Morningstar DBRS Downgrades Credit Ratings on Two Classes of Morgan Stanley Capital I Trust 2015-MS1, Changes Trends to Negative From Stable on One Class

DBRS, Inc. (Morningstar DBRS) downgraded the credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2015-MS1 issued by Morgan Stanley Capital I Trust 2015-MS1 as follows:

-- Class E to CCC (sf) from BB (high) (sf)
-- Class F to C (sf) from B (high) (sf)

In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows:

-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class PST at A (high) (sf)
-- Class D at BBB (sf)

Morningstar DBRS discontinued the credit rating on the Class A-3 certificate as that class was repaid in full with the May 2025 remittance.

Lastly, Morningstar DBRS changed the trend on Class D to Negative from Stable. All other trends are Stable, with the exception of Classes E and F, which are assigned credit ratings that do not typically carry a trend in commercial mortgage-backed securities transactions.

During the prior credit rating action in June 2024, Morningstar DBRS changed the trends on Classes E and F to Negative from Stable to reflect the transaction's exposure to several loans identified as being at increased risk of maturity default. Since that time, one loan has liquidated from the pool with aggregate losses relatively in line with Morningstar DBRS' expectations, and three loans (22.5% of the pool) have transferred to special servicing. In its analysis for this review, Morningstar DBRS liquidated all three of the specially serviced loans, resulting in an aggregate projected loss of $39.4 million, which would fully erode the nonrated Class G balance in addition to more than 85% of the Class F balance, significantly reducing credit support to the lowest-rated principal bonds in the transaction, particularly the Class D and E certificates. Morningstar DBRS analyzed loans that have exhibited increased credit risks with elevated probability of default penalties resulting in expected losses that were between 1.4 times (x) and 8.0x greater than the pool average. Morningstar DBRS recognizes that the vast majority of outstanding loans in the pool have an upcoming maturity date in 2025, three of which (11.6% of the pool) will likely face difficulty obtaining takeout financing based on deteriorating performance and/or upcoming concentrated tenant rollover. The credit rating downgrades on the Class E and F certificates and the Negative trend assigned to the Class D certificate with this review reflect these loan-specific challenges as those classes are the most exposed to loss if the performance of the underlying collateral continues to deteriorate.

The credit rating confirmations and Stable trends reflect the overall stable performance and generally positive outlook for the remaining loans in the pool, as exhibited by the healthy weighted-average (WA) debt service coverage ratio (DSCR) of 2.33x, based on the most recent year-end financials. As of the May 2025 remittance, 17 of the original 54 loans remain in the pool, representing a collateral reduction of 50.7% since issuance. Defeasance collateral represents 0.8% of the pool balance. Loans secured by retail properties represent the greatest property type concentration, accounting for 53.6% of the pool balance. There are two nondefeased loans (26.8% of the balance) in the pool that are secured by office collateral or have an office component, both of which are reporting a DSCR greater than 1.70x, according to the most recent servicer reported figures.

The largest loan in special servicing and the primary driver of Morningstar DBRS' projected liquidated losses, Waterfront at Port Chester (Prospectus ID#4, 12.3% of the pool), is secured by a retail property composed of five buildings and 27 tenant spaces across 350,000 square feet in Port Chester, New York. The loan transferred to special servicing in April 2025 for maturity default. The property's occupancy rate declined to 84.8% as of the July 2024 rent roll from 96.0% at issuance. Performance began to decline after Bed Bath & Beyond (10.3% of net rentable area (NRA) and 7.7% of base rent at issuance) vacated at its lease expiration in January 2022. According to the most recent financial reporting available, the property generated $3.5 million of net cash flow in 2023 (reflecting a DSCR of 0.63x), down from $9.3 million at issuance. Despite multiple requests from the servicer, the borrower has not provided more up-to-date financial figures; however, Morningstar DBRS expects occupancy and cash flow have declined further as various online sources indicate that Crunch Fitness (6.9% of NRA and 8.1% of base rent at issuance) vacated at its lease expiration in February 2025. In the analysis for this review, the loan was liquidated based on a 50.0% haircut to the September 2020 appraised value, resulting in an implied loss approaching $37.0 million and a loss severity of approximately 70.0%.

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 credit 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 (May 16, 2025): https://dbrs.morningstar.com/research/454196
 
Classes X-A is an interest-only (IO) certificate that references 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 ratings assigned to Class C, and the corresponding exchangeable certificate, Class PST, materially deviate from the credit ratings implied by the predictive model. Morningstar DBRS typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit rating would consider a three-notch or more deviation from the credit rating stress(es) implied by the predictive model to be a significant factor in evaluating the credit rating. The rationale for the material deviation is uncertain loan level event risk. As previously mentioned, the transaction is in wind-down with a majority of the loans maturing in 2025; Morningstar DBRS considers adverse selection as the specially serviced loans and loans facing challenges refinancing will remain in the pool, supporting the material deviation.

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, 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 (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

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