Fitch Ratings has upgraded three and affirmed one class of Morgan Stanley Capital I Trust MSCI 2015-XLF2, commercial mortgage pass-through certificates, series 2015-XLF2.

In addition, classes SNMA and SNMB were assigned Positive Outlooks, following the upgrade.

RATING ACTIONS

Entity / Debt

Rating

Prior

MSCI 2015-XLF2

SNMA 61765VAA6

LT

BBsf

Upgrade

CCCsf

SNMB 61765VAC2

LT

Bsf

Upgrade

Csf

SNMC 61765VAE8

LT

CCCsf

Upgrade

Csf

SNMD 61765VAG3

LT

Csf

Affirmed

Csf

Page

of 1

VIEW ADDITIONAL RATING DETAILS

Transaction Summary

The Starwood National Mall Portfolio loan was originally secured by three regional malls totaling 3.3 million sf, of which 1.6 million sf was collateral. These malls included Shops at Willow Bend in Plano, TX, Fairlane Town Center in Dearborn, MI and Stony Point Park in Richmond, VA. The malls were purchased by Starwood from Taubman in 2014.

KEY RATING DRIVERS

The upgrades reflect increased credit enhancement from significantly better than expected recoveries on the Stony Point Park asset, which sold in April 2022. The asset was sold for $14.625 million, which was well-above Fitch's stressed value of $5.775 million at the last rating action and exceeding the most recent appraisal valuation of $8.25 million. In addition to sales proceeds from the asset, the servicer indicated an additional $4.5 million in past due receivables were also received. Combined, this resulted in over $19 million of principal paydown to class SNMA in April 2022.

Fitch performed a recovery and loss analysis on the two remaining malls, Shops at Willow Bend and Fairlane Town Center, both of which are in special servicing. The servicer indicated the sales of these two malls have recently closed, with net proceeds and realized loss calculations in the process of being finalized.

The Positive Outlooks reflect significantly better recovery prospects for these two malls since the last rating action given improved market liquidity of these regional mall assets. Based on their recent appraisal valuations, sales proceeds are expected to pay off classes SNMA and SNMB. However, given the uncertainty surrounding net sales proceeds and any liquidation expenses/fees from the sale of the remaining assets that could be passed through to the trust, the upgrade of class SNMC was limited to 'CCCsf'.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative rating action/downgrade:

Class SNMD would be downgraded to 'Dsf' when losses are realized. Downgrades of classes SNMA and SNMB are unlikely given expected proceeds from the sale of the remaining two malls would pay off these classes in full. A downgrade of class SNMC is not expected unless sales proceeds are less than expected and/or liquidation expenses/fees from the sale of the remaining assets are greater than expected.

Factors that could, individually or collectively, lead to positive rating action/upgrade:

Further positive rating actions are not expected as all three of the remaining malls have been sold.

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