Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of CSAIL 2018-C14 (see ratings list below), a $770.2 million CMBS conduit transaction collateralized by 43 commercial mortgage loans secured by 65 properties.
The collateral properties are located in 23 states, with three state exposures each representing more than 10.0% of the pool balance: New York (12.4%), Washington (11.6%), and Florida (11.0%). The pool has exposure to most of the major property types, with three each representing 15.0% or more of the pool balance: office (28.0%), retail (20.0%), and lodging (19.9%). The loans have principal balances ranging from $854,000 to $70.0 million for the largest loan in the pool, Prudential - Digital Realty Portfolio (9.1%), which is secured by eight single-tenant, powered-shell data centers containing an aggregate of 1.0 million sf. The five largest loans, which also include Georgetown Squared & Seattle Design Center (8.4%), Continental Towers (7.7%), The Greystone (5.5%), and Lafayette Park (4.9%), represent 35.6% of the initial pool balance, while the top 10 loans represent 54.5%.
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 6.9% 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, 37.5% less than third party appraisal values. The pool has an in-trust KLTV of 94.0% and an all-in KLTV of 101.1%. 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.
For complete details on the analysis, please see our pre-sale report, CSAIL 2018-C14 published at www.kbra.com. The report includes our CSAIL 2018-C14 KBRA Conduit Comparative Analytic Tool (KCAT), 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 included in our CMBS Monthly Trend Watch publication.
- Excel-based property cash flow statements for the top 20 loans.
Preliminary Ratings Assigned: CSAIL 2018-C14
| Class | Initial Class Balance | Expected KBRA Rating | ||||||
| A-1 | $14,923,000 | AAA(sf) | ||||||
| A-2 | $95,533,000 | AAA(sf) | ||||||
| A-3 | See Footnote (1) | AAA(sf) | ||||||
| A-4 | See Footnote (1) | AAA(sf) | ||||||
| A-SB | $23,092,000 | AAA(sf) | ||||||
| A-S | $69,320,000 | AAA(sf) | ||||||
| B | $35,623,000 | AA(sf) | ||||||
| C | $34,661,000 | A(sf) | ||||||
| D | $21,181,000 | BBB+(sf) | ||||||
| E | $16,367,000 | BBB(sf) | ||||||
| F | $18,293,000 | BB+(sf) | ||||||
| G | $7,702,000 | BB-(sf) | ||||||
| NR | $27,921,731 | NR | ||||||
| X-A2 | $608,480,000 | AAA(sf) | ||||||
| X-B2 | $70,284,000 | AAA(sf) | ||||||
| X-F2 | $18,293,000 | BB+(sf) | ||||||
| X-G2 | $7,702,000 | BB-(sf) | ||||||
| X-NR2 | $27,921,731 | NR | ||||||
| VRR Interest | See Footnote (3) | N/A |
1The exact initial balances of the Class A-3 and A-4 certificates will not be determined until final pricing. However, the aggregate certificate balance of the Class A-3 and A-4 certificates is expected to be $405.612 million. Each class’ initial certificate balance is expected to fall within the following ranges: Class A-3 - $75.0 million to $175.0 million; Class A-4 - $230.612 million to $330.612 million. 2Notional balance. 3To satisfy the US risk retention rules, RREF III-D CS 2018-C14, LLC or another affiliate of Rialto Capital Advisors, LLC and Rialto Real Estate Fund III – Debt, LP is expected to purchase a portion of the VRR Interest which is expected to be an “eligible vertical interest”. The VRR Interest will equal approximately 5.0% of each class of non-residual certificates issue.
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- CSAIL 2018-C14 Pre-Sale Report
- CSAIL 2018-C14 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, is 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.
View source version on businesswire.com: https://www.businesswire.com/news/home/20181113005860/en/
Contacts:
John Triantafyllou,
Associate Director
(646) 731-2396
jtriantafyllou@kbra.com
or
Michael
Brown, Senior Director
(646) 731-2307
mbbrown@kbra.com
or
Anna
Hertzman, Managing Director
(646) 731-2367
ahertzman@kbra.com
or
Susannah
Keagle, Senior Director
(646) 731-3357
skeagle@kbra.com
