DBRS Morningstar Assigns Ratings to GSF 2021-1

DBRS, Inc. (DBRS Morningstar) assigned ratings to the following classes of notes issued by GSF 2021-1:

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

All trends are Stable. Class F is not rated by DBRS Morningstar.

The Class X Notes are an interest-only (IO) class whose balance is notional.

To assign ratings to the Class A-1, Class A-2, Class A-S, Class B, Class C, Class D, and Class E Notes, DBRS Morningstar used a combination of its “North American CMBS Multi-Borrower Rating Methodology” and “North American Single-Asset/Single-Borrower Ratings Methodology” to construct a worst-case pool based on concentration limits and eligibility requirements as defined in the Indenture: Schedule 4. The Indenture: Schedule 5 defines the minimum subordination requirements for each Rating Confirmation Event. The $500 million trust is expected to be fully funded within 12 months of the first loan funding date.

The ratings assigned by DBRS Morningstar contemplate timely payments of distributable interest and ultimate payment of principal by the legal final maturity date in August 2026.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

The Class X Notes are IO notes that reference 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.dbrsmorningstar.com. DBRS Morningstar provides analysis and in-depth commentary in the DBRS Viewpoint platform.

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

The principal methodologies are the North American CMBS Multi-Borrower Rating Methodology (August 7, 2020) and North American Single-Asset/Single-Borrower Ratings Methodology (March 1, 2020), which can be found on dbrsmorningstar.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 dbrsmorningstar.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.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

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.

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

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