KBRA Downgrades Four Ratings and Affirms all Other Ratings for GSMS 2015-590M

KBRA downgrades the ratings for four classes and affirms all other ratings for GSMS 2015-590M, a CMBS SASB transaction. KBRA simultaneously removes the Watch Downgrade (DN) status from Classes C, D, and E, where they were placed on May 21, 2024. The rating actions follow a surveillance review of the transaction and are primarily driven by a decline in collateral performance since issuance along with a reduction in KBRA value to account for the downtime, lease up costs and free rent that will require funding to cover lease rollover through loan maturity on October 6, 2025. In addition, the ratings affirmations also reflect the strong asset quality and well capitalized institutional ownership of the asset.

The transaction collateral is a single, non-recourse, first lien mortgage loan secured by the borrower’s fee simple and leasehold interests in a 1.0 million sf, Class-A office building. The property is located at 590 Madison Avenue in New York City’s Manhattan borough. The whole loan has an outstanding principal balance of $650.0 million ($628 per sf). The trust collateral consists of a $169.4 million senior A note and a $280.6 million subordinate B note. The remaining portion of the whole mortgage loan, which is not trust collateral, consists of two senior A notes totaling $200.0 million that were contributed to two CMBS conduit transactions. The loan sponsor is the Board of the State Teachers Retirement System of Ohio (STRS Ohio).

KBRA analyzed the cash flow for the properties utilizing information from the trustee and servicer to determine KNCF. KBRA performed a stabilized analysis of KNCF and KBRA value as the expected occupancy based on updated tenant information will be below historical performance. The analysis produced a KNCF of $48.6 million and a KBRA value of $591.4 million ($571 per sf). The resulting KLTV is 109.9%, a change from 97.2% at last review and 79.0% at securitization. Due to significant lease rollover in 2025 and the decline in performance since issuance, KBRA identified the loan as a K-LOC and maintains the loan’s KPO of Underperform.

Details for the classes with ratings changes are as follows:

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