CHICAGO--(BUSINESS WIRE)--Fitch Ratings has issued a presale report on Morgan Stanley & Co. LLC's MSCI 2015-UBS8 commercial mortgage pass-through certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as follows:
--$32,700,000 class A-1 'AAAsf'; Outlook Stable;
--$6,300,000 class A-2 'AAAsf'; Outlook Stable;
--$51,500,000 class A-SB 'AAAsf'; Outlook Stable;
--$200,000,000 class A-3 'AAAsf'; Outlook Stable;
--$273,000,000 class A-4 'AAAsf'; Outlook Stable;
--$563,500,000b class X-A 'AAAsf'; Outlook Stable;
--$48,300,000 class A-S 'AAAsf'; Outlook Stable;
--$53,331,000 class B 'AA-sf'; Outlook Stable;
--$37,231,000 class C 'A-sf'; Outlook Stable;
--$101,631,000ab class X-B 'AA-sf'; Outlook Stable;
--$25,156,000ab class X-D 'BBBsf'; Outlook Stable;
--$18,113,000ab class X-E 'BBB-sf'; Outlook Stable;
--$18,700,000ab class X-F 'BBsf'; Outlook Stable;
--$10,481,000ab class X-G 'B-sf'; Outlook Stable;
--$25,156,000a class D 'BBBsf'; Outlook Stable;
--$18,113,000a class E 'BBB-sf'; Outlook Stable;
--$18,700,000a class F 'BBsf'; Outlook Stable;
--$10,481,000a class G 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
The expected ratings are based on information provided by the issuer as of Nov. 16, 2015. Fitch does not expect to rate the interest-only $7,293,000 class X-H, the interest-only $22,895,200 Class X-J, $7,293,000 Class H and $22,895,200 Class J.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 57 loans secured by 72 commercial properties having an aggregate principal balance of approximately $805 million as of the cutoff date. The loans were contributed to the trust by UBS Real Estate Securities, Inc., Bank of America, National Association, and Morgan Stanley Mortgage Capital Holdings LLC.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 72.8% of the properties by balance, cash flow analysis of 77.1%, and asset summary reviews on 77.1% of the pool.
KEY RATING DRIVERS
Fitch Leverage Lower than Recent Deals: The pool's Fitch DSCR and LTV are 1.23x and 103.5%, respectively. This represents lower leverage when compared to other Fitch-rated fixed-rated multiborrower transactions for YTD 2015, which average 1.19x and 109.5%,respectively.
Sponsor Concentration: Four of the top 15 loans (18.5% of the pool) are secured by outlet malls that have a related sponsor in Simon Property Group. The parent of that group, Simon Property Group, Inc. is rated 'A'/Outlook Stable by Fitch. The pool's above average sponsor concentration resulted in a sponsor concentration index (SCI) of 672, which is higher than the YTD 2015 average of 391.
Below Average Amortization: The pool is schedule to amortize by 11.3% of the initial pool balance prior to maturity, which is less than the YTD 2015 average of 12.3%. 8 loans (29.3% of the pool) are full-term interest-only, and 19 loans (37.6% of the pool) are partial-interest only, while the remaining 31 loans are amortizing balloon loans with terms of five to 10 years.
Pool Concentration: The largest 10 loans in the transaction account for 51% of the pool by balance. This concentration is slightly higher than the YTD 2015 average concentration of 48.6%. The pool's above-average concentration resulted in a loan concentration index (LCI) of 385, which is higher than the YTD 2015 average of 356.
For this transaction, Fitch's net cash flow (NCF) was 10.5% below the most recent net operating income (NOI; for properties for which a recent NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and could result in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to MSCI 2015-UBS8 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the senior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the senior 'AAAsf' certificates to 'BBBsf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on pages 10 - 11.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from KPMG. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to each of the 57 mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on our analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link contained on the bottom of the related rating action commentary.
Additional information is available at www.fitchratings.com.
MSCI Commercial Mortgage Trust 2015-UBS8
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum (pub. 14 May 2014)
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 28 May 2015)
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
Rating Criteria for Structured Finance Servicers (pub. 23 Apr 2015)
Rating Criteria for U.S. Commercial Mortgage Servicers (pub. 14 Feb 2014)
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1