KBRA Downgrades Seven Ratings and Affirms All Other Ratings for GSMS 2015-GS1

KBRA downgrades the ratings of seven classes of certificates and affirms all other outstanding ratings for GSMS 2015-GS1, a $756.0 million CMBS conduit transaction. The rating actions follow a surveillance review of the transaction, which has exhibited an increase in KBRA's estimated losses since last review, including four top ten loans. The rating actions also consider the likelihood that interest shortfalls could reach higher in the capital stack as K-LOCs reaching maturity in the near term are unable to pay off.

As of the July 2024 remittance period, there are four specially serviced loans (12.9% of the pool balance), including two (5.6%) in foreclosure and one (0.3%) that is 90+ days delinquent. KBRA identified seven K-LOCs (37.6%), including the specially serviced assets. Of the K-LOCs, six (24.4%) have estimated losses. The K-LOCs include:

Five top 10 loans (35.5%):

590 Madison Avenue (largest, 13.2%)
South Plains Mall (2nd largest, 9.3% of the pool balance, 19.3% estimated loss severity)
Glenbrook Square (5th largest, 7.0%, 44.1%)
Deerfield Crossing (7th largest, 3.8%, 65.6%)
Lake Forest Place (10th largest, 2.2%, 29.9%)

Two additional K-LOCs (2.1%) have estimated losses:

Latham Crossing & Crossroads Plaza (1.8%, 19.8%)
CVS Homosassa (0.3%, 6.7%)

Excluding the K-LOCs with estimated losses, the transaction’s WA KLTV is 91.1%, compared to 90.4% at last review and 96.7% at securitization. The KDSC is 1.81x, compared to 1.80x at last review and 1.89x at securitization.

Details concerning the classes with rating changes are as follows:

Class B to A (sf) from AA- (sf)
Class PEZ to BB (sf) from BBB (sf)
Class C to BB (sf) from BBB (sf)
Class D to CC (sf) from B (sf)
Class E to C (sf) from CCC (sf)
Class F to C (sf) from CC (sf)
Class X-D to CC (sf) from B (sf)

KBRA Downgrades Seven Ratings and Affirms All Other Ratings for GSMS 2015-GS1

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