DBRS Morningstar Confirms Ratings on GPMT 2021-FL3, Ltd.

DBRS Limited (DBRS Morningstar) confirmed the ratings on all classes of notes issued by GPMT 2021-FL3, Ltd. as follows:

-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar’s expectations since issuance. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. To access this report, please click on the link under Related Documents below or contact us at [email protected].

At issuance, the initial collateral consisted of 27 floating-rate mortgages secured by 32 mostly transitional properties, with a cut-off balance totaling $823.7 million, excluding approximately $143.3 million of future funding commitments. Most loans are in a period of transition with plans to stabilize and improve the asset value. The transaction is static and is structured with a Companion Participation Acquisition Period ending with the May 2023 Payment Date. Through this date, the Issuer may acquire funded loan companion participation interests into the trust subject to the Acquisition Criteria.

As of the March 2022 remittance, the pool comprises 24 loans secured by 29 properties with a cumulative trust balance of $763.8 million. Since issuance, three loans have successfully repaid from the pool, resulting in a collateral reduction of approximately 7.3%. The Permitted Companion Participation Acquisition Account has a current balance of $19,232 as of the March 2022 remittance. The transaction is concentrated by property type as 11 loans, totalling 47.3% of the current trust balance, are secured by office properties and seven loans, totalling 29.5% of the current trust balance, are secured by multifamily properties. The transaction is also concentrated by loan size, as the 10 largest loans represent 61.9% of the pool.

In general, borrowers continue to progress toward completing their stated business plans as, through December 2021, the collateral manager had released $40.2 million in loan future funding to 18 individual borrowers since the transaction closed in May 2021. Many of the loans were seasoned when the transaction closed as the collateral manager had already released $101.0 million to 21 individual borrowers. An additional $103.7 million of loan future funding allocated to 22 borrowers to further aid in property stabilization efforts remains outstanding. Of this amount, $18.9 million is allocated to the borrower of the Times Square West loan and $15.0 million is allocated to the borrower of the 516-530 West 25th Street loan.

As of the March 2022 remittance, no loans are in special servicing, however, 11 loans, representing 46.7% of the current pool balance, are on the servicer’s watchlist. Nine of the loans are being monitored for performance declines, however, this was expected at issuance as a result of the proposed business plans. The remaining two loans, 555 West 25th Street (Prospectus ID#13, 3.6% of the current pool balance) and Avant Gardner (Prospectus ID#18, 2.8% of the current pool balance), have upcoming maturity dates in April and June 2022, respectively. Both loans are structured with multiple one-year extension options available to the individual borrowers with final maturity dates in 2024. In addition, nine loans, representing 46.2% of the current pool balance, have received loan modifications or forbearances. The largest loan in the pool, Times Square West (Prospectus ID#1, 10.2% of the current pool balance) was modified in August 2021 with terms including a two-year maturity extension to January 2024 and a $4.5 million increase in loan future funding for debt service and operating shortfalls, among other terms. The third-largest loan, Courtyards on the Park (Prospectus #3, 7.9% of the current pool balance), was modified in December 2021, upsizing the fully funded loan balance to $111.1 million from $101.7 million. Among the remaining loans that were modified, common terms included an increase in loan future funding, extension of the maturity date with extension tests waived, and the reduction or delay in the contractual floating-rate index floor.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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

The DBRS Viewpoint platform provides additional information on this transaction and underlying loans including DBRS Morningstar metrics, commentary, servicer-reported cash flows, and other performance-related data.

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

The principal methodology is the North American CMBS Surveillance Methodology (March 4, 2022), 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.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

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 [email protected].

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.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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