DBRS Morningstar Downgrades One Class and Discontinues All Ratings on Morgan Stanley Capital I Trust 2015-XLF2

DBRS Limited (DBRS Morningstar) downgraded the rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2015-XLF2 issued by Morgan Stanley Capital I Trust 2015-XLF2:

-- Class SNMD to D (sf) from C (sf)

In addition, the ratings on the remaining three classes (Classes SNMA, SNMB, and SNMC, which were previously rated CCC (sf), C (sf), and C (sf), respectively) have been discontinued. In accordance with DBRS Morningstar’s policies and procedures, the rating on Class SNMD was simultaneously discontinued as there is no benefit to investors to maintain the rating now that the transaction has been collapsed.

The rating downgrade on Class SNMD and discontinuation of the other three classes were due to the paydown and losses incurred with the liquidation of the Starwood National Mall Portfolio loan, which was collateralized by three super-regional malls: Stony Point, The Shops at Willow Bend, and Fairlane Town Center.

The loan was liquidated with an $18.1 million loss to Class SNMD with proceeds from the liquidation repaying the remaining classes. The principal distribution with the May 2022 remittance of $83.2 million was slightly below the most recent appraised value for the portfolio as of August 2020 of $89.0 million.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

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

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is North American CMBS Surveillance Methodology (March 4, 2022), 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.

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 [email protected].

This rating was not initiated at the request of the rated entity.

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 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 [email protected].

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