KBRA Assigns Preliminary Ratings to CSAIL 2017-CX9

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of CSAIL 2017-CX9 (see ratings list below), a $858.9 million CMBS conduit transaction collateralized by 31 commercial mortgage loans secured by 70 properties.

The collateral properties are located in 29 states and the District of Columbia, the largest of which are: California (15.5%), New York (14.6%), and the District of Columbia (10.2%). The pool includes assets representing most of the major property types, with three representing more than 10.0% of the pool balance: office (53.0%), lodging (25.7%), and retail (12.2%). The loans have principal balances ranging from $1.9 million to $80.0 million for the largest loan in the pool, Park Center Phase I (9.3%), which is secured by a 590,926 sf Class-A office building located in Dunwoody, Georgia, approximately 15 miles north of Atlanta. The five largest loans, which also include Westin Building Exchange (7.9%), Two Independence Square (6.4%), 245 Park Avenue (6.3%), and The Boulders Resort & Spa (5.8%), comprise 35.7% of the initial pool balance, while the top 10 loans represent 60.5%.

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 CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 7.1% 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, 40.9% less than third party appraisal values. The pool has an in-trust KLTV of 80.2% and an all-in KLTV of 102.9%. 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, CSAIL 2017-CX9 published today at www.kbra.com. The report includes our KBRA Comparative Analytic Tool (KCAT), an easy to use, Excel-based workbook that provides the following information:

  • KBRA Deal Tape – Contains KBRA loan level details for every loan in the pool, and the ability for users to input adjustments to KNCF and KBRA Cap Rates and see the related impact on key deal metrics.
  • KBRA Credit Metrics Comparison Tool – Enables the user to compare the subject transaction to a user-defined transaction comp set. The feature provides many of the fields that are included in our CMBS Monthly Trend Watch publication.
  • Excel-based property cash flow statements for the top 20 loans.
 

Preliminary Ratings Assigned: CSAIL 2017-CX9

             
Class     Class Balance (US$)     Expected KBRA Rating
A-1     $21,973,000     AAA (sf)
A-2     $233,274,000     AAA (sf)
A-3     $97,756,000     AAA (sf)
A-4     $93,339,000     AAA (sf)
A-5     $140,010,000     AAA (sf)
A-SB     $14,861,000     AAA (sf)
A-S     $101,992,000     AAA (sf)
X-A     $703,205,0001     AAA (sf)
B     $42,943,000     AA- (sf)
C     $30,061,000     A- (sf)
X-B     $73,004,0001     AAA (sf)
D     $31,134,000     BBB- (sf)
E     $18,252,000     BB- (sf)
X-E     $18,252,000     BB- (sf)
F2     $8,588,000     B (sf)
NR2     $24,693,503     NR

1 Notional balance

2 To satisfy the US risk retention rules, NREC, as the retaining sponsor, is expected to retain an eligible vertical interest representing approximately 4.27% of all ABS interests in the trust. To satisfy the remaining risk retention obligations, a third party purchaser will purchase and retain an “eligible horizontal residual interest” consisting of a portion of the Class F and NR certificates, representing approximately 0.75% of the fair value of all non-residual interests issued by the issuer on the closing date.

 

Representations & Warranties Disclosure

All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report available CMBS: CSAIL 2017-CX9 Representations & Warranties Disclosure Report.

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

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About Kroll Bond Rating Agency

KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).

Contacts

Analytical Contacts:
Kroll Bond Rating Agency
Alec Abrams, 646-731-2401
Senior Analyst
aabrams@kbra.com
or
Yee Cent Wong, 646-731-2374
Managing Director
ywong@kbra.com
or
James Wang, 646-731-2450
Senior Director
jwang@kbra.com
or
Robin Regan, 646-731-2358
Managing Director
rregan@kbra.com

Contacts

Analytical Contacts:
Kroll Bond Rating Agency
Alec Abrams, 646-731-2401
Senior Analyst
aabrams@kbra.com
or
Yee Cent Wong, 646-731-2374
Managing Director
ywong@kbra.com
or
James Wang, 646-731-2450
Senior Director
jwang@kbra.com
or
Robin Regan, 646-731-2358
Managing Director
rregan@kbra.com