DBRS Morningstar Confirms All Classes of Morgan Stanley Capital I Trust 2015-MS1

DBRS Limited (DBRS Morningstar) confirmed the ratings of all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-MS1 issued by Morgan Stanley Capital I Trust 2015-MS1 as follows:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class PST at A (high) (sf)
-- Class D at BBB (sf)
-- Class E at BB (high) (sf)
-- Class F at B (high) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of the transaction, which has had a collateral reduction of 3.2% since issuance with all of the original 54 loans remaining in the pool as of the February 2020 remittance report.

Loans representing 83.3% of the current pool balance reported Q2 or Q3 2019 financials. Collectively, the loans reporting these partial-year 2019 financials had a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 1.75 times (x) and 8.5%, respectively. The largest 15 loans reported partial-year 2019 or YE2018 financials, with a WA DSCR and debt yield of 2.56x and 8.9%, respectively, representing a WA cash flow improvement of 28.3% over the DBRS Morningstar net cash flow figures derived at issuance.

The pool is highly concentrated in loans secured by retail properties with 24 such loans representing 41.7% of the pool, including four in the top 15. This concentration is particularly noteworthy given the ongoing Coronavirus Disease (COVID-19) outbreak and its effect on retail traffic nationwide as cities and governors as well as company CEOs take measures to curtail viral spread by ordering stores and restaurants closed. In general, the retail loans in this pool are performing as expected, with the largest retail loans in the top 15 loans in the pool reporting net cash flow growth of roughly 19.3% since issuance.

As of the February 2020 remittance, five loans, representing 7.1% of the pool, are on the servicer’s watchlist and no loans are in special servicing. The second-largest loan on the watchlist, HSBC – Brandon, FL (Prospectus ID #16; 1.9% of the pool), is being monitored because of the loss of the single tenant in HSBC in July 2018, ahead of the scheduled lease expiry in June 2020. As of the March 2020 update from the servicer, the property remains fully vacant but lease approvals are in process for tenants that would take a portion of the space. For additional information on this loan, please see the DBRS Viewpoint platform, for which information has been provided, below.

At issuance, DBRS Morningstar assigned investment-grade shadow ratings to three loans, 32 Old Slip Fee (Prospectus ID#3; 7.0% of pool), Alderwood Mall (Prospectus ID#5; 5.0% of pool), and 841-853 Broadway (Prospectus ID#6; 5.8% of pool). With this review, DBRS Morningstar has confirmed that the performance of these loans remains consistent with investment-grade loan characteristics.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Class X-A is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall.

All ratings are subject to surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by DBRS Morningstar.

DBRS Morningstar provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loans in the transaction:

-- Prospectus ID#3 – 32 Old Slip Fee (7.0% of the pool)
-- Prospectus ID#6 – 841-853 Broadway (5.8% of the pool)
-- Prospectus ID#8 – Hilton Garden Inn W 54th Street (4.7% of the pool)
-- Prospectus ID#16 – HSBC – Brandon, FL (1.9% of the pool)

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.com. The platform includes issuer and servicer data for most outstanding CMBS transactions (including non-DBRS Morningstar-rated), as well as loan-level and transaction-level commentary for most DBRS Morningstar-rated and -monitored transactions.

Notes:
The principal methodology is the North American CMBS Surveillance Methodology, which can be found on dbrsmorningstar.com under Methodologies & Criteria. For a list of the structured-finance-related methodologies that may be used during the rating process, please see the DBRS Morningstar Global Structured Finance Related Methodologies document, which can be found on dbrsmorningstar.com in the Commentary tab under Regulatory Affairs. Please note that not every related methodology listed under a principal structured finance asset class methodology may be used to rate or monitor an individual structured finance or debt obligation.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at info@dbrsmorningstar.com.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process. Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The DBRS Morningstar long-term rating scale definition indicates that ratings of CCC or lower are assigned when the bond is highly likely to default or default is imminent, thereby prevailing over a sensitivity analysis.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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