Kroll Bond Rating Agency Assigns Preliminary Ratings to CSAIL 2015-C3

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of the CSAIL 2015-C3 transaction (see ratings list below). CSAIL 2015-C3 is a $1.4 billion CMBS conduit transaction collateralized by 89 fixed rate commercial mortgage loans that are secured by 168 properties.

The underlying collateral properties are located in 30 states, with two states representing more than 10.0% of the pool balance: California (17.7%) and Texas (10.2%). The pool has exposure to all the major property types, with four that represent more than 10.0% of the pool balance: retail (32.3%), lodging (23.7%), office (20.4%), and multifamily (14.3%). The loans have principal balances ranging from $1.4 million to $130.0 million for the largest loan in the pool, Charles River Plaza North, Charles River Plaza North is a 354,594 sf, Class-A, single tenant medical office and laboratory complex located in the Beacon Hill section of the Boston CBD. The top five loans, which also include Starwood Capital Extended Stay Portfolio (2nd largest, 7.4%), The Mall of New Hampshire (3rd largest, 7.0%), Westfield Wheaton (4th largest, 6.8%), and Arizona Grand Report & Spa (5th largest, 3.5%), represent 33.9% of the initial pool balance, while the top 10 loans represent 46.3%.

KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of 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 Guidelines. On an aggregate basis, KNCF was 6.2% 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, 37.0% less than third party appraisal values. The pool has an in-trust KLTV of 102.2% and an all-in KLTV of 109.6%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan, which are then used to assign our credit ratings.

For complete details on the analysis, please see our presale report, CSAIL 2015-C3 published today at www.krollbondratings.com. The report includes our new KBRA Comparative Analytic Tool (KCAT). KCAT is 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 provided in our CMBS Monthly Trend Watch publication.
  • Excel based property cash flow statements for the top 20 loans.

Preliminary Ratings Assigned: CSAIL 2015-C3

 
Class         Class Balance (US$)         Expected Rating
A-1         $60,509,000         AAA(sf)
A-2         $148,324,000         AAA(sf)
A-3         $200,000,000         AAA(sf)
A-4         $502,390,000         AAA(sf)
A-SB         $82,627,000         AAA(sf)
X-A         $1,080,812,0001         AAA(sf)
X-B         $86,961,0002         AAA(sf)
X-E         $35,495,0003         BB-(sf)
X-F         $14,197,0004         B-(sf)
X-NR         $65,666,0145         NR
A-S         $86,962,000         AAA(sf)
B         $86,961,000         AA-(sf)
C         $63,891,000         A-(sf)
D         $72,764,000         BBB-(sf)
E         $35,495,000         BB-(sf)
F         $14,197,000         B-(sf)
NR         $65,666,014         NR
 

1 Notional balance equal to the aggregate outstanding balance of the Class A-1, A-2, A-3, A-4, A-SB and A-S certificates.

2 Notional balance equal to the aggregate outstanding balance of the Class B certificates.

3 Notional balance equal to the outstanding balance of the Class E certificates

4 Notional balance equal to the outstanding balance of the Class F certificates.

5 Notional balance equal to the outstanding balance of the Class NR 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 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 entitled CMBS: CSAIL 2015-C3 Representations & Warranties Disclosure Report.

Related publications (available at www.krollbondratings.com):
CMBS: CSAIL 2015-C3 Presale Report
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012
CMBS Property Evaluation Guidelines, published June 10, 2011

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:
Michael McGorty, 646-731-2393
mmcgorty@kbra.com
or
Anna Hertzman, 646-731-2367
ahertzman@kbra.com
or
Joe Kelly, 646-731-2365
jkelly@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Follow us on Twitter!
@KrollBondRating

Contacts

Kroll Bond Rating Agency
Analytical Contacts:
Michael McGorty, 646-731-2393
mmcgorty@kbra.com
or
Anna Hertzman, 646-731-2367
ahertzman@kbra.com
or
Joe Kelly, 646-731-2365
jkelly@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Follow us on Twitter!
@KrollBondRating