Fitch Ratings has downgraded eight and affirmed five classes of GS Mortgage Securities Trust 2015-GS1.
The Rating Outlooks on classes B, C, X-B and PEZ remain Negative. In addition, the Rating Outlooks on classes A-S and X-A have been revised to Negative from Stable.
RATING ACTIONS
Entity / Debt
Rating
Prior
GSMS 2015-GS1
A-2 36252AAB2
LT
AAAsf
Affirmed
AAAsf
A-3 36252AAC0
LT
AAAsf
Affirmed
AAAsf
A-AB 36252AAD8
LT
AAAsf
Affirmed
AAAsf
A-S 36252AAG1
LT
AAsf
Affirmed
AAsf
B 36252AAH9
LT
BBB+sf
Downgrade
Asf
C 36252AAK2
LT
BBsf
Downgrade
BBBsf
D 36252AAL0
LT
CCCsf
Downgrade
B-sf
E 36252AAN6
LT
CCsf
Downgrade
CCCsf
F 36252AAQ9
LT
Csf
Downgrade
CCsf
Page
of 2
VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action.
High Loss Expectations: Loss expectations for the pool remain high. The downgrades and Negative Outlooks reflect concerns and high expected losses on the South Plains Mall and specially serviced Glenbrook Square and Latham Crossing & Crossroads Plaza loans. Additionally, Deerfield Crossing (3.8% of the pool), a suburban office property within the top 15 has exhibited a declining performance and may deteriorate further. Seven loans are considered Fitch Loans of Concern (FLOCs; 32.1% of the pool) including two specially serviced loans (8.8% of the pool). Fitch's current ratings reflect a 'Bsf' rating case loss of 10.34%.
Specially Serviced Loans: Glenbrook Square (7.0%), which is secured by 784,604-sf of a 1,005,604-sf super-regional Mall in Fort Wayne, IN. The loan which is sponsored by Brookfield Property Partners transferred to special servicing in July 2020 for payment default. The loan has been periodically brought current on payments through the application of trapped cash throughout 2021 and 2022. According to the special servicer, the property is currently in receivership (Spinoso Real Estate), and the property is expected to be marketed for sale by the receiver.
Collateral anchors include Macy's (24% of NRA leased through January 2027) and JCPenney (19%; May 2028). Former collateral anchor Carson's (12.1%) and non-collateral anchor Sears both closed their stores at the property in 2018, and the Sears store has been demolished. Collateral occupancy was 80.2% as of March 2022 from 79.3% in August 2021, 80.4% in December 2020, 82.3% in March 2019 and 96.8% in September 2017.
Comparable inline sales for tenants occupying less than 10,000 sf were $491 psf as of TTM February 2023 compared with $521 psf at TTM March 2022, $497 psf at August 2021, $384 psf at YE 2020, $436 psf at YE 2019, $415 psf as of TTM September 2018, $414 psf at YE 2017 and $443 psf at issuance.
Fitch's 'Bsf' case loss of 63% prior to a concentration adjustment considers a discount to the updated January 2023 appraisal value and implies a 19% cap rate to the YE 2022 NOI.
Latham Crossing & Crossroads Plaza (1.8%), which is secured by two multi-anchored shopping centers totaling 100,726-sf, located a half a mile apart in Latham, NY. The loan transferred to special servicing in June 2020 for monetary default.
According to the watchlist commentary, Kinkaid Furniture (NRA 11.9%) vacated at lease expiration in December 2019. The former Kinkaid Furniture space is being occupied by Spirit Halloween on a seasonal lease. In March 2020, Chuck E Cheese (NRA 11.3%) stopped paying rent following the company's announcement it would file for Chapter 11 bankruptcy. Most other tenants made partial payments or stopped paying rent as a result of the COVID-19 pandemic. There have been no updated financial statements provided since issuance. In April 2022, the borrower's most recent modification proposal was declined and the special servicer filed a foreclosure complaint in May 2022, a discovery was expected to begin in June 2023.
Fitch's 'Bsf' case loss of 26% prior to a concentration adjustment considers a discount to the most recent March 2023 appraisal value.
Fitch Loans of Concern: The largest contributor to expected losses is the South Plains Mall loan (9.1%), which is secured by 992,140-sf portion of a 1,135,840-sf super-regional mall located in Lubbock, TX. The loan is sponsored by the Macerich Company and GIC Realty. Collateral anchors include JCPenney (20.4% of collateral NRA; July 2028 lease expiry), Dillard's Women (16.4%; month-to-month [MTM]), Dillard's Men & Children (9.5%; MTM) and a non-collateral former Sears (143,700 sf), which closed in late 2018 and was previously temporarily leased by Spirit Halloween during the fall season of 2020. The Dillard's leases were scheduled to expire in April 2023, however, the tenant converted to MTM. According to the servicer, Dillard's is still in-place until construction of their new location is completed.
The April 2023 rent roll shows near term lease rollover as 36% in 2023, which includes the Dillard's leases, and 5% in 2024. YE 2022 performance showed an improvement with occupancy of 96%, up from 84% at YE 2021 and 79% at YE 2020. NOI debt service coverage ratio (DSCR) also increased to 1.87x as of YE 2022 compared with 1.69x at YE 2021 and 1.77x at YE 2019.
Comparable in-line sales for tenants less than 10,000 sf were reported at $558 psf as of the TTM ended March 2023, $573 psf as of YE 2021, from $418 psf at YE 2020, $502 psf at TTM June 2019 and $461 psf as of TTM August 2018.
Fitch's 'Bsf' case loss of 31% prior to a concentration adjustment is based on a 15% cap rate to the YE 2021 NOI.
Increase in Credit Enhancement: As of the June 2023 distribution date, the pool's aggregate principal balance has been paid down by 6.2% to $769.5 million from $820.6 million at issuance. Nine loans (16.0% of current pool) are fully defeased. All of the loans in the pool mature between September 2025 and November 2025. There have been no realized losses since issuance.
Alternate Loss Considerations: Fitch conducted a sensitivity scenario which incorporates additional stresses to two FLOCs, the South Plains Mall (9.1% of the pool) and Glenbrook Square (7.0%) loans. In addition, an assumption of 24 months of seasoning and a successful payoff of the only credit opinion loan (COL) in the pool, 590 Madison Avenue (13.0%) was incorporated into the sensitivity scenario. In this scenario, the pools 'Bsf' rating case loss is 12.1%.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade
Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-2 through A-AB are not likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. Downgrades to the B, C, X-B and the exchangeable PEZ class are possible should the Glenbrook Square, South Plains Mall and Deerfield Crossing loans experience outsized losses or if interest shortfalls occur.
Downgrades to classes D, E, F and X-D class would occur should loss expectations increase from continued performance decline of the FLOCs, additional loans default or transfer to special servicing or higher losses are incurred on the specially serviced loans than expected.
Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes.
Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade
Sensitivity factors that could lead to upgrades would include stable to improved asset performance, particularly on the two regional mall loans and other FLOCs, coupled with additional paydown and/or defeasance. Upgrades to the A-S, B, C, X-A, X-B and the exchangeable PEZ class would likely occur with significant improvement in CE and/or defeasance and/or the stabilization of the Glenbrook Square, South Plains Mall and Deerfield Crossing loans and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls.
The classes D, E, F and X-D are unlikely to be upgraded absent significant performance improvement on the South Plains Mall and Deerfield Crossing loans, other FLOCs and higher recoveries than expected on the Glenbrook Square loan.
Best/Worst Case Rating Scenario
International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
ESG Considerations
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg.
Additional information is available on www.fitchratings.com
MACY'S, INC. 
