Press Release

DBRS Morningstar Downgrades Three Classes of MSCI 2015-UBS8, Removes Nine Classes from UR-Neg.

CMBS
December 03, 2020

DBRS Limited (DBRS Morningstar) downgraded three classes of Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8 issued by Morgan Stanley Capital I Trust 2015-UBS8 (the Issuer) as follows:

-- Class D to BBB (low) (sf) from BBB (sf)
-- Class X-D to BB (sf) from BBB (low) (sf)
-- Class E to BB (low) (sf) from BB (high) (sf)

In addition, DBRS Morningstar confirmed the remaining classes as follows:

-- 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 AA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class X-F at B (sf)
-- Class F at B (low) (sf)
-- Class X-G at B (low) (sf)
-- Class X-H at B (low) (sf)
-- Class G at CCC (sf)
-- Class H at CCC (sf)

With this review, DBRS Morningstar removed Classes D, E, F, G, H, X-D, X-F, X-G, and X-H from Under Review with Negative Implications, where they were placed on August 6, 2020. The trends on these classes are Negative, with the exception of Classes G and H, which have ratings that do not carry trends. All other trends are Stable. In addition, DBRS Morningstar also designated Classes G and H as having Interest in Arrears.

The Negative trends and rating downgrades reflect the continued performance challenges for the underlying collateral, much of which has been driven by the impacts of the Coronavirus Disease (COVID-19) global pandemic. In addition to loans representing 16.0% of the pool in special servicing as of the November 2020 remittance, DBRS Morningstar also notes the pool has a high concentration of retail and hospitality properties, representing 44.4% and 15.9% of the pool balance, respectively. These property types have been the most severely affected by the initial effects of the coronavirus pandemic and, as such, those concentrations suggest increased risks for the pool, particularly at the lower rating categories, since issuance. Based on the year-end (YE) 2019 financials, the pool reported a weighted-average (WA) debt service coverage ratio (DSCR) of 1.84 times (x) compared with the YE2018 WA DSCR of 1.91x with the Issuer’s WA DSCR of 1.85x.

As of the November 2020 remittance, 56 of the original 57 loans remain in the pool, representing a collateral reduction of 4.9% since issuance. One loan, representing 0.9% of the pool, is fully defeased. There are 10 loans, representing 16.0% of the pool, in special servicing, four of which are in the top 15. The largest specially serviced loan, Mall de las Aguilas (Prospectus ID#6, 3.1% of the pool balance), is secured by a 350,000 square foot (sf) portion of a 450,000 sf regional mall located in Eagle Pass, Texas, which is located on the United States and Mexico border; the city is heavily influenced by border traffic. The loan transferred to special servicing at the request of the borrower due to challenges resulting from the coronavirus-driven border closure. The loan is over 60 days delinquent with the most recent remittance report and the servicer is working towards a transition of title of the property to the trust.

The property reported a September 2020 occupancy rate of 74.6%, which is a drop over the YE2019 occupancy rate of 90%. The occupancy decline is primarily the result of the Beall’s closure, which formerly occupied 17.5% of the net rentable area (NRA) and vacated the property following the bankruptcy filing and ultimate liquidation of the parent company, Stage Stores. In addition to the declining occupancy rate, there are additional challenges in the exposure to JCPenney, which represents 22.5% of the NRA, and Cinemark, which occupies 6.5% of the NRA. Given these increased risks from issuance, the loan’s delinquency status, and the likelihood the trust will take title at some point, this loan was analyzed with an increased probability of default to significantly increase the expected loss for this review.

The second-largest specially serviced loan is WPC Department Store Portfolio (Prospectus ID#10, 2.6% of the current pool balance), which is a pari passu loan spread across the subject and two other transactions in BACM 2015-UBS7 and CSAIL 2015-C3, both of which are also rated by DBRS Morningstar. The loan is secured by a portfolio of six department stores located across Wisconsin, Illinois, and North Dakota, all of which were formerly occupied by department store brands owned by Bon-Ton, which liquidated and closed all locations in 2018. The collateral locations have been vacant since that time and the loan has been real-estate owned since October 2019. The loan reported an October 2019 value of $24.1 million, which is an 11.1% decline from the October 2018 appraisal of $27.1 million and a 73.1% decrease from the issuance appraisal of $89.5 million. In addition, the most recent value is well below the whole-loan balance of $57.0 million and DBRS Morningstar believes the value could have fallen even further since that time given the impacts of the coronavirus pandemic and the secondary market locations. Given these factors, this loan was analyzed with a liquidation scenario that implied a loss severity in excess of 80.0%.

According to the November 2020 remittance, 14 loans are on the servicer’s watchlist, representing 24.2% of the current pool balance. These loans are being monitored for various reasons, including a low DSCR or occupancy figure and/or pandemic-related forbearance requests.

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.

DBRS Morningstar materially deviated from its North American CMBS Insight Model when determining the rating to Class B as the quantitative results suggested a lower rating. The material deviation is warranted given the uncertain loan level event risk with the loans in special servicing and on the servicer’s watchlist.

Classes X-A, X-B, X-D, X-F, X-G, and X-H 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#4 – Meridian Office Complex (6.6% of the pool)
-- Prospectus ID#6 – Mall de las Aguilas (3.1% of the pool)
-- Prospectus ID#10 – WPC Department Store Portfolio (2.6% 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 (March 6, 2020), 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.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

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.

Generally, the conditions that lead to the assignment of a Negative or Positive trend are generally resolved within a 12-month period. DBRS Morningstar’s outlooks and ratings are monitored.

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

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

Ratings

  • Date IssuedDebt RatedRatingTrendActionAttributesi
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class GCCC (sf)--Int. in Arrears, Confirmed
    CA
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class HCCC (sf)--Int. in Arrears, Confirmed
    CA
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class A-2AAA (sf)StbConfirmed
    CA
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class A-3AAA (sf)StbConfirmed
    CA
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class A-4AAA (sf)StbConfirmed
    CA
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class A-SAAA (sf)StbConfirmed
    CA
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class A-SBAAA (sf)StbConfirmed
    CA
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class X-AAAA (sf)StbConfirmed
    CA
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class X-BAA (sf)StbConfirmed
    CA
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class BAA (low) (sf)StbConfirmed
    CA
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class CA (low) (sf)StbConfirmed
    CA
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class DBBB (low) (sf)NegDowngraded
    CA
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class X-DBB (sf)NegDowngraded
    CA
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class EBB (low) (sf)NegDowngraded
    CA
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class X-FB (sf)NegConfirmed
    CA
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class FB (low) (sf)NegConfirmed
    CA
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class X-GB (low) (sf)NegConfirmed
    CA
    03-Dec-20Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8, Class X-HB (low) (sf)NegConfirmed
    CA
    More
    Less
Morgan Stanley Capital I Trust 2015-UBS8
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.