Fitch has affirmed all classes of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2015-C21 (MSBAM 2015-C21), and revised six Rating Outlooks to Stable from Negative.

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, Fontainebleau Park Plaza (6.3%) and Ashford Hotel Portfolio (6.1%), to master servicing.

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 Westfield Palm Desert Mall loan, which is secured by a 572,724-sf portion of a 977,888-sf regional mall located in Palm Desert, CA. The nearest enclosed regional mall is approximately 60 miles away. Non-collateral anchors include Macy's and JC Penney. A non-collateral Sears closed in early 2020 and the box remains vacant. The loan transferred to special servicing in June 2020 for payment default. After failed debt relief negotiations, the special servicer has moved forward with foreclosure and a receiver was appointed in October 2021. The disposition timing of the asset has yet to be determined.

The property reported an occupancy of 81% as of June 2022, compared with 77% at YE2021, 88% at YE2020 and 93% at YE2019. YTD June 2022 NOI DSCR was 2.30x, compared with 1.96x at YE2021, 2.00x at YE2020 and 2.13x at YE2019. According to the borrower, in-line sales was projected to be $513 psf for 2022, compared with $468 psf in YE2021, $346 psf at July 2020, $418 psf in 2019, $384 psf in 2018, $380 psf in 2017, $377 psf in 2015 and $357 psf at issuance.

Fitch's loss expectation of 67% reflects an implied cap rate of 22.5% to the annualized June 2022 NOI.

The second largest contributor to losses and largest increase in loss since the prior rating action is the specially serviced Stone Ridge Plaza loan (2.3%), which is secured by a 178,915-sf shopping center located in the Rochester, NY metro. The loan transferred to special servicing in 2020 for payment default shortly after Rochester Athletic Club for Women (11.8% of NRA) and Pet Saver (4.5%) vacated, reducing occupancy from 86% to 68%. A foreclosure action was initiated in April 2022 and a receiver is now in place for the property.

As of June 2022, the property was 63% occupied, with a NOI DSCR of 0.13x, compared with 68% and 1.15x, respectively, at YE 2021. The further decline in occupancy in 2022 was due to Goodwill (5.9%) vacating at YE2021. In 2018, Toys R Us (26.4%) vacated the property as a result of their bankruptcy, but the vacant space was demised and a portion was backfilled by Roc City Furniture (15.2%) in 2019, which had improved property occupancy to 86%.

Fitch's loss expectations of 69% is based on a discount to a January 2022 appraisal value, which reflects a stressed value of $46 psf and continued deterioration in property performance.

Improvement in Credit Enhancement (CE): As of the October 2022 distribution date, the pool's aggregate principal balance has been paid down by 14.7% since issuance. Interest shortfalls are currently affecting classes D through H. Nine loans (7.4%) are defeased. Two loans and a REO asset with a combined balance totaling $25.4 million were either prepaid or liquidated since the prior rating action. Seven loans (32.7%) are full-term interest-only with the remainder now amortizing.

Non-pooled Asset; Generally Stable Performance: The transaction contains a $30 million non-pooled senior B note related to 555 11th NW Street, the second largest loan in the pool. The loan received a credit opinion of 'A-sf' on a stand-alone basis at issuance and has characteristics that remain consistent with a credit opinion loan. The loan is secured by an office building in Washington, D.C. While the property occupancy declined to 90% as of June 2022 from 97% at YE2020, the servicer-reported NOI DSCR as of September 2021 was strong at 2.29x, compared with 2.44x at YE2020. YE2021 NOI was 5% above YE2020 and remains 8% above the originator's underwritten NOI at issuance.

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 555 11th Street NW.

Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes.

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 555 11th Street NW.

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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