Morningstar DBRS Confirms Credit Ratings on All Classes of Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20

DBRS Limited (Morningstar DBRS) confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C20 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 as follows:

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

All trends are Stable, except for Class F, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings.

The credit rating confirmations and Stable trends reflect Morningstar DBRS' outlook for the remaining loans in the pool. As the pool continues to wind down, Morningstar DBRS considered a stressed recoverability analysis, the results of which indicated that realized losses would be contained to the Class F certificate. Since the last credit rating action, 63 loans have repaid from the trust including 22 loans that were previously defeased. Interest shortfalls, which are contained to the CCC (sf)-rated Class F certificate, increased to $1.6 million as of March 2025 compared with approximately $660,000 at the previous review in April 2024. To date, there have been realized losses of approximately $11.6 million, contained to the nonrated Class G certificate.

As of the March 2025 remittance, seven of the original 88 loans remain in the pool with a trust balance of $80.7 million, reflecting a collateral reduction of 93.0% since issuance. The transaction is exposed to adverse selection given that four of the remaining loans, representing 72.5% of the current pool balance, are in special servicing. Loans secured by retail properties account for 48.9% of the pool, followed by lodging properties at 29.7% and office properties at 21.5%.

The largest loan in the pool, Ashford Portfolio - Palm Desert, CA (Prospectus#10; 24.4% of the current pool balance), is secured by the borrower's fee-simple interest in a portfolio of one extended-stay hotel and one limited-service hotel totaling 281 keys in Palm Desert, California, within the Coachella Valley. The loan transferred to special servicing in November 2023 after the borrower failed to comply with cash management requirements. A site inspection conducted in January 2025 revealed that the portfolio was 66.0% occupied, relatively in line with historical standards. According to the most recent financial reporting available, the property generated $3.5 million of net cash flow (NCF) as of year-end (YE) 2023 with a debt service coverage ratio (DSCR) of 4.43 times (x), an increase from the issuance figures of $2.6 million and 1.74x, respectively. The servicer indicated that the borrower received a short-term maturity extension, and the loan is expected to be fully repaid by April 2025.

The 33 West 46th Street loan (Prospectus ID#12; 21.5% of the current pool balance) is secured by a 42,525-square foot (sf) Class B office property in Midtown Manhattan, New York. The loan transferred to special servicing in August 2020 following a payment default and the trust ultimately took title to the property via foreclosure in July 2024. Operating performance at the property has consistently declined since issuance, with the loan's DSCR remaining well below breakeven since YE2021. The property was approximately 53.0% occupied as of December 2024 with the top three tenants--Dana Jane Saltzman MD (lease expiration in March 2038), Industrial Medicine Associates (lease expiration in May 2034), and Popular Gems & Jewelry Inc. (lease expiration in November 2035) --combining for more than 30.0% of the net rentable area (NRA). Scheduled lease rollover at the property is limited with only one lease, representing approximately 4.4% of the NRA, scheduled to roll within the next 12 months. The property is in the Grand Central submarket, which had a vacancy rate of 12.3% as of December 2024 according to Reis. The most recent appraisal dated December 2024 valued the property at $16.1 million, a 12.0% decline from the January 2023 appraised value of $18.3 million and a 38.1% decline from the issuance appraised value of $26.0 million. In its analysis for this review, Morningstar DBRS maintained a conservative approach given the pool's concentrated status, which exposes the remaining classes to adverse selection risks, and applied a 40.0% haircut to the most recent appraised value, resulting in a loss severity that exceeded 60.0%.

The two remaining loans in special servicing are Bradhurst Court (Prospectus #16; 21.2% of the current pool balance) and La Quinta - Dallas Fort Worth, TX (Prospectus #72; 5.2% of the current pool balance). The Bradhurst Commons loan is secured by a 90,280-sf grocery-anchored shopping center in the Harlem neighborhood of Manhattan. The loan transferred to special servicing in November 2024 because of imminent monetary default. The shopping center was 100% occupied as of September 2024, with cash flow in line with issuance expectations. The servicer noted that the borrower agreed to enter into a forbearance agreement to extend the loan maturity for two years. The La Quinta - Dallas Fort Worth, TX loan is secured by a 76-room hotel property in Bedford, Texas. The loan transferred to the special servicer because of a failure to provide financial statements and comply with cash management provisions. The loan failed to repay at its January 2025 maturity date; however, the special servicer indicated that a negotiated settlement for a full payoff is reportedly in process.

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 factor(s) 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) at https://dbrs.morningstar.com/research/437781

Classes X-D and X-E 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 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-DBRS@morningstar.com.

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.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

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.

DBRS Limited
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Tel. +1 416 593-5577

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) and 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

A description of how Morningstar DBRS analyzes structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/417279 (July 17, 2023).

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