DBRS Morningstar Confirms Ratings on GS Mortgage Securities Trust, 2010-C1

DBRS Limited (DBRS Morningstar) confirmed the ratings on all remaining classes of Commercial Mortgage Pass-Through Certificates Series 2010-C1 issued by GS Mortgage Securities Trust, 2010-C1 as follows:

-- Class B at AAA (sf)
-- Class C at A (high) (sf)
-- Class D at C (sf)

DBRS Morningstar changed the trend on Class C to Stable from Negative. Class B also has a Stable trend and Class D has a rating that does not carry a trend.

The rating confirmations and the trend change on Class C reflect the increased credit support to the bonds as a result of the payoff of 660 Madison Avenue, previously the largest loan in the pool, and the improved performance outlook and recoverability for the two remaining loans in the pool. As of the May 2022 remittance, the two outstanding loans have a cumulative balance of $77.9 million, representing a collateral reduction of 90.1% since issuance, and 9.4% since last review, primarily attributable to the payoff of 660 Madison Avenue in December 2021.

The remaining two loans are secured by regional malls, neither of which are on the servicer’s watchlist or in special servicing. The sponsorship for both loans is provided by the Washington Prime Group Inc. (WPG), a real estate investment trust that invests primarily in retail properties. In June 2021, WPG had filed for chapter 11 bankruptcy protection; however, the borrowing entities for each of the trust loans were not included in any of the WPG bankruptcy filings. At the time, both assets were considered tier 1 (core) assets, suggesting a longer-term commitment as compared with those categorized in lower tiers. WPG emerged from bankruptcy in October 2021.

As of the May 2022 remittance, both the loans are current and performing. The largest remaining loan in the pool, Mall at Johnson City (Prospectus ID#6, 53.2% of current pool balance), is secured by a regional mall in Johnson City, Tennessee, approximately 120 miles from Knoxville. The loan transferred to special servicing in November 2019 for imminent default and subsequently missed its May 2020 maturity. A loan modification was executed in December 2019, which extended the maturity to May 2023, and included two one-year extension options. The terms of the modification required the borrower to make a $5.0 million principal curtailment that was due in May 2020, deposit an additional $10.0 million into various reserves, and remain in cash management. A forbearance was also granted that allowed retroactive deferral of debt service payments between May 2020 and August 2020 to be repaid in the subsequent 12 months.

According to the March 2022 rent roll, the occupancy rate at the property was 97.0%, an increase from the March 2021 rent roll, when the property was 83.7% occupied. Sears, previously an anchor tenant, vacated in January 2020. Remaining anchors include JCPenney, Belk Home Store, Belk for Her, and Dick’s Sporting Goods. There has been positive leasing activity in the last year, including a new lease signed with HomeGoods to backfill part of the vacant Sears box, which opened in fall 2021, along with a number of smaller tenants that signed leases throughout 2021. Sales of $246 per square foot (psf) for the trailing 12-month (T-12) period ended November 2021 are reflective of a 25% increase in total sales when compared with the same period the previous year. The YE2021 debt service coverage ratio (DSCR) was 1.75 times (x), an increase from the YE2020 DSCR of 1.34x.

The Grand Central Mall loan (Prospectus ID#7, 46.8% of the current pool balance), is secured by a regional mall in Vienna, West Virginia, which is located along the Ohio-West Virginia border. Occupancy declines began in 2018 when Toys “R” Us vacated, followed by Sears in January 2019. The loan was transferred to special servicing in April 2020 for imminent default and subsequently missed the July 2020 maturity. The special servicer approved a loan modification to allow for a maturity date extension to July 2021, a three-month forbearance for the June, July, and August 2020 debt service payments and escrows to be repaid over the subsequent 12 months, and permission to apply leasing and capital improvement reserves toward operating shortfalls. A second maturity extension was recently negotiated in June 2021, pushing the maturity date out to July 2023, with two additional one-year extension options.

According to the March 2022 rent roll, the property was 97.1% occupied, a slight increase from the March 2021 occupancy rate of 94.8% and 83.9% in YE2019. This is largely a result of the sponsor’s efforts to backfill the former Sears anchor box, which was demolished in March 2019 and redeveloped for new tenants TJMaxx, HomeGoods, and PetSmart, which were each open and operating as of July 2021. Sales of $184 psf for the T-12 period ended February 2022 is indicative of a 33.2% increase in total sales when compared with the figure reported for the same period last year. The servicer reported a YE2021 DSCR of 1.59x compared with the YE2020 DSCR of 1.32x.

There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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/396929.

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

DBRS Morningstar provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for this transaction.

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. Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The DBRS Morningstar long-term rating scale definition indicates that ratings of CCC or lower are assigned when the bond is highly likely to default or default is imminent, thereby prevailing over a sensitivity analysis.

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

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577