DBRS Morningstar Confirms All Ratings on CSAIL 2015-C4 Commercial Mortgage Trust

DBRS Limited (DBRS Morningstar) confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C4 issued by CSAIL 2015-C4 Commercial Mortgage Trust as follows:

-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class X-D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class X-F at BB (sf)
-- Class F at BB (low) (sf)
-- Class X-G at B (sf)
-- Class G at B (low) (sf)

All trends are Stable.

The rating confirmations and Stable trends reflect the overall stable performance of the transaction. Per the September 2021 remittance, 85 of the original 87 loans remain in the transaction, with a trust balance of $857.9 million, representing a collateral reduction of 8.7% since issuance as a result of loan repayments, scheduled amortization, and the liquidation of one loan. In addition, 13 loans, representing 8.8% of the current pool balance, are defeased.

The pool is relatively diverse, as no loan represents more than 5.0% of the current pool balance, with the exception of the largest loan, Fairmont Orchid (Prospectus ID#1, 13.1% of the current pool balance). The pool has a high concentration of retail and hospitality properties, representing 32.3% and 22.4% of the current pool balance, respectively, which is noteworthy as these property types have been most acutely affected by the Coronavirus Disease (COVID-19) pandemic. Based on YE2020 reporting, retail and hospitality loans (excluding defeasance and the Fairmont Orchid loan) reported a weighted-average (WA) debt service coverage ratio (DSCR) of 1.61 times (x) and 0.81x, respectively.

According to the September 2021 remittance, there are two loans in special servicing: 120 NE 39th Street Miami (Prospectus ID#14, 2.0% of the current pool balance) and Dorsey Business Center III (Prospectus ID#48, 0.7% of the current pool balance). Another loan, Richmond Highlands Center (Prospectus ID#56, 0.6% of the current pool balance) is listed as 30+ days delinquent. The 120 NE 39th Street Miami loan, secured by a freestanding two-storey 4,079-square-foot (sf) retail building in the Design District of Miami, transferred to special servicing in April 2020 after the sole tenant, retailer Stefano Ricci, closed as a result of the coronavirus pandemic and subsequently stopped making rent payments. The sponsor, Thor Equities, filed an eviction notice, which the tenant contested. The tenant subsequently pledged to pay all back due rent once the courts rule on an amount. While foreclosure was being pursued, the borrower resumed making debt service payments in April 2021 and a loan modification was agreed upon in August 2021. The loan is still listed as delinquent; however, the modification agreement states that the borrower will cure all delinquent payments, and cover any accrued interest and any fees associated with the workout. DBRS Morningstar increased the probability of default for this loan given its current status.

According to the September 2021 remittance, there are 18 loans, representing 24.6% of the current pool balance, on the servicer’s watchlist. Four of these loans (4.0% of the current pool balance) were added to the servicer’s watchlist because of deferred maintenance, while the remaining 14 loans (20.6% of the current pool balance) are being monitored for performance-related issues, including low DSCRs, increased vacancy, near-term tenant rollover, and/or pandemic-related hardships. Excluding the Fairmont Orchid loan, these 13 loans had a WA DSCR of 1.44x based on the most recent reportingly (primarily Q1 and Q2 2021 annualized figures), an improvement from 0.86x at YE2020.

The largest loan on the servicer’s watchlist, Fairmont Orchid, is secured by a full-service beach resort hotel totalling 540 keys on Big Island in Hawaii. Hotel operations ceased in March 2020 in response to the coronavirus pandemic, but the borrower has been keeping loan payments current despite reporting negative cash flow in 2020. While coverage has moderately improved to 0.82x as of Q2 2021, the property’s trailing three-month revenue per available room penetration rate ended in July 2021 was only 72.2%, compared with the YE2019 (pre-pandemic) figure of 96.4%, indicating that performance has not fully recovered; however, the travel season is generally busiest from December through April, which will help to increase occupancy levels and performance over the next couple of months with travel restrictions becoming more relaxed. DBRS Morningstar believes the sponsor is deeply committed to the collateral given the $122.5 million of equity injected at issuance.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

Classes X-A, X-B, X-D, X-F, and X-G are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall.

All ratings are subject to surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by DBRS Morningstar.

The DBRS Viewpoint platform provides additional information on this transaction and underlying loans including DBRS Morningstar metrics, commentary, servicer-reported cash flows, and other performance-related data.

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.com. The platform includes issuer and servicer data for most outstanding CMBS transactions (including non-DBRS Morningstar rated), as well as loan-level and transaction-level commentary for most DBRS Morningstar-rated and -monitored transactions.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is North American CMBS Surveillance Methodology (March 26, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria. For a list of the structured-finance-related methodologies that may be used during the rating process, please see the DBRS Morningstar Global Structured Finance Related Methodologies document, which can be found on dbrsmorningstar.com in the Commentary tab under Regulatory Affairs. Please note that not every related methodology listed under a principal structured finance asset class methodology may be used to rate or monitor an individual structured finance or debt obligation.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at [email protected].

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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