DBRS Morningstar Confirms Ratings on Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20, Changes Trends on Three Classes to Stable from Negative

DBRS, Inc. (DBRS Morningstar) confirmed the 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 A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 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 PST at A (low) (sf)
-- 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 C (sf)

DBRS Morningstar changed the trends on Classes D, X-E, and E to Stable from Negative. Class F has a rating that does not carry a trend. All other trends remain Stable.

The rating confirmations and trend changes reflect a variety of factors, including the improving performance of several loans, which have been returned to the master servicer from special servicing; increased credit support to the bonds as a result of defeasance; and increases in appraisal values for loans currently in special servicing, which are ultimately likely to be liquidated from the pool.

As of the February 2022 remittance, there has been a collateral reduction since issuance of 18.7%, with 78 of the original 88 loans remaining in the pool. In addition to the paydown, the pool benefits from defeasance as 12 loans, representing 11.2% of the current pool balance, are fully defeased. There are 21 loans, representing 24.9% of the current pool balance, on the servicer’s watchlist, including four loans in the top 15. Seven loans, representing 8.5% of the pool, are in special servicing. Two of the loans in special servicing, representing 2.7% of the current pool balance, are secured by collateral that is now lender-owned.

The largest specially serviced loan, Ashford Portfolio – Palm Desert, CA (Prospectus ID#10, 2.3% of the pool), is secured by a two-property hotel portfolio consisting of the extended-stay Residence Inn Palm Desert and the limited-service Courtyard Inn Palm Desert, totaling 281 keys in Palm Desert, California. Prior to the onset of the Coronavirus Disease (COVID-19) pandemic, performance had been stable, but the loan transferred to special servicing in May 2020 at the sponsor’s request as a result of performance declines stemming from the coronavirus pandemic. The sponsor, Ashford Hospitality Trust, brought the loan current in December 2021, and as of the February 2022 remittance, the loan remained current. Servicer commentary indicates that the loan is pending a return to the master servicer, though it does not provide an expected date.

The largest loan on the servicer’s watchlist, DoubleTree – Santa Ana, CA (Prospectus ID#6, 3.0% of the pool), is secured by a full-service hotel in Santa Ana, California, within four miles of John Wayne International Airport. The property has experienced performance declines beginning in 2018, when three new competitive hotels came to market, reporting a YE2019 debt service coverage ratio (DSCR) of 1.13 times (x). The property has further been affected by the coronavirus and was transferred to special servicing before being returned to the master servicer in July 2021. The servicer reported a YE2020 DSCR of -0.69x, with the most recent trailing 10 months ended October 31, 2021, DSCR reported as 0.00x. As of the most recent reporting, the occupancy rate of 49.0% remains down from the pre-pandemic occupancy rate of 79.5% at YE2019. According to the August 2021 STR report, however, the property is slightly outperforming its competitive set in terms of occupancy, average daily rate, and revenue per available room. This suggests the subject may be able to capture increased demand and experience a performance rebound to pre-pandemic levels when air travel, particularly business travel, increases.

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/373262.

DBRS Morningstar materially deviated from its North American CMBS Insight Model when determining the rating assigned to Class E as the quantitative results suggested a higher rating. The material deviation is warranted given the uncertain loan-level event risk as the transaction has an increased concentration of loans secured by property types that have struggled amid the pandemic in terms of occupancy rates and financial performance, including office, retail, and hotel properties.

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

DBRS Morningstar provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loans in the transaction:

-- Prospectus ID#6 – DoubleTree – Santa Ana, CA (3.0% of the pool)
-- Prospectus ID#10 – Ashford Portfolio – Palm Desert, CA (2.3% of the pool)

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.com The platform includes issuer and servicer data for most outstanding CMBS transactions (including non-DBRS Morningstar rated), as well as loan-level and transaction-level commentary for most DBRS Morningstar-rated and -monitored transactions.

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

The principal methodology is the North American CMBS Surveillance Methodology (March 26, 2021), 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/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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 see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process. 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 info@dbrsmorningstar.com.

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