Approximately $638 million of structured securities affected
New York, October 06, 2020 -- Moody's Investors Service, ("Moody's") affirmed
the ratings on seven classes in Morgan Stanley Bank of America Merrill
Lynch Trust 2015-C21, Commercial Mortgage Pass-Through
Certificates Series 2015-C21 as follows:
Cl. A-3, Affirmed Aaa (sf); previously on Jun
2, 2019 Affirmed Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Jun
2, 2019 Affirmed Aaa (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Jun
2, 2019 Affirmed Aaa (sf)
Cl. A-S, Affirmed Aa1 (sf); previously on Jun
2, 2019 Affirmed Aa1 (sf)
Cl. B, Affirmed Aa3 (sf); previously on Jun 2,
2019 Affirmed Aa3 (sf)
Cl. X-A*, Affirmed Aa1 (sf); previously on
Jun 2, 2019 Affirmed Aa1 (sf)
Cl. X-B*, Affirmed Aa3 (sf); previously on
Jun 2, 2019 Affirmed Aa3 (sf)
* Reflects interest-only classes
RATINGS RATIONALE
The ratings on the 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 were affirmed based on the credit quality
of the referenced classes.
The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to disrupt
economies and credit markets across sectors and regions. Our analysis
has considered the effect on the performance of commercial real estate
from the current weak US economic activity and a gradual recovery for
the coming months. Although an economic recovery is underway,
it is tenuous and its continuation will be closely tied to containment
of the virus. As a result, the degree of uncertainty around
our forecasts is unusually high. Stress on commercial real estate
properties will be most directly stemming from declines in hotel occupancies
(particularly related to conference or other group attendance) and declines
in foot traffic and sales for non-essential items at retail properties.
We regard the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.
Moody's rating action reflects a base expected loss of 8.4%
of the current pooled balance, compared to 5.3% at
Moody's last review. Moody's base expected loss plus realized
losses is now 7.7% of the original pooled balance,
compared to 5.1% 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 rating all classes except interest-only
classes was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published
in September 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1244778.
The methodologies used in rating interest-only classes were "Approach
to Rating US and Canadian Conduit/Fusion CMBS" published in September
2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1244778
and "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in February 2019 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1111179.
Please see the list of ratings at the top of this announcement to identify
which classes are interest-only (indicated by the *).
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of these methodologies.
DEAL PERFORMANCE
As of the September 17, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 8.6% to $796
million from $871 million at securitization. The certificates
are collateralized by 62 mortgage loans ranging in size from less than
1% to 7.9% of the pool, with the top ten loans
(excluding defeasance) constituting 53.9% of the pool.
One loan, constituting 7.5% of the pool, have
investment-grade structured credit assessments.
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 25,
compared to 27 at Moody's last review.
As of the September 2020 remittance report, loans representing 74%
were current or within their grace period on their debt service payments,
1% were beyond their grace period but less than 30 days delinquent
and 2% were between 30 -- 59 days delinquent.
Fourteen loans, constituting 17.5% of the pool,
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.
No loans have been liquidated from the pool. Four loans,
constituting 21.3% of the pool, are currently in special
servicing. Three of the specially serviced loans, representing
15.2% of the pool, have transferred to special servicing
since March 2020.
The largest specially serviced loan is the Westfield Palm Desert Mall
Loan ($62.5 million -- 7.9%
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. At securitization, the
mall's three non-collateral anchors were Macy's, Sears,
and J.C. Penney. However, the Sears closed
in February 2020. Other major tenants include a Dick's Sporting
Goods (46,700 SF, lease expiration in January 2024) and a
10-screen Tristone Cinema (32,600SF; lease expiration
in July 2021). The property was 90% leased as of March 2020,
compared to 95% in December 2018 and 96% in September 2017.
The loan transferred to special servicing in June 2020 due to delinquent
payments as a result of the coronavirus pandemic. The loan is currently
paid through its April 2020 payment date. The property's
2019 NOI declined 12% year over year primarily due to lower rental
revenue and the 2019 NOI is 24% below underwritten levels.
The property was closed for two months and reopened in early September
2020, limited to 25% capacity, however, the cinema
has remains closed as of October 1, 2020.
The second largest specially serviced loan is the Ashford Hotel Portfolio
Loan ($49.6 million -- 6.2%
of the pool), which is secured by three Marriott branded hotel properties
located in three different states. The portfolio contains a total
of 662 rooms, consisting of 350 rooms at the full-service
Residence Inn Orlando Sea World in Orlando, Florida; 144 rooms
at the extended stay Residence Inn Cottonwood in Salt Lake City,
Utah and 168 rooms at the select service Courtyard Overland Park in Overland
Park, Kansas. The portfolio had an average occupancy and
RevPAR of 76% and $96.5 for the trailing 12-month
period ending December 2019, compared to 70% and $86.9,
respectively, in 2018. The overall portfolio performance
improved year over year in 2019 primarily due to an increase in occupancy
at the Residence Inn Orlando Sea World. The loan is currently amortizing
and has paid down 9.7% since securitization. As a
result of the coronavirus pandemic, the borrower informed that they
could not make the April payment and sent a letter requesting up to 18
month forbearance and sent a separate letter asking to suspend FF&E
payments and to release funds in FF&E reserve to borrower.
The loan transferred to special servicing in June 2020 due to delinquent
payments. As of September 2020, the lender and borrower continue
to discuss possible relief alternatives, though special servicer
commentary indicated an agreement is not imminent. The loan is
paid through March 2020. Due to the historical performance,
the loan was included in the conduit statistics below with a Moody's
LTV of 109%.
The third largest specially serviced loan is the Fontainebleau Park Plaza
($49.0 million -- 6.2% of the pool),
is secured by the borrower's fee simple interest in a recently constructed
Class-A community shopping center anchored by Wal-Mart located
in Miami, Florida. The loan was transferred to special servicing
in January 2017 due to non-monetary default, after the master
servicer determined that the tenants at the property were not making their
full rent and CAM reimbursement deposits into the lockbox. The
loan is currently paid through March 2020 and the property was 100%
leased to 17 tenants in December 2018. The special servicer indicated
that litigation between the borrower and the lender is ongoing.
The remaining specially serviced loan is secured by a Class-B,
three-story office building, located in the Denver MSA,
within Arapahoe County. The property has suffered from declining
NOI and occupancy since securitization.
Moody's has also assumed a high default probability for five poorly
performing loans, constituting 5.3% of the pool.
The largest troubled loan is Stone Ridge Plaza (2.3% of
the pool) which is secured by a retail center in Greece, NY.
The loan is on the master servicer's watchlist due to low DSCR and
the loan is currently listed as 30 days delinquent. The Ashford
Hotel Portfolio Loan was included in the conduit statistics with a Moody's
LTV of 109% and Moody's estimates an aggregate $45.6
million loss (28% expected loss on average) for the remaining specially
serviced loans and troubled loans.
Moody's received full or partial year 2019 operating results for 94%
of the pool (excluding specially serviced and defeased loans).
Moody's weighted average conduit LTV is 104%, compared
to 111% at Moody's last review. Moody's conduit
component excludes loans with structured credit assessments, defeased
and CTL loans, and specially serviced (other than the Ashford Hotel
Portfolio loan that was included in the conduit statistics) and troubled
loans. Moody's net cash flow (NCF) reflects a weighted average
haircut of 21% to the most recently available net operating income
(NOI). Moody's value reflects a weighted average capitalization
rate of 10.0%.
Moody's actual and stressed conduit DSCRs are 1.62X and 1.10X,
respectively, compared to 1.61X and 1.01X at the 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 -- 7.5%
of the pool), which represents a pari passu portion of a $90
million senior mortgage loan. The loan is secured by a 414,204
square foot (SF), Class A office building situated between the White
House and the US Capitol Building in Washington, D.C.
As of December 2019, the property was 99% leased, compared
to 88% as of December 2018. 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. The two largest tenants include
Latham & Watkins (58% of the NRA, lease expiration in
January 2031) and Silver Cinemas (10% of NRA; lease expiration
in March 2032). Due to the tenant concentration of the largest
tenant, Moody's analysis included a lit/dark analysis on the
Latham & Watkins space. 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 largest non-specially serviced loan without a structured credit
assessment is the Discovery Business Center Loan ($59.2
million -- 7.4% of the pool), which represents
a pari passu portion of a $168 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). The property was 88% leased as
of March 2020, compared to 94% in June 2019. Property
performance has improved since securitization due to higher rental revenue.
The loan has amortized approximately 1% since securitization and
Moody's LTV and stressed DSCR are 97% and 1.04X, respectively,
compared to 98% and 1.02X at Moody's 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 in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
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, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security 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.
The ratings have been disclosed to the rated entity or its designated
agent(s) and issued with no amendment resulting from that disclosure.
These ratings are solicited. Please refer to Moody's Policy
for Designating and Assigning Unsolicited Credit Ratings available on
its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1133569.
At least one ESG consideration was material to the credit rating action(s)
announced and described above.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the EU and is endorsed
by Moody's Deutschland GmbH, An der Welle 5, Frankfurt
am Main 60322, Germany, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that issued the credit rating is available on www.moodys.com.
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.
Rhett Terrell
Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Matthew Halpern
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
