DBRS Finalizes Provisional Ratings on GS Mortgage Securities Trust 2015-GC28

DBRS, Inc. (DBRS) has today finalized the provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2015-GC28 (the Certificates), to be issued by GS Mortgage Securities Trust 2015-GC28:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-C at AAA (sf)
-- Class X-D at AAA (sf)
-- Class X-E at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (sf)
-- Class PEZ at A (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)

All trends are Stable.

Classes X-C, X-D, X-E, D, E and F have been privately placed.

Classes X-A, X-B, X-C, X-D, and X-E balances are notional. DBRS ratings on interest-only (IO) certificates address the likelihood of receiving interest based on the notional amount outstanding. DBRS considers the IO certificates’ position within the transaction payment waterfall when determining the appropriate rating.

Up to the full certificate balance of the Class A-S, Class B and Class C certificates may be exchanged for Class PEZ certificates. Class PEZ certificates may be exchanged for up to the full certificate balance of the Class A-S, Class B and Class C certificates.

The collateral consists of 74 fixed-rate loans secured by 112 commercial properties, comprising a total transaction balance of $913,543,797. The DBRS sample included 25 of the 74 loans, representing 59.4% of the pool. Site inspections were performed on 36 of the 112 properties in the pool (56.6% of the pool by allocated loan balance). Of the sampled loans, one loan representing 2.1% of the pool, was given Above Average property quality, a measure indicating a higher likelihood of attracting and retaining new or existing tenants/guests, resulting in a more stable performance. One loan representing 1.1% of the pool was given Below Average property quality, a measure indicating a lower likelihood of attracting and retaining new or existing tenants/guests, resulting in a less stable performance. Only six loans, representing 8.8% of the pool, are secured by hotels, which have the highest cash flow volatility of all major property types. Many recent conduit transactions have had hotel concentrations in excess of 15.0% of the pool. Overall, the pool is relatively diverse based on loan size, with a concentration profile equivalent to that of a pool of 32 equal-sized loans. Increased pool diversity helps to insulate the higher-rated classes from event risk.

The transaction has a high concentration of loans with elevated refinance risk. Thirty loans, representing 53.8% of the pool, have DBRS Refinance Debt Service Coverage Ratios (Refi DSCRs) below 1.00 times (x). Ten of these loans, representing 16.0% of the pool, have DBRS Refi DSCRs of less than 0.90x; however, the DBRS Refi DSCRs are based on a weighted-average (WA) stressed refinance constant of 9.8%, which implies an interest rate of 9.2%, amortizing on a 30-year schedule. This represents a significant stress of 4.8% over the WA contractual interest rate of the loans in the pool. In addition, the combined partial IO and full-term IO concentration amounts to 64.8% of the transaction balance. There are nine loans representing 29.8% of the pool, including five loans in the top ten, which are IO for the full term. An additional 31 loans, representing 34.9% of the pool, have remaining partial IO periods. This results in a low level of total pool amortization during the loan term of -10.4%; however, DBRS determines the probability of default based on the lower of term or refinance DSCR, and loans that lack amortization are treated more punitively.

The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link to the right under Other Research or by contacting us at info@dbrs.com.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The applicable methodology is CMBS Rating Methodology, which can be found on our website under Methodologies.