CHICAGO--(BUSINESS WIRE)--Fitch Ratings has issued a presale report on Morgan Stanley Capital I Trust 2016-UBS9 Commercial Mortgage Pass-Through Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as follows:
--$29,800,000 class A-1 'AAAsf'; Outlook Stable;
--$73,500,000 class A-2 'AAAsf'; Outlook Stable;
--$46,100,000 class A-SB 'AAAsf'; Outlook Stable;
--$125,000,000 class A-3 'AAAsf'; Outlook Stable;
--$192,226,000 class A-4 'AAAsf'; Outlook Stable;
--$466,626,000b class X-A 'AAAsf'; Outlook Stable;
--$87,493,000b class X-B 'AA-sf'; Outlook Stable;
--$47,496,000 class A-S 'AAAsf'; Outlook Stable;
--$39,997,000 class B 'AA-sf'; Outlook Stable;
--$29,997,000 class C 'A-sf'; Outlook Stable;
--$34,164,000ab class X-D 'BBB-sf'; Outlook Stable;
--$14,999,000ab class X-E 'BB-sf'; Outlook Stable;
--$34,164,000a class D 'BBB-sf'; Outlook Stable;
--$14,999,000a class E 'BB-sf'; Outlook Stable;
--$6,666,000a class F '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 Feb. 11, 2016. Fitch does not expect to rate the interest-only $13,332,000a class X-FG, interest-only $19,998,197a class X-H, $6,666,000a class G or the $19,998,197a class H certificates.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 31 loans secured by 222 commercial properties having an aggregate principal balance of approximately $666.6 million as of the cut-off date. The loans were contributed to the trust by UBS Real Estate Securities Inc., Morgan Stanley Mortgage Capital Holdings LLC and Bank of America, National Association.
Fitch reviewed a comprehensive sample of the transaction's collateral including site inspections on 81.1% of the properties by balance, cash flow analysis of 94.3%, and asset summary reviews on 100% of the pool.
KEY RATING DRIVERS
Low Fitch Leverage: The transaction has lower leverage than other Fitch-rated transactions. This pool's Fitch DSCR of 1.23x and LTV of 99.7% are better than the 2015 averages of 1.18x, and 109.3%, respectively. Excluding the credit-opinion GLP Industrial Portfolio B loan (8.4% of the pool), the Fitch DSCR and Fitch LTV are 1.20x and 103.6%, respectively.
High Pool Concentration: The pool is significantly more concentrated than other recent Fitch-rated multiborrower transactions. The top 10 loans comprise 68.9% of the pool, higher than the 2015 average of 49.3%. The pool's loan concentration index (LCI) of 575 is greater than the 2015 average of 367.
Investment-Grade Credit Opinion Loan: One loan, GLP Industrial Portfolio B (8.4% of the pool), has an investment-grade credit opinion of 'A+sf' on a stand-alone basis. The loan is secured by 142 industrial properties across 11 states in 13 markets. The sponsor is Global Logistics Properties, Ltd., which is currently rated 'BBB+' by Fitch. Excluding the credit opinion GLP Industrial Portfolio B loan, Fitch's implied conduit subordination at the junior 'AAAsf' tranche is approximately 25% and approximately 7.9% at 'BBB-sf'.
For this transaction, Fitch's net cash flow (NCF) was 12.5% below the most recent year's net operating income (NOI; for properties for which a full-year 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 in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to MSCI 2016-UBS9 certificates and found that the transaction displays below-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 junior 'AAAsf' certificates to ' AA-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on page 10.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from KPMG LLP. 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 31 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 2016-UBS9
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions (pub. 27 Aug 2015)
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 01 Dec 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)
U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria (pub. 13 Nov 2015)
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1
ABS Due Diligence Form 15E 2