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KBRA Assigns Preliminary Ratings to CSAIL 2019-C18

NEW YORK--(BUSINESS WIRE)--

Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of CSAIL 2019-C18 (see ratings list below), a $689.0 million CMBS conduit transaction collateralized by 50 commercial mortgage loans secured by 80 properties.

The collateral properties are located throughout 38 MSAs, the largest three of which are Las Vegas (13.8%), New York (6.2%), and Houston (6.1%). The pool has exposure to all the major property types, with four representing more than 10.0% of the pool balance: multifamily (31.9%), retail (29.7%), office (12.2%), and industrial (11.5%). The loans have principal balances ranging from $2.1 million to $51.9 million for the largest loan in the pool, The Met Apartments (7.5%), which is secured by a 480-unit, Class-B garden-style multifamily complex located in Las Vegas, Nevada. The five largest loans represent 29.5% of the initial pool balance, while the top 10 loans represent 44.7%.

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, 37.9% less than third party appraisal values. The pool has an in-trust KLTV of 102.0% and an all-in KLTV of 106.6%. 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.

Preliminary Ratings Assigned: CSAIL 2019-C18

Class

Initial Class Balance

Expected KBRA Rating

A-1

$25,306,000

AAA (sf)

A-2

$65,479,000

AAA (sf)

A-3

$75,000,000 - $170,000,0001

AAA (sf)

A-4

$185,034,000 - $280,034,0001

AAA (sf)

A-SB

$36,487,000

AAA (sf)

A-S

$52,537,000

AAA (sf)

B

$32,728,000

AA+ (sf)

C

$31,866,000

A+ (sf)

D

$20,671,000

A- (sf)

E

$17,225,000

BBB (sf)

F

$17,225,000

BB (sf)

G

$6,890,000

B+ (sf)

NR-RR

$27,561,002

NR

X-A2

$534,843,000

AAA (sf)

X-B2

$64,594,000

AAA (sf)

X-D2

$37,896,000

BBB (sf)

X-F2

$17,225,000

BB (sf)

X-G2

$6,890,000

B+ (sf)

 

1The exact initial certificate balances will not be determined until final pricing; however they are expected to fall within the above ranges. 2Notional balance.

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.

To access ratings, reports and disclosures, click here.

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

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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.

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