Morningstar DBRS Confirms All Credit Ratings of GS Mortgage Securities Trust, 2010-C1

DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of the 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)

The trends on Classes B and C are Stable. Class D is assigned a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings.

The credit rating confirmations reflect the stable performance outlook and recoverability expectations for the two remaining loans in the transaction, Mall at Johnson City (Prospectus ID#6, 54.4% of current pool balance) and Grand Central Mall (Prospectus ID#7, 45.6% of the current pool balance). Both loans are secured by regional malls located in secondary markets and are owned and operated by Washington Prime Group, a real estate investment trust that invests primarily in retail properties. Both properties were reappraised in 2019 and 2020, with values that were below issuance figures but still above the outstanding loan amounts. Morningstar DBRS analyzed the recoverability prospects for both loans by applying stressed cap rates to the YE2023 net cash flows (NCF), the results of which suggested that the two most senior rated certificates in the pool are generally well protected against loss. The transaction benefits from $37.6 million of cushion below Class C and cumulative loan level reserves totaling $19.5 million as of the November 2024 reporting, further supporting the credit rating confirmations and Stable trends.

The Mall at Johnson City is a regional mall in Johnson City, Tennessee, approximately 120 miles from Knoxville. The loan was modified in December 2019 and received a maturity extension with two one-year extension options, with a final maturity date in May 2025. The property was 96.8% occupied as of September 2024, with tenants representing 8.2% of the net rentable area (NRA) scheduled to roll in the next 12 months. Anchor tenants include JCPenney, Belk Home Store, Belk for Her, and Dick's Sporting Goods, collectively comprising 52.3% of NRA. According to the YE2023 financial reporting, the property generated $6.0 million of NCF, reflecting a debt service coverage ratio (DSCR) of 1.84 times (x), down slightly from the prior year and the Morningstar DBRS figure at issuance of $6.3 million and $6.4 million, respectively. In its analysis for this review, Morningstar DBRS derived an updated value of $37.9 million by applying a stressed cap rate of 16.0% to the YE2023 NCF. The resulting implied loss of $2.4 million would be contained to Class D, which is currently rated C (sf).

The Grand Central Mall is a regional mall in Vienna, West Virginia, along the Ohio-West Virginia border. The loan was modified in 2020 and received a maturity extension with two additional one-year extension options, with a final maturity date in July 2025. Per the September 2024 rent roll, the property was 97.1% occupied, with minimal tenant rollover in the next 12 months. The three largest tenants are JCPenney, Belk, and Dunham's Sports, collectively comprising 37.8% of NRA. According to the YE2023 financial reporting, the property generated $6.8 million of NCF, reflecting a DSCR of 2.11x, higher than the prior year and the Morningstar DBRS figure at issuance of $6.7 million and $5.5 million, respectively. In its analysis for this review, Morningstar DBRS derived an updated value of $43.0 million by applying a stressed cap rate of 16.0% to the YE2023 NCF, representing a current loan-to-value ratio of 78.5%.

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  
There were no Environmental, Social, 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 at (August 13, 2024), https://dbrs.morningstar.com/research/437781.

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.

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.

Morningstar DBRS notes that a sensitivity analysis was not performed for this review as the transaction is in wind down, with two loans remaining in the pool. In such cases, Morningstar DBRS credit ratings are typically based on a recoverability analysis.
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DBRS Limited
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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

North American CMBS Multi-Borrower Rating Methodology (March 1, 2024)/North American CMBS Insight Model v 1.2.0.0, https://dbrs.morningstar.com/research/428797

Morningstar DBRS North American Commercial Real Estate Property Analysis Criteria (September 19, 2024), https://dbrs.morningstar.com/research/439702

North American Commercial Mortgage Servicer Rankings (August 23, 2024), https://dbrs.morningstar.com/research/438283

Legal Criteria for U.S. Structured Finance (December 3, 2024), https://dbrs.morningstar.com/research/444064

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.