Approximately $703.2 Million of Structured Securities Affected
New York, January 27, 2017 -- Moody's Investors Service has affirmed the ratings on nine classes in
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 as
follows:
Cl. A-1, Affirmed Aaa (sf); previously on Feb
12, 2016 Affirmed Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Feb
12, 2016 Affirmed Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Feb
12, 2016 Affirmed Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Feb
12, 2016 Affirmed Aaa (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Feb
12, 2016 Affirmed Aaa (sf)
Cl. A-S, Affirmed Aa1 (sf); previously on Feb
12, 2016 Affirmed Aa1 (sf)
Cl. B, Affirmed Aa3 (sf); previously on Feb 12,
2016 Affirmed Aa3 (sf)
Cl. X-A, Affirmed Aa1 (sf); previously on Feb
12, 2016 Affirmed Aa1 (sf)
Cl. X-B, Affirmed Aa3 (sf); previously on Feb
12, 2016 Affirmed Aa3 (sf)
RATINGS RATIONALE
The ratings of seven P&I classes were affirmed because the transaction's
key metrics, including Moody's loan-to-value
(LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR), and the transaction's Herfindahl Index (Herf),
are within acceptable ranges.
The ratings on the IO classes, Classes X-A and X-B,
were affirmed because the credit performance (or weighted average rating
factor or WARF) of the reference classes.
Moody's rating action reflects a base expected loss of 4.2%
of the current pooled balance, compared to 4.5% at
Moody's last review. Moody's base expected loss plus realized
losses is now 4.2% of the original pooled balance,
compared to 4.5% at the last review. Moody's
provides a current list of base expected losses for conduit and fusion
CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. Performance
that falls outside the given range can indicate that the collateral's
credit quality is stronger or weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a significant
amount of loan paydowns or amortization, an increase in the pool's
share of defeasance or an improvement in pool performance.
Factors that could lead to a downgrade of the ratings include a decline
in the performance of the pool, loan concentration, an increase
in realized and expected losses from specially serviced and troubled loans
or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Approach to Rating
US and Canadian Conduit/Fusion CMBS" published in December 2014.
Please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model,
which it uses for both conduit and fusion transactions. Credit
enhancement levels for conduit loans are driven by property type,
Moody's actual and stressed DSCR, and Moody's property
quality grade (which reflects the capitalization rate Moody's uses
to estimate Moody's value). Moody's fuses the conduit
results with the results of its analysis of investment grade structured
credit assessed loans and any conduit loan that represents 10%
or greater of the current pool balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity.
Loan concentration has an important bearing on potential rating volatility,
including the risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. The pool has a Herf of 29,
the same as at Moody's last review.
DEAL PERFORMANCE
As of the January 18, 2017 distribution date, the transaction's
aggregate pooled certificate balance has decreased by 1% to $861.1
million from $871.2 million at securitization. The
certificates are collateralized by 64 mortgage loans ranging in size from
less than 1% to 7.3% of the pool, with the
top ten loans (excluding defeasance) constituting 51.7%
of the pool. One loan, constituting 7.0% of
the pool, has an investment-grade structured credit assessment.
Eleven loans, constituting 17.8% of the pooled balance,
are on the master servicer's watchlist. The watchlist includes
loans that meet certain portfolio review guidelines established as part
of the CRE Finance Council (CREFC) monthly reporting package. As
part of Moody's ongoing monitoring of a transaction, the agency
reviews the watchlist to assess which loans have material issues that
could affect performance.
Moody's has assumed a high default probability for one poorly performing
loan, constituting 0.7% of the pool.
Moody's received full and partial year 2015 operating results for 92%
of the pool, and full or partial year 2016 operating results for
98% of the pool (excluding specially serviced and defeased loans).
Moody's weighted average conduit LTV is 112%, the same
as at Moody's last review. Moody's conduit component
excludes loans with structured credit assessments, defeased and
CTL loans, and specially serviced and troubled loans. Moody's
net cash flow (NCF) reflects a weighted average haircut of 9.2%
to the most recently available net operating income (NOI). Moody's
value reflects a weighted average capitalization rate of 9.9%.
Moody's actual and stressed conduit DSCRs are 1.64X and 0.98X,
respectively, the same as Moody's last review. Moody's
actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's
NCF and a 9.25% stress rate the agency applied to the loan
balance.
The loan with a structured credit assessment is the 555 11th Street NW
Loan ($60.0 million -- 7.0% of the pool),
which represents a pari passu portion of a $90 million senior mortgage
loan. The loan is secured by a 13-story, 414,000
square foot (SF) office building in downtown Washington, DC.
The property includes 40,000 SF movie theatre, 17,000
SF of additional retail space, and a subterranean parking garage.
The property was 85% leased as of June 2016. The loan is
also structured with a subordinate debt of $30 million in the trust
as two non-pooled ("rake") classes that are not rated
by Moody's, as well as additional subordinate debt of $57
million and mezzanine debt of $50 million held outside the trust.
Moody's structured credit assessment and stressed DSCR on the pooled portion
is a2 (sca.pd) and 1.66X, respectively, the
same as Moody's last review.
The top three conduit loans represent 20.4% of the pool
balance. The largest loan is the Westfield Palm Desert Mall Loan
($62.5 million -- 7.3% of the pool),
which represents a pari passu portion of a $125 million senior
mortgage loan. The loan is secured by a 573,000 SF component
of a 978,000 SF super-regional mall located in Palm Desert,
California. The mall's anchor tenants include Sears,
JC Penney, and Macy's. The property was 98%
occupied as of June 2016. Moody's LTV and stressed DSCR are 105%
and 0.98X, respectively, the same as Moody's
last review.
The second largest loan is the Discovery Business Center Loan ($60.0
million -- 7.0% of the pool), which represents
a pari passu portion of a $170 million first-mortgage loan.
The loan is secured by a 1.29 million SF Class A office park located
in Irvine, California. The property has a granular rent roll
with the largest tenant occupying approximately 7% of the property's
net rentable area (NRA). Moody's LTV and stressed DSCR are 98%
and 1.02X, respectively, the same as Moody's
last review.
The third largest loan is the Ashford Hotel Portfolio Loan ($53.2
million -- 6.2% of the pool), which is secured
by three hotel properties located in Orlando, FL, Salt Lake
City, UT, and Overland Park, KS. The portfolio
was 78% occupied as of September 2016. Moody's LTV and stressed
DSCR are 113% and 1.10X, respectively, compared
to 115% and 1.08X at the last review.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's did not use any stress scenario simulations in its analysis.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the credit rating action on the support provider and in relation to
each particular credit rating action for securities that derive their
credit ratings from the support provider's credit rating.
For provisional ratings, this announcement provides certain regulatory
disclosures in relation to the provisional rating assigned, and
in relation to a definitive rating that may be assigned subsequent to
the final issuance of the debt, in each case where the transaction
structure and terms have not changed prior to the assignment of the definitive
rating in a manner that would have affected the rating. For further
information please see the ratings tab on the issuer/entity page for the
respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Aaron Dresher
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Matthew Halpern
Asst Vice President - Analyst
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
