Morningstar DBRS Confirms Credit Ratings on All Classes of CSAIL 2015-C1 Commercial Mortgage Trust

Why It Matters

The rating confirmations and heightened loss estimates signal growing credit risk in this CMBS pool, especially for subordinate tranches, which could affect investors’ exposure and broader confidence in retail‑linked commercial mortgage securities.

Summary

Morningstar DBRS confirmed the credit ratings for all classes of the CSAIL 2015‑C1 Commercial Mortgage Trust, assigning AA (low) to Class B and X‑B, A (low) to Class C, CCC to Classes D and X‑D, and C to Classes E, F, X‑E and X‑F. The agency’s updated recoverability analysis, which includes liquidation scenarios for six loans representing 44.9% of the pool, indicates that losses could fully erode Class E and about 25% of Class D, while interest shortfalls have risen to $2.6 million, mainly from the Westfield Trumbull and Bayshore Mall loans. Total trust losses have climbed to $37.8 million, up from $32.4 million a year earlier, driven by deteriorating retail property values and high haircuts applied to appraisals. The Negative trend on Class C remains due to potential further value declines and limited tolerance for unpaid interest at the A (low) rating level.