DBRS Morningstar Confirms All Ratings on GS Mortgage Securities Trust 2020-GC45

DBRS Limited (DBRS Morningstar) confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2020-GC45 issued by GS Mortgage Securities Trust 2020-GC45 as follows:

-- 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 A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X-B at A (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)

DBRS Morningstar also confirmed the loan-specific certificates as follows:

-- 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.

The rating confirmations reflect the overall stable performance of the underlying loans in the transaction. At issuance, the trust consisted of 52 fixed-rate loans secured by 152 commercial, hospitality, and multifamily properties with an original balance of $1.39 billion. As of the December 2021 remittance report, all of the original loans remain in the pool and there has been nominal collateral reduction of 0.2% since issuance. Amortization has generally been limited, as 29 of the loans representing 68.2% of the current pool balance are structured as interest-only (IO) and 17 loans representing another 26.5% are structured as partial-IO and remain in their IO periods. The collateral pool’s property type concentration is relatively diverse, with the greatest property type concentration by loan balance consisting of mixed-use assets (eight loans accounting for 23.2% of the pool balance). Retail assets account for the second-greatest property type concentration, with 15 loans that represent 21.7% of the current pool balance.

At issuance, DBRS Morningstar assigned an investment-grade shadow rating to eight loans (seven of which were included in the 15 largest loans): 1633 Broadway (Prospectus ID#1, 4.3% of the current pool); 560 Mission 1 (Prospectus ID#2, 4.3% of the pool); Starwood Class A Industrial Portfolio 1 (Prospectus ID#3, 4.3% of the pool); Bellagio Hotel and Casino (Prospectus ID#4, 4.3% of the pool); Southcenter Mall (Prospectus ID#5, 4.3% of the pool); 650 Madison Avenue (Prospectus ID#8, 3.6% of the pool); Parkmerced (Prospectus ID#14, 2.7% of the pool); and 510 East 14th Street (Prospectus ID#17, 2.5% of the pool). With this review, DBRS Morningstar confirmed that the respective performance of each of these loans remains consistent with the characteristics of an investment-grade loan.

As of the December 2021 remittance, there were seven loans representing 15.5% of the current pool balance on the servicer’s watchlist, including three loans representing 10.6% of the pool in the 15 largest loans. These loans are being monitored for a variety of reasons including deferred maintenance or a low debt service coverage ratio (DSCR), among others. There were no loans in special servicing and no delinquent loans as of the December 2021 remittance. The largest loan on the servicer’s watchlist, Kent Station (Prospectus ID#6, 4.2% of the pool), was flagged for deferred maintenance while the second-largest watchlisted loan, Van Aken District (Prospectus ID#7, 4.0% of the pool), was flagged for a low DSCR, as discussed below.

The Van Aken District loan is secured by a mixed-use development in Shaker Heights, Ohio. The loan was added to the servicer’s watchlist in November 2020 after the DSCR fell below 75% of the issuer’s DSCR. The March 2021 DSCR was reported at 0.98 times (x), compared with the March 2020 DSCR of 1.30x. According to the servicer, the decline is attributed to an increase in real estate taxes and repairs and maintenance expenses, driven by a remodeling project that finished in 2019, which increased the property value in 2020. The subject consists of 80,118 square feet (sf) of retail space, 62,961 sf of office space, and 103 multifamily units, and was built in phases during 2005 and from 2018 to 2019. Tenancy is granular, as no tenant makes up more than 8.0% of the net rentable area (NRA) and primarily consists of local retailers and some regional and national office tenants. According to the June 2021 rent roll, the property was 97.1% occupied and the servicer has noted that residential leasing remains strong as rents are increasing at renewal or turnover of units. The servicer noted that the borrower has reduced repair and maintenance costs and the June 2021 DSCR has improved to 1.30x, compared with the issuer’s DSCR of 2.36x.

The loan-specific certificates represented by Classes SW-A, SW-B, SW-C, and SW-D are backed by the $65.5 million subordinate companion loan of the $210 million Starwood Industrial Portfolio whole loan, which is secured by a portfolio of 33 industrial properties (including 24 warehouses, three distribution centers, two manufacturing facilities, two cold storage facilities, and two flex spaces) totaling 4.1 million sf across four states (Indiana, Illinois, Ohio, and Wisconsin). The loan-specific certificates are not pooled with the remainder of the trust loans. With this review, DBRS Morningstar confirmed that the performance of the underlying loan remains in line with the expectations at issuance, supporting the rating confirmations for those classes.

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.

Class X-A, X-B, 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 North American CMBS Surveillance Methodology (March 26, 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.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.
DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577