KBRA Assigns Preliminary Ratings to CSAIL 2019-C17

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of CSAIL 2019-C17 (see ratings list below), a $800.4 million CMBS conduit transaction collateralized by 37 commercial mortgage loans secured by 81 properties.

The collateral properties are located in 24 states, with the top three states represented by Georgia (11.4%), North Carolina (10.9%), and Texas (10.2%). The pool has exposure to all the major property types, with the top three being office (28.8%), retail (24.0%), and multifamily (22.8%). The loans have principal balances ranging from $6.1 million to $75.0 million for the largest loan in the pool, Selig Office Portfolio (9.4%), which is secured by three office properties totaling 402,705 sf located in downtown Seattle. The five largest loans, which also include Farmers Insurance (7.5%), Renaissance Plano (5.6%), Arbor Multifamily Portfolio (5.2%) and APX Morristown (5.0%), represent 32.7% of the initial pool balance, while the top 10 loans represent 50.7%.

KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts’ evaluation of the underlying collateral properties’ financial and operating performance, which determine KBRA’s estimate of sustainable net cash flow (KNCF) and KBRA value using our U.S. CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 6.1% less than the issuer cash flow. KBRA capitalization rates were applied to each asset’s KNCF to derive values that were, on an aggregate basis, 38.8% less than third party appraisal values. The pool has an in-trust KLTV of 105.9% and an all-in KLTV of 111.3%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan that are then used to assign our credit ratings.

For complete details on the analysis, please see our pre-sale report published at www.kbra.com. The preliminary ratings are based on information known to KBRA at the time of this publication. Information received subsequent to this release could result in the assignment of ratings that differ from the preliminary ratings.

¹The exact initial certificate balances will not be determined until final pricing; however, they are expected to fall within the above ranges. ²Represents an “eligible horizontal residual interest” in satisfaction of US risk retention rules. ³Notional balance.

To access ratings, reports and disclosures, click here.

Related Publications: (available at www.kbra.com)

• CSAIL 2019-C17 Pre-Sale Report
• CSAIL 2019-C17 KBRA Conduit KCAT
• U.S. CMBS Multi-Borrower Rating Methodology
• U.S. CMBS Property Evaluation Methodology
• Methodology for Rating Interest-Only Certificates in CMBS Transactions
• Global Structured Finance Counterparty Methodology

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About KBRA and KBRA Europe

KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.

Contacts

Analytical:

Caitlin Parrella, CFA, Associate

(646) 731-3310

cparrella@kbra.com

Yee Cent Wong, Senior Managing Director

(646) 731-2374

ywong@kbra.com

Fred Perreten, Senior Director

(646) 731-2454

fperreten@kbra.com

Dayna Carley, Senior Director

(646) 731-2391

dcarley@kbra.com