KBRA assigns marks to CSAIL 2021-C20
NEW YORK–(BUSINESS WIRE) – Kroll Bond Rating Agency (KBRA) is pleased to announce the awarding of ratings to 14 classes of CSAIL 2021-C20, a $ 650.1 million CMBS conduit transaction secured by 28 commercial mortgages secured by 40 properties.
The collateral properties are located in 21 MSAs, of which the three largest are New York (19.5%), Los Angeles (12.8%) and Atlanta (12.8%). The pool is exposed to all major types of properties, with three types accounting for over 15.0% of the pool’s balance: multi-family (26.0%), commerce (24.3%) and office (23.3%). The loans have principal balances ranging from $ 3.3 million to $ 60.0 million for the pool’s largest loan, The Grace Building (9.2%), which is secured by a LEED-certified office tower 1.6 Million Square Foot Class A Gold Located in Midtown. Manhattan borough neighborhood in New York. The top five loans, which also include Miami Design District (9.2%), 888 Figueroa (6.2%), MGM Grand & Mandalay Bay (6.0%) and The Westchester (5.4%), represent 36.0% of the initial pool balance, while the top 10 loans represent 60.0%.
KBRA’s analysis of the transaction incorporated our multi-borrower rating process which begins with our analysts’ assessment of the financial and operational performance of the underlying collateral properties, which determines KBRA’s estimate of the cash flow. sustainable net cash flow (KNCF) and KBRA value using our United States CMBS Property Assessment Methodology. On an aggregate basis, the KNCF was 10.9% lower than the issuer’s cash flow. KBRA cap rates were applied to the KNCF of each asset to derive values that were, on an aggregate basis, 44.7% lower than third party valuation values. The pool has a KLTV trust of 101.9% and an all-in KLTV of 110.3%. The model deploys rent and occupancy constraints, probability of default regressions, and loss-given-default calculations to determine the losses for each collateral loan which are then used to assign our credit scores.
Further information on key credit considerations, sensitivity analyzes that take into account factors that may affect these credit ratings and how they might lead to an upgrade or downgrade ESG factors (where they are a key driver of change in credit rating or rating outlook) can be found in the comprehensive rating report mentioned above.
A description of all substantially significant sources that were used in preparing the credit rating and information on the methodology (s) (including significant models and sensitivity analyzes of key relevant rating assumptions, where applicable applicable) used to determine the credit rating are available in the information disclosure form (s) located here.
Information on the meaning of each rating category can be found here.
Additional information relating to this rating action is available in the Information Disclosure Form (s) mentioned above. Additional information regarding KBRA policies, methodologies, rating scales and information is available at: www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as NRSRO. Kroll Bond Rating Agency Europe Limited is registered as CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as CRA with the UK Financial Conduct Authority under the temporary registration regime. In addition, KBRA is designated as a designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.