KBRA assigns preliminary ratings to CSAIL 2021-C20
NEW YORK–(COMMERCIAL THREAD) – Kroll Bond Rating Agency (KBRA) is pleased to announce the provision of preliminary ratings to 17 classes of CSAIL 2021-C20, a $ 650.1 million CMBS conduit transaction secured by 28 secured commercial mortgages 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 real estate, with three types accounting for over 15.0% of the pool balance: multi-family (26.0%), retail (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 Gold, Class A, located in the downtown district of the borough of Manhattan 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%), account for 36.0% of the initial pool balance, while the top 10 loans represent 60.0%.
KBRA’s transaction analysis incorporated our multi-borrower rating process which begins with our analysts’ assessment of the financial and operational performance of the underlying secured properties, which determines KBRA’s estimate of net cash flow. sustainability (KNCF) and KBRA value using our Methodology for evaluating the properties of CMBS in the United States. On a global basis, KNCF was 10.9% lower than the cash flow of the issuer. 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 appraised values. The pool has a KLTV trust of 101.9% and an all-inclusive 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 secured loan which are then used to assign our credit scores.
Further information on key credit considerations, sensitivity analyzes that examine the factors that may affect these credit ratings and how they might lead to an upgrade or downgrade, and ESG factors (when they are a key factor in changing the credit rating or rating outlook) can be viewed in the full rating report mentioned above.
A description of all substantially significant sources that were used to prepare the credit rating and information about the method (s) (including significant models and sensitivity analyzes of the relevant key rating assumptions, if any) used to determine the credit rating is available in the information disclosure form (s) located here.
Information on the meaning of each rating category can be located here.
Further information relating to this rating measure is available in the information disclosure form (s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures can be found 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 a credit rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a credit rating agency with the UK Financial Conduct Authority under the temporary registration regime. In addition, KBRA is appointed as the 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.