Morningstar DBRS Changes Trends on Three Classes of Morgan Stanley Capital I Trust 2015-UBS8 to Negative From Stable; Confirms All Credit Ratings

DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8 issued by Morgan Stanley Capital I Trust 2015-UBS8 as follows:

-- 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 D at BBB (low) (sf)
-- Class X-D at B (sf)
-- Class E at B (low) (sf)
-- Class F at C (sf)

Morningstar DBRS changed the trends on Classes D, E, and X-D to Negative from Stable. The trends on all other classes are Stable with the exception of Class F, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings.

The Negative trends on Classes D and E are the result of the reduced credit support at the bottom of the capital stack because of realized losses for liquidated loans and increased interest shortfalls because of decreased values of select collateral properties backing loans in special servicing. Since Morningstar DBRS' last credit rating action, one loan, which was previously in special servicing, was liquidated from the pool with a realized loss of $12.2 million, generally in line with Morningstar DBRS' expectations. As of the March 2025 remittance, realized trust losses total $37.4 million and have eroded the entirety of the nonrated Classes H and J and approximately 68.8% of Class G, the credit rating on which Morningstar DBRS previously withdrew.

The credit rating confirmations reflect the generally favorable collateral mix in this transaction, with loans backed by retail properties representing approximately 40.5% of the pool balance, including two (21.0% of the pool) of the top three loans. The pool also benefits from minimal office exposure, with only three nondefeased loans (12.2% of the pool) being secured by office properties. As indicated by the C (sf) credit rating on the Class F certificate, Morningstar DBRS continues to project losses will be realized through that class as a result of future liquidations, as further discussed below.

Given the continued challenges faced by the office sector, Morningstar DBRS analyzed several loans backed by office and other properties that were showing decreased values from issuance or otherwise exhibiting increased risks from issuance with stressed scenarios and/or elevated probability of defaults (PODs) to increase expected losses (ELs) as applicable. Outside of a small concentration of loans of concern, the overall performance of the remaining loans in the pool is generally healthy, with the majority reporting debt service coverage ratios (DSCR) that remain in line with their respective issuance figures, according to the most recent financials.

According to the March 2025 remittance, 49 of the original 57 loans remain in the pool, representing a collateral reduction of 20.6% since issuance. Eleven loans, representing 17.8% of the pool, are fully defeased, while nine loans, representing 18.2% of the pool, are on the servicer's watchlist being monitored predominantly for low DSCRs and decreased occupancy rates. In addition, three loans, representing 3.9% of the pool, are in special servicing. For this review, Morningstar DBRS analyzed two of the specially serviced loans, Lafayette Shopping Center (Prospectus ID #19; 1.5% of the pool) and 2424 & 2500 Wilcrest Drive (Prospectus ID #26; 1.2% of the pool) with liquidation scenarios, resulting in projected realized losses of approximately $5.1 million.

The largest loan in special servicing, Lafayette Shopping Center, is secured by a 138,341 square foot (sf) retail property in Marietta, Ohio. The loan transferred to special servicing in April 2024 for cash management compliance and, as of the March 2025 remittance, is current on payments. Despite the property achieving an occupancy rate of 94.0% at Q3 2024¿the highest occupancy rate since 2018¿ the loan reported a DSCR of 0.10 times (x), well below breakeven, for the same period. As indicated by the increased occupancy rate, leasing activity has been positive recently, with two tenants, Harbor Freight (13.0 % of net rentable area (NRA)) and Ollies (26.0% of NRA), signing long-term leases. Although the loan transferred to special servicing, an updated appraisal has not been ordered as the loan is not delinquent; however, Morningstar DBRS expects the property's as-is value has likely deteriorated considerably given the historical performance trends. Given the maturity date in November 2025 and the below breakeven DSCR, Morningstar DBRS liquidated the loan from the pool based on a 50% haircut to the June 2015 value of $15.4 million, resulting in a Morningstar DBRS value of $7.7 million and implied loss of approximately $2.8 million.

Additionally, Morningstar DBRS used a liquidation scenario for the 2424 & 2500 Wilcrest Drive loan. The loan is secured by two Class B office buildings in Houston and transferred to special servicing in February 2023 for nonmonetary default. Despite the collateral's relatively favorable location, occupancy and net cash flow (NCF) have continued a downward trajectory since issuance with the loan reporting a Q2 2024 occupancy rate of 58.0%, down from the issuance rate of 87.0%. NCF fell to $568,602 as of the trailing 12 months ended June 30, 2024, from $615,014 at YE2023 and $1.3 million at YE2016. Morningstar DBRS liquidated the loan from the pool based on a 60% haircut to the September 2015 value of $14.9 million, resulting in a Morningstar DBRS value of $5.96 million and implied loss of approximately $2.3 million.

The largest loan in the pool, 525 Seventh Avenue (Prospectus ID #1; 10.1% of the pool), is secured by a 505,273-sf office property in the Penn Station submarket of Manhattan. No longer on the servicer's watchlist, the loan has rebounded in the past few years, reporting an annualized Q2 2024 NCF of $12.6 million (DSCR of 1.23x), which remains in line with the YE2023 and YE2022 NCFs of $12.1 million (DSCR of 1.18x) and $11.3 million (DSCR of 1.10x), respectively, but well below the issuer's NCF of $16.6 million (DSCR of 1.62x). Per the August 2024 rent roll, the property was 94.1% occupied with average rental rates of $47.50 per square foot (psf). Per Reis, the Penn Station submarket reported a Q4 2024 vacancy rate of 10.8% and effective rent of $63.37 psf. According to the servicer commentary, as of August 2024, the leases of 21 tenants, representing 13.9% of NRA, had expired or were set to expire in the next 12 months. Given the concentration of scheduled rollover in proximity to the maturity date, Morningstar DBRS analyzed the loan utilizing a stressed loan-to-value ratio and elevated POD adjustment, resulting in an EL just over 30% higher than the pool's average EL.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

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

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (August 13, 2024): https://dbrs.morningstar.com/research/437781

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

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

The principal methodology is North American CMBS Surveillance Methodology (February 28, 2025): https://dbrs.morningstar.com/research/448963

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process. Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The Morningstar DBRS Long-Term Obligation Rating Scale definition indicates that credit 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.

The conditions that lead to the assignment of a Negative or Positive trend are generally resolved within a 12-month period. Morningstar DBRS' outlooks and credit ratings are monitored.

DBRS, Inc.
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Chicago, IL 60602 USA
Tel. +1 312 332-3429

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- North American CMBS Multi-Borrower Rating Methodology (December 13, 2024)/North American CMBS Insight Model v 1.2.0.0, https://dbrs.morningstar.com/research/444616

-- Morningstar DBRS North American Commercial Real Estate Property Analysis Criteria (September 19, 2024), https://dbrs.morningstar.com/research/439702

-- Legal Criteria for U.S. Structured Finance (December 3, 2024), https://dbrs.morningstar.com/research/444064

-- North American Commercial Mortgage Servicer Rankings (August 23, 2024), https://dbrs.morningstar.com/research/438283

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.