Fitch Ratings has affirmed 13 classes of Citigroup Commercial Mortgage Trust series 2015-GC29 commercial mortgage pass-through certificates.

RATING ACTIONS

Entity / Debt

Rating

Prior

CGCMT 2015-GC29

A-3 17323VAY1

LT

AAAsf

Affirmed

AAAsf

A-4 17323VAZ8

LT

AAAsf

Affirmed

AAAsf

A-AB 17323VBB0

LT

AAAsf

Affirmed

AAAsf

A-S 17323VBC8

LT

AAAsf

Affirmed

AAAsf

B 17323VBD6

LT

AA-sf

Affirmed

AA-sf

C 17323VBE4

LT

A-sf

Affirmed

A-sf

D 17323VAA3

LT

BBB-sf

Affirmed

BBB-sf

E 17323VAC9

LT

BBsf

Affirmed

BBsf

F 17323VAE5

LT

B-sf

Affirmed

B-sf

Page

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VIEW ADDITIONAL RATING DETAILS

KEY RATING DRIVERS

Increased Loss Expectations: Overall pool loss expectations have increased slightly since the last rating action primarily due to higher losses on the Parkchester Commercial and Papago Arroyo loans. While the majority of the pool has exhibited stable performance and have recovered from pandemic lows, Fitch has identified six loans (13.8% of the pool) as Fitch Loans of Concern (FLOCs). There are no delinquent or specially serviced loans. Fitch's current ratings incorporate a base case loss of 5.9%.

The largest increase in loss since Fitch's last review is Parkchester Commercial (6.5%), collateralized by a 541,232-sf, retail/office mixed-use property located in the Bronx, NY. The largest tenant Macy's (31.5%), has a lease expiration in March 2024. Servicer reported YE 2021 NOI has declined by 36% compared to YE 2020 and 56% compared to issuance, mainly due to increasing expenses, particularly real estate taxes and repairs and maintenance. The NOI DSCR as of September 2022 was .71x compared to .84x at YE 2021, 1.31x at YE 2020, 1.14x at YE 2019, 1.14x at YE 2018, 1.61x at YE 2017 and 1.92x at issuance.

Occupancy has remained relatively stable at the property and is 90% as of September 2022 compared to 89% as of December 2021, 93% as of December 2020, 94% as of December 2019 and 93% at issuance. Fitch's analysis included an 8.75% cap rate and 10% stress to the June 2022 annualized NOI due to the upcoming tenant rollover and Macy's lease expiration before the loan maturity, which resulted in a 29% loss severity.

The second largest increase in loss since Fitch's last review is Papago Arroyo (3.1%), collateralized by a 279,504 sf, suburban office property in Tempe, AZ. The former largest tenant, Sonora Quest Laboratories (55% of NRA), vacated the majority of their space in July 2020 before the lease expiration in December 2023. Sonora Quest provided the required termination fee of $976,000 after exercising an early termination option. Additionally, the previous borrower provided a LOC of $1 million to prevent a trigger event from occurring.

In July 2021 the loan was assumed by Southwest Value Partners Fund, who is expected to invest additional capital to attract new tenants and stabilize the property. Occupancy as of Sept. 2022 is 35% down from 46% as of December 2020, and 96% as of December 2019. The NOI DSCR declined to .42x at September 2022 from .66x at YE 2021, 1.60x at YE 2020, and 2.56x at YE 2019. Fitch's analysis included a 10.5% cap rate and 35% stress to the YE 2020 NOI to account for declining occupancy and rental rates at the property which resulted in a 31% loss severity.

Improved Credit Enhancement (CE): CE has increased since issuance due to loan payoffs and scheduled amortization. As of the January 2023 distribution date, the pool's aggregate principal balance has been reduced by 20.1% to $893.2 million from $1.12 billion at issuance. Eight loans have paid off since issuance, including the fourth largest loan, Apollo Education Group Headquarters, formerly $91.5 million. Four loans, approximately 38.5% of the pool, are full-term interest only (IO), including the two largest loans in the pool. All of the partial-term, IO loans (46.5%) are now amortizing. Twenty loans (25.6%) are fully defeased, up from fourteen loans (20.2%) at the prior review. All remaining loans mature from March 2024 through April 2025. There has been $3.31 million of realized losses from two loans liquidating since issuance.

Property Type Concentration: Approximately 34.8% of the loans in the pool are secured by office properties, 19.4% retail properties, 19.4% mixed use, and 16.1% multifamily.

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. Downgrades to the 'AA-sf' and 'AAAsf' categories are not expected given their high CE relative to expected losses and continued amortization, but may occur if interest shortfalls occur or if a high proportion of the pool defaults and expected losses increase considerably.

Downgrades to the 'A-sf' and 'BBB-sf' categories would occur should overall pool losses increase significantly and/or one or more large loans have an outsized loss, which would erode CE. Downgrades to the 'BBsf' and 'B-sf' categories would occur should loss expectations increase and if performance of the FLOCs or loans vulnerable to the pandemic fail to stabilize or additional loans default and/or transfer to the special servicer.

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 lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and/or further underperformance of the FLOCs could cause this trend to reverse.

Upgrades to the 'BBB-sf' category would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentrations.

Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. Upgrades to the 'BBsf' and 'B-sf' category are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes.

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

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