Morningstar DBRS Changes Trends on Four Classes of Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 to Stable and One Class to Negative, Confirms Credit Ratings on All Classes

DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C21 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 as follows:

-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (low) (sf)
-- Class B at A (high) (sf)
-- Class 555A at A (sf)
-- Class 555B at BBB (sf)
-- Class C at B (sf)
-- Class PST at B (sf)
-- Class D at C (sf)
-- Class E at C (sf)
-- Class F at C (sf)
-- Class G at C (sf)

Morningstar DBRS changed the trends on Classes A-S, X-A, X-B, and B to Stable from Negative. While the trend on Class 555A remains Stable, Morningstar DBRS changed the trend on Class 555B to Negative from Stable because of specific concerns about the associated rake loan, 555 11th Street NW (Prospectus ID#2, 28.9% of the pool) discussed further below. The trends on Classes C and PST remain Negative because of the liquidation analysis for the specially serviced loans while Classes D, E, F, and G have credit ratings that generally do not carry trends in commercial mortgage-backed securities (CMBS) credit ratings.

Given the concentration of defaulted and underperforming assets, Morningstar DBRS' analysis considered conservative liquidation scenarios for all specially serviced loans based on stresses to the most recent appraised values to determine the recoverability of the remaining bonds. The credit rating confirmations and trend change on Classes A-S, X-A, B, and X-B to Stable reflect Morningstar DBRS' expectation that a full recovery of principal is likely. As of the April 2025 remittance, Classes A-S and B had a cumulative outstanding balance of approximately $50 million, and Morningstar DBRS expects that there will be sufficient proceeds available to repay the outstanding balances on those two certificates. The credit rating confirmations on Classes C, PST, D, E, F, and G are supported by the liquidation analysis, which suggests that losses will erode up to the Class D certificate. Classes D, E, F, and G are already in credit rating categories that imply expected losses while Class C is in a credit rating category that implies high susceptibility to loss in the near term, as suggested by the liquidation analysis. In the event of further value declines to the loans in special servicing, Class C could be subject to future credit rating downgrades, supporting the Negative trend.

Interest shortfalls as of the April 2025 remittance totaled $3.5 million, up from $2.3 million at the last credit rating action in May 2024. Unpaid interest continues to accrue month over month, driven primarily by interest shortfalls deemed nonrecoverable from the specially serviced Stone Ridge Plaza (Prospectus ID#12, 8.2% of the pool) and Fairfield Inn - Morgantown (Prospectus ID#18, 4.7% of the pool) loans. Morningstar DBRS approached both loans with a liquidation analysis, suggesting loss severities exceeding 90%. Morningstar DBRS' credit ratings are constrained by the expectation of accruing interest shortfalls prior to repayment, and Morningstar DBRS could take further credit rating action if full interest to the Class C certificate remains unpaid for an extended period, further supporting the Negative trend. Classes D through G are already at credit ratings that imply high expected losses and do not carry a trend.

As of the April 2025 remittance, only 10 of the original 64 loans remained outstanding with a total pool balance of $207.7 million, representing a collateral reduction of 76.2% since issuance. Since the last credit rating action, an additional 46 loans were successfully repaid from the trust. Eight of the 10 outstanding loans, representing approximately 90% of the pool balance, are in special servicing and the two remaining loans remain with the master servicer with extended maturity dates in January 2035 and January 2030.

The largest loan in the pool, Westfield Palm Desert (Prospectus ID#1, 30.1% of the pool) is secured by a 572,724-square foot (sf) portion of The Shops at Palm Desert (formerly Westfield Palm Desert), a regional mall in Palm Desert, California. The $125.0 million whole loan, which ranks pari passu with the Morningstar DBRS-rated Wells Fargo Commercial Mortgage Trust 2015-C27, transferred to special servicing in July 2020 for payment default. Pacific Retail Capital Partners assumed the loan in November 2023, upon which a modification was executed to extend the loan's maturity to March 2027 with two one-year extension options. The loan will also be cash managed through the extended maturity date. Although the property's performance remains well below issuance expectations, the borrower is planning to redevelop the property and has been engaging in discussions with the special servicer and various stakeholders regarding the budget and execution. Net cash flow (NCF) was $6.7 million and the property was 79.7% occupied as of YE2024 compared with NCF of $12.7 million and occupancy of 96.0% at issuance. A February 2025 appraisal valued the property at $68.5 million, which is an improvement from the August 2023 value of $57.4 million, but well below the issuance value of $212.0 million. Despite the increase in value, which Morningstar DBRS believes was driven by the impending redevelopment, Morningstar DBRS expects the property's performance to remain stagnant through the extended term because of the recovery lag that may arise once the redevelopment is in progress. As such, Morningstar DBRS maintained a 25% haircut to the February 2025 value, resulting in a total loss of nearly $40.0 million and a loss severity of approximately 65%.

The second-largest loan in the pool is 555 11th Street NW, which is secured by a 414,204-sf Class A office property known as Lincoln Square, less than a mile from the White House in Washington, D.C. The loan did not pay off at its initial maturity date in November 2024 and subsequently transferred to the special servicer. The loan received a loan modification in December 2024, which extended the loan until November 2027 with a one-year extension option. The modification was also subject to a capital injection from the loan's sponsor and an additional injection will be needed if the sponsor elects to use its final extension option. The whole loan encompasses two pari passu senior notes totaling $90.0 million as well as three subordinate B notes with a total balance of $87.0 million. The $60.0 million subject loan represents the controlling A note of the $90.0 million senior component, and the remaining balance is secured in a transaction that Morningstar DBRS does not rate. The nonpooled rake bonds, which Morningstar DBRS does also rates, are backed by the nonpooled $30.0 million 555 11th Street NW senior B note. The loan's nonpooled $57.0 million junior B notes are subordinate to both the rake bonds and the $90.0 million pooled A note. The subject, originally constructed in 2001, underwent a $25.0 million renovation in 2015 associated with the lease renewal for the largest tenant the property, Latham & Watkins LLP, which represents 58.0% of the net rentable area (NRA) with a lease that expires in January 2031. According to the most recent financials, the subject reported an occupancy rate of 77% as of June 2024, which declined from 85.3% as of September 2023. The most recent decline in occupancy is attributable to the second-largest tenant, Silver Cinemas Acquisition Co. (10.0% of the NRA) which, according to several online news outlets, vacated in March 2025. According to the most recent financials, the subject reported a debt service coverage ratio of 1.40 times (x) as of the trailing six-month period ended June 30, 2024, compared with 1.68x at YE2023. According to a Reis report, the East End submarket reported a vacancy rate of 16.9% as of Q4 2024, which increased slightly from 16.3% as of Q4 2023. The subject was appraised at a value of $309 million at issuance, which declined by approximately 45% to $171 million as of January 2025. Previously, Morningstar DBRS concluded an updated value of $165 million in April 2024. Morningstar DBRS' analysis for this loan included a liquidation scenario based on a 20% haircut to the January 2025 appraised value as well as the outstanding advances and expected servicer expenses totaling approximately $3 million. This analysis suggested no loss to the whole-loan pooled debt of $90 million or to the subordinate nonpooled rake bonds, with losses eroding approximately $12.0 million of the nonrated nonpooled $47.0 million junior B note. Support for the junior nonpooled rake bond, Class 555B, eroded and in the event of future declines in performance or value declines, this class may be susceptible to loss, supporting the Negative trend.

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 transaction's 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-A and X-B 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.

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 Limited
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Toronto, ON M5H 3M7 Canada
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 (April 9, 2025) and North American CMBS Insight Model v 1.3.0.0, https://dbrs.morningstar.com/research/451739
-- 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.