Fitch has affirmed all classes of
RATING ACTIONS
Entity / Debt
Rating
Prior
MSBAM 2015-C21
555A 61764XBA2
LT
BBB-sf
Affirmed
BBB-sf
A-3 61764XBH7
LT
AAAsf
Affirmed
AAAsf
A-4 61764XBJ3
LT
AAAsf
Affirmed
AAAsf
A-S 61764XBL8
LT
AAsf
Affirmed
AAsf
A-SB 61764XBG9
LT
AAAsf
Affirmed
AAAsf
B 61764XBM6
LT
Asf
Affirmed
Asf
C 61764XBP9
LT
BBBsf
Affirmed
BBBsf
D 61764XAN5
LT
CCCsf
Affirmed
CCCsf
E 61764XAQ8
LT
CCsf
Affirmed
CCsf
Page
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VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Stable Loss Expectations: The affirmations reflect the generally stable loss expectations of the pool since the prior rating action. There are six Fitch Loans of Concern (FLOCs, 17.2% of pool), including three specially serviced loans (12.2%).
Fitch's current ratings incorporate a base case loss of 10.6%. The Outlook revisions to Stable from Negative for classes A-S, B, C, PST and interest-only classes X-A and X-B reflect performance stabilization of loans affected by the pandemic and the return of two specially serviced loans,
Specially Serviced Loans Driving High Losses: Expected losses from the specially serviced loans account for nearly 90% of total expected pool losses. The largest contributor to expected losses is the
The property reported an occupancy of 81% as of
Fitch's loss expectation of 67% reflects an implied cap rate of 22.5% to the annualized
The second largest contributor to losses and largest increase in loss since the prior rating action is the specially serviced
As of
Fitch's loss expectations of 69% is based on a discount to a
Improvement in Credit Enhancement (CE): As of the
Non-pooled Asset; Generally Stable Performance: The transaction contains a
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to classes A-3, A-4 and A-SB are not likely due to the position in the capital structure and increasing CE, but may occur should interest shortfalls affect these classes. Downgrades to class A-S and X-A may occur should expected pool losses increase significantly. Downgrades to classes B, C, X-B and PST are possible should loss expectations increase from continued performance decline of the FLOCs, additional loans default or transfer to special servicing and/or higher than expected losses are realized on the specially serviced loans. Downgrades to classes D, E, F and X-E would occur as losses are realized and/or become more certain. Class 555A could be downgraded with sustained occupancy and cash flow declines for
Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the
Factors that could, individually or collectively, lead to positive rating action/upgrade:
Sensitivity factors that could lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or additional defeasance. Upgrades to classes A-S, X-A, B and X-B would only occur with significant improvement in CE, defeasance and/or performance stabilization of the FLOCs. Upgrades to classes C, PST, D, E, F and X-E are not likely until the later years of the transaction and only if the performance of the remaining pool is stable, the FLOCs particularly the specially serviced loans deliver better-than-expected outcomes, and there is sufficient CE to the classes. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Class 555A could be upgraded with sustained occupancy and cash flow improvement at
Best/Worst Case Rating Scenario
International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
ESG Considerations
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg
Additional information is available on www.fitchratings.com
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