DBRS Morningstar Confirms All Ratings on CSAIL 2018-CX12 Commercial Mortgage Trust, Changes Trends on Seven Classes

DBRS Limited (DBRS Morningstar) confirmed the following ratings on the Commercial Mortgage Pass-Through Certificates, Series 2018-CX12 issued by CSAIL 2018-CX12 Commercial Mortgage Trust:

-- Class A-2 at AAA (sf)
-- 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 B at AA (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
-- Class X-D at A (sf)
-- Class D at A (low) (sf)
-- Class E-RR at BBB (sf)
-- Class F-RR at BB (high) (sf)
-- Class G-RR at B (high) (sf)

DBRS Morningstar changed the trends on Classes X-B, C, X-D, D, E-RR, F-RR, and G-RR to Stable from Negative. All other trends are Stable.

The trend changes reflect several positive credit developments that have materialized over the last 12 months. Since DBRS Morningstar’s last review of this transaction, one specially serviced loan, Hyatt Place Santa Fe (Prospectus ID#28; 0.9% of the pool), was returned to the master servicer and two loans, comprising 2.6% of the pool at the time of the last review, were liquidated from the pool with better-than-expected loss severities. DBRS Morningstar previously analyzed the Galveston Hotel Portfolio loan (Prospectus ID#14) with an expected loss of $4.0 million and the Red Roof PLUS+ Poughkeepsie loan (Prospectus ID#36) with an expected loss of $542,000. Red Roof PLUS+ Poughkeepsie was liquidated in August 2021 with a loss in line with DBRS Morningstar’s expectations, while the Galveston Hotel Portfolio was liquidated in September 2021 with no loss. In addition to the better-than-expected loan resolutions, DBRS Morningstar also notes the reduction in watchlist exposure to 12.2% as of the November 2021 remittance from 45.8% in January 2021 with a favourable outlook for the transaction’s sole remaining specially serviced loan.

As of the November 2021 remittance, 38 of the original 41 loans remained in the pool, with an aggregate principal balance of $638.3 million, representing a collateral reduction of 5.1% since issuance as a result of loan amortization, repayment, and liquidations. Nine loans (representing 12.2% of the pool) are being monitored on the servicer’s watchlist and one loan (representing 6.3% of the pool) is in special servicing.

The SIXTY Hotel Beverly loan (Prospectus ID#6; 6.3% of the pool) transferred to special servicing in September 2020 because of payment default as a result of the coronavirus pandemic and was granted a forbearance. The loan’s forbearance agreement entails debt service deferral for six months, beginning in February 2021, with deferred amounts to be repaid over the following 12-month period, beginning in September 2021. The borrower had been performing under the terms of the agreement and the loan was pending a return to the master servicer, however, the borrower has now requested an extension of the loan’s maturity date by one year.

The most recent appraisal reported by the servicer, dated October 2020, valued the property at $55.4 million, down 35% from the appraised value of $85.0 million at issuance but still in excess of the current loan amount of $40.0 million. According to the STR report for the trailing 12 months ended March 31, 2021, the subject outperformed its competitive set in occupancy rate and revenue per available room (RevPAR), and reported a RevPAR penetration rate of 106%. In this period, the subject reported an occupancy rate of 57.7%, average daily rate of $176, and RevPAR of $102.

DBRS Morningstar maintains an investment-grade shadow rating on 20 Times Square (Prospectus ID#1; 10.0% of the pool), Aventura Mall (Prospectus ID#3; 7.8% of the pool), and the Queens Place (Prospectus ID#5; 6.6% of the pool) loans. DBRS Morningstar confirmed that the performance of these loans remains consistent with investment-grade loan characteristics.

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, and X-D 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.

DBRS Morningstar provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loan in the transaction:

-- Prospectus ID#6 – SIXTY Hotel Beverly (6.3% of the pool)

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.

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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