Morningstar DBRS Downgrades Credit Ratings on Six Classes of COMM 2015-CCRE24 Mortgage Trust; Changes Trend on Two Classes to Negative From Stable

DBRS Limited (Morningstar DBRS) downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2015-CCRE24 issued by COMM 2015-CCRE24 Mortgage Trust as follows:

-- Class X-C to BB (high) (sf) from BBB (sf)
-- Class D to BB (sf) from BBB (low) (sf)
-- Class X-D to CCC (sf) from B (high) (sf)
-- Class E to CCC (sf) from B (sf)
-- Class F to C (sf) from B (low) (sf)
-- Class G to C (sf) from CCC (sf)

In addition, Morningstar DBRS confirmed the following credit ratings:

-- Class A-5 at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)

Morningstar DBRS discontinued the credit rating on Class A-4 as it was repaid with the April 2025 remittance.

Morningstar DBRS changed the trends on Classes C and X-B to Negative from Stable and maintained the Negative trends on Classes D and X-C. All remaining classes carry Stable trends with the exception of Classes E, F, G, and X-D which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings.

The credit rating downgrades reflect Morningstar DBRS' increased liquidated loss projections for the specially serviced loans and one loan on the servicer's watchlist. The largest contributor for the uptick in projected liquidated losses from the previous credit rating action is the Westin Portland loan (Prospectus ID#8; 5.7% of the pool), which transferred to special servicing for the second time in October 2023 due to payment default, and has experienced precipitous performance declines since issuance, discussed further below. Since Morningstar DBRS' last credit rating action in May 2024, three additional loans have transferred to special servicing. In the analysis for this review, Morningstar DBRS liquidated all four specially serviced loans (9.3% of the pool), as well as one loan on the servicer's watchlist, LG&E Center (Prospectus ID#23; 2.4% of the pool), which is secured by an office property in Louisville, Kentucky, given the property's significant rollover risk ahead of the loan's maturity in June 2025. The results of the liquidation scenarios suggest that total implied losses of $62.9 million, which are based on conservative haircuts to the most recent appraised values, with projected liquidated losses realized through the Class F certificate, significantly reducing the credit support provided to Classes D and E, thereby supporting the credit rating downgrades with this review.

Outside of the loans in special servicing, Morningstar DBRS notes the high concentration of loans backed by office/mixed-used properties with office exposure (approximately 23.0% of the pool), with a number of those loans, as well as select loans on the servicer's watchlist, exhibiting performance declines from issuance which are approaching the respective maturity dates. To account for the loans' increased risk profile, Morningstar DBRS increased the probability of default (POD) and/or applied stressed loan-to-value (LTV) ratios for six loans (18.0% of the pool), resulting in a weighted-average expected loss approximately 3.4 times (x) greater than the pool average. The Negative trends on Classes C, D, X-B and X-C reflect Morningstar DBRS' concerns surrounding the refinancing prospects of the identified loans and the potential for further value deterioration in the event they are unable to pay off at maturity. These loans and the bulk of the remaining loans (89.9% of the pool) are scheduled to mature by August 2025.

As of the April 2025 remittance, 55 of the original 81 loans remain in the pool, reflecting a collateral reduction of 38.3% since issuance. There are only five loans (1.8% of the pool) that are fully defeased. In addition to the four loans in special servicing, there are 45 loans (80.1% of the pool) on the servicer's watchlist, the majority of which are being monitored for an upcoming loan maturity and/or a low debt service coverage ratio (DSCR). The pool's two largest office loans are being monitored on the servicer's watchlist in Two Chatham Center & Garage (Prospectus ID#6, 5.9% of the pool) and 40 Wall Street (Prospectus ID#7, 5.0% of the pool).

Two Chatham Center & Garage, secured by a mixed-use property consisting of a Class B office building, a parking garage, and a 5.3-acre land parcel in downtown Pittsburg, has been monitored on the watchlist since October 2020 due to low DSCR and occupancy, and it is now being monitored for upcoming maturity in July 2025. Occupancy remains low, most recently reported at 35.1% as of YE2024, as leasing continues to be a challenge given the soft submarket in the central business district (CBD), which has a vacancy rate exceeding 21.0%, according to Reis. The market challenges will be exacerbated by the new mixed-use project that is under construction across the street from the collateral. Although the DSCR is above breakeven at 1.05x as of the YE2024 financials, Morningstar DBRS believes the loan will default at its maturity and analyzed the loan with a stressed POD and LTV of 143.5%, which reflects a 57.8% haircut to its issuance value. The resulting expected loss is approximately 4.5x greater than the pool average.

The Donald J. Trump-sponsored 40 Wall Street loan is secured by a 1.2 million square foot (sf) office property in Lower Manhattan, New York, one block from the New York Stock Exchange. The subject loan of $66.0 million represents a pari passu portion of a $160.0 million whole loan, with the additional senior notes secured in the Morningstar DBRS-rated WFCM 2015-LC22 transaction and the non-Morningstar DBRS-rated COMM 2015-LC23 transaction. The loan was briefly in special servicing at the end of 2023 after the borrower was sued by the New York Attorney General for allegedly engaging in fraudulent activity, which was being appealed by the defendants as of Morningstar DBRS' last review in April 2024. No additional information has been provided since and the loan continues to be monitored for declined performance, with the DSCR falling below breakeven for the first time since issuance at 0.71x, with an occupancy rate of 73.6%, as of YE2024. Given the sustained performance challenges, Morningstar DBRS believes the loan is unlikely to pay off at its July 2025 maturity and maintained the elevated POD and stressed LTV exceeding 125.0% applied in the analysis for the previous credit rating action. The resulting expected loss is approximately 4.8x greater than the pool average.

The largest loan in special servicing is Westin Portland, which is secured by a full-service, 205-key luxury hotel in the CBD of Portland, Oregon. Following the loan's second transfer to special servicing, the loan remains delinquent, and the borrower has submitted multiple modification requests, which have been rejected. According to a recent servicer commentary, counsel has been engaged; however, nothing has been finalized to date. While Morningstar DBRS has not received any updated financials since June 2023, when DSCR was -0.37x for the trailing 12-month period (T-12), the hotel continues to underperform relative to its competitive set, based on its revenue per available room penetration rate of 61.2% as of the T-12 ending March 31, 2025, per the most recent STR report. The property was reappraised in September 2024 at $26.7 million, a further drop from the February 2024 figure of $33.2 million, and represents a 68.1% decline from the issuance values $83.6 million. Given the prolonged delinquency, sustained decline in performance, and further drop in value, Morningstar DBRS analyzed this loan with a liquidation scenario based on a 20.0% haircut to the $26.7 million value (sharply below the total exposure of $62.4 million), resulting in an implied loss severity approaching 84.0%.

The LG&E Center office property is currently 81.8% occupied, with a DSCR of 2.66x, as of YE2024. However, according to an article posted on the Louisville Courier Journal, the largest tenant, LG&E KU (70.2% of the net rentable area), will be vacating the property at its lease expiration in December 2025. Additionally, per the December 2024 rent roll, the majority of the remaining tenants also have lease expirations scheduled through the next 12 months. Although the U.S. Army Corps of Engineers was negotiating a lease at the subject property for 150,000 sf, per a WDRB article published in August 2024, nothing appears to have been finalized to date. Even if that lease comes to fruition, Morningstar DBRS expects occupancy would still be under 60.0% with the LG&E KU departure. Given the impending drop in occupancy, the loan was analyzed with a liquidation scenario based on a stressed value analysis. As the servicer has not provided updated appraisals to date, Morningstar DBRS referenced updated appraisals for comparable CBD Louisville offices within a one-mile radius from the subject, secured in other CMBS transactions. Based on those comparable values, a haircut of 70.0% was applied to the subject's issuance value of $39.2 million, which resulted in a loss severity of nearly 50.0%.

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, X-C, 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 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. lease 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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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)/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.

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