Morningstar DBRS Downgrades Credit Ratings on Four Classes of GS Mortgage Securities Trust 2015-GC30

DBRS, Inc. (Morningstar DBRS) downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2015-GC30 issued by GS Mortgage Securities Trust 2015-GC30 as follows:

-- Class X-D to B (sf) from BBB (low) (sf)
-- Class D to B (low) (sf) from BBB (low) (sf)
-- Class E to CCC (sf) from B (high) (sf)
-- Class F to C (sf) from CCC (sf)

In addition, Morningstar DBRS confirmed the following credit ratings:

-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class PEZ at A (low) (sf)

Morningstar DBRS changed the trends on Classes C and PEZ to Negative from Stable. The trends on Class D and Class X-D remain Negative. Classes E and F have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The remaining classes have Stable trends.

The credit rating downgrades on Classes D, E, and F reflect Morningstar DBRS' increased cumulative liquidated loss projections for the loans in special servicing, primarily driven by the two largest loans, Selig Office Portfolio (Prospectus ID#2, 19.8% of the pool) and Bank of America Plaza (Prospectus ID#5, 7.1% of the pool). Since the last credit rating action in May 2024, the Selig Office Portfolio loan was transferred to special servicing ahead of the April 2025 maturity. In addition, an updated appraisal was received for the Bank of America Plaza loan, indicating an 88.4% value decline from the issuance appraised amount. Morningstar DBRS liquidated all three specially serviced loans in the analysis for this review, with total liquidated losses of $92.3 million considered based on conservative haircuts to the most recent appraised values. Those losses would fully erode the remaining balance of the unrated Class G, as well as Classes F and E and a portion of Class D, supporting the credit rating downgrades. In addition to the specially serviced loans, Morningstar DBRS identified six performing loans, representing 13.8% of the pool, that have elevated refinance risk because of poor performance, collateral located in soft submarkets, and/or low investor demand for the collateral property type. These loans and all the remaining loans in the pool are scheduled to mature by May 2025, a factor considered for the Negative trends on Classes C and D.

The largest loan in special servicing is the Selig Office Portfolio, which is secured by a portfolio of nine office buildings totaling 1.6 million square feet (sf) throughout Seattle. The subject loan of $123.0 million represents a pari passu portion of a $379.1 million whole loan, with the additional senior notes secured in the Morningstar DBRS-rated BMARK 2021-B23 and CGCMT 2015-GC31 transactions and the non-Morningstar DBRS-rated CGCMT 2015-GC29 and GSMS 2015-GC32 transactions. According to the servicer, discussions are under way regarding a potential loan extension; however, nothing has been finalized to date. Occupancy has been declining in recent years and was most recently reported at 65.0% as of YE2024, compared with the issuance occupancy rate of 92.3%. For the same time periods, the loan reported a debt service coverage ratio of 1.87 times (x) and 2.22x, respectively. Office properties within the Central Seattle submarket reported an average vacancy rate of 21.0% in Q4 2024, according to a Reis report. Given the low in-place occupancy rate, the loan was analyzed with a liquidation scenario based on a stressed value analysis. As the servicer has not provided updated appraisals to date, Morningstar DBRS referenced updated appraisals for similar Seattle office properties (also owned by the subject loan sponsor) in other Morningstar DBRS-rated CMBS transactions. Based on those comparable values, a haircut of 67% was applied to the October 2020 appraisal for the subject portfolio of $740.0 million, with the analyzed liquidation scenario resulting in a loss severity of more than 40%, or approximately $51.6 million.

The second-largest loan in special servicing is Bank of America Plaza, a 742,244-sf office property in St. Louis' central business district. The loan transferred to special servicing in June 2023 for imminent monetary default following the lease expiry of the largest tenant, Bank of America (previously 29.8% of the net rentable area), in June 2023. Bank of America renewed only 22.5% of its space; however, servicer commentary indicates the tenant negotiated for rent abatements. According to the servicer's reporting, the property reported an occupancy of 51.0% at Q3 2024, a significant decline from the March 2023 occupancy of 83.4%. As performance and occupancy have continued to decline, the borrower has indicated it will not continue to fund any shortfalls, and CBRE has been appointed as receiver. Morningstar DBRS considered a liquidation scenario based on a 15% haircut to the $8.4 million December 2024 appraisal (sharply below the issuance appraised value of $72.5 million), resulting in a projected loss severity approaching 88.4%.

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. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

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 (August 13, 2024) at https://dbrs.morningstar.com/research/437781.

Classes 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 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.

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.
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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 CMBS Multi-Borrower Rating Methodology/North American CMBS Insight Model version 1.3.0.0 (April 9, 2025)
https://dbrs.morningstar.com/research/451739
-- 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
-- North American Commercial Mortgage Servicer Rankings (August 23, 2024)
https://dbrs.morningstar.com/research/438283

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