Fitch Ratings has affirmed 13 classes of
The Rating Outlooks for two classes have been revised to Stable from Negative.
RATING ACTIONS
Entity / Debt
Rating
Prior
CGCMT 2015-GC29
A-3 17323VAY1
LT
AAAsf
Affirmed
AAAsf
A-4 17323VAZ8
LT
AAAsf
Affirmed
AAAsf
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
of 2
VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Improved Loss Expectations: Overall performance and base case loss expectations for the pool have improved since the last rating action. The Rating Outlook revisions to Stable reflect lower expected base case losses. Performance on properties impacted by the pandemic has stabilized, including
Fitch's current ratings reflect a base case loss of 5.1%. There are 11 Fitch Loans of Concern (FLOCs; 21% of pool) including the specially serviced loan,
Fitch Loans of Concern: The largest FLOC and largest contributor to expected losses, Parkchester Commercial (6.5%), is collateralized by a 541,232-sf, retail/office mixed-use property located in the
The second largest contributor to expected losses,
Fitch's analysis included a 5% stress to the YE 2020 NOI which resulted in an approximate 15% loss severity, or a recovery of
Improved Credit Enhancement (CE): CE has increased since issuance due to loan payoffs and scheduled amortization. As of the
Alternative Loss Considerations: Fitch ran an additional sensitivity scenario which applied higher losses on the
Coronavirus Exposure: Approximately 17.4% of the loans in the pool are secured by retail properties, including
Pari Passu Loans: Three loans comprising 30.3% of the pool are part of a pari passu loan combination: Selig Office Portfolio (13.8% of the pool),
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
Downgrades would occur with an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the 'AAAsf' and 'AA-sf' categories are not likely due to the high CE and amortization, but may occur should interest shortfalls impact the classes. Downgrades to the 'BBB-sf' and A-sf' category 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/or 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.
Factors that could, individually or collectively, lead to positive rating action/upgrade:
Upgrades would occur with stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'AA-sf' and 'A-sf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and further underperformance of the FLOCs could cause this trend to reverse. Upgrades to the 'BBB-sf' and 'BBsf' categories may occur as the number of FLOCs are reduced, properties vulnerable to the pandemic further stabilize and/or return to pre-pandemic levels and there is sufficient CE to the classes. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. Upgrades to the 'B-sf' categories are not likely until the later years in a transaction, and only if the performance of the remaining pool is stable and/or properties vulnerable to the pandemic return to pre-pandemic levels, and there is sufficient CE to the classes.
Deutsche Bank is the trustee for the transaction, and serves as the backup advancing agent. Fitch's Issuer Default Rating for Deutsche Bank is currently 'BBB+'/'F2'/Outlook Positive. Fitch relies on the master servicer,
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
(C) 2022 Electronic News Publishing, source