GS Mortgage Securities Trust - 2020-GC45 - DBRS Morningstar
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PRESALE REPORT GS Mortgage Securities Trust 2020-GC45 JANUARY 2020 STRUCTURED FINANCE: CMBS
Table of Contents Capital Structure 3 Transaction Summary 4 Rating Considerations 5 DBRS Morningstar Credit Characteristics 7 Largest Loan Summary 8 DBRS Morningstar Sample 9 Model Adjustments 11 Transaction Concentrations 12 Loan Structural Features 13 1633 Broadway 20 560 Mission Street 25 Starwood Class A Industrial Portfolio 1 29 Bellagio Hotel and Casino 34 Southcenter Mall 40 Kent Station 45 Van Aken District 49 650 Madison 54 The Shoppes at Blackstone Valley 58 90 North Campus 63 Crystal Springs Resort 67 Calspan Building 74 Parkmerced 78 Transaction Structural Features 82 Methodologies 84 Operational Risk Reviews 84 Surveillance 84 Glossary 85 Definitions 85 Michael Fedorochko Chandan Banerjee Vice President Senior Vice President +1 646 560-4551 +1 212 806-3901 Michael.Fedorochko@morningstar.com cbanerjee@dbrs.com Kevin Mammoser Erin Stafford Managing Director Managing Director +1 312 332-0136 +1 312 332-3291 kmammoser@dbrs.com estafford@dbrs.com
Presale Report | GSMS 2020-GC45
Capital Structure
DBRS Morningstar
Description Rating Action Balance ($) Subordination (%) Rating Trend
Class A-1 New Rating – Provisional 19,471,000 30.000 AAA (sf) Stable
Class A-2 New Rating – Provisional 86,299,000 30.000 AAA (sf) Stable
Class A-3 New Rating – Provisional 13,119,000 30.000 AAA (sf) Stable
Class A-4 New Rating – Provisional TBD 30.000 AAA (sf) Stable
Class A-5 New Rating – Provisional TBD 30.000 AAA (sf) Stable
Class A-AB New Rating – Provisional 38,461,000 30.000 AAA (sf) Stable
Class A-S New Rating – Provisional 146,827,000 18.625 AAA (sf) Stable
Class X-A New Rating – Provisional 1,050,375,000 – AAA (sf) Stable
Class B New Rating – Provisional 64,539,000 13.625 AA (low) (sf) Stable
Class C New Rating – Provisional 48,405,000 9.875 A (low) (sf) Stable
Class X-B New Rating – Provisional 112,944,000 – A (sf) Stable
Class D New Rating – Provisional 30,656,000 7.500 BBB (high) (sf) Stable
Class X-D New Rating – Provisional 50,018,000 – BBB (sf) Stable
Class E New Rating – Provisional 19,362,000 6.000 BBB (low) (sf) Stable
Class F-RR New Rating – Provisional 25,815,000 4.000 BB (low) (sf) Stable
Class G-RR New Rating – Provisional 12,908,000 3.000 B (sf) Stable
Class H-RR New Rating – Provisional 38,724,196 0.000 NR Stable
Class SW-A New Rating – Provisional 11,708,000 25.331 A (low) (sf) Stable
Class SW-B New Rating – Provisional 16,803,000 16.910 BBB (low) (sf) Stable
Class SW-C New Rating – Provisional 18,384,000 7.696 BB (low) (sf) Stable
Class SW-D New Rating – Provisional 15,355,000 0.000 B (low) (sf) Stable
Class SW-VR New Rating – Provisional 3,277,072 0.000 NR Stable
Notes:
1. NR = not rated.
2. Classes D, X-D, E, F-RR, G-RR, and HRR will be privately placed.
3. The Class X-A, X-B, and X-D balances are notional. Classes X-A, X-B, and X-D are IO certificates that reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall.
4. The exact initial certificate balances of the Class A-4 and Class A-5 certificates are unknown and will be determined based on the final pricing of those classes of certificates.
However, the respective initial certificate balances, assumed final distribution date, weighted average lives and principal windows of the Class A-4 and Class A-5 certifi-
cates are expected to be within the applicable ranges reflected in the following chart. The initial aggregate certificate balance of the Class A-4 and Class A-5 certificates is
expected to be approximately $746,198,000, subject to a variance of plus or minus 5%.
5. Loan specific certificates: Classes SW-A, SW-B, SW-C, SW-D, and SW-VR are loan-specific certificates collateralized by the subordinate companion loan component of
the Starwood Class A Industrial Portfolio 1 whole loan. The loan-specific certificates will only be entitled to receive distributions from, and will only incur losses with respect
to, the trust subordinate companion loan. The trust subordinate companion loan is included as an asset of the issuing entity but is not part of the mortgage pool backing the
pooled certificates. No class of pooled certificates will have any interest in the trust subordinate companion loan.
January 2020 3
Presale Report | GSMS 2020-GC45
Transaction Summary
P OOL CHARACTE RI S TI CS
Trust Amount ($) 1,328,651,197 Wtd. Avg. Interest Rate (%) 3.556
Number of Loans 52 Wtd. Avg. Remaining Term 115
Number of Properties 152 Wtd. Avg. Remaining Amortization 359
Average Loan Size ($) 25,550,985 Total DBRS Morningstar Expected -4.8
Amortization (%)2
Wtd. Avg. DBRS Morningstar Term DSCR (x)1 2.71 Wtd. Avg. DBRS Morningstar 55.58
Issuance LTV (%)
Wtd. Avg. DBRS Morningstar Balloon LTV (%) 51.4 Avg. DBRS Morningstar NCF Variance (%) 12.6
Top 10 Loan Concentration (%) 42.1
1. Includes pari passu debt, but excludes subordinate debt.
2. For certain ARD loans, expected amortization may include amortization expected to occur after the ARD, but prior to single/major tenant expiry.
PA RTICIPANTS
Participants Goldman Sachs & Co. LLC
Depositor GS Mortgage Securities Corporation II
Mortgage Loan Sellers Goldman Sachs & Co. LLC
Citigroup Global Markets Inc.
Deutsche Bank Securities Inc.
Master Servicer Midland Loan Services, a division of PNC Bank, National Association
Special Servicer Midland Loan Services, a division of PNC Bank, National Association
Certficate Administrator Wells Fargo Bank, N.A.
Trustee Wells Fargo Bank, N.A.
Trust Advisor Pentalpha Surveillance LLC
Asset Representations Reviewer Pentalpha Surveillance LLC
January 2020 4
Presale Report | GSMS 2020-GC45
Rating Considerations
The collateral consists of 52 fixed-rate loans secured by 152 commercial, hospitality, and multifamily properties. The
transaction is a sequential-pay pass-through structure. DBRS Morningstar analyzed the conduit pool to determine the
provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. DBRS
Morningstar shadow-rated eight loans, representing 31.8% of the pool, as investment grade. When the cutoff loan balances
were measured against the DBRS Morningstar Stabilized NCF and their respective actual constants, nine loans, representing
9.9% of the pool, had a DBRS Morningstar Term DSCR below 1.32x, a threshold indicative of a higher likelihood of midterm
default. The pool additionally includes 14 loans, representing 23.4% of the pool by allocated loan balance, with issuance
LTVs higher than 67.1%, a threshold historically indicative of above-average default frequency. The WA LTV of the pool at
issuance was 54.6% and the pool is scheduled to amortize down to a WA LTV of 51.4% at maturity.
STRENGTHS
– Investment-grade component: The collateral features eight loans, representing 31.8% of the initial pool balance,
that DBRS Morningstar assessed as investment grade: 1633 Broadway, 560 Mission Street, Starwood Class A Industrial
Portfolio 1, Bellagio Hotel and Casino, Southcenter Mall, 650 Madison Avenue, Parkmerced, and 510 East 14th Street. DBRS
Morningstar views the percentage of investment-grade loans in the pool favorably and the proportion of investment-grade
loans is higher than other recent conduit/fusion transactions. For more information on these eight loans, please refer to
their respective loan summaries.
– Portfolio diversification and granularity: The pool is relatively granular and does not exhibit significant loan size
concentration. No loan represents more than 4.5% of the pool cutoff balance and the top 10 loans represent only 42.1%
of the total pool balance. Eight loans, representing 17.7% of the initial pool balance, are secured by multiple-property
portfolios, which provides additional diversity and cash flow stability compared with a loan collateralized by a single
property. Additionally, no single property type accounts for more than 25.0% of the pool by initial cutoff balance.
– Quality and pool metrics: The pool has a favorable WA DBRS Morningstar LTV of 54.5% at issuance, which amortizes
down to a WA DBRS Morningstar Ending LTV of 51.4% at maturity, which is lower than recent transactions. Eight loans,
representing 42.0% of the sampled loans, had Average (+), Above Average, or Excellent property quality. Additionally, only
one loan, representing 1.4% of the sampled loans, had Below Average property quality. Four of the five largest loans in the
pool, representing 27.0% of the initial pool balance, are rated either Excellent or Above Average.
– Loan Purpose and cash equity: Approximately 37.8% of the pool by initial cutoff balance is for the purpose of acquisition,
which DBRS Morningstar views as favorable in the context of recent-vintage conduit/fusion transactions. Cash equity
infusions from a sponsor in a transaction typically results in a greater alignment of interests between the lender and
borrower, especially compared with a refinancing scenario where the sponsor may be withdrawing equity from the
transaction. Several loans that produced higher-than-average expected losses, including PCI Pharma Portfolio, Magnolia
Parc, and Harvey Building Products, were used to fund acquisitions with a WA cash equity of 31.5% of the purchase price.
CHALLENGES AND CONSIDERATIONS
– Leverage barbelling: The pool exhibits heavy-leverage barbelling. While the pool has 21 loans, comprising 54.3% of
the pool balance, with an issuance LTV lower than 59.3%, a threshold historically indicative of relatively low-leverage
financing and generally associated with below-average default frequency, there are also 18 loans, comprising 21.2% of
the pool balance, with an issuance LTV higher than 67.1%, a threshold historically indicative of relatively high-leverage
financing and generally associated with above-average default frequency. The WA Expected Loss of the pool’s investment-
grade component was approximately 0.6% while the WA Expected Loss of the pool’s conduit component was substantially
higher at over 3.0%, further illustrating the barbelled nature of the transaction.
– Seventeen of the 18 loans identified as high leverage have some form of amortization and the 18 loans collectively amortize
down to a WA LTV of 62.0% at maturity and have an average occupancy rate of 96.8%. Additionally, 11 of the 18 high-
leverage loans are for the purpose of acquisition.
January 2020 5
Presale Report | GSMS 2020-GC45
– IO concentration: Twenty-nine loans, representing a combined 68.2% of the cutoff pool balance, are structured with full-
term IO periods and an additional 17 loans, representing 26.5% of the pooled cutoff balance, are structured with partial-IO
terms ranging from 12 months to 60 months.
– Eight of the loans structured with full-term IO periods are shadow-rated investment grade and represent nearly half of
the 67.5% IO concentration.
– Secondary/tertiary market concentration: The pool features a relatively high concentration of loans secured by
properties located in less favorable suburban market areas. Twenty-six loans, representing 49.9% of the pool’s cutoff
balance, are secured by properties predominately located in areas with a DBRS Morningstar Market Rank of either 3 or 4.
– Loans in markets with a DBRS Morningstar Market Rank of either 3 or 4, on average, produce higher expected losses
than similar loans; therefore, the component of the pool that is concentrated in these weaker markets resulted in higher
deal-level credit enhancement with the WA expected loss of over 3.0% for the conduit component of the transaction.
– The pool also has six loans, representing 17.5% of the cutoff pool balance, that are in areas with a DBRS Morningstar
Market Rank of 7 or 8.
– Legal and structural considerations: Four loans, representing 12.0% of the pool by initial balance, are secured by either
a leasehold or partial leasehold interest. Crystal Springs Resort, representing 3.8% of pool, is secured by a condominium
interest that DBRS Morningstar deems to be credit negative.
– The ground leases generally have fully extended expiration dates far enough in the future to be considered traditionally
financeable or otherwise do not encumber a portion of the property that generates a material amount of value. With respect
to Crystal Springs Resort, the very high 9.1% implied cap rate reflects the great risk inherent in the collateral package.
January 2020 6
Presale Report | GSMS 2020-GC45
DBRS Morningstar Credit Characteristics
D BRS MO RNINGS TAR TE RM D S CR D B R S MO R N IN G STA R B A L L O O N LT V
DSCR (x) % of the Pool (Trust Balance )
1
DSCR (%) % of the Pool (Trust Balance1)
0.00-0.90 0.0 0.0-50.0 38.6
0.90-1.00 0.0 50.0-55.0 11.3
1.00-1.15 3.4 55.0-60.0 18.6
1.15-1.30 6.6 60.0-65.0 15.0
1.30-1.45 7.4 65.0-70.0 16.6
1.45-1.60 8.7 70.0-75.0 0.0
1.60-1.75 6.6 >75.0 0.0
>1.75 67.3 Wtd. Avg. 51.4
Wtd. Avg. 2.71x
D BRS MO RNINGS TAR I S S U AN CE LTV
LTV (%) % of the Pool (Trust Balance1)
0.0-50.0 32.1
50.0-55.0 11.1
55.0-60.0 10.7
60.0-65.0 10.0
65.0-70.0 22.1
70.0-75.0 8.8
>75.0 5.2
Wtd. Avg. 55.6
1. Includes pari passu debt, but excludes subordinate debt.
January 2020 7
Presale Report | GSMS 2020-GC45
Largest Loan Summary
LOAN DETAIL
DBRS Morningstar DBRS Morningstar Issuance
Loan Name Trust Balance ($) % of Pool Shadow Rating Term DSCR (x) LTV (%)
1633 Broadway 60,000,000 4.5 A (low) 3.04 42
560 Mission Street 60,000,000 4.5 AA 4.40 36
Starwood Class A Industrial Portfolio 1 60,000,000 4.5 A 3.40 45
Bellagio Hotel and Casino 60,000,000 4.5 AAA 7.92 39
Southcenter Mall 60,000,000 4.5 AAA 5.97 29
Kent Station 56,000,000 4.2 n/a 1.66 53
Van Aken District 53,500,000 4.0 n/a 2.10 58
650 Madison Avenue 50,000,000 3.8 BBB (low) 2.45 48
The Shoppes at Blackstone Valley 50,000,000 3.8 n/a 1.37 69
90 North Campus 50,000,000 3.8 n/a 1.54 65
Crystal Springs Resort 50,000,000 3.8 n/a 3.33 51
Calspan Building 49,500,000 3.7 n/a 1.92 60
Storage Rentals of America Portfolio 41,275,000 3.1 n/a 2.25 60
Parkmerced 37,500,000 2.8 AA (high) 3.95 26
Charleston on 66th 37,375,000 2.8 n/a 1.95 65
P R OPERTY DETAI L
DBRS Maturity
Morningstar Year Loan PSF/ Balance PSF/
Loan Name Property Type City State Built SF/Units Units ($) Units ($)
1633 Broadway Office New York New York 1972 2,561,512 488 488
560 Mission Street Office San Francisco California 2002 668,149 449 449
Starwood Class A Industrial Portfolio 1 Industrial Various Various Various 4,070,396 52 52
Bellagio Hotel and Casino Full-Service Las Vegas Nevada 1997 3,933 765,319 765,319
Hotel
Southcenter Mall Retail Tukwila Washington 1968 783,068 278 278
Kent Station Mixed Use Kent Washington 2005 245,360 228 195
Van Aken District Mixed Use Shaker Heights Ohio 2005 237,574 225 225
650 Madison Avenue Mixed Use New York New York 1957 600,415 1,332 1,332
The Shoppes at Blackstone Valley Retail Millbury Massachusetts 2003 787,071 208 175
90 North Campus Office Bellevue Washington 1991 262,858 304 304
Crystal Springs Resort Full-Service Hamburg New Jersey 2004 419 119,332 119,332
Hotel
Calspan Building Office Buffalo New York 1958 478,407 103 89
Storage Rentals of America Portfolio Self Storage Various Various Various 805,058 51 51
Parkmerced Multifamily San Francisco California 1944 3,165 473,934 473,934
Charleston on 66th Multifamily Largo Florida 2018 258 144,864 144,864
Note: Loan metrics are based on whole-loan balances.
January 2020 8
Presale Report | GSMS 2020-GC45
DBRS Morningstar Sample
D BRS MO RNINGS TAR S AM PLE RE S U LTS
DBRS
DBRS Morningstar DBRS
Prospectus Morningstar NCF Variance DBRS Morningstar Major Morningstar
ID Loan Name % of Pool NCF ($) (%) Variance Drivers Property Quality
1 1633 Broadway 4.5 92,393,880 -20.8 TI/LCs, Rent Steps Above Average
2 560 Mission Street 4.5 34,662,863 -15.9 TI/LCs, Straight-line rent Above Average
3 Starwood Class A Industrial 4.5 16,075,525 -7.5 TI/LCs, Vacancy Average
Portfolio 1
4 Bellagio Hotel and Casino 4.5 426,559,931 -12.7 RevPAR, FF&E Excellent
5 Southcenter Mall 4.5 39,214,184 -8.6 Vacancy, Leasing Costs Above Average
6 Kent Station 4.2 5,015,709 -6.6 Rental Rate Markdown, Average
Potential Income from Vacant
Space
7 Van Aken District 4.0 3,751,135 -11.1 Expenses, Percent Rent Above Average
8 650 Madison Avenue 3.8 50,846,168 -10.4 Vacancy, TI/LC Above Average
9 The Shoppes at Blackstone Valley 3.8 12,618,489 -10.4 Management Fee, TI/LC Average
10 90 North Campus 3.8 4,655,865 -37.6 Vacancy, TI/LC, GPR Average
11 Crystal Springs Resort 3.8 7,653,231 -15.4 Rooms Revenue, F&B Revenue Average
12 Calspan Building 3.7 5,400,480 -6.4 Vacancy, TI/LC Average (+)
14 Parkmerced 2.8 58,796,395 -1.5 Vacancy, Management Fee Average
17 510 East 14th Street 2.6 8,609,823 -5.5 Commercial Rent, Ground Above Average
Lease
18 PCI Pharma Portfolio 2.6 8,037,236 -17.1 Vacancy, TI/LC Average
21 Property Commerce Portfolio 2.3 5,285,003 -10.1 Vacancy, MTM, R&M, Capital Average
items
24 Harvey Building Products 1.5 12,077,127 -10.8 Vacancy, TI/LC Average
27 Shops at Blue Bell 1.5 1,719,574 -13.2 Vacancy, Straight-line rent Average
credit
30 830 Morris Turnpike 1.1 950,114 -29.7 TI/LC, Vacancy Average
31 Larchmont Commons 1.0 1,091,505 -13.4 TI/LC Average (-)
36 3700 Vanowen Street 0.8 790,826 -10.5 Vacancy, TI/LC Average
38 Martin Brower Phoenix Distribution 0.7 848,303 -11.3 TI/LC, Management Fee Average
Center
49 1016 Carroll Street 0.4 361,111 -11.5 Vacancy Average
January 2020 9
Presale Report | GSMS 2020-GC45
DBRS MORNINGSTAR SITE INSPECTIONS DBRS Morningstar Sampled Property Quality
The DBRS Morningstar sample included 23 of 52 loans, # of % of
representing 66.8% of the pool by allocated loan balance. Loans Sample
DBRS Morningstar performed site inspections on 46 of the Excellent 1 6.8
152 properties, representing 69.8% of the pool by allocated Above Average 6 35.9
loan balance. The resulting DBRS Morningstar property Average + 1 5.6
quality scores are highlighted in the table on page 12. Average 14 50.3
Average - 1 1.5
Below Average 0 0.0
DBRS MORNINGSTAR CASH FLOW ANALYSIS Poor 0 0.0
DBRS Morningstar completed a cash flow review as well as
a structural review on 23 of the 52 loans, representing 66.8% of the pool by allocated loan balance. DBRS Morningstar
generally adjusted cash flows to current in-place rent and, in some instances, applied an additional vacancy or concession
adjustment to account for deteriorating market conditions or tenants with above-market rents. In certain instances, DBRS
Morningstar accepted contractual rent steps if they were within market levels. Most expenses were generally recognized
based on the higher of historical figures or the borrower’s budgeted figures. Real estate taxes and insurance premiums
were inflated if a current tax bill was not provided. Capex was deducted based on the higher of the engineer’s inflated
estimate and the DBRS Morningstar standard, according to property type. Finally, leasing costs were deducted to arrive at
the DBRS Morningstar NCF. If a significant upfront leasing reserve was established at closing, DBRS Morningstar reduced
its recognized costs. DBRS Morningstar gave credit to tenants not yet in occupancy if a lease was signed and the loan was
adequately structured with a reserve, LOC, or holdback earn-out. The DBRS Morningstar sample had an average NCF
variance of -12.6% and ranged from -1.5% (Parkmerced) to -37.6% (90 North Campus). For loans not subject to an NCF
review, DBRS Morningstar applied the average NCF variance of the sampled loans.
DBRS Morningstar Sampled Property Type
30.0% 25.0%
25.0%
20.0%
20.0%
15.0%
15.0%
10.0%
10.0%
5.0%
5.0%
0.0% 0.0%
Anchored Full Service Industrial Limited MHC Multifamily Office Regional Self Unanchored Weakly
Retail Hotel Service Hotel Mall Storage Retail Anchored
Excellent Above Average Average (+) Average Average (-) Below Average Poor Pool
January 2020 10Presale Report | GSMS 2020-GC45 Model Adjustments DBRS Morningstar applied POD and LGD assumptions to certain loans, including Starwood Class A Industrial Portfolio 1, Crystal Springs Resort, Southcenter Mall, Van Aken District, PCI Pharma Portfolio, Harvey Building Products, Broadcasting Square, and 349 Coleman Boulevard. Identified model adjustments were as follows: – DBRS Morningstar adjusted the POD assumption for Starwood Class A Industrial Portfolio 1 downward to reflect the investment-grade nature of the A note contributed to the transaction (the subordinate companion note was analyzed separately). – DBRS Morningstar adjusted the POD assumption for Crystal Springs Resort downward based on the analyst’s extensive site inspection of the property, which was net positive on DBRS Morningstar’s view of the asset. – DBRS Morningstar adjusted the POD and LGD assumptions for Southcenter Mall to reflect an upward cap-rate adjustment to the DBRS Morningstar adjusted cap rate of 5.5% from the Issuer’s implied cap rate of 4.2%. This resulted in adjusted DBRS Morningstar Issuance and Maturity LTVs of 28.8%, which DBRS Morningstar then applied to its POD and LGD calculations. DBRS Morningstar made the cap-rate adjustment for this loan to bring the cap rate to a level that is more consistent with other regional malls. – DBRS Morningstar adjusted the POD and LGD assumptions for Van Aken District to reflect an upward cap-rate adjustment to the DBRS Morningstar adjusted cap rate of 5.0% from the Issuer’s implied cap rate of 4.7%. This resulted in adjusted DBRS Morningstar Issuance and Maturity LTVs of 58.1%, which DBRS Morningstar then applied to its POD and LGD calculations. DBRS Morningstar made the cap-rate adjustment for this loan to bring the cap rate to a level that is consistent with similar mixed-use assets in secondary markets. – DBRS Morningstar adjusted the POD and LGD assumptions for PCI Pharma Portfolio to reflect an upward cap-rate adjustment to the DBRS Morningstar adjusted cap rate of 6.1% from the Issuer’s implied cap rate of 5.8%. This resulted in adjusted DBRS Morningstar Issuance and Maturity LTVs of 62.3%, which DBRS Morningstar then applied to its POD and LGD calculations. DBRS Morningstar made the cap-rate adjustment for this loan to account for the specialty use, including packaging, research and development, and cold storage. – DBRS Morningstar adjusted the POD and LGD assumptions for Harvey Building Products to reflect an upward cap-rate adjustment to the DBRS Morningstar adjusted cap rate of 7.0% from the Issuer’s implied cap rate of 5.9%. This resulted in adjusted DBRS Morningstar Issuance and Maturity LTVs of 82.7% and 74.9%, respectively, which DBRS Morningstar then applied to its POD and LGD calculations. DBRS Morningstar made the cap-rate adjustment to account for the specialty- use (manufacturing) nature of some of the collateral. – DBRS Morningstar adjusted the POD and LGD assumptions for Broadcasting Square to reflect an upward cap-rate adjustment to the DBRS Morningstar adjusted cap rate of 6.5% from the Issuer’s implied cap rate of 5.8%. This resulted in adjusted DBRS Morningstar Issuance and Maturity LTVs of 58.1%, which DBRS Morningstar then applied to its POD and LGD calculations. DBRS Morningstar made the cap-rate adjustment to account for the secondary location of the retail asset. – DBRS Morningstar adjusted the POD and LGD assumptions for 349 Coleman Boulevard to reflect an upward cap-rate adjustment to the DBRS Morningstar adjusted cap rate of 6.5% from the Issuer’s implied cap rate of 5.4%. This resulted in adjusted DBRS Morningstar Issuance and Maturity LTVs of 76.4%, which DBRS Morningstar then applied to its POD and LGD calculations. DBRS Morningstar made the cap-rate adjustment to account for the secondary location. January 2020 11
Presale Report | GSMS 2020-GC45
Transaction Concentrations
DBRS Morningstar Property Type Geography
# of % of # of % of
Property Type Loans Pool State Properties Pool
Anchored Retail 8 15.4 NY 6 16.7
Full-Service Hotel 2 8.3 WA 3 12.5
Industrial 8 14.1 CA 6 10.6
Limited-Service Hotel 2 1.0 OH 2 6.8
MHC 0 0.0 NJ 3 5.8
Multifamily 10 13.1 TX 5 5.2
Office 8 22.6 All Others 127 42.3
Self Storage 2 3.8
Unanchored Retail 7 6.3
Mixed Use 5 15.3
Loan Size DBRS Morningstar Market Types
# of % of # of % of
Loan Size Loans Pool Market Type Properties Pool
Very Large 25 79.6 1 3 1.8
(>$20.0 million) 2 10 15.0
Large 12 12.4 3 13 19.3
($10.0-$20.0 million)
4 13 30.0
Medium 12 7.0
($5.0-$10.0 million) 5 4 8.5
Small 3 0.9 6 3 7.8
($2.0-$5.0 million) 7 1 0.4
Very Small 0 0.0 8 5 17.1
(Presale Report | GSMS 2020-GC45
Loan Structural Features
Pari Passu Notes: Sixteen loans, representing 50.6% of the pool by allocated loan balance, have pari passu debt and are
identified below.
PA RI PASSU NO T E S
% of % of Total Controlling Piece
Loan Balance ($) Pool Deal ID Pari Passu Loan (Y/N)
1633 Broadway 45,000,000 4.5 GSMS 2020-GC45 3.60 N
15,000,000 GSMS 2020-GC45 1.20 N
250,000 BWAY 2019-1633 0.02 Y
205,000,000 Future Securitizations 16.40 N
250,000 BWAY 2019-1633 0.02 N
235,000,000 Future Securitizations 18.80 N
250,000 BWAY 2019-1633 0.02 N
250,000,000 Future Securitizations 20.00 N
250,000 BWAY 2019-1633 0.02 N
250,000,000 Future Securitizations 20.00 N
62,250,000 BWAY 2019-1633 4.98 N
62,250,000 BWAY 2019-1633 4.98 N
62,250,000 BWAY 2019-1633 4.98 N
62,250,000 BWAY 2019-1633 4.98 N
1,250,000,000 n/a n/a 100.0 n/a
560 Mission Street 60,000,000 4.5 GSMS 2020-GC45 20.0 N
50,000,000 Future Securitizations 16.7 Y
25,000,000 Future Securitizations 8.3 N
15,000,000 Future Securitizations 5.0 N
100,000,000 Future Securitizations 33.3 N
50,000,000 Future Securitizations 16.7 N
300,000,000 n/a n/a 100.0 n/a
Starwood Class A Portfolio I 65,527,072 4.5 GSMS 2020-GC45 31.2 Y
50,000,000 GSMS 2020-GC45 23.8 N
10,000,000 GSMS 2020-GC45 4.8 N
30,000,000 Future Securitizations 14.3 N
24,500,000 Future Securitizations 11.7 N
30,000,000 Future Securitizations 14.3 N
210,027,072 n/a n/a 100.0 n/a
January 2020 13Presale Report | GSMS 2020-GC45
PA RI PASSU NO T E S
% of % of Total Controlling Piece
Loan Balance ($) Pool Deal ID Pari Passu Loan (Y/N)
Bellagio Hotel and Casino 60,000,000 4.5 GSMS 2020-GC45 2.0 N
258,000,000 BX 2019-OC11 8.6 Y
100,000,000 BX 2019-OC11 3.3 N
129,000,000 BX 2019-OC11 4.3 N
50,000,000 BX 2019-OC11 1.7 N
129,000,000 BX 2019-OC11 4.3 N
50,000,000 BX 2019-OC11 1.7 N
180,100,000 Future Securitizations 6.0 N
90,050,000 Future Securitizations 3.0 N
90,050,000 Future Securitizations 3.0 N
100,000,000 Future Securitizations 3.3 N
65,000,000 Future Securitizations 2.2 N
65,000,000 Future Securitizations 2.2 N
35,000,000 Future Securitizations 1.2 N
35,000,000 Future Securitizations 1.2 N
37,500,000 Future Securitizations 1.2 N
15,000,000 Future Securitizations 0.5 N
18,750,000 Future Securitizations 0.6 N
18,750,000 Future Securitizations 0.6 N
50,000,000 Future Securitizations 1.7 N
37,500,000 Future Securitizations 1.2 N
25,000,000 Future Securitizations 0.8 N
18,750,000 Future Securitizations 0.6 N
18,750,000 Future Securitizations 0.6 N
255,350,000 BX 2019-OC11 8.5 N
127,675,000 BX 2019-OC11 4.2 N
127,675,000 BX 2019-OC11 4.2 N
69,900,000 Future Securitizations 2.3 N
34,950,000 Future Securitizations 1.2 N
34,950,000 Future Securitizations 1.2 N
341,650,000 BX 2019-OC11 11.4 N
170,825,000 BX 2019-OC11 5.7 N
170,825,000 BX 2019-OC11 5.7 N
3,010,000,000 n/a n/a 100.0 n/a
January 2020 14Presale Report | GSMS 2020-GC45
PA RI PASSU NO T E S
% of % of Total Controlling Piece
Loan Balance ($) Pool Deal ID Pari Passu Loan (Y/N)
Southcenter Mall 60,000,000 4.5 GSMS 2020-GC45 30.3 Y
50,000,000 Future Securitizations 25.3 N
39,000,000 Future Securitizations 19.7 N
29,000,000 Future Securitizations 14.6 N
20,000,000 Future Securitizations 10.1 N
20,000,000 Future Securitizations 10.1 N
218,000,000 n/a n/a 100.0 n/a
650 Madison Avenue 30,000,000 3.8 GSMS 2020-GC45 3.8 N
20,000,000 GSMS 2020-GC45 2.5 N
50,000,000 CGCMT 2019-C7 6.3 N
40,000,000 CCRE(2) 5.0 N
182,900,000 CREFI(3) 22.9 N
116,450,000 GS Bank(4) 14.6 N
60,000,000 BCREI(5) 7.5 N
46,450,000 BCREI(5) 5.8 N
40,000,000 BCREI(5) 5.0 N
400,000 MAD 2019-650M 0.1 N
200,000 MAD 2019-650M 0.0 N
200,000 MAD 2019-650M 0.0 N
200,000 MAD 2019-650M 0.0 N
85,280,000 MAD 2019-650M 10.7 Y
42,640,000 MAD 2019-650M 5.3 N
42,640,000 MAD 2019-650M 5.3 N
42,640,000 MAD 2019-650M 5.3 N
800,000,000 n/a n/a 100.0 n/a
The Shoppes at Blackstone
20,000,000 3.8 GSMS 2020-GC45 12.2 N
Valley
20,000,000 GSMS 2020-GC45 12.2 N
10,000,000 GSMS 2020-GC45 6.1 N
55,000,000 COMM 2019-GC44 33.5 Y
59,000,000 Future Securitizations 36.0 N
164,000,000 n/a n/a 100.0 n/a
90 North Campus 50,000,000 3.8 GSMS 2020-GC45 62.5 Y
30,000,000 Future Securitizations 37.5 N
80,000,000 n/a n/a 100.0 n/a
January 2020 15Presale Report | GSMS 2020-GC45
PA RI PASSU NO T E S
% of % of Total Controlling Piece
Loan Balance ($) Pool Deal ID Pari Passu Loan (Y/N)
Parkmerced 37,500,000 2.8 GSMS 2020-GC45 2.5 N
123,500,000 MRCD 2019-PARK 8.2 N
123,500,000 MRCD 2019-PARK 8.2 N
65,000,000 Future Securitizations 4.3 N
50,000,000 Future Securitizations 3.3 N
50,000,000 Future Securitizations 3.3 N
12,500,000 Future Securitizations 0.8 N
35,000,000 Future Securitizations 2.3 N
10,000,000 Future Securitizations 0.7 N
40,000,000 Future Securitizations 2.7 N
354,000,000 MRCD 2019-PARK 23.6 N
354,000,000 MRCD 2019-PARK 23.6 N
122,500,000 MRCD 2019-PRKC 8.2 Y
122,500,000 MRCD 2019-PRKC 8.2 N
1,500,000,000 n/a n/a 100.0 n/a
510 East 14th Street 35,000,000 2.6 GSMS 2020-GC45 41.2 N
50,000,000 Future Securitizations 58.8 Y
85,000,000 n/a n/a 100.0 n/a
PCI Pharma Portfolio 20,000,000 2.6 GSMS 2020-GC45 18.4 N
10,000,000 GSMS 2020-GC45 9.2 N
5,000,000 GSMS 2020-GC45 4.6 N
40,000,000 COMM 2019-GC44 36.9 Y
33,500,000 Future Securitizations 30.9 N
108,500,000 n/a n/a 100.0 n/a
Broadcasting Square 30,000,000 2.3 GSMS 2020-GC45 48.4 N
32,000,000 COMM 2019-GC44 51.6 Y
62,000,000 n/a n/a 100.0 n/a
Property Commerce
30,000,000 2.3 GSMS 2020-GC45 52.1 Y
Portfolio
27,620,000 Future Securitizations 47.9 N
57,620,000 n/a n/a 100.0 n/a
Harvey Building Products 20,000,000 1.5 GSMS 2020-GC45 13.0 N
40,000,000 CGCMT 2019-C7 25.0 N
50,000,000 Benchmark 2019-B14 31.0 Y
50,000,000 Benchmark 2019-B15 31.0 N
160,000,000 n/a n/a 100.0 n/a
January 2020 16Presale Report | GSMS 2020-GC45
PA RI PASSU NO T E S
% of % of Total Controlling Piece
Loan Balance ($) Pool Deal ID Pari Passu Loan (Y/N)
19100 Ridgewood 20,000,000 1.5 GSMS 2019-GC45 14.3 N
30,000,000 CGCMT 2019-GC43 21.4 N
35,000,000 GSMS 2019-GSA1 25.0 N
55,000,000 GSMS 2020-GC42 39.3 Y
140,000,000 n/a n/a 100.0 n/a
Cobb Place 15,000,000 1.1 GSMS 2020-GC45 37.5 N
25,000,000 COMM 2019-GC44 62.5 Y
40,000,000 n/a n/a 100.0 n/a
Additional Debt: Eight loans, representing 27.0% of the pool, have some form of existing subordinate debt. Five loans,
representing 20.1% of the pool, have subordinate B notes. An additional four loans, representing 9.7% of the pool, have
existing mezzanine debt, including Parkmerced, which has both an existing B note and existing mezzanine debt. One
loan, Van Aken District, representing 4.0% of the pool, has an existing Subordinate Mortgage County Loan in the amount
of $6.3 million.
Subordinate Debt:
SU BO RDINATE DEBT
Mezz/
Unsecured Future Mezz/
Trust Balance Pari Passu B Note Debt Unsecured Debt Total Debt
Loan Name ($) Balance ($) Balance ($) Balance ($) (Y/N) Balance ($)
1633 Broadway 60,000,000 941,000,000 0 0 Y 1,001,000,000
560 Mission Street 60,000,000 240,000,000 0 0 Y 300,000,000
Starwood Class A Industrial 60,000,000 84,500,000 0 0 Y 144,500,000
Portfolio 1
Bellagio Hotel and Casino 60,000,000 1,616,200,000 0 0 Y 1,676,200,000
Southcenter Mall 60,000,000 158,000,000 0 0 Y 218,000,000
650 Madison Avenue 50,000,000 536,800,000 0 0 Y 586,800,000
The Shoppes at Blackstone Valley 50,000,000 114,000,000 0 0 Y 164,000,000
90 North Campus 50,000,000 30,000,000 0 0 Y 80,000,000
Parkmerced 37,500,000 509,500,000 0 0 Y 547,000,000
510 East 14th Street 35,000,000 50,000,000 0 0 Y 85,000,000
PCI Pharma Portfolio 35,000,000 73,500,000 0 0 Y 108,500,000
Broadcasting Square 30,000,000 32,000,000 0 0 Y 62,000,000
Property Commerce Portfolio 30,000,000 27,620,000 0 0 Y 57,620,000
Harvey Building Products 20,000,000 140,000,000 0 0 Y 160,000,000
19100 Ridgewood 20,000,000 120,000,000 0 0 Y 140,000,000
Cobb Place 15,000,000 25,000,000 0 0 Y 40,000,000
January 2020 17Presale Report | GSMS 2020-GC45
Leasehold: 510 East 14th Street, representing 2.6% of the pool by allocated loan balance, is fully secured by the borrower’s
leasehold interest in the property. The ground lease has a scheduled expiry of November 27, 2111, and the ground-rent
payment of $2.6 million at issuance represents 23.1% of the DBRS Morningstar NCF of over $8.6 million. During the loan
term, the ground rent will be no more than 25.5% of the DBRS Morningstar NCF. The ground lease has an expiration
date far enough beyond loan amortization to be considered traditionally financeable; however, the appraiser concluded
a 2041 ground-rent reset of $11.2 million, which will fall at the end of the subsequent loan term and may affect this loan’s
refinancability.
R E SERVE REQ UIRE M E N T B O R R O W ER ST R U C T U R E
Type # of Loans % of Pool Type Loans % of Pool
Tax Ongoing 32 48.9 SPE with Independent Director and Non- 25 79.2
Consolidation Opinion
Insurance Ongoing 14 16.4 SPE with Independent Director Only 0 0.0
Capex Ongoing 31 49.7 SPE with Non-Consolidation Opinion Only 1 0.6
Leasing Costs Ongoing 1
18 0.1 SPE Only 26 20.2
1. Percent of office, retail, industrial, and mixed-use assets based on DBRS Morn-
ingstar property types.
Interest Only DBRS Morningstar Expected Amoritization
# of % of # of % of
Loans Pool Loans Pool
Full IO 29 68.2 0.0% 29 68.2
Partial IO 17 26.5 0.0%-5.0% 0 0.0
Amortizing 6 5.4 5.0%-10.0% 2 2.6
10.0%-15.0% 10 17.3
15.0%-20.0% 7 7.9
20.0%-25.0% 3 3.2
>25.0% 1 0.7
Note: For certain ARD loans, expected amortization may include amortization
expected to occur after the ARD, but prior to single/major tenant expiry.
Sponsor: DBRS Morningstar identified three loans, DBRS Morningstar Sponsor Strength
representing 4.9% of the pool by allocated loan balance,
# of % of
with a prior voluntary bankruptcy, inadequate commercial Loans Pool
real estate (CRE) experience, and/or negative credit events. Strong 4 16.2
DBRS Morningstar applied POD penalties to mitigate Average 45 79.0
this risk. DBRS Morningstar also identified four loans, Weak 3 4.9
representing 16.2% of the pool by allocated loan balance, Bad/Litigious 0 0.0
with Strong sponsorship because of the sponsor(s)’
extensive experience in the CRE sector and significant
wherewithal.
Property Release: Nine loans, representing 29.8% of the pool, allow for the release or defeasance of one or more properties
or a portion of the mortgaged property, subject to release prices in an amount at least equal to 110.0% of the allocated
loan amounts of the respective properties and/or certain leverage tests prescribed in the individual loan agreements. The
Starwood Class A Industrial Portfolio 1 loan allows partial releases, subject to a release price of 105.0% of the allocated
loan with respect to the first 20.0% of the outstanding principal balance.
January 2020 18Presale Report | GSMS 2020-GC45 Property Substitution: No loans in the pool allow for the substitution of properties. Terrorism Insurance: Terrorism insurance is required and in place for all 52 loans. January 2020 19
Presale Report | GSMS 2020-GC45
1633 Broadway
New York, NY
Loan Snapshot
Seller
GSMC, GACC
Ownership Interest
Fee Simple
Trust Balance ($ Millions)
60.0
Loan psf/Unit ($)
488
Percentage of the Pool (%)
4.5
Loan Maturity/ARD
December 2029
Amortization CO LLATE RA L SU MMA RY
Interest Only
DBRS Morningstar
DBRS Morningstar Office Year Built/Renovated 1971/1989 & 1994
Property Type
Issuance DSCR (times)
3.04 City, State New York, New York Physical Occupancy (%) 98.4
DBRS Morningstar
Issuance LTV (%) Units/SF 2,561,512 Physical Occupancy Date October 31, 2019
41.7
DBRS Morningstar
Balloon LTV (%) The $1.25 billion loan is secured by the borrower’s fee interest in a Class A office
41.7 building at 1633 Broadway in midtown Manhattan. The loan proceeds are being used
DBRS Morningstar to refinance an existing $1.05 billion loan, fund upfront reserves of $36.4 million, cover
Property Type
closing costs of $20.8 million, and return $139.9 million of cash equity to the sponsor.
Office
The whole loan is split into $1.00 billion of senior notes, of which the trust has a
DBRS Morningstar
Property Quality $60 million pari passu piece, and $250 million of junior notes. All the junior notes and
Above Average $1 million of the senior notes are included in the BWAY Trust 2019-1633 transaction.
Debt Stack ($ Millions) The remaining $939 million in senior notes is not securitized.
Trust Balance
60.0 The property houses major financial, communications, and entertainment companies
Pari Passu on long-term leases typically from 10 years to more than 20 years. The property serves
941.0 as the headquarters or a major presence for tenants such as Allianz Global Investors,
B Note Warner Music Group, Morgan Stanley, Showtime Networks Inc., New Mountain
0.0 Capital, Paramount Group Inc., Charter Communications, Inc., and law firms. Office
Mezz tenants compose 88% of the rentable area, and retail space comprises 9%. The lease
0.0 expiration schedule indicates only 50.6% of the leased NRA, and 47% of the total rent
Total Debt expires during the 10-year loan term.
1,001.0
Loan Purpose Retail tenants include two restaurants and TD Bank on the ground floor. Equinox has
Refinance a facility below the main lobby that fronts onto an open, below-street-level courtyard
Equity Contribution/ that has an entrance to several subway lines. A similar, but smaller below-street-level
(Distribution) ($ Millions)
(139.9)
retail space known as The Cube is on the northeast corner of the site. Its entry from
the main plaza is via a descending stairway, and it has hosted a recent pop-up fashion
attraction. This space is now vacant.
January 2020 20Presale Report | GSMS 2020-GC45
1633 BROADWAY – NEW YORK, NY
T E NANT SUMMARY
DBRS
Morningstar % of Total DBRS Investment
% of Total Base Rent PSF Morningstar Grade?
Tenant SF NRA ($) Base Rent Lease Expiry (Y/N)
Allianz Asset Mgmt 320,911 12.5 89.96 16.2 1/31/2031 Y
Morgan Stanley & Co 260,829 10.2 75.15 11.0 3/31/2032 Y
WMG Acquisition Corp 293,888 11.5 64.64 10.7 7/31/2029 N
Showtime Networks Inc 261,196 10.2 62.86 9.2 1/31/2026 Y
Kasowitz Benson Torres 203,394 7.9 72.52 8.3 3/31/2037 n/a
Subtotal/Wtd. Avg. 1,340,218 52.3 73.60 55.3 Various n/a
Other Tenants 1,172,051 45.8 68.00 44.7 Various n/a
Vacant Space 49,243 1.9 n/a n/a n/a n/a
Total/Wtd. Avg. 2,561,512 100.0 69.62 100.0 Various n/a
The building also is home to the Circle in the Square Theatre and the Circle in the Square Theatre School, with entry on
50th Street. In addition, part of the collateral is a building adjacent to the main office tower containing a 250-space valet
parking garage with a ground-floor entrance and the 1,933-seat Gershwin Theatre above the garage. The Gershwin Theatre
is the largest Broadway theater based on seating capacity and has hosted Wicked since 2003.
The property competes with numerous other Class A office buildings of similar vintage in the Westside office submarket
as defined by the appraiser. Reis identifies 10 properties built in the 1970s in the Midtown West submarket that make up its
competitive set and another 11 office buildings of newer vintage that are direct competitors. The office vacancy rate for the
Westside submarket for Q3 2019 was 5.4%, per the appraiser. For the same time period, Reis estimated vacancy was 7.8% for
the Midtown West submarket, with 7.2% vacancy for Class A office properties. However, approximately 21.9 million sf of
development is scheduled for completion in Manhattan by 2023, and another 12.6 million sf is in the planning stages. DBRS
Morningstar believes the new supply in midtown Manhattan, the bulk of which is the midtown Manhattan, particularly in
Hudson Yards, could significantly affect the marketability and occupancy of existing buildings in the submarket. Similarly,
Reis projects the submarket’s vacancy to increase to 9.4% in 2023.
SPONSORSHIP
The loan benefits from experienced and high-quality sponsor Paramount Group, a fully integrated REIT, which has its
headquarters in the building in four offices on the 18th totaling approximately 37,000 sf. Established in 1978, Paramount
Group, from which the building’s name of Paramount Plaza comes from, has a 10.4 million sf portfolio of Class A office
buildings, retail, and debt and equity investments in New York, San Francisco, and Washington, D.C. Paramount Group is
listed on the New York Stock Exchange and has a market capitalization of $3.14 billion as of December 31, 2019.
The property manager is an affiliate of Paramount Group. It manages Paramount Group’s entire real estate portfolio.
January 2020 21Presale Report | GSMS 2020-GC45 1633 BROADWAY – NEW YORK, NY DBRS MORNINGSTAR ANALYSIS SITE INSPECTION SUMMARY DBRS Morningstar toured the interior and exterior of the property on October 22, 2019, at 10:00 a.m. Based on the site inspection, DBRS Morningstar found the property quality to be Average (+). The collateral comprises a 48-story, 2,500,000-plus sf Class A office tower with a 250-space parking garage. The property, which has received the LEED Gold status, has large floorplates ranging from 37,000 sf to 54,000 sf. At 1633 Broadway, the property is well located between 50th Street and 51st Street in the northern section of Manhattan’s theater district, which is centrally located within the midtown office market. The property has excellent access to public transportation, as eight subway lines run directly under the property and there are several public bus services in the area. The property is near numerous iconic restaurants and retail sites augmenting the many tourist attractions in Times Square, which is immediately south. The site tour leaders were members of the property management company and executives of the sponsor. The property manager is an affiliate of the sponsor. DBRS Morningstar toured several tenants’ spaces in the building, which showed the diversity of its tenancy. Several tenants are established companies such as Morgan Stanley, Warner Brothers Music, MongoDB, and New Mountain Capital. The primary entrance is from Broadway, where the building is set back about 100 feet from the street. The lobby was very active on the day of the site inspection. The front lobby entrance is impressive, with porcelain/marble floors and ceilings approximately 30 feet high. The lobby has revolving and swinging doors that lead to a central 24-hour security desk. Employees use the 38 passenger elevators serving the office tower. Warner Music Group has a dedicated entrance on 50th Street to its offices on six floors totaling nearly 300,000 sf. Management began the tour on the top two floors, which were being built out for the newly signed lease to a private equity firm. The proposed fit and finishes were on par for Class A properties. The floor design of the space included a spiral staircase connecting the two floors and outdoor space on both floors. In addition, DBRS Morningstar observed the building’s unobstructed views of midtown Manhattan from the top floors. Furthermore, management showed the building’s large and open floorplates of approximately 50,000 sf per floor on all but the lower five floors. January 2020 22
Presale Report | GSMS 2020-GC45
1633 BROADWAY – NEW YORK, NY
DBRS Morningstar visited tenant spaces on several floors. All tenant spaces were well designed and varied from traditional
office spaces with cubicle layouts to several with an open floor design similar to those in many new technology companies.
DBRS MORNINGSTAR NCF SUMMARY
N C F ANALYSIS
T-12 DBRS NCF
September 2019 Morningstar NCF Variance
2016 ($) 2017 ($) 2018 ($) ($) Issuer NCF ($) ($) (%)
GPR 155,999,546 159,464,803 179,219,236 182,760,348 197,886,089 190,573,539 -3.7
Vacancy & Concessions (8,363,083) (11,736,482) 40.3
EGI 155,689,790 159,464,803 179,219,236 182,760,348 189,523,006 178,837,056 -5.6
Expenses 61,868,404 65,274,796 70,120,786 71,951,033 71,435,784 73,118,340
NOI 93,821,386 94,190,007 109,098,450 110,809,315 118,087,222 105,718,717 -10.5
Capex 0 2,537,335 13,324,836
NCF 93,821,386 94,190,007 109,098,450 110,809,315 115,549,888 92,393,880 -20.0
The DBRS Morningstar NCF is based on the DBRS Morningstar North American Commercial Real Estate Property Analysis
Criteria. The resulting DBRS Morningstar Stabilized NCF was $92,393,880, – down 20.0% from the Issuer’s NCF. The main
drivers of the variance are tenant leasing costs, rent steps, management fees, and assumed vacancy.
According to CBRE, the office property is in the Times Square/Westside submarket, which shows a tight vacancy rate of
5.5% for Class A space. Reis shows the Midtown West submarket vacancy at 7.8% for Q3 2019 for all office space in the
submarket and 5.5% vacancy for office properties of similar vintage and quality. The property has averaged 5.4% vacancy for
the past seven years. Only two years in the past 17 years have had average occupancy dip below 90%. DBRS Morningstar used
6.2% of the gross revenue as its vacancy estimate. This is lower than DBRS Morningstar’s standard 10% for office properties
because of the property’s excellent location, historically strong submarket, consistently strong property occupancy, and
current physical vacancy of 1.9%. The Issuer assumed a 4.2% vacancy on gross revenue.
DBRS Morningstar did not accept rent steps beyond the first 12 months because none of the investment-grade tenants’
leases extended more than three years beyond the loan term. In addition, DBRS Morningstar’s calculation of TI/LCs
exceeded that of the Issuer. DBRS Morningstar concluded to an average of $75 psf for new leases and $38 psf for renewal
leases and a 65% renewal percentage on a normalized basis.
DBRS Morningstar concluded to operating expenses that closely tracked the in-place amount and the T-12 ended September
2019 amount except for management fees. DBRS Morningstar assumed the management fee was 1.5% of the EGI as opposed
to the Issuer capping fees at $1.0 million, or 0.5% of the EGI.
DBRS MORNINGSTAR VIEWPOINT
DBRS Morningstar believes that the office building will perform well given its desirable location in midtown Manhattan
a few blocks north of Times Square and midway between Grand Central Terminal and Columbus Circle. Regardless of its
age of nearly 50 years, the property has kept high institutional standards comparable to other Class A space within the
submarket thanks to its most recent renovation in 1989 and more recent tenant fit-outs. The quality tenant list includes
seven credit rated tenants, representing 56.8% of the NRA and 60.9% of the total projected rent. Four tenants, representing
37% of the total space, have investment-grade ratings. Most leases are long term, resulting in consistently high occupancy
and low turnover during the loan term.
January 2020 23Presale Report | GSMS 2020-GC45 1633 BROADWAY – NEW YORK, NY The area is densely developed with office buildings of similar and lesser quality. Local commercial offerings on the nearby avenues and cross streets provide desirable entertainment and shopping venues and numerous eating establishments including several highly rated restaurants. The property is easily assessible by subway and surface transportation. For all these reasons plus the strong sponsorship, DBRS Morningstar believes the loan will perform up to its expectation and pay as agreed during the loan term and is capable of a refinance takeout at the end of the loan term. Because of the low DBRS Morningstar LTV of 68.2% based on a 6.50% capitalization rate and 41.7% appraisal LTV, the property’s excellent location in a gateway market, and the long-term owner, DBRS Morningstar considers the credit qualities associated with the senior notes to be A (low). DOWNSIDE RISKS – The office property, built in 1971 and renovated in 1989 (30 years ago), is competing with recently constructed and under construction office properties with substantial modern amenities and features. – The loan has a 10-year, full-term, IO debt payment structure, which increases the risk of maturity loan default because there is no amortization. – The lease expiration schedule indicates that 64.4% of the leased NRA expires before and just after loan maturity with Allianz, representing 15.5% of NRA, expiring in 2031. The loan does not provide for any tenant specific springing re-leasing reserve. STABILIZING FACTORS – DBRS Morningstar noted no deferred maintenance at the time of the site visit, and the property condition report confirmed minimal immediate repairs with future needs amounting to $0.20 psf per year on an inflated basis. In addition, new properties are commanding substantial rent premiums over the 1633 Broadway, which means they are not directly competitive. – The tower’s floors, capable of an open, unobstructed floorplan, belie the dark and tired main lobby, which could be a deterrent to future competitive leasing. – The senior notes have a low LTV of 41.7% based on the as-is appraised value, and the trust exposure at $391 psf is extremely attractive. – DBRS Morningstar considers the tenant rent roll to be relatively granular as Allianz is the largest tenant at just 15.5% of NRA. There is an ongoing TI/LC reserve capped at $5.1 million. DBRS Morningstar views the property’s overall rent as below current market rates for similar properties. January 2020 24
Presale Report | GSMS 2020-GC45
560 Mission Street
San Francisco, CA
Loan Snapshot
Seller
GACC
Ownership Interest
Fee Simple
Trust Balance ($ Millions)
60.0
Loan psf/Unit ($)
449
Percentage of the Pool (%)
4.5
Loan Maturity/ARD
December 2029
Amortization CO LLATE RA L SU MMA RY
Interest Only
DBRS Morningstar Property Type Office Year Built/Renovated 2005–06
DBRS Morningstar
Issuance DSCR (times) City, State San Francisco, CA Physical Occupancy (%) 86.8
4.40
Units/SF 668,149 Physical Occupancy Date August 2019
DBRS Morningstar
Issuance LTV (%)
35.6 The loan is secured by the borrower’s fee simple interest in 560 Mission, a Class A
DBRS Morningstar 668,149 sf office building with ground-floor retail located in the Financial District of
Balloon LTV (%)
San Francisco. Loan proceeds of $300 million were used to return $295.5 million in
35.6
cash equity to the sponsor, cover $2.4 million in closing costs, and fund an upfront TI/
DBRS Morningstar
Property Type LC Reserve of $2.2 million. The trust holds a $60.0 million pari passu piece of the larger
Office whole loan. The ten-year loan term is structured as IO throughout.
DBRS Morningstar
Property Quality
560 Mission was developed by CalPERs in 2002, the largest pension fund in the United
Average
States. The subject is LEED platinum certified and has won several awards for its
Debt Stack ($ Millions) design, including BOMA Earth Awards in 2010 and 2011. Since 2014, the Sponsor has
Trust Balance
invested a total of $2.5 million to improve the building’s infrastructure and common
60.0
areas. Improvements include upgrades to the lobby, plaza furniture, restrooms and
Pari Passu
shower areas, and garage and bike area. The sponsor has succeeded in leasing and
4,240.0
re-leasing a combined 90,621 sf of leased space since 2014, securing major tenants such
B Note
0.0
as TIAA-CREF (21,661 sf ), Delta Dental (21,698 sf ), and EY (14,525 sf ).
Mezz
0.0 The collateral benefits from a diversified rent roll with reliable income-producing
Total Debt tenants. The subject property is 98.4% leased to 13 tenants that come from a wide array
4,300.0 of industries, such as technology, financial services, insurance, law, and consulting. Five
Loan Purpose tenants either have investment-grade credit ratings or are ranked b in the AmLaw 100
Recapitalization and occupy approximately 69% of the property’s NRA. The rent roll currently has a
Equity Contribution/ weighted average of 7.0 years remaining for the lease term. The five largest tenants are
(Distribution) ($ Millions) J.P. Morgan (36.6% of NRA), United States’ largest bank as ranked by S&P; EY (18.4%
(295.5) of NRA), one of the United States’ four major accounting firms; TIAA-CREF (18.4% of
NRA) a Fortune 100 financial services company; ARUP (7.5% of NRA), a provider of
January 2020 25Presale Report | GSMS 2020-GC45
560 MISSION – SAN FRANCISCO, CA
management and consulting services; and Seyfarth Shaw (Seyfarth; 7.4% of NRA), an international AmLaw 100 law firm
focused on labor and employment law.
T E NANT SUMMARY
DBRS % of Total DBRS
Morningstar Base Morningstar Base Investment
Tenant SF % of Total NRA Rent PSF ($) Rent Lease Expiry Grade? (Y/N)
JP Morgan 246,384 36.6 76.56 36.1 9/30/2025 Y
EY 122,760 18.4 71.04 16.8 12/31/2028 N
TIAA-CREF 64,696 9.7 78.80 9.8 9/30/2027 Y
ARUP 49,832 7.5 74.31 7.2 9/30/2026 Y
Seyfarth Shaw 49,695 7.4 96.28 9.2 9/30/2027 N
Subtotal/Wtd. Avg. 531,316 79.5 77.19 79.2 Various
Other Tenants 125,815 18.8 125,815.00 12581500.0 Various
Vacant Space 11,018 1.6 n/a n/a n/a n/a
Total/Wtd. Avg. 668,149 100.0 77.49 100.0 Various
SPONSORSHIP
The Sponsor of the loan is National Office Partners LLC (NOP), a joint venture between CalPERS and CommonWealth
Partners, LLC (CWP). CalPERS is the United States’ largest public pension fund with 1.9 million health program participants
and $379 billion in assets. CommonWealth Partners is a private Los Angeles-based real estate development firm with a
portfolio of over $8 billion in assets. CommonWealth Partners serves as CalPERS dedicated partner for office investments
and has completed over 18 transactions as partners. NOP, their joint venture, currently has a portfolio of nine million sf of
office space located in six primary coastal markets and valued at over $8 billion.
DBRS MORNINGSTAR ANALYSIS
SITE INSPECTION SUMMARY
Based on the site inspection and management tour conducted on the morning of Wednesday, December 18, 2019, DBRS
Morningstar found the property quality to be Above Average.
January 2020 26Presale Report | GSMS 2020-GC45
560 MISSION – SAN FRANCISCO, CA
The property is well-located a block south of Market Street on Mission Street between 1st Street and 2nd Street in San
Francisco’s financial district. The Montgomery Bay Area Rapid Transit station is about a three-minute walk north of the
property and provides convenient mass transit access. The surrounding area mainly consists of high-rise office buildings
with ground-floor retail.
The building’s facade is somewhat unique with dark geometric metal and large panes of glass that allow for ample light
throughout the building. The sponsor also owns and maintains a public park adjacent to the building with a water feature
and a bamboo garden. The park is quite popular with tenants at lunchtime, especially in the warmer months. The lobby
area is modern with high ceilings and features light-colored wood paneling that gives the space a warm feeling without
seeming dated.
Tenant spaces were generally modern, with most of the buildouts being relatively recent. Seyfarth is in the process of
finishing up a renovation, converting some of their more traditional law-firm style office layout into a more modern
configuration. J.P. Morgan’s space was also modern, with typical open-floor-plan desks and executive offices. The space
occupied by J.P. Morgan’s private client group was also well appointed, with marble and mahogany finishes and several
pieces of famous art. Similarly, the Delta Dental, Nuveen, and EY space was recently built out and featured ample light and
open floor plans.
The vacant pre-build space on the second floor is tenant-ready and includes a kitchen area with stainless-steel appliances
and concrete floors, along with several glass partitions to create office or conference room space.
The building also features an underground parking garage with secure bike storage (accessible by key card) and electric-
vehicle charging. Tenants who bike to work can also take advantage of nicely renovated showers and locker rooms, which
are a nice in-building amenity to offer.
Generally, the building is well-maintained and offers its tenants all the modern amenities of most Class A office buildings.
The minimal vacant space, inclusive of the prebuild space, is marketable and there didn’t appear to be any obvious reasons
why the sponsor should have trouble leasing it.
DBRS MORNINGSTAR NCF SUMMARY
N C F ANALYSIS
T-12 DBRS NCF
September Morningstar Variance
2016 ($) 2017 ($) 2018 ($) 2019 ($) Issuer NCF ($) NCF ($) (%)
GPR 36,190,949 31,345,165 47,586,908 48,362,119 54,686,071 52,573,894 -3.9
Recoveries 2,739,547 2,224,059 2,540,371 148,311 196,163 196,163 0.0
Other Income 2,886,498 2,749,759 1,944,237 2,008,255 2,008,255 2,008,255 0.0
Vacancy (2,183,833) (3,218,973)
EGI 50,385,582 42,356,897 49,571,805 50,792,721 54,706,655 51,559,338 -5.8
Expenses 12,540,816 11,585,462 11,702,280 12,479,248 12,026,288 12,680,230 5.4
NOI 37,844,766 30,771,436 37,869,525 38,313,473 42,680,367 38,879,107 -8.9
Capex 1,469,928 4,354,853
NCF 37,844,766 30,771,436 37,869,525 38,313,473 41,210,440 34,524,255 -16.2
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