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Kroll Bond Rating Agency Assigns Preliminary Ratings to CSAIL 2015-C1Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of the CSAIL 2015-C1 transaction (see ratings list below). CSAIL 2015-C1 is a $1.2 billion CMBS conduit transaction collateralized by 82 fixed rate commercial mortgage loans that are secured by 114 properties. The underlying collateral properties are located in 25 different states, with three states representing more than 10.0% of the pool balance: New York (24.4%), California (15.0%), and Texas (13.1%). There is exposure to all of the major property type segments, with four that each account for over 10.0% of the pool: retail (25.6%), lodging (23.9%), multifamily (23.1%), and office (12.2%). The loans have principal balances ranging from $1.3 million to $110.0 million for the largest loan in the pool, Soho-Tribeca Grand Hotel (9.1%), a portfolio of two luxury hotels that contain a total of 554-keys located in New York City's borough of Manhattan. The top five loans, which also include 500 Fifth Avenue (8.2%), Courtyard Midtown East (7.1%), Westfield Trumbull (6.4%), and Westfield Wheaton (3.5%), represent 34.3% of the initial pool balance, while the top 10 loans represent 47.1%. 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 3.8% 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, 38.2% less than third party appraisal values. The pool has an in-trust KLTV of 102.7% and an all-in KLTV of 104.8%. 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-C1 published today at www.kbra.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:
Preliminary Ratings Assigned: CSAIL 2015-C1
* Notional balance ** Represents the maximum amount of Class PEZ certificates that could be issued in an exchange. 17g-7 Disclosure All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC (News - Alert) 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-C1 17G-7 Disclosure Report.
Related publications (available at www.kbra.com): 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). |
