Morningstar DBRS Downgrades Credit Ratings on Six Classes of CGCMT 2015-GC33, Changes Trend on One Class to Negative

DBRS, Inc. (Morningstar DBRS) downgraded credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2015-GC33 issued by Citigroup Commercial Mortgage Trust 2015-GC33 as follows:

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

In addition, Morningstar DBRS confirmed the following credit ratings:

-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class F at C (sf)
-- Class G at C (sf)

Morningstar DBRS changed the trend on Class B to Negative from Stable and maintained the Negative trend on Classes C and PEZ. Classes A-3, A-4, A-AB, A-S, and X-A continue to carry Stable trends. There are no trends for Classes D, X-D, E, F, and G, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS).

The credit rating downgrades reflect Morningstar DBRS' liquidated loss projections and overall poor outlook for the ultimate resolution of the sole loan in special servicing, Illinois Center (Prospectus ID#1, 14.2% of the pool), and another large office loan in the top 10 that is believed to be at a high risk for default, as further discussed below. Projected liquidated losses for those two loans would erode the full balance of Classes E, F, G, and H and a small portion of the Class D certificate balance, supporting the credit rating downgrade and Negative trend with this rating action.

Morningstar DBRS also notes concerns regarding a few other underperforming loans in the pool that could lead to additional value stress and increase the likelihood of realized losses further up the capital stack, another factor considered as part of the credit rating downgrades and Negative trends. Morningstar DBRS has refinance concerns for eight loans, representing 29.5% of the pool, based on the in-place performance and/or lack of liquidity for certain property types in the current environment. For these loans, Morningstar DBRS applied stressed loan-to-value ratios (LTVs) and/or elevated probability of defaults (PODs) to increase the expected loss at the loan level as applicable.

The credit rating confirmations and Stable trends for the AAA (sf) and AA (low) credit-rated classes at the top of the capital stack reflect Morningstar DBRS' view that the majority of the pool's remaining loans will successfully refinance at their respective 2025 maturity dates, based on the most recent reported debt service coverage ratios (DSCRs) with 83.4% of the pool reporting DSCRs above 1.26 times (x). As of the May 2025 reporting, 43 of the original 64 loans remain in the pool with an aggregate principal balance of $646.7 million, representing a collateral reduction of 32.5% since issuance. There are nine loans, representing approximately 10.8% of the pool, that are fully defeased, and 33 loans, representing 75.0% of the pool, that are on the servicer's watchlist, most of which are being monitored for an upcoming maturity. By property type, the pool is most concentrated by loans secured by office properties (36.4% of the pool), followed by retail (21.4% of the pool) and lodging (16.4% of the pool) properties.

The largest loan in the pool, Illinois Center, is secured by two adjoining Class A office towers in downtown Chicago. The loan has been monitored on the servicer's watchlist for performance declines and was transferred to special servicing in April 2024 for payment default. Occupancy fell to 67.0% at YE2020 following the departure or downsizing of several tenants, a trend that has continued at the properties, as occupancy fell from 47.8% at YE2023 to 36.6% at YE2024. Per Reis, the East Loop submarket reported an average vacancy rate and rental rate of 18.4% and $25.4 per square foot (psf) for 2024. Given the severely depressed occupancy rate and low investor appetite for Chicago office product in the current environment, Morningstar DBRS assumed a stressed haircut to the issuance appraised value in its liquidation scenario for this loan of 65.0%, resulting in a liquidated value of $136.5 million and a loss severity of just over 50.0%. However, Morningstar DBRS believes the ultimate sale price (or updated as-is appraised value) could be even further stressed, a factor considered as part of the credit rating downgrades in the middle of the capital stack and Negative trends with this review.

The Decoration and Design Building (Prospectus ID#3, 9.3% of the pool) is secured by the leasehold interest in an 18-story office building that is mainly used as a showroom in Midtown Manhattan, New York. The loan was placed on the servicer's watchlist in May 2023 for low occupancy after several tenants vacated. The property was 66.7% occupied as of YE2024, relatively stable with the YE2023 figure of 66.5%, but trends in recent years have been showing steady decline from the occupancy rate of 94.8% at issuance. The property's net cash flow (NCF) has stabilized, with a YE2024 figure of $17.4 million (a DSCR of 1.82x), up from $14.7 as of YE2023, $15.7 million as of YE2022 and the Issuer's NCF of $22.1 million.

The property is also subject to a ground lease that had an initial expiration in December 2023, with two renewal options that extend the maturity to December 2063. As noted at issuance, per the land's issuance appraisal, without accounting for inflation, ground rent was expected to reset to an estimated $13.8 million in January 2024, well above the initial fixed rate of $3.8 million. At last review, Morningstar DBRS confirmed the ground lease had been extended for another 25 years; however, the increased ground rent increases are more gradual than anticipated, increasing to $5.75 million in 2024 and $6.0 million 2026, when the loan is scheduled to mature. Morningstar DBRS expects that performance is likely to further decline, given the depressed occupancy and increased ground rent. As such, Morningstar DBRS analyzed the loan with a stressed scenario to increase the loan-to-value ratio and probability of default to increase the loan level Expected Loss to a figure that was almost the double the pool average.

Hamilton Landing (Prospectus ID#4, 9.3% of the pool) is secured by seven office buildings totaling approximately 406,000 square feet (sf) in the San Francisco Bay Area. The loan was placed on the watchlist in December 2024 for occupancy-related concerns as well as an upcoming maturity date in August 2025. Per the most recent financial reporting, the properties reported a consolidated occupancy figure of 70.0% as of September 2024, which represents an increase from the YE2023 figure of 63.8%, but notably decreased from the issuance figure of 91.8%. This figure could further decline as the largest tenant, Visual Concepts Entertainment (30.3% of NRA on two separate leases), has one of their leases (15.8% of NRA) scheduled to expire in July 2025. The loan reported a Q3 2024 annualized NCF of $4.1 million and a DSCR of 1.53x. Both figures mark improvements over the YE2023 figures of $2.8 million and 1.07x, respectively, but stark declines from the issuance NCF and DSCR of $6.4 million and 2.42x, respectively. Given the location and uncertainty with regard to the occupancy rate for the collateral at loan maturity, Morningstar DBRS considered a liquidation scenario for this loan based on a stressed haircut to the issuance appraised value, which resulted in a liquidated value of approximately $29.6 million and implied liquidated losses of $30.4 million.

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 (May 16, 2025) https://dbrs.morningstar.com/research/454196.

Classes X-A 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.
22 West Washington Street
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 (April 9, 2025)/North American CMBS Insight Model v 1.3.0.0
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.