DBRS Morningstar Finalizes Provisional Ratings on GS Mortgage Securities Trust 2020-GC45

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2020-GC45 issued by GS Mortgage Securities Trust 2020-GC45:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class X-A AAA (sf)
-- Class X-B at A (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class X-D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F-RR at BB (low) (sf)
-- Class G-RR at B (sf)
-- Class SW-A at A (low) (sf)
-- Class SW-B at BBB (low) (sf)
-- Class SW-C at BB (low) (sf)
-- Class SW-D at B (low) (sf)

All trends are Stable. Classes X-D, D, E, F-RR, G-RR, SW-A, SW-B, SW-C, and SW-D will be privately placed.

DBRS Morningstar subsequently placed the finalized provisional ratings on Class SW-A, SW-B, SW-C, and SW-D Under Review with Developing Implications because of the request for comments (RFC) on the “North American Single-Asset/Single-Borrower Ratings Methodology” on November 14, 2019. If the updated methodology is adopted following the RFC, there will likely be no ratings impact to the ratings assigned to this transaction. For more information, please see the press release, “DBRS Morningstar Requests Comments on North American Single-Asset/Single-Borrower Ratings Methodology.”

The collateral consists of 52 fixed-rate loans secured by 152 commercial, hospitality, and multifamily properties. The transaction is a sequential-pay pass-through structure. DBRS Morningstar analyzed the conduit pool to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. DBRS Morningstar shadow-rated eight loans, representing approximately 31.8% of the pool, investment grade. The pool also includes 18 loans, representing 21.2% of the pool by allocated loan balance, with issuance loan-to-value (LTV) ratios higher than 67.1%, a threshold historically indicative of above-average default frequency. The weighted-average (WA) LTV of the pool at issuance was 54.6% and the pool is scheduled to amortize down to a WA LTV of 51.4% at maturity.

The collateral features eight loans, representing 31.8% of the initial pool balance, that DBRS Morningstar assessed as investment grade: 1633 Broadway, 560 Mission Street, Starwood Class A Industrial Portfolio 1, Bellagio Hotel and Casino, Southcenter Mall, 650 Madison Avenue, Parkmerced, and 510 East 14th Street. DBRS Morningstar views the percentage of investment-grade loans in the pool favorably and the proportion of investment-grade loans is higher than other recent conduit/fusion transactions.

The pool is relatively granular and does not exhibit significant loan size concentration. No loan represents more than 4.5% of the pool cutoff balance and the top 10 loans represent only 41.1% of the total pool balance. Eight loans, representing 17.7% of the initial pool balance, are secured by multiple-property portfolios, which provides additional diversity and cash flow stability compared with a loan collateralized by a single property. Additionally, no single property type accounts for more than 25.0% of the pool by initial cutoff balance.

The pool exhibits heavy-leverage barbelling. While the pool has 21 loans, comprising 54.3% of the pool balance, which have an issuance LTV lower than 59.3%, a threshold historically indicative of relatively low-leverage financing and generally associated with below-average default frequency, there are also 18 loans, comprising 21.2% of the pool balance, which have an issuance LTV of higher than 67.1%, a threshold historically indicative of relatively high-leverage financing and generally associated with above-average default frequency. The WA Expected Loss of the pool’s investment-grade component was approximately 0.6% while the WA Expected Loss of the pool’s conduit component was substantially higher at over 3.0%, further illustrating the barbelled nature of the transaction.

The pool features a relatively high concentration of loans secured by properties located in less favorable suburban market areas. Twenty-six loans, representing 49.9% of the pool’s cutoff balance, are secured by properties predominately located in areas with a DBRS Morningstar Market Rank of either 3 or 4.

Twenty-eight loans, representing 67.5% of the cutoff pool balance, are structured with full-term interest-only (IO) periods and an additional 17 loans, representing 26.5% of the pooled cutoff balance, are structured with partial-IO terms ranging from 12 months to 60 months.

Classes X-A, X-B, and X-D are 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.

For supporting data and more information on this transaction, please log into www.viewpoint.dbrs.com.

DBRS Morningstar provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loans in the transaction:

-- Prospectus ID#1 – 1633 Broadway (4.5% of the pool)
-- Prospectus ID#2 – 560 Mission Street (4.5% of the pool)
-- Prospectus ID#3 – Starwood Class A Industrial Portfolio 1 (4.5% of the pool)
-- Prospectus ID#4 – Bellagio Hotel and Casino 2 (4.5% of the pool)
-- Prospectus ID#5 – Southcenter Mall (4.5%% of the pool)
-- Prospectus ID#6 – Kent Station (4.2%% of the pool)
-- Prospectus ID#7 – Van Aken District (4.0%% of the pool)
-- Prospectus ID#8 – 650 Madison Avenue (3.8% of the pool)
-- Prospectus ID#9 – The Shoppes at Blackstone Valley (3.8% of the pool)
-- Prospectus ID#10 – 90 North Campus (3.8% of the pool)
-- Prospectus ID#11 – Crystal Springs Resort 1 (3.8% of the pool)
-- Prospectus ID#12 – Calspan Building (3.7% of the pool)
-- Prospectus ID#14 – Parkmerced (2.8% of the pool)
-- Prospectus ID#17 – 510 East 14th Street (2.6% of the pool)
-- Prospectus ID#18 – PCI Pharma Portfolio (2.6% of the pool)
-- Prospectus ID#21 – Property Commerce Portfolio (2.3% of the pool)
-- Prospectus ID#24 – Harvey Building Products (1.5% of the pool)
-- Prospectus ID#27 – Shops at Blue Bell (1.5% of the pool)
-- Prospectus ID#30 – 830 Morris Turnpike (1.1% of the pool)
-- Prospectus ID#31 – Larchmont Commons (1.0% of the pool)
-- Prospectus ID#36 – 3700 Vanowen Street (0.8% of the pool)
-- Prospectus ID#38 – Martin Brower Phoenix Distribution Center (0.7% of the pool)
-- Prospectus ID#49 – 1016 Carroll Street (0.4% of the pool)

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrs.com. The platform includes issuer and servicer data for most outstanding CMBS transactions (including non-DBRS Morningstar rated), as well as loan-level and transaction-level commentary for most DBRS Morningstar-rated and -monitored transactions.

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

With regard to due diligence services, DBRS Morningstar was provided with the Form ABS Due Diligence-15E (Form-15E), which contains a description of the information that a third party reviewed in conducting the due diligence services and a summary of the findings and conclusions. While due diligence services outlined in Form-15E do not constitute part of DBRS Morningstar’s methodology, DBRS Morningstar used the data file outlined in the independent accountant’s report in its analysis to determine the ratings referenced herein.

The principal methodologies are the North American CMBS Multi-borrower Rating Methodology and the North American Single-Asset/Single-Borrower Methodology, which can be found on www.dbrs.com under Methodologies & Criteria. For a list of the structured-finance-related methodologies that may be used during the rating process, please see the DBRS Morningstar Global Structured Finance Related Methodologies document, which can be found on www.dbrs.com in the Commentary tab under Regulatory Affairs. Please note that not every related methodology listed under a principal structured finance asset class methodology may be used to rate or monitor an individual structured finance or debt obligation.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

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

The full report providing additional analytical detail is available by clicking on the link under Related Documents or by contacting us at info@dbrs.com.

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

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