DBRS Morningstar Confirms Ratings on All Classes of GS Mortgage Securities Trust 2015-GC30

DBRS Limited (DBRS Morningstar) confirmed its ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-GC30 issued by GS Mortgage Securities Trust 2015-GC30 as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of the transaction, which continues to perform in line with DBRS Morningstar’s expectations since the last rating action.

As of the May 2023 remittance, 79 of the original 90 loans remain in the pool with a current trust balance of approximately $978.1 million, representing a collateral reduction of 21.0% since issuance. Twenty-three loans representing 16.1% of the current pool balance are fully defeased. Nineteen loans representing 37.7% of the pool are on the servicer’s watchlist, and one loan representing 0.4% is in special servicing. The pool is somewhat concentrated by property type, with office representing approximately 21.0% of the pool, including three of the top 10 loans in the pool. Given the cautious outlook DBRS Morningstar has on office assets, the analysis for this review included a stress for four loans to test the durability of the ratings, resulting in a weighted-average expected loss that is more than double the expected loss for the pool as a whole.

The loan with the largest DBRS Morningstar expected loss is Bank of America Plaza (Prospectus ID#5, 4.6% of the pool), secured by a 742,244-square-foot Class A office property in downtown St. Louis, Missouri. The property's occupancy as of December 2022 was reported at 83.2%, in line with the YE2021 and YE2020 occupancy rates of 84.0% and 82.0%, respectively. The largest tenants are Bank of America (29.5% of the net rentable area (NRA), lease expiry in June 2023), Treehouse Private Brands Inc. (18.7% of the NRA, lease expiry in July 2024), and Anders Minkler Huber & Helm LLP (8.2% of the NRA, lease expiry in January 2025). The YE2022 debt service coverage ratio (DSCR) was reported at 1.48 times (x) as compared with 1.39x at YE2021 and 1.55x at YE2020.

DBRS Morningstar expects occupancy to decline given news from online media sources that Bank of America plans to migrate approximately half of its employees from downtown St. Louis to Clayton, Missouri. Per a Q4 2022 Reis report, the average vacancy rate for office properties within the downtown submarket was 31.6%, up from 26.1% at YE2021.

According to the property website, 16.9% of the NRA is currently listed as available for sublease and an additional 10% of the NRA is available for direct lease. DBRS Morningstar has requested additional information regarding Bank of America’s relocation plan and ongoing efforts to market and backfill vacant space. Given the soft submarket, expected occupancy decline, and uncertain timeline surrounding Bank of America’s relocation plan, DBRS Morningstar applied a stressed loan-to-value ratio and a probability of default penalty in its analysis, resulting in an expected loss that is more than three times the pool average.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
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 (May 17, 2022).

Classes X-A, X-B, and X-D are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall.

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

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

The principal methodology is North American CMBS Surveillance Methodology (March 16, 2023; https://www.dbrsmorningstar.com/research/410912).

Other methodologies referenced in this transaction are listed at the end of this press release.

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 rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

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

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

North American CMBS Multi-Borrower Rating Methodology/North American CMBS Insight Model Version 1.1.0.0 (March 16, 2023) https://www.dbrsmorningstar.com/research/410913

Rating North American CMBS Interest-Only Certificates (December 19, 2022) https://www.dbrsmorningstar.com/research/407577

Legal Criteria for U.S. Structured Finance (December 7, 2022) https://www.dbrsmorningstar.com/research/407008

DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria (September 12, 2022) https://www.dbrsmorningstar.com/research/402646

North American Commercial Mortgage Servicer Rankings (September 8, 2022) https://www.dbrsmorningstar.com/research/402499

Interest Rate Stresses for U.S. Structured Finance Transactions (August 30, 2022) https://www.dbrsmorningstar.com/research/402153

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