DBRS Morningstar Places 10 Classes of Citigroup Commercial Mortgage Trust 2015-GC33 Under Review with Negative Implications

DBRS Limited (DBRS Morningstar) placed the ratings on the following 10 classes of the Commercial Mortgage Pass-Through Certificates, Series 2015-GC33 issued by Citigroup Commercial Mortgage Trust 2015-GC33 Under Review with Negative Implications:

-- Class A3, AAA (sf) – Under Review with Negative Implications
-- Class A4, AAA (sf) – Under Review with Negative Implications
-- Class AAB, AAA (sf) – Under Review with Negative Implications
-- Class AS, AAA (sf) – Under Review with Negative Implications
-- Class XA, AAA (sf) – Under Review with Negative Implications
-- Class B, AA (low) (sf) – Under Review with Negative Implications
-- Class C, A (low) (sf) – Under Review with Negative Implications
-- Class PEZ, A (low) (sf) – Under Review with Negative Implications
-- Class D, BBB (low) (sf) – Under Review with Negative Implications
-- Class XD, BBB (low) (sf) – Under Review with Negative Implications

Additionally, DBRS Morningstar assigned the classes above, along with Classes E and F, Interest in Arrears designations. Class G continues to carry an Interest in Arrears designation.

DBRS Morningstar took these rating actions as a result of a spike in interest shortfalls stemming from the Hammons Hotel Portfolio loan (Prospectus ID#2, 10.3% of the current pool balance) loan modification. While the interest shortfalls on the most senior bonds may be recouped relatively quickly, DBRS Morningstar has a very low tolerance for interest shortfalls on these rating categories. DBRS Morningstar did not place Classes E, F, and G Under Review with Negative Implications as these bonds carry ratings that are below investment grade for which DBRS Morningstar has a slightly higher tolerance for enduring shortfalls.

The Hammons Hotel Portfolio loan is secured by a pari passu interest in a $250.8 million whole loan collateralized by a portfolio of seven hotels, including five full-service, one limited-service, and one extended-stay property. The loan transferred to the special servicer in July 2020 after the borrower requested mortgage relief as a result of the Coronavirus Disease (COVID-19). In June 2021, the loan was brought current through a loan modification, which included two one-year maturity extension options, a $22.0 million equity infusion from the borrower (with help from an institutional investor), and the conversion to interest-only (IO) payments for the remainder of the term. These payments were retroactively applied to begin in April 2020, which resulted in a negative principal payment of $2.3 million being passed through the trust, causing the aforementioned spike in interest shortfalls.

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.

Classes X-A, PEZ, and X-D 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 ratings are subject to surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by DBRS Morningstar.

The DBRS Viewpoint platform provides additional information on this transaction and underlying loans including DBRS Morningstar metrics, commentary, servicer-reported cash flows, and other performance-related data.

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.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.

The principal methodology is the North American CMBS Surveillance Methodology (March 21, 2021), 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 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@dbrsmorningstar.com.

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.

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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