DBRS Morningstar Confirms Ratings on Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24

DBRS, Inc. (DBRS Morningstar) confirmed its ratings on the Commercial Mortgage Pass-Through Certificates (the Certificates), issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 (the Issuer) as follows:

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

Classes E and F have Negative trends, a reflection of DBRS Morningstar’s concerns regarding the lasting residual effects of the Coronavirus Disease (COVID-19) global pandemic for select loans in the pool. All other trends are Stable.

The transaction has a moderate concentration of hospitality properties, representing 16.3% of the pool, with five of those loans (4.8% of the pool) comprising all of the loans in special servicing as of the October 2021 remittance. Hospitality properties have been the most severely affected by the coronavirus pandemic, and, for some of the loans in the pool backed by that property type, these factors have translated into increased risks from issuance, as further described below.

The five loans in special servicing are Hampton Inn Wyomissing (Prospectus ID#13; 1.6% of the pool); Aloft – Green Bay, WI (Prospectus ID#27; 0.9% of the pool); Homewood Suites – Andover, MA (Prospectus ID#28; 0.9% of the pool); Holiday Inn Express West Chester (Prospectus ID#42; 0.7% of the pool); and Holiday Inn Express – Medford, OR (Prospectus ID#57; 0.5% of the pool. All five loans have been in special servicing for missing payments as a result of steep cash flow declines caused by the coronavirus pandemic.

In the analysis for this review, DBRS Morningstar assumed liquidation scenarios for three loans: Hampton Inn Wyomissing (Wyomissing), Aloft - Green Bay, WI (Aloft Green Bay), and Holiday Inn Express West Chester (West Chester). All three loans have been in special servicing since the second half of 2020. The Wyomissing property received an updated appraisal in September 2020, citing a value of $14.6 million, a 31% decline from the issuance valuation of $21.2 million. The West Chester property also reported an updated August 2021 value of $6.8 million, a 10% value decline since issuance. Aloft Green Bay has not reported an updated appraisal since issuance. Based on haircuts to the recent appraisals or the issuance valuation for Aloft Green Bay, we estimate loss severities ranging between approximately 20.0% and 39.0% for these three loans.

As of the October 2021 remittance, 71 of the original 74 loans remain in the pool, representing a collateral reduction of 7.8% since issuance. Five loans, representing 4.8% of the current pool balance, are fully defeased. Additionally, there are 17 loans, representing 36.2% of the current trust balance, on the servicer’s watchlist as of the October 2021 remittance. The servicer is monitoring these loans for a variety of reasons, including low debt service coverage ratios (DSCRs) and occupancy issues; however, the primary reason for the increase of loans on the watchlist is the coronavirus-driven stress for hospitality and retail properties, with watchlisted loans backed by those property types generally reporting a low DSCR. Where applicable, DBRS Morningstar applied a probability of default penalty for these loans to increase the expected loss with this review.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

Class X-A, X-B, 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.

For supporting data and more information on this transaction, please log into www.viewpoint.dbrsmorningstar.com. DBRS Morningstar provides analysis and in-depth commentary in the DBRS Viewpoint platform.

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

-- Prospectus ID#13 – Hampton Inn Wyomissing (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 26, 2021), 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.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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.

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].

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