KBRA Assigns Preliminary Ratings to CSAIL 2017-CX10

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of CSAIL 2017-CX10 (see ratings list below), a $855.3 million CMBS conduit transaction collateralized by 31 commercial mortgage loans secured by 76 properties.

The collateral properties are located in 22 states, with two state exposures each representing more than 10.0% of the pool balance: New York (30.6%) and Georgia (10.3%). The pool has exposure to most of the major property types, with four representing more than 10.0% of the pool balance: office (42.4%), multifamily (14.7%), lodging (14.6%), and retail (11.1%). The loans have principal balances ranging from $1.8 million to $78.0 million for the largest loan in the pool, Park Center Phase I (9.1%), which is 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 GNL Portfolio (8.5%), Yorkshire & Lexington Towers (7.0%), Westin Times Square Fee (6.7%), One California Plaza (5.8%), represent 37.2% of the initial pool balance, while the top 10 loans represent 62.6%.

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 5.7% 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, 44.3% less than third party appraisal values. The pool has an in-trust KLTV of 81.8% and an all-in KLTV of 104.0%. 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-CX10 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-CX10

Class     Initial Class Balance     Expected KBRA Rating
A-1     $14,888,000     AAA(sf)
A-2     $81,680,000     AAA(sf)
A-3     $143,190,000     AAA(sf)
A-4     $135,893,000     AAA(sf)
A-5     $203,841,000     AAA(sf)
A-SB     $19,217,000     AAA(sf)
A-S     $93,014,000     AAA(sf)
B     $49,180,000     AA-(sf)
C     $31,004,000     A-(sf)
D     $34,212,000     BBB-(sf)
E     $17,106,000     BB-(sf)
F1     $8,553,000     B-(sf)
NR1     $23,521,491     NR
X-A     $691,723,000²     AAA(sf)
X-B     $80,184,000²     AAA(sf)
X-E     $17,106,000²     BB-(sf)
Loan-Specific Certificates3
UES-A     $54,080,000     NR
UES-X     $159,350,0002     NR
UES-B     $36,550,000     NR
UES-C     $31,770,000     NR
UES-D     $36,950,000     NR
UES-E     $40,650,000     NR
STAN-A     $21,070,000     NR
STAN-X     $40,880,0002     NR
STAN-B     $19,810,000     NR
STAN-C     $17,520,000     NR

1 In satisfaction of the US Risk Retention rules, Natixis, as retaining sponsor will retain a portion of each class of non-residual certificates issued, representing an “eligible vertical interest” that will represent 4.09% of the face value of the securities issued. In satisfaction of the remaining risk retention obligations, the Class F and NR certificates, constituting an “eligible horizontal residual interest” and representing 0.94% of the transaction will be purchased and retained by a third party purchaser.
2Notional balance as calculated as set forth in the Legal Analysis section.
3In the case the Yorkshire & Lexington Towers and The Standard Highline NYC loans, in each case, the related subordinate notes will be contributed to the trust but will not be pooled with the other mortgage loans. The related subordinate note for each loan will provide the sole source of proceeds for the related classes of loan-specific certificates.

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 asset-level representations, warranties and enforcement mechanisms set forth in the related offering documents when issuing credit ratings. KBRA’s disclosure for this transaction is contained in the report entitled CMBS: CSAIL 2017-CX10 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

Kroll Bond Rating Agency
Analytical Contacts:
Erika Hinman, Associate
(646) 731-2418
ehinman@kbra.com
or
Yee Cent Wong, Managing Director
(646) 731-2374
ywong@kbra.com
or
Robin Regan, Managing Director
(646) 731-2358
rregan@kbra.com
or
Sacheen Shah, Director
(646) 731-3363
sshah@kbra.com

Contacts

Kroll Bond Rating Agency
Analytical Contacts:
Erika Hinman, Associate
(646) 731-2418
ehinman@kbra.com
or
Yee Cent Wong, Managing Director
(646) 731-2374
ywong@kbra.com
or
Robin Regan, Managing Director
(646) 731-2358
rregan@kbra.com
or
Sacheen Shah, Director
(646) 731-3363
sshah@kbra.com