NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 14 classes of CSAIL 2020-C19 (see ratings list below), a $828.9 million CMBS conduit transaction collateralized by 30 commercial mortgage loans secured by 60 properties.
The collateral properties are located throughout 26 MSAs, the largest three of which are Seattle (14.0%), Dallas – Fort Worth (13.6%), and Atlanta (11.5%). The pool has exposure to all the major property types, with three representing more than 10.0% of the pool balance: multifamily (31.2%), office (29.5%), and retail (26.2%). The loans have principal balances ranging from $5.4 million to $68.0 million for the largest loan in the pool, KPMG Plaza at Hall Arts (8.2%), which is secured by a 461,306 sf office tower located in Dallas, Texas. The five largest loans represent 36.7% of the initial pool balance, while the top 10 loans represent 62.8%.
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 6.0% 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, 42.4% less than third party appraisal values. The pool has an in-trust KLTV of 100.9% and an all-in KLTV of 112.7%. 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 2020-C19
Class |
Initial Class Balance |
Expected KBRA Rating |
|
A-1 |
$20,253,000 |
AAA (sf) |
|
A-2 |
$75,000,000 - $250,000,0001 |
AAA (sf) |
|
A-3 |
$276,484,000 - $451,484,0001 |
AAA (sf) |
|
A-SB |
$33,510,000 |
AAA (sf) |
|
A-S |
$58,025,000 |
AAA (sf) |
|
B |
$48,699,000 |
AA (sf) |
|
C |
$34,193,000 |
A- (sf) |
|
D |
$21,760,000 |
BBB+ (sf) |
|
E |
$18,650,000 |
BBB (sf) |
|
F-RR |
$21,760,000 |
BB (sf) |
|
G-RR |
$9,325,000 |
B+ (sf) |
|
NR-RR |
$36,266,035 |
NR |
|
X-A2 |
$638,272,000 |
AAA (sf) |
|
X-B2 |
$82,892,000 |
AAA (sf) |
|
X-D2 |
$40,410,000 |
BBB (sf) |
|
1 The exact initial certificate balances will not be determined until final pricing; however, they are expected to fall within the above ranges. |
2 Notional 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)
- CSAIL 2020-C19 Pre-Sale Report
- CSAIL 2020-C19 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
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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.
