reported 30% occupied per the April 2015 rent roll. The property is currently being marketed for sale.
The third largest contributor to expected losses is a specially serviced loan (0.8% of the pool) secured by a 115,558 sf office building located in Bridgewater, NJ. The loan transferred to special servicing in November 2014 due to imminent default as its sole tenant vacated the property upon its October 2014 lease expiration.
RATING SENSITIVITIES
The Rating Outlook for class A-J was revised to Positive from Stable. A further upgrade is possible should the transaction continue to delever as loans pay off at or near their scheduled loan maturities. Downgrades to the senior classes are not likely, although are likely to the distressed classes as further losses are realized. Fitch will continue to monitor the changing collateral given the large percentage of the pool maturing in the near future.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation to this rating action.
Fitch has affirmed the following classes:
--$699.1 million class A-4 at 'AAAsf', Outlook Stable;
--$105.8 million class A-1A at 'AAAsf', Outlook Stable;
--$390.1 million class A-M at 'AAAsf', Outlook Stable;
--$39 million class D at 'CCsf', RE 20%.
--$29.3 million class E at 'CCsf', RE 0%;
--$43.9 million class F at 'Csf', RE 0%;
--$37.9 million class G at 'Dsf', RE 0%;
--$0 class H at 'Dsf', RE 0%;
--$0 class J at 'Dsf', RE 0%;
--$0 class K at 'Dsf', RE 0%;
--$0 class L at 'Dsf', RE 0%;
--$0 class M at 'Dsf', RE 0%;
--$0 class N at 'Dsf', RE 0%;
--$0 class O at 'Dsf', RE 0%;
--$0 class P at 'Dsf', RE 0%;
--$0 class Q at 'Dsf', RE 0%.
Fitch has upgraded the following classes:
--$292.6 million class A-J to 'BBBsf' from 'BBsf', Outlook to Positive from Stable;
--$19.5 million class B to 'BBsf' from 'Bsf', Outlook Stable;
--$48.8 million class C to 'CCCsf' from 'CCsf', RE 100%.
Classes A-1, A-2, A-3 and A-AB were paid in full. Fitch does not rate the class S certificates. Fitch previously withdrew the ratings on the interest-only class X-P and X-C certificates.
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