DBRS Morningstar Confirms All Classes of Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23

DBRS, Inc. (DBRS Morningstar) confirmed the following ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C23 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 (the Issuer):

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of the transaction, which has generally remained in line with DBRS Morningstar’s expectations since issuance. At issuance, the collateral consisted of 75 fixed-rate loans secured by 151 commercial properties. As of the February 2020 remittance, the pool had 69 of the original loans remaining in the pool with a collateral reduction of 13.9% since issuance and no losses incurred to date. Six loans, representing 3.6% of the current pool, are fully defeased. As of the February 2020 remittance, five loans, representing 5.4% of the current pool balance, were on the servicer’s watchlist and no loans were in special servicing. For loans reporting an in-place debt service coverage ratio (DSCR), the weighted-average (WA) DSCR was 1.82 times (x) compared with the Issuer’s DSCR of 1.76x for the pool. At issuance, the pool had a WA loan-to-value ratio (LTV) of 67.8% compared with the WA LTV of 68.8% for the remaining loans in the pool as of the February 2020 remittance.

DBRS Morningstar notes that the pool’s concentration of loans backed by hotel and retail property types represent 17.3% and 28.4% of the pool balance, respectively. The Coronavirus Disease (COVID-19) pandemic has had an immediate and substantial impact on the hospitality and retail industries as governments, property owners, retailers, and restauranteurs have closed locations as part of the larger effort to contain the spread of the coronavirus. DBRS Morningstar anticipates that the medium-term impact of these events, for hotel and retail properties in particular, will be significant and will monitor the loans in this pool and other rated deals closely for developments. Three of the largest 15 loans in the subject transaction are secured by hotels—Georgian Terrace (Prospectus ID #5; 4.7% of the pool), Hilton Garden Inn W 54th Street (Prospectus ID #7; 4.3% of the pool), and Fairfield Inn Chelsea (Prospectus ID #10; 3.2% of the pool). DBRS Morningstar contacted the servicer regarding the specific impact on bookings for these properties and will provide updated commentary as information becomes available on the DBRS Viewpoint platform.

At issuance, DBRS Morningstar assigned investment-grade shadow ratings to two loans, but with the repayment of US StorageMart Portfolio (Prospectus ID #11), only 32 Old Slip Fee (Prospectus ID #2; 7.1% of the pool) remains. With this review, DBRS Morningstar confirmed that the performance of this loan 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.

Classes X-A, X-B, and X-FG are interest-only (IO) certificates that reference 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#2 – 32 Old Slip Fee (7.1% of the pool)
-- Prospectus ID#7 – Hilton Garden Inn W 54th Street (4.3% of the pool)
-- Prospectus ID#10 – Fairfield Inn Chelsea (3.2% of the pool)
-- Prospectus ID#12 – The Quarters (2.4% 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:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is 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 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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