Press Release

Morningstar DBRS Confirms Credit Ratings on All Classes of GPMT 2021-FL4, Ltd.

CMBS
July 11, 2025

DBRS, Inc. (Morningstar DBRS) confirmed the credit ratings on all classes of notes issued by GPMT 2021 2021-FL4, Ltd. as follows:

-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at CCC (sf)

The trends on all classes are Stable except for the trends on Classes E and F, which remain Negative.

The credit rating confirmations reflect the increased credit support to the senior notes as a result of successful loan repayment, as there has been collateral reduction of 24.9% since issuance, an increase from the reduction of 16.7% reported in August 2024. While the paydown is a positive development, Morningstar DBRS notes the transaction is exposed to adverse selection as eight of the remaining 17 loans, representing 53.5% of the current trust balance, are secured by office properties. The borrowers of these loans have largely been unable to execute their respective business plans, with varying levels of increased credit risk observed as a result. To account for the increased risks, Morningstar DBRS' analysis for this review considered stressed scenarios to increase the loan-level expected losses (ELs), generally reflective of stressed values for the collateral properties and/or upward probability of default (POD) adjustments based on the level and source of the increased credit risk. While this approach increased the pool's EL by nearly 150 basis points from Morningstar DBRS' prior credit rating action analysis, the transaction benefits from an unrated first-loss note of $41.1 million as well as two below-investment-grade note classes, i.e., Class F and Class G, totaling $64.5 million. These notes provide cushion against potential additional realized losses should the increased credit risks for any loans ultimately result in dispositions. The current balance of the unrated first-loss note reflects the liquidation of the Vista 25 loan. While not reported in the June 2025 Investor Reporting Package, the former loan was liquidated from the trust in December 2024 via a discounted payoff resulting in a loss of $13.3 million.

Morningstar DBRS maintained the Negative trends on Classes F and G because of the credit risk surrounding the office concentration described above as well as the increased loss projections stemming from the pool's specially serviced loan, 500 North Michigan Avenue (Prospectus ID#25; 4.8% of the current trust balance). The loan, which is secured by a Class B mixed-use office and retail property on the Magnificent Mile in downtown Chicago, transferred to special servicing in February 2024 for imminent default. The loan remains delinquent since maturing in August 2024. Prior to the transfer, the loan had been modified several times since issuance because of disruptions to its business plan. The most recent modification, which occurred in August 2023, extended the loan to its final maturity of August 2024 and reallocated reserves to fund operating shortfalls. As of the Q1 2025 update from the collateral manager, occupancy remains unchanged year-over-year at 33.5% with the loan reporting a 2.9% debt yield. An updated appraisal completed in September 2024 valued the property at $53.0 million, down from $67.0 million at December 2023 and $94.0 million at closing (September 2022). Morningstar DBRS analysed the loan with a liquidation scenario based on a 20% haircut to the September 2024 value, inclusive of the outstanding advances and additional expected servicer expenses, resulting in a loan loss severity approaching 60%.

In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-dbrs@morningstar.com.

As of the June 2025 remittance, the transaction had an outstanding balance of $467.9 million with 17 loans secured by the 22 properties remaining in the trust. Of the original 23 loans from the transaction closing in November 2021, 15 loans, representing 86.5% of the current pool balance, remain in the trust. Since the previous Morningstar DBRS credit rating action in May 2025, the pool count remains unchanged.

Beyond the office concentration noted above, five loans, representing 29.9% of the current trust balance, are secured by multifamily properties; two loans, representing 7.9% of the current trust balance, are secured by student housing properties; one loan, representing 5.5% of the current trust balance, is secured by an industrial property; and one loan, representing 3.2% of the current trust balance, is secured by a mixed-use property.

Leverage across the pool has decreased slightly from issuance levels as the current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) is 70.0%, with a current WA stabilized LTV of 65.7%. In comparison, these figures were 71.5% and 67.9.5%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 and may not reflect the current rising interest rate or widening capitalization (cap) rate environments. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments to nine loans, representing 65.1% of the current trust balance, generally reflective of higher cap rate assumptions compared with the implied cap rates based on the appraisals.

As of the June 2025 remittance, 10 loans are on the servicer's watchlist, representing 56.9% of the current trust balance. The loans have generally been flagged for upcoming scheduled maturity dates, low occupancy rates, and/or debt service coverage ratios (DSCRs). The largest loan on the servicer's watchlist, Hurt Building (Prospectus ID15; 10.2% of the current trust balance), is secured by an office building in downtown Atlanta. The loan is being monitored on the servicer's watchlist for maturity risk as it is scheduled to mature in July 2025. While one final 12-month extension option remains available, the loan will likely need to be modified as it will be unable to achieve the required 11.5% minimum debt yield threshold. According to the Q1 2025 collateral manager's report, the property was 63.7% occupied while the loan reported a DSCR of 0.87x and debt yield of 8.2% as of the YE2024 reporting. In its analysis, Morningstar DBRS applied increased LTV and POD adjustments to the loan, resulting in an EL in excess of the EL for the pool.

Through March 2025, the lender had advanced $60.1 million in cumulative loan future funding to 13 of the outstanding individual borrowers to aid in property stabilization efforts, including $11.0 million between June 2024 and March 2025. The largest advance to a single borrower ($12.6 million) has been made to the borrower of the 5600 Glenridge loan (Prospectus ID#28; 4.4% of the current trust balance). The borrower's business plan is to use up to $23.2 million of future funding to complete a significant $12.9 million capital improvement program across the property and fund leasing costs. According to the Q1 2025 update from the collateral manager, the borrower has completed the majority of property upgrades to the lobbies, exterior building facade, restrooms, tenant amenities, and parking garage. There remains $10.5 million of future funding for leasing costs, which equates to $43.00 psf of available leasing funds as the property was only 8.2% occupied as of March 2025. The loan has been modified several times since issuance with the most recent modification made in March 2025, extending the loan maturity by six months to September 2025 and providing an additional three-month extension option through December 2025. The modification also reallocated existing leasing reserves to cover debt service and operating shortfalls. Morningstar DBRS notes this loan has increased credit risk from closing given the current occupancy rate and negative cash flow, with the loan's final maturity date occurring in December 2025. In its analysis, Morningstar DBRS applied increased LTV and POD adjustments, resulting in a loan EL in excess of nearly twice the EL for the pool.

An additional $46.6 million of loan future funding allocated to 14 individual borrowers remains available. The largest amount ($13.5 million) is available to the borrower of the Lakeside Square loan, which is secured by a Class A office property in Dallas. The remaining funds are for accretive leasing costs as the sponsor has completed all planned capital expenditures. As of March 2025, the property was 68.4% occupied, unchanged since June 2024. The loan matures in November 2025 and includes one 12-month extension option;, however, the loan will need to be modified as the borrower will likely be unable to meet the required 7.5% debt yield threshold. In its analysis, Morningstar DBRS applied increased LTV and POD adjustments, resulting in a loan EL in excess of the EL for the pool.

A total of 12 loans, representing 72.9% of the current pool balance, have been modified. The loan modification terms vary from loan to loan, however, common terms have allowed borrowers to extend maturity dates without meeting required property performance tests, property capital expenditure completion dates have been extended, and borrowers have been allowed to waive or defer the requirement to purchase new interest rate cap agreements. In most cases, borrowers have been required to contribute additional equity to the loans in order to secure a loan modification.

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.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/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 (May 16, 2025) at https://dbrs.morningstar.com/research/454196.

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 (February 28, 2025) https://dbrs.morningstar.com/research/448963.

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

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.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process. Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The Morningstar DBRS Long-Term Obligation Rating Scale definition indicates that credit 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.

As applicable, the conditions that lead to the assignment of a Negative or Positive trend are generally resolved within a 12-month period. Morningstar DBRS' outlooks and credit ratings are monitored.

DBRS, Inc.
22 West Washington Street
Chicago, IL 60602 USA
Tel. +1 312 332-3429

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

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

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

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

Interest Rate Stresses for U.S. Structured Finance Transactions (March 27, 2025)
https://dbrs.morningstar.com/research/450750

North American CMBS Multi-Borrower Rating Methodology/ North American CMBS Insight Model v 1.3.0.0 (April 9, 2025)
https://dbrs.morningstar.com/research/451739

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

Ratings

GPMT 2021-FL4, Ltd.
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.