Approximately $663.5 million of structured securities affected
New York, September 09, 2020 -- Moody's Investors Service, ("Moody's") has
affirmed the ratings on seven classes in Morgan Stanley Bank of America
Merrill Lynch Trust 2015-C24, Commercial Mortgage Pass-Through
Certificates as follows:
Cl. A-2, Affirmed Aaa (sf); previously on July
12, 2018 Affirmed Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on July
12, 2018 Affirmed Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on July
12, 2018 Affirmed Aaa (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on July
12, 2018 Affirmed Aaa (sf)
Cl. A-S, Affirmed Aa2 (sf); previously on July
12, 2018 Affirmed Aa2 (sf)
Cl. X-A*, Affirmed Aaa (sf); previously on
July 12, 2018 Affirmed Aaa (sf)
Cl. X-B*, Affirmed Aa2 (sf); previously on
July 12, 2018 Affirmed Aa2 (sf)
* Reflects interest-only classes
RATINGS RATIONALE
The ratings on five 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 rating on two IO classes were affirmed based on the credit quality
of their 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 8.0%
of the current pooled balance, compared to 4.6% at
Moody's last review. Moody's base expected loss plus realized
losses is now 7.6% of the original pooled balance,
compared to 4.6% at the last review. This portfolio
has significant exposure to loans secured by retail (29% of the
pool) and hotel properties (16% of the pool). 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 May 2020 and available at https://www.moodys.com/research/Approach-to-Rating-US-and-Canadian-ConduitFusion-CMBS--PBS_1226187.
The methodologies used in rating interest-only classes were "Approach
to Rating US and Canadian Conduit/Fusion CMBS" published in May 2020 and
available at https://www.moodys.com/research/Approach-to-Rating-US-and-Canadian-ConduitFusion-CMBS--PBS_1226187
and "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in February 2019 and available at https://www.moodys.com/research/Moodys-Approach-to-Rating-Structured-Finance-Interest-Only-IO-Securities--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 August 17, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 5% to $889
million from $935 million at securitization. The certificates
are collateralized by 73 mortgage loans ranging in size from less than
1% to 12% of the pool, with the top ten loans (excluding
defeasance) constituting 51% of the pool. One loan,
constituting 6% of the pool, has an investment-grade
structured credit assessment. Four loans, constituting 4%
of the pool, have defeased and are secured by US government securities.
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 22,
compared to 24 at Moody's last review.
As of the August 17, 2020 remittance report, loans representing
95% were current on their debt service payments and 3% were
90 or more days delinquent.
Sixteen loans, constituting 36% 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. Six loans, constituting
5% of the pool, are currently in special servicing,
of which three loans (3.1% of the pool) transferred to special
servicing since April 2020.
The largest specially serviced loan is the Hampton Inn Wyomissing ($13.9
million -- 1.6% of the pool), which is secured
by 142-room, five story limited service hotel located in
Wyomissing, Pennsylvania. The property had strong performance
through year-end 2019 with an actual NOI DSCR of 2.46X.
The loan transferred to special servicing in June 2020 due to payment
default after the Borrower requested loan relief due to COVID-19.
The special servicer indicated a Pre-Negotiation letter has been
executed and potential forbearance terns are being discussed. The
loan is last paid through its March 2020 payment. The loan as amortized
8% since securitization and due to the performance of the property
prior to 2020, the loan was included in the conduit statistics below.
The second largest specially serviced loan is the Homewood Suites -
Andover, MA ($8.0 million -- 0.9%%
of the pool). which is secured by an 82-room extended stay
hotel, located in Andover, Massachusetts. The property
had strong performance through the trailing twelve period ending September
2019 with an actual NOI DSCR of 1.98X. The loan transferred
to special servicing in June 2020 due to payment default and borrower
has requested payment forbearance. The loan is last paid through
its March 2020 payment date. The loan amortized 12% since
securitization and due to the historical performance of the property,
the loan was included in the conduit statistics below.
The third largest specially serviced loan is the former Haggen Food &
Pharmacy - West Linn Loan ($5.9 million --
0.7% of the pool), which is secured by a 50,000
square feet (SF) vacant retail property located in West Linn, Oregon.
The property was 100% occupied by a single tenant at securitization.
The loan was transferred to the special servicer in January 2018 due to
imminent monetary default after the single tenant vacated. A new
lease was recently executed for the entire property, but the tenant
is not yet in occupancy. The receiver is working to complete the
landlord required work as required under the lease. The loan is
last paid through its December 2017 payment date.
The remaining three specially serviced loans (1.5% of the
pool) are all secured by limited service hotel properties.
Moody's has also assumed a high default probability for six poorly
performing loans, constituting 7% of the pool. The
largest troubled loan is The Westfield Shops Loan ($21.8
million --2.4% of the pool), which is secured
by 190,436 SF, grocery-anchored retail center located
in Westfield, Massachusetts. Property performance declined
significantly in 2019 with a 29% decline in NOI from the prior
year and causing the DSCR to fall below 1.00X. As of June
2020, the property was 77% occupied, compared to 50%
as of December 2019 and 95% in December 2017. The increase
in June 2020 occupancy was due to an entertainment tenant, FunZ
Trampoline, executing a lease for 50,592 square feet.
The loan is current as of its August 2020 payment date, however,
due to the recent declines in performance and low DSCR Moody's identified
this as a troubled loan.
Moody's received full year 2019 operating results for 96% of the
pool, and full or partial year 2020 operating results for 66%
of the pool (excluding specially serviced and defeased loans).
Moody's weighted average conduit LTV is 118%, compared
to 115% at Moody's last review. Moody's conduit
component excludes loans with structured credit assessments, defeased
and CTL loans, troubled loans and three specially serviced loans
that were performing poorly prior to 2020 (Haggen Food & Pharmacy
- West Linn, Holiday Inn Express West Chester, Holiday
Inn Express - Medford, OR). Excluding the 535-545
Fifth Avenue loan (further described below) Moody's net cash flow
(NCF) reflects a weighted average haircut of 16% to the most recently
available net operating income (NOI). Moody's value reflects
a weighted average capitalization rate of 9.7%.
Moody's actual and stressed conduit DSCRs are 1.52X and 0.93X,
respectively, compared to 1.56X and 0.94X 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 32 Old Slip Fee Loan
($50 million -- 5.6% of the pool),
which represents a pari-passu portion of a $176 million
senior mortgage loan. The loan is secured by the leased fee interest
associated with a 0.97-acre parcel of land located at 32
Old Slip in New York, New York. The subject parcel sits within
Manhattan's Financial District and generates revenue through a 99-year
ground lease with two, 25-year extension options with RXR
32 Old Slip Fee, owner of the non-collateral leasehold improvements.
Non-collateral improvements are represented by a Class A,
36-story, 1,133,361 SF office building that was
constructed in 1987. The loan is interest only for the entire ten-year
term and matures in May 2025. The loan provides for a hyper-amortization
feature that is triggered upon an Anticipated Repayment Date ("ARD") in
2025. The final maturity date of the loan is 2045. Moody's
structured credit assessment and stressed DSCR are baa2 (sca.pd)
and 0.52X, respectively, the same as at last review.
The top three conduit loans represent 30% of the pool balance.
The largest loan is the 535-545 Fifth Avenue Loan ($110
million -- 12% of the pool), which represents
a pari passu portion of a $310 million mortgage loan. The
loan is secured by two adjacent Class-B office and retail buildings
located in Manhattan's Grand Central office submarket along Fifth Avenue.
The property, comprised of a 36-story and 14-story
building, spans the entire block from East 44th Street to East 45th
Street and operates as a single property. As of March 2020,
the property was 88% leased, compared to 80% in December
2019 and unchanged from the year prior in December 2018. The property's
net cash flow has continued to decline since securitization as a result
of lower revenues cause the 2019 NOI to be significantly below securitization
levels. However, Best Buy signed a 10-year lease for
approximately 37,000 square feet (SF) but has not yet made rental
payments as they have rent abatement for 6 months per the lease agreement.
An additionall tenant, Läderach chocolate shop, signed
a 7,600 SF lease in late 2019. The property's other
main retail tenant, the NBA, has a triple net lease through
2035, however, the tenant has not made rental payments for
several months and the borrower is in discussion with the NBA for their
non-payment. The property remains current though its August
2020 payment date. Moody's analysis factored in the recent
leasing activity and current market statistics. Moody's LTV
and stressed DSCR are 118% and 0.74X, respectively,
compared to 92% and 0.95X at Moody's last review.
The second largest loan is the Coastal Equities Portfolio Loan ($83.6
million -- 9% of the pool). The loan represents
a pari passu portion of a $166 million mortgage loan. The
loan is secured by a portfolio of retail properties located across 14
states. The properties are located in secondary and tertiary markets,
with the greatest concentration by loan balance in North Carolina,
Tennessee, and Ohio. The portfolio was 88% leased
as of March 2020, compared to 86% as of March 2018 and 92%
at securitization. The portfolio has a diverse tenant roster with
some of the major tenants including Big Lots, Tractor Supply,
Home Depot and Save-A-Lot. The Borrower requested
payment relief due to COVID-19 hardship and the special servicer
has agreed to allow the borrower to utilize reserves funds to cover certain
debt service payments. The loan is current through its August 2020
payment date. The loan had an initial interest only period and
has now amortized 1.6% since securitization. Moody's
LTV and stressed DSCR are 127% and 0.90X, respectively,
compared to 126% and 0.90X at last review and securitization.
The third largest loan is the Serenity Place at Dorsey Ridge Loan ($74.8
million -- 8% of the pool). The loan is secured
by a 323-unit multifamily property located in Hanover, Maryland,
approximately 10 miles south of downtown Baltimore. The property
features many amenities for residents including garage parking,
swimming pool, fitness center with yoga studio, and a business
center. The property was 94% leased as of December 2019,
compared to 86% as of December 2017 and 98% at securitization.
Property performance has remained below expectations at securitization,
however, the NOI has marginally increased over the past three years.
The loan is now amortizing after an initial 5-year interest only
period and is current as of the August 2020 payment date. Moody's
LTV and stressed DSCR are 155% and 0.63X, respectively,
compared to 141% and 0.69X at 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.
Suzanna Sava
Vice President - Senior 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
