Morningstar DBRS Confirms Credit Ratings on All Classes of GSF 2021-1

DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of notes issued by GSF 2021-1 (the Issuer) as follows:

-- Class A-1 Notes at AAA (sf)
-- Class A-2 Notes at AAA (sf)
-- Class A-S Notes at AAA (sf)
-- Class B Notes at AA (low) (sf)
-- Class X Notes at A (sf)
-- Class C Notes at A (low) (sf)
-- Class D Notes at BBB (low) (sf)
-- Class E Notes at BB (low) (sf)

All trends are Stable.

The credit rating confirmations and Stable trends reflect the continued performance of most of the underlying collateral, which generally remains in line with Morningstar DBRS' expectations since the last credit rating action. The transaction benefits from a relatively well distributed concentration of property types that collateralize the underlying loans as well as the overall steady financial performance of most of the remaining loans in the pool. There are currently no loans on the servicer's watchlist or in special servicing.

As of the October 2024 remittance, the pool consists of 22 performing loans secured by traditional commercial real estate properties with a combined balance of $482.1 million. Since the last credit rating action, one loan was repaid from the trust through a property sale. The repayment contributed an overall collateral reduction of approximately $14.5 million. At closing in November 2021, the transaction featured a funding period whereby the Issuer could contribute loans to the pool up to the expected maximum balance of $500.0 million. The pool was originally intended to be funded within the first year with an allowable six-month extension option. Although the Issuer did not fund the pool within the originally expected time frame, the 100% funding target was reached with the July 2023 remittance when the trust reached a balance of $496.6 million, representing 99.3% of the originally planned $500 million pool balance. The transaction now pays sequentially. The fully funded transaction is concentrated by property type with office, multifamily, and industrial properties representing 24.7%, 23.4%, and 19.8% of the current pool balance, respectively.

Morningstar DBRS notes a continued elevated risk profile for the Westview loan (Prospectus ID#12; 8.1% of the pool), which is secured by a 100,182-square foot (sf) office building in Austin, adjacent to the Texas State Capitol. As of the June 2024 reporting, the subject was 51.6% occupied, a significant decline from 92.4% in June 2023. The decline is attributable to the former largest tenant, WeWork, which accounted for 46.3% of the net rentable area (NRA), vacating its space in April 2024. The largest remaining tenants include Cushing Terrell (15.0% of NRA, lease expiry in July 2026), Texas Association of Business (10.0% of NRA, lease expiry in April 2031), and Wynden Stark LLC (7.0% of NRA, lease expiry in April 2028) and only 1.0% of NRA with an upcoming lease expiration in the next 12 months. According to a Q3 2024 Reis report, office vacancy in the downtown Austin submarket was 30.4%, up from 24.5% as of Q3 2023. The reported net cash flow for the trailing 12 months ended June 30, 2024, was $2.8 million; however, Morningstar DBRS expects this figure will drop considerably when factoring in the full departure of WeWork. As a result of the elevated credit risk, Morningstar DBRS analyzed the loan with an elevated probability of default for an expected loss that was approximately three times greater than the pool average.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS   
Social (S) Factors
The special servicer cannot pursue a real estate owned (REO) recovery strategy. The Issuer is prohibited from acquiring REO assets because of the inclusion of a non-U.S. entity in the sponsorship, which cannot hold real interest in U.S. equity without triggering tax implications. This limit on resolutions could have an adverse outcome on loss severity for an impaired asset.

There were no Environmental or Governance factors that had a significant or relevant effect on the credit analysis.
 
A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (August 13, 2024; https://dbrs.morningstar.com/research/437781).

Class X is an interest-only (IO) certificate that references 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 credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS.

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

The principal methodology is North American CMBS Surveillance Methodology (March 1, 2024; https://dbrs.morningstar.com/research/428798/north-american-cmbs-surveillance-methodology).

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

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 info-DBRS@morningstar.com.

The credit rating was initiated at the request of the rated entity.

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

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

This is a solicited credit rating.

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

DBRS Limited
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Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

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

A description of how Morningstar DBRS analyzes structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/417279.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.