DBRS Morningstar Confirms All Ratings on COMM 2015-CCRE23 Mortgage Trust

DBRS, Inc. (DBRS Morningstar) confirmed all classes of the Commercial Mortgage Pass-Through Certificates, Series 2015-CCRE23 issued by COMM 2015-CCRE23 Mortgage Trust (the Trust) as follows:

-- 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-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class X-C at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-D at BB (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)

The trend for Class B was changed to Stable from Positive, and the trend for Class F was changed to Negative from Stable. The Negative trend for Class F reflects the increased loss risk to the Trust related to Holiday Inn Manhattan View (Prospectus ID#19 – 1.6% of the trust balance) and DoubleTree Norwalk (Prospectus ID#20 – 1.6% of the trust balance). All remaining trends are Stable.

At issuance, the Trust consisted of 83 fixed-rate loans secured by 220 commercial and multifamily properties with a total trust balance of $1.369 billion. Per the November 2020 remittance report, the Trust had 80 loans secured by 152 properties remaining with a total trust balance of $1.177 billion, representing a 14.0% collateral reduction. Over the previous 12 months, the second largest loan, Courtland by Marriott Portfolio (Prospectus ID#2 - $100 million in trust), was fully repaid and the related rake bond ratings were discontinued in February 2020. Three additional loans totaling $24.8 million fully repaid over the past year as well.

The Trust benefits from 11 loans, comprising 23.6% of the trust balance, being fully defeased, which includes the second- and third-largest loans. The pool is also relatively diverse as the largest 15 loans represent 57.8% of the trust balance, although the largest loan, 9200 & 9220 Sunset (Prospectus ID#1), comprises 10.2% of the trust balance. The Trust is primarily secured by office and multifamily property types, which comprise 33.3% and 25.0% of the trust balance, respectively. These property types have been more stable during the Coronavirus Disease (COVID-19) pandemic compared to other property types. Cash flow growth of the remaining non-defeased loans exhibited a moderate increase as the most recent preceding weighted-average (WA) YE debt service coverage ratio (DSCR) totaled 1.78 times (x), up from the Issuer’s WA underwriting DSCR of 1.67x derived at issuance. There are 12 loans, comprising 13.4% of the trust balance, that have sponsors and/or loan collateral with a negative historical credit event prior to issuance. DBRS Morningstar increased the probability of default for the respective loans to reflect the increased sponsor risk.

Six loans, representing 4.6% of the trust balance, are in special servicing per the November 2020 remittance report. The two largest specially serviced loans are the Holiday Inn Manhattan View and DoubleTree Norwalk. The Holiday Inn Manhattan View loan is secured by the leasehold interest in a 136-key limited-service hotel in Long Island City, New York. The loan transferred to the special servicer in February 2020 because of a balloon payment default upon loan maturity in January 2020. The hotel reported significant cash flow growth prior to the maturity date, but the borrower was unable to secure financing prior to the coronavirus pandemic. The hotel was forced to close in March 2020 and has not yet reopened. The special servicer is dual tracking foreclosure and a loan modification; however, the State of New York extended its moratorium on commercial evictions and foreclosures through January 2021. The hotel was re-appraised in March 2020 (pre-pandemic) for a $14.0 million value, down from the $29.5 million appraised value derived at issuance. DBRS Morningstar is closely monitoring the special servicer actions as the moratorium is scheduled to expire in the near term. The loan was liquidated from the Trust as part of the analysis, which resulted in an implied loss severity in excess of 50.0%.

DoubleTree Norwalk is secured by a 265-key full-service hotel in Norwalk, Connecticut. The property became real estate owned by the Trust in September 2018 and the special servicer initially targeted disposition of the asset in late 2019; however, the hotel attracted little buyer interest. The property was re-appraised in April 2020 for an as-is value of $11.7 million and the appraisal report assumed an extensive capital expenditure project to stabilize the asset. Hotel operations have remained open throughout the coronavirus pandemic; however, an October 2020 Smith Travel Research report showed the subject continues to underperform relative to its competitive set. The collateral is operating with considerable ongoing losses and servicer advances continue to accrue. The special servicer is attempting to stabilize the asset prior to disposition. The loan was liquidated from the Trust as part of the analysis, which resulted an implied loss severity in excess of 60.0%.

An additional 20 loans, representing 17.7% of the trust balance, are on the servicer’s watchlist. The probabilities of default were increased for loans that demonstrated higher default risk since issuance.

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, X-C, and X-D 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#3 – DoubleTree San Diego (2.8% of the pool)
-- Prospectus ID#19 – Holiday Inn Manhattan View (1.6% of the pool)
-- Prospectus ID#20 – DoubleTree Norwalk (1.6% 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 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 [email protected].

DBRS, Inc.
22 West Washington Street
Chicago, IL 60602 USA
Tel. 312 696-6293