Kroll Bond Rating Agency Assigns Preliminary Ratings to BACM 2015-UBS7

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of the BACM 2015-UBS7 transaction (see ratings list below). BACM 2015-UBS7 is a $757.3 million CMBS conduit transaction collateralized by 42 fixed rate commercial mortgage loans that are secured by 57 properties.

The underlying collateral properties are located in 19 states, with three states representing more than 10.0% of the pool balance: California (25.2%), Texas (16.6%) and New York (13.9%). The pool has exposure to all the major property types, with four that represent more than 10.0% of the pool balance: office (25.2%), retail (20.0%), multifamily (17.4%), and hospitality (17.2%). The loans have principal balances ranging from $1.8 million to $72.9 million for the largest loan in the pool, Charles River Plaza North. Charles River Plaza North is a 354,594 sf, Class-A, single tenant medical office and laboratory complex located in the Beacon Hill section of the Boston CBD. The top five loans, which also include 261 Fifth Avenue (2nd largest, 9.2%), Westin Hotel at the Domain (3rd largest, 9.2%), The Panoramic (4th largest, 6.9%), and The Mall of New Hampshire (5th largest, 6.6%), represent 41.6% of the initial pool balance, while the top 10 loans represent 64.8%.

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 5.3% 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, 38.9% less than third party appraisal values. The pool has an in-trust KLTV of 97.8% and an all-in KLTV of 106.1%. 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, BACM 2015-UBS7 published today at www.krollbondratings.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:

  • 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 provided in our CMBS Monthly Trend Watch publication.
  • Excel based property cash flow statements for the top 20 loans.
             

Preliminary Ratings Assigned: BACM 2015-UBS7

                   
  Class       Class Balance (US$)       Expected Rating
  A-1       $38,700,000       AAA(sf)
  A-SB       $62,400,000       AAA(sf)
  A-3       $200,000,000       AAA(sf)
  A-4       $228,996,000       AAA(sf)
  X-A       $530,096,0001       AAA(sf)
  X-B       $50,170,0001       AAA(sf)
  X-D       $39,879,0001       BBB-(sf)
  X-E       $17,038,0001       BB(sf)
  X-FG       $15,146,0001       NR
  X-NR       $21,772,3311       NR
  A-S       $50,170,000       AAA(sf)
  B       $50,169,000       AA-(sf)
  C       $33,010,000       A-(sf)
  D       $39,879,000       BBB-(sf)
  E       $17,038,000       BB(sf)
  F       $7,573,000       B+(sf)
  G       $7,573,000       B-(sf)
  H       $21,772,331       NR
 

1 Notional balance

Representations & Warranties Disclosure

All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC 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: BACM 2015-UBS7 Representations & Warranties Disclosure Report.

Related publications (available at www.krollbondratings.com):

CMBS: BACM 2015-UBS7 Presale Report

CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012CMBS Property Evaluation Guidelines, published March 3, 2015

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).

Contacts

Analytical:
Ravish Kamath, 646-731-2328
rkamath@kbra.com
or
Sacheen Shah, 646-731-2417
sshah@kbra.com
or
Michael Brown, 646-731-2307
mbbrown@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com

Follow us on Twitter!
@KrollBondRating

Contacts

Analytical:
Ravish Kamath, 646-731-2328
rkamath@kbra.com
or
Sacheen Shah, 646-731-2417
sshah@kbra.com
or
Michael Brown, 646-731-2307
mbbrown@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com

Follow us on Twitter!
@KrollBondRating