NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks to Credit Suisse USA CSAIL 2015-C3 Commercial Mortgage Trust Pass-Through Certificates.
--$60,509,000 class A-1 'AAAsf'; Outlook Stable;
--$148,324,000 class A-2 'AAAsf'; Outlook Stable;
--$200,000,000 class A-3 'AAAsf'; Outlook Stable;
--$502,390,000 class A-4 'AAAsf'; Outlook Stable;
--$82,627,000 class A-SB 'AAAsf'; Outlook Stable;
--$86,962,000 class A-S 'AAAsf'; Outlook Stable;
--$1,080,812,000b class X-A 'AAAsf'; Outlook Stable;
--$86,961,000 class B 'AA-sf'; Outlook Stable;
--$86,961,000b class X-B 'AA-sf'; Outlook Stable;
--$63,891,000 class C 'A-sf'; Outlook Stable;
--$72,764,000 class D 'BBB-sf'; Outlook Stable;
--$72,764,000ab class X-D 'BBB-sf'; Outlook Stable;
--$35,495,000a class E 'BB-sf'; Outlook Stable;
--$35,495,000ab class X-E 'BB-sf'; Outlook Stable;
--$14,197,000a class F 'B-sf'; Outlook Stable;
--$14,197,000ab class X-F 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
Since Fitch published its expected ratings on July 29, 2015, the $72,764,000 class X-D certificates were added by the issuer, and reference the 'BBB-sf' class D certificates.
Fitch does not rate the $65,666,014 class NR and class X-NR certificates.
The classes above reflect the final ratings and deal structure. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 89 loans secured by 168 commercial properties having an aggregate principal balance of approximately $1.42 billion as of the cut-off date. The loans were contributed to the trust by Column Financial, Inc., UBS Real Estate Securities Inc., The Bank of New York Mellon, Benefit Street Partners CRE Finance LLC, and The Bancorp Bank.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections of 67.4% of the properties by balance, cash flow analysis of 72.3%, and asset summary reviews on 72.3% of the pool.
KEY RATING DRIVERS
Fitch Leverage Lower than Recent Deals: The pool's Fitch debt service coverage ratio (DSCR) and loan-to-value (LTV) are 1.22x and 107.4%, respectively. This represents lower leverage when compared against Fitch-rated fixed-rate multiborrower transactions for YTD 2015, which average 1.21x and 109.3%, respectively.
Investment-Grade Credit Opinion Loan: The largest loan in the pool, Charles River Plaza North (9.2%), received a credit opinion of 'BBB-sf' on a stand-alone basis. The loan is secured by a 354,594 square foot medical office building 100% leased to Massachusetts General Hospital. The lease is guaranteed by Massachusetts General Hospital's parent, Partners Healthcare, which is currently rated 'AA' by Fitch.
High Hotel Exposure: Approximately 23.7% of the pool balance, including three of the top 10 loans (14.4%), consists of hotel properties, which is higher than the YTD 2015 average of 15.7% and the 2014 average of 14.2%; hotels have the highest probability of default in Fitch's multiborrower CMBS model.
Limited Amortization: Five of the largest 10 loans, representing 22.2% of the pool, are full-term interest-only loans. In total there are 11 full-term interest-only loans representing 25.1% of the pool. Additionally, there are 42 loans representing 42.3% of the pool that are partial-interest-only. Based on the scheduled balance at maturity, the pool will pay down 11.3%, which is lower than the YTD 2015 and 2014 averages of 12.4% and 12%, respectively.
Pari Passu Debt and Additional Debt: Ten loans, representing 43.9% of the pool are pari passu: Charles River Plaza North, Starwood Capital Extended Stay Portfolio, The Mall of New Hampshire, Westfield Wheaton, Arizona Grand Resort & Spa, Soho-Tribeca Grand Hotel Portfolio, Westfield Trumbull, WPC Department Store Portfolio, Sterling & Milagro Apartments, and Cape May Hotels. Four loans in the pool (21.3%), Charles River Plaza North, Starwood Capital Extended Stay Portfolio, Arizona Grand Resort & Spa, and Sterling & Milagro Apartments have mezzanine debt held outside the trust.
Pool Concentration: The largest 10 loans in the transaction account for 46.3% of the pool by balance. This is slightly lower than the YTD 2015 average of 47.1% and lower than the 2014 average of 50.5%. The pool's below-average concentration resulted in a loan concentration index (LCI) of 331, which is lower than the YTD 2015 and 2014 averages of 333 and 387, respectively.
Collateral Quality: Four properties (13.6%), three of which serve as collateral for top 10 loans (Charles River Plaza North, Soho Grand Hotel, and Tribeca Grand Hotel), were all assigned property quality grades of 'A-'. The fourth property to receive a property quality grade of 'A-' was Congress Hall. The majority of the pool (50.7%) was assigned a property quality grade in the 'B' range.
Mortgage Coupons: The pool's weighted average coupon is 4.39%, well below historical averages. Fitch accounted for increased refinance risk in a higher interest rate environment by reviewing an interest rate sensitivity that assumes an interest rate floor of 5% for the term risk for most property types, 4.5% for multifamily properties and 6% for hotel properties, in conjunction with Fitch's stressed refinance rates, which were 8.9% on a weighted-average basis.
For this transaction, Fitch's net cash flow (NCF) was 14.3% 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-C3 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 third-party due diligence information from KPMG LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to each of the 89 mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on our analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link contained at the bottom of the related rating action commentary.
Additional information is available at www.fitchratings.com.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions (pub. 20 Mar 2015)
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. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria (pub. 10 Dec 2014)
CSAIL 2015-C3 -- Appendix
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1