Fitch to Rate CSAIL 2016-C6 Commercial Mortgage Trust P-T Certificates; Presale Issued
Fitch expects to rate the transaction and assign Rating Outlooks as follows:
--\\$17,021,000 class A-1 'AAAsf'; Outlook Stable;
--\\$67,689,000 class A-2 'AAAsf'; Outlook Stable;
--\\$92,701,000 class A-3 'AAAsf'; Outlook Stable;
--\\$128,500,000 class A-4 'AAAsf'; Outlook Stable;
--\\$198,130,000 class A-5 'AAAsf'; Outlook Stable;
--\\$33,186,000 class A-SB 'AAAsf'; Outlook Stable;
--\\$594,787,000a class X-A 'AAAsf'; Outlook Stable;
--\\$34,536,000a class X-B 'AA-sf'; Outlook Stable;
--\\$57,560,000 class A-S 'AAAsf'; Outlook Stable;
--\\$34,536,000 class B 'AA-sf'; Outlook Stable;
--\\$33,577,000 class C 'A-sf'; Outlook Stable;
--\\$42,210,000ab class X-D 'BBB-sf'; Outlook Stable;
--\\$20,146,000ab class X-E 'BB-sf'; Outlook Stable;
--\\$8,634,000ab class X-F 'B-sf'; Outlook Stable;
--\\$42,210,000b class D 'BBB-sf'; Outlook Stable;
--\\$20,146,000b class E 'BB-sf'; Outlook Stable;
--\\$8,634,000b class F 'B-sf'; Outlook Stable.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
The expected ratings are based on information provided by the issuer as of May 10, 2016. Fitch does not expect to rate the \\$33,577,461 class X-NR or the \\$33,577,461 class NR.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 50 loans secured by 363 commercial properties having an aggregate principal balance of approximately \\$767.5 million as of the cut-off date. The loans were contributed to the trust by Column Financial, Inc., Benefit Street Partners CRE Finance LLC, The Bank of New York Mellon, MC-Five Mile Commercial Mortgage Finance LLC and The Bancorp Bank.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 75% of the properties by balance, cash flow analysis of 90.2%, and asset summary reviews on 100% of the pool.
KEY RATING DRIVERS
Credit Opinion Loans: Two loans, GLP Industrial Portfolio B (11.5% of the pool by balance) and GLP Industrial Portfolio A (5.6% of the pool), have investment-grade credit opinions of 'A+' and 'A', respectively, on a stand-alone basis. Excluding these loans, Fitch's implied conduit subordination at the junior 'AAAsf' tranche is approximately 27% and at 'BBB-sf', approximately 9.8%.
Above-Average Pool Concentration: The top 10 loans comprise 61.6% of the pool, which is greater than the recent averages of 54.8% for year-to-date (YTD) 2016 and 49.3% for 2015. Additionally, the loan concentration index (LCI) and sponsor concentration index (SCI) are 527 and 659, respectively, greater than the respective YTD 2016 averages of 415 and 461.
High Fitch Conduit Leverage: Although this transaction has a Fitch debt service coverage ratio (DSCR) and loan to value (LTV) of 1.19x and 101.1%, respectively, excluding the credit-assessed GLP Industrial Portfolio B (11.5% of the pool) and GLP Industrial Portfolio Pool A (5.6% of the pool) loans, the Fitch DSCR and LTV are 1.11x and 110%, respectively. Both figures are worse than the YTD 2016 averages for Fitch DSCR and LTV of 1.17x and 107.9%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 8.4% below the most recent year's net operating income (NOI; for properties for which a full-year 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 2016-C6 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 junior 'AAAsf' certificates to 'BBB+sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on page 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 50 mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on the 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 on the bottom of the related rating action commentary.
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