Kroll Bond Rating Agency Assigns Preliminary Ratings to MSCI 2016-UBS9

NEW YORK--()--Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of the MSCI 2016-UBS9 transaction (see ratings list below). MSCI 2016-UBS9 is a $666.6 million CMBS conduit transaction collateralized by 31 commercial mortgage loans secured by 222 properties.

The underlying collateral properties are located in 28 states and the District of Columbia, with two states that represent more than 10.0% of the pool balance, California (14.7%) and Texas (14.3%). There is exposure to all of the major property type segments, with three that represent more than 10.0% of the pool balance: office (33.3%), retail (24.9%), and industrial (19.6%). The loans have principal balances ranging from $2.8 million to $62.0 million for the largest loan in the pool, 525 Seventh Avenue (9.3%), a 505,273 sf, Class-B office building located in the Garment District of New York City’s Manhattan borough. The top five loans, which also include U-Haul AREC RW Portfolio (9.3%), 2100 Ross (9.0%), GLP Industrial Portfolio (8.4%), and Preferred Freezer – San Leandro, California (6.8%), represent 42.7% of the initial pool balance, while the top 10 loans represent 68.9%.

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 7.6% 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, 42.5% less than third party appraisal values. The pool has an in-trust KLTV of 94.3% and an all-in KLTV of 101.0%. 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, MSCI 2016-UBS9 published at www.kbra.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: MSCI 2016-UBS9

Class       Class Balance (US$)     Expected Rating
A-1       $29,800,000     AAA(sf)
A-2       $73,500,000     AAA(sf)
A-SB       $46,100,000     AAA(sf)
A-3       $125,000,000     AAA(sf)
A-4       $192,226,000     AAA(sf)
X-A       $466,626,000*     AAA(sf)
X-B       $87,493,000*     AAA(sf)
X-D       $34,164,000*     BBB-(sf)
X-E       $14,999,000*     BB-(sf)
X-FG       $13,332,000*     B-(sf)
X-H       $19,998,197*     NR
A-S       $47,496,000     AAA(sf)
B       $39,997,000     AA(sf)
C       $29,997,000     A(sf)
D       $34,164,000     BBB-(sf)
E       $14,999,000     BB-(sf)
F       $6,666,000     B+(sf)
G       $6,666,000     B-(sf)
H       $19,998,197     NR

*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 asset-level representations, warranties and enforcement mechanisms that are set forth in the offering document when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report entitled CMBS: MSCI 2016-UBS9 Representations & Warranties Disclosure Report.

Related publications (available at www.kbra.com):
CMBS: MSCI 2016-UBS9 Presale Report
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012
CMBS Property Evaluation Guidelines, published March 3, 2015

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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 Contacts:
John Triantafyllou, 646-731-2396
jtriantafyllou@kbra.com
or
Michael Brown, 646-731-2307
mbbrown@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
James Wang, 646-731-2450
jwang@kbra.com

Contacts

Analytical Contacts:
John Triantafyllou, 646-731-2396
jtriantafyllou@kbra.com
or
Michael Brown, 646-731-2307
mbbrown@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
James Wang, 646-731-2450
jwang@kbra.com