NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks to CSAIL 2015-C4 Commercial Mortgage Trust commercial mortgage pass-through certificates:
--$39,813,000 class A-1 'AAAsf'; Outlook Stable;
--$25,460,000 class A-2 'AAAsf'; Outlook Stable;
--$180,000,000 class A-3 'AAAsf'; Outlook Stable;
--$341,013,000 class A-4 'AAAsf'; Outlook Stable;
--$71,461,000 class A-SB 'AAAsf'; Outlook Stable;
--$56,379,000 class A-S 'AAAsf'; Outlook Stable;
--$714,126,000b class X-A 'AAAsf'; Outlook Stable;
--$61,076,000 class B 'AA-sf'; Outlook Stable;
--$61,076,000b class X-B 'AA-sf'; Outlook Stable;
--$39,935,000 class C 'A-sf'; Outlook Stable;
--$27,015,000 class D 'BBBsf'; Outlook Stable;
--$49,331,000ab class X-D 'BBB-sf'; Outlook Stable;
--$22,316,000 class E 'BBB-sf'; Outlook Stable;
--$22,317,000a class F 'BB-sf'; Outlook Stable;
--$22,317,000ab class X-F 'BB-sf'; Outlook Stable;
--$9,396,000a class G 'B-sf'; Outlook Stable;
--$9,396,000ab class X-G 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
The ratings are based on information provided by the issuer as of Nov. 24, 2015. Fitch does not rate the $43,458,786 class NR and class X-NR certificates.
Expected ratings for class X-E have been withdrawn, as it is no longer part of the transaction. The class A-3 balance has been reduced to $180,000,000 from $208,000,000. The class A-4 balance has been increased to $341,013,000 from $313,013,000. The class X-D balance has increased to $49,331,000 from $27,015,000 and the rating is now 'BBB-sf'.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 87 loans secured by 101 commercial properties having an aggregate principal balance of approximately $939.6 million as of the cutoff date. The loans were contributed to the trust by Column Financial, Inc., Benefit Street Partners CRE Finance LLC, The Bancorp Bank, MC-Five Mile Commercial Mortgage Finance, LLC, and Walker & Dunlop Commercial Property Funding I CS, LLC.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 70.9% of the properties by balance, cash flow analysis of 70.6%, and asset summary reviews on 73.1% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The pool has a Fitch debt service coverage ratio (DSCR) of 1.17x and a Fitch loan to value (LTV) of 108.3%, which are slightly below the year-to-date (YTD) 2015 average DSCR and LTV of 1.19x and 109.4%, respectively.
Pool Concentration: The largest 10 loans account for 38% of the total pool. This is lower than the YTD 2015 average of 48.1% and the 2014 average of 50.5%. The pool's below-average concentration resulted in a loan concentration index (LCI) of 293, which is lower than the YTD 2015 and 2014 averages of 349 and 331, respectively.
Property Type Concentration: The pool's largest property type is retail at 32.4%, followed by hotel at 21.8% and multifamily at 19.9%. Hotel concentration is above the YTD 2015 average of 16.5% for other Fitch-rated fixed-rate multiborrower transactions.
Additional Debt: There is only one loan representing 4.8% of the pool with subordinate debt. This is below the 2014 and YTD 2015 averages of 10.4% and 9.5%, respectively, for similar Fitch-rated fixed-rate multiborrower transactions.
Amortization: Five loans representing 16.2% of the pool are interest only, which is lower than the YTD 2015 average of 20% for other Fitch-rated fixed-rate multiborrower transactions. There are 42 loans representing 51.4% of the pool that are partial interest only. Based on the scheduled balance at maturity, the pool is expected to pay down by 12.5%.
Asset Volatility: The pool's weighted average asset volatility score is 3.65, higher than the YTD average of 3.21. The increased asset volatility is due in part to a number of loans without historical operating information.
Low Mortgage Coupons: The pool's weighted average mortgage coupon is 4.61%, well below historical averages. Fitch accounted for increased refinance risk in a higher interest rate environment by analyzing sensitivity to increased interest rates.
For this transaction, Fitch's net cash flow (NCF) was 21.5% below the most recent net operating income (NOI; for properties for which a recent NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans, and could result in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to CSAIL 2015-C4 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the senior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the senior 'AAAsf' certificates to 'BBB-sf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on pages 10-11.
DUE DILIGENCE USAGE
Fitch was provided with due diligence information from KPMG LLP. The due diligence focused on a comparison and re-computation of certain characteristics with respect to each of the 87 mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on our analysis.
Additional information is available at www.fitchratings.com.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 28 May 2015)
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
Rating Criteria for Structured Finance Servicers (pub. 23 Apr 2015)
Rating Criteria for U.S. Commercial Mortgage Servicers (pub. 14 Feb 2014)
U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria (pub. 13 Nov 2015)
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1