Morningstar DBRS Downgrades Credit Ratings on Four Classes of CSAIL 2015-C2 Commercial Mortgage Trust, Changes Trends on Two Classes to Stable From Negative

DBRS Limited (Morningstar DBRS) downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C2 issued by CSAIL 2015-C2 Commercial Mortgage Trust as follows:

-- Class C to BB (high) (sf) from BBB (low) (sf)
-- Class D to CCC (sf) from B (high) (sf)
-- Class E to C (sf) from CCC (sf)
-- Class X-E to C (sf) from CCC (sf)

In addition, Morningstar DBRS confirmed the following credit ratings:

-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at A (sf)
-- Class B at A (low) (sf)
-- Class F at C (sf)

Morningstar DBRS changed the trends on Classes B and X-B to Stable from Negative; Class C continues to carry a Negative trend. All remaining classes carry Stable trends, except for Classes D, E, F, and X-E, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings.

The credit rating downgrades reflect Morningstar DBRS' increased liquidated loss projections since the previous credit rating action in May 2024. Since that time, 80 loans in the pool have repaid. As of the May 2025 remittance, only 24 loans remain in the pool with an aggregate principal amount of $401.7 million, representing a collateral reduction of 70.9% since issuance. In the analysis for this review, Morningstar DBRS liquidated all 10 specially serviced loans (41.4% of the current pool balance) based on conservative haircuts to the most recent appraised values. Morningstar DBRS' estimated liquidated losses are likely to erode through the bottom of the capital stack, ultimately chewing through more than 60% of the Class E certificate, a primary consideration in the credit rating downgrades for Classes D and E. While Morningstar DBRS expects most of the maturing loans are likely to successfully refinance and repay from the pool, six loans, representing approximately 22% of the current pool balance, were identified as being at increased risk of maturity default based on concentrated upcoming rollover or recent declines in performance. While Class C would be insulated from losses based on the current liquidated loss projections, the credit rating downgrade and Negative trend reflect Morningstar DBRS' view that there could be further value declines for loans in special servicing through the remainder of the workout periods. In addition, as the pool continues to wind down, there is an increased propensity for interest shortfalls on that class.

Interest shortfalls have increased to $4.4 million as of the May 2025 reporting, with interest being shorted up to the Class C certificate, compared with the total interest shortfall amount of $3.1 million, contained to the Class NR certificate, at the previous credit rating action in May 2024. Morningstar DBRS' wind-down scenario also indicated that the senior investment-grade-rated classes are well insulated from liquidated losses, with nearly $125.5 million in remaining credit support beneath the Class B certificate based on current loss projections, thereby supporting the change to Stable trends on both the Class B and Class X-B certificates. Morningstar DBRS concluded that the transaction's most senior classes in Class A-4, A-S, and B, are likely to be fully repaid from scheduled loan repayments and liquidation proceeds, the primary consideration in the credit rating confirmations for those classes.

The largest contributor for the uptick in projected liquidated losses from the previous credit rating action is the liquidation scenario considered for the largest loan in the pool, Westfield Wheaton (Prospectus ID#1, 23.7% of the current pool balance), which transferred to special servicing in March 2025 for maturity default. The pari passu loan also has loan pieces in two other Morningstar DBRS-rated CMBS transactions: CSAIL 2015-C1 and CSAIL 2015-C3. The loan is secured by a super-regional mall in Wheaton, Maryland, owned and operated by the loan sponsor, Unibal-Rodamco-Westfield (URW). In recent years, URW has been selling off assets within its United States-based portfolio, and the servicer reports there are active negotiations ongoing with a prospective buyer for the subject property. As of the YE2024 financials, the property was 99.0% occupied, a notable increase from the YE2023 figure of 93.0%. The debt service coverage ratio (DSCR) figures during the same periods were 2.22 times (x) and 2.02x, respectively, below the issuance DSCR of 2.43x. The subject benefits from a nontraditional anchor mix that includes Target, Costco Wholesale, Macy's (10.6% of the net rentable area (NRA); lease expiry in January 2026), and JCPenney (13.3% of the NRA; lease expiry in May 2028). In addition to Macy's, there is another 10.2% of the NRA with leases scheduled to expire in the next 12 months. While the property has maintained stable performance to date, the lack of clarity on the sponsor's takeout plan, as well as the concentration of rollover and exposure to Macy's and JCPenney, both of which have been reported to be closing stores as part of respective plans to cut costs, suggests significantly increased risks for the loan. As a result, Morningstar DBRS analyzed a conservative scenario and liquidated the loan with a 50% haircut to the $402.0 million issuance value, resulting in a loss severity approaching 20.0%.

Another large contributor to Morningstar DBRS' projected losses is a second URW-sponsored loan backed by a regional mall: Westfield Trumbull (Prospectus ID#5, 8.5% of the current pool balance), which is secured by a regional mall in Trumbull, Connecticut. This pari passu loan has notes securitized in the same three transactions as the Westfield Wheaton loan. The loan transferred to special servicing in March 2025 for imminent monetary default and is currently cash managed. The borrower has requested a loan modification and discussions are currently underway. The most recent servicer provided financials reported annualized net cash flow of $10.8 million at Q3 2024, reflecting a DSCR of 1.83x, down from 2.73x at issuance. The property was 80.4% occupied as per the December 2024 rent roll, with leases totaling 13.7% of the NRA scheduled to expire in the next 12 months. The collateral includes the Macy's anchor pad (18.8% of the NRA), which recently renewed its lease, extending the expiration date beyond the loan maturity in April 2029, and all in-line space. Additional noncollateral anchors in JCPenney and Target are open, and one noncollateral pad that was previously occupied by Lord & Taylor has been vacant since 2021. The subject property was last appraised at issuance in November 2014 for $262.0 million; however, given the cash flow decline since issuance, it is likely that value has fallen significantly. As such, Morningstar DBRS considered a 65% haircut to the November 2014 appraisal, resulting in a $13.5 million loss and a loss severity of 40%.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt credit rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS   
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.
 
A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings at (August 13, 2024): https://dbrs.morningstar.com/research/437781

Classes X-A, X-B, and X-E 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 credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS.

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

The principal methodology is North American CMBS Surveillance Methodology (February 28, 2025): https://dbrs.morningstar.com/research/448963

Other methodologies referenced in this transaction are listed at the end of this press release.

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 info-DBRS@morningstar.com.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process. Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The Morningstar DBRS Long-Term Obligation Rating Scale definition indicates that credit ratings of CCC or lower are assigned when the bond is highly likely to default or default is imminent, thereby prevailing over a sensitivity analysis.

The conditions that lead to the assignment of a Negative or Positive trend are generally resolved within a 12-month period. Morningstar DBRS' outlooks and credit ratings are monitored.

DBRS Limited
DBRS Tower, 181 MORN Intrinsicity Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- North American CMBS Multi-Borrower Rating Methodology (April 9, 2025)/North American CMBS Insight Model v 1.3.0.0: https://dbrs.morningstar.com/research/451739

-- Morningstar DBRS North American Commercial Real Estate Property Analysis Criteria (September 19, 2024): https://dbrs.morningstar.com/research/439702

-- Legal Criteria for U.S. Structured Finance (December 3, 2024): https://dbrs.morningstar.com/research/444064

-- North American Commercial Mortgage Servicer Rankings (August 23, 2024): https://dbrs.morningstar.com/research/438283

A description of how Morningstar DBRS analyzes structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/417279 (July 17, 2023).

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.