Morningstar DBRS Downgrades Four Classes of GS Mortgage Securities Trust 2014-GC24

DBRS, Inc. (Morningstar DBRS) downgraded credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2014-GC24 issued by GS Mortgage Securities Trust 2014-GC24 as follows:

-- Class B to A (sf) from AA (low) (sf)
-- Class C to BB (sf) from BBB (sf)
-- Class X-B to A (high) (sf) from AA (sf)
-- Class PEZ to BB (sf) from BBB (sf)

In addition, Morningstar DBRS confirmed the following credit ratings:

-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class D at C (sf)
-- Class E at C (sf)
-- Class F at C (sf)
-- Class X-A at AAA (sf)
-- Class X-C at C (sf)

Morningstar DBRS changed the trends on Classes X-B, B, C, and PEZ to Stable from Negative. Classes D, X-C, E, and F have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The trends on Classes A-5, A-S, and X-A are Stable.

Since the previous credit rating action in February 2024, a total of 55 loans have been repaid in full, contributing to a principal repayment of nearly $758.3 million, leaving the trust with a current balance of $316.0 million as of the January 2025 reporting. All remaining loans are in special servicing for default, after failing to repay upon their scheduled maturities in August 2024. Given the concentration of defaulted loans remaining, Morningstar DBRS' analysis considered conservative liquidation scenarios for all four loans, based on stresses to the most recent appraised values to determine the recoverability of the outstanding bonds. Morningstar DBRS concluded that the senior certificates continue to be insulated from losses, the primary consideration in the confirmation of Classes A-5 and A-S. While Classes B and C are also considered to be insulated from losses based on current projections, Morningstar DBRS' downgrades to these classes was reflective of the highly concentrated nature of the remaining pool and extended timeline for recoverability. Morningstar DBRS also remains concerned with the increased propensity for interest shortfalls given the four outstanding loans are in default and underperforming. This combined with the expectation significant value decline for the remaining assets supports the credit rating confirmation of Classes D, E, and F.

The largest of the remaining loans, Stamford Plaza Portfolio (Prospectus ID#1, 40.3% of the pool), is secured by four Class A office properties totalling 982,483 square feet (sf) in Stamford, Connecticut. The loan transferred to special servicing in August 2024 for maturity default. Per the most recent servicer commentary, the loan is in cash management and the special servicer will discuss workout options with the borrower while dual tracking foreclosure. Performance remains well below issuance expectations, with the YE2023 net cash flow (NCF) of $9.6 million representing an almost 60% decline from the issuer's figure of $22.8 million. Occupancy has also declined to 65% as of June 2024 from 70.0% at YE2023 and 88% at issuance. Although an updated appraisal has not yet been completed, Morningstar DBRS expects the property value has declined significantly since issuance. The Morningstar DBRS analysis used a liquidation scenario based on a conservative haircut to the issuance appraised value, resulting in an implied loss severity exceeding 50%.

The second largest loan remaining, Coastal Grand Mall (Prospectus ID#2, 31.1% of the pool), is secured by a 631,152 sf portion of a 1.1 million sf, one-level, super-regional mall in Myrtle Beach, South Carolina. The loan transferred to special servicing in August 2024 as the borrower was unable to pay off the loan at the scheduled maturity date. Per the servicer commentary, the borrower is seeking a maturity extension. Compared with the other loans in the pool, performance has remained relatively stable. The September 2024 occupancy was 98%, with an NCF of $12.9 million for the trailing nine-month period ended September 31, 2024, which remains in line with the YE2023 NCF of $13.6 million. Given the loan's recent default and uncertain resolution timeline, Morningstar DBRS used a conservative liquidation scenario based on a haircut to the issuance appraised value, resulting in an implied loss severity of approximately 24%.

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/Governance factor(s) 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.

Classes X-A, X-B, and X-C 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 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 (December 13, 2024), https://dbrs.morningstar.com/research/444617.

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

The credit ratings were initiated at the request of the rated entity.

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

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

These are solicited credit ratings.

Morningstar DBRS notes that a traditional model-based sensitivity was not performed; however, Morningstar DBRS notes that the credit ratings are sensitive to the recoverability assumptions on the four remaining loans that are detailed in the accompanying press release. Should recoverability of the remaining loans be lower than that implied by the stressed values in the latest analysis, credit ratings lower in the capital stack would be those most negatively impacted.

DBRS, Inc.
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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 (December 13, 2024), https://dbrs.morningstar.com/research/444616
-- 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

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