DBRS Upgrades Three Classes of GS Mortgage Securities Trust, 2010-C1

DBRS Limited (DBRS) has today upgraded three classes of GS Mortgage Securities Trust, 2010-C1 as follows:

-- Class D to A (high) (sf) from A (sf)
-- Class E to BBB (low) (sf) from BB (high) (sf)
-- Class F to BB (low) (sf) from B (high) (sf)

In addition, DBRS has confirmed the remaining classes in the transaction as listed below:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (high) (sf)
-- Class X at A (sf)

All trends are stable.

These rating actions reflect the strong overall performance of the transaction, which has benefitted from a collateral reduction of 24.7% since issuance, with 19 of the original 23 loans remaining in the pool as of the July 2017 remittance report. In addition, there are three Top 15 loans, representing 17.5% of the current pool, that are fully defeased, and 55.1% of the pool is shadow rated investment grade by DBRS.

Based on the reported figures for YE2016, the transaction benefits from a healthy in-place weighted-average (WA) debt service coverage ratio (DSCR) of 2.00 times (x) and a WA debt yield of 19.2% compared with the issuance levels of 1.80x and 14.5%, respectively, for the pool. The performance for the largest non-defeased loans in the Top 15 has also been strong since issuance, with a WA net cash flow growth of 21.5% over the DBRS issuance figures, a 17.1% WA debt yield and a WA DSCR of 2.00x, based on YE2016 reporting.

As of the July 2017 remittance report, there is one loan, which is in the Top 15 and represents 10.4% of the pool, on the servicer’s watchlist (monitored for deferred maintenance) and no loans in special servicing. The pool does have a significant concentration of retail loans, with five loans, representing 42.7% of the pool, secured by regional malls, and six loans, representing 34.4% of the pool balance, secured by anchored retail and weakly anchored retail properties. As of YE2016, the regional mall loans reported a WA DSCR of 1.98x, with collateral occupancy rates ranging between 87.0% and 98.3% as of the most recently reported figures for each property. In general, the sales performance is healthy for these malls, and only one of the collateral properties, Burnsville Center (Prospectus ID #2), has been affected by an anchor closure since issuance.

Nine loans, representing 55.1% of the outstanding pool balance, were shadow rated investment grade by DBRS at issuance in Prospectus ID #1, 660 Madison Avenue Retail, Prospectus ID #2, Burnsville Center, Prospectus ID #4, Valley View Mall, Prospectus ID #5, Cole Portfolio, Prospectus ID #8, Parkway Place, Prospectus ID #11, Aardex Ground Lease Portfolio, Prospectus ID #19, Winn Dixie – Hammond, Prospectus ID #21, Winn Dixie- Montgomery, and Prospectus ID#22, Winn Dixie – Opa Locka. With this review, DBRS has confirmed that the performance of these loans remains consistent with investment-grade loan characteristics. There are three loans, representing 0.2% of the pool, that are scheduled to mature in the next 12 months; all three of these loans are shadow rated investment grade and exhibit strong refinance characteristics.

The ratings assigned to the Class D, Class E and Class F notes materially deviate from the higher ratings implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology. The deviations are warranted, given the uncertain loan level event risk.

The ratings assigned to the Class X note materially deviates from the lower ratings implied by the quantitative results. Consideration was given for the actual loan, transaction and sector performance where a rating based on the lowest rated notional class may not reflect the observed risk.

DBRS has provided updated loan-level commentary and analysis for larger and/or pivotal watchlisted loans as well as for the largest 15 loans in the pool in the DBRS CMBS IReports platform. Registration is free. To view these and future loan-level updates provided as part of DBRS’s ongoing surveillance for this transaction, please register at or log into DBRS CMBS IReports at www.ireports.dbrs.com.

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

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 to the right under Related Research or by contacting us at info@dbrs.com.

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

The principal methodologies are North American CMBS Multi-borrower Rating Methodology (March 2017) and CMBS North American Surveillance (March 2017), which can be found on dbrs.com under Methodologies.

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