NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks to Morgan Stanley Capital I Trust 2016-UBS11 commercial mortgage pass-through certificates:
--$42,100,000 class A-1 'AAAsf'; Outlook Stable;
--$60,300,000 class A-2 'AAAsf'; Outlook Stable;
--$55,900,000 class A-SB 'AAAsf'; Outlook Stable;
--$170,000,000 class A-3 'AAAsf'; Outlook Stable;
--$175,531,000 class A-4 'AAAsf'; Outlook Stable;
--$503,831,000a class X-A 'AAAsf'; Outlook Stable;
--$128,657,000a class X-B 'A-sf'; Outlook Stable;
--$60,280,000 class A-S 'AAAsf'; Outlook Stable;
--$34,189,000 class B 'AA-sf'; Outlook Stable;
--$34,188,000 class C 'A-sf'; Outlook Stable;
--$36,888,000ab class X-D 'BBB-sf'; Outlook Stable;
--$17,994,000ab class X-E 'BB-sf'; Outlook Stable;
--$7,198,000ab class X-F 'B-sf'; Outlook Stable;
--$36,888,000b class D 'BBB-sf'; Outlook Stable;
--$17,994,000b class E 'BB-sf'; Outlook Stable;
--$7,198,000b class F 'B-sf'; Outlook Stable.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
Fitch does not rate the $25,191,662 class X-G or the $25,191,662 class G.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 38 loans secured by 75 commercial properties having an aggregate principal balance of approximately $719.8 million as of the cut-off date. The loans were contributed to the trust by UBS Real Estate Securities, Inc., KeyBank National Association, Natixis Real Estate Capital LLC, and Morgan Stanley Mortgage Capital Holdings LLC.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 79.4% of the properties by balance, cash flow analysis of 89.9%, and asset summary reviews on 100% of the pool.
KEY RATING DRIVERS
Low Fitch Leverage: The pool's leverage statistics are lower than those of other recent Fitch-rated, fixed-rate multiborrower transactions. The pool's Fitch DSCR and Fitch LTV of 1.30x and 99.8%, respectively, are better than the YTD 2016 average Fitch DSCR and Fitch LTV of 1.16x and 107.5%, respectively. Excluding the credit-opinion loan, the pool's Fitch DSCR and Fitch LTV is 1.29x and 103.7%, respectively.
High Pool Concentration: The top 10 loans comprise 65.6% of the pool, which is greater than the YTD 2016 average of 54.6% and the 2015 average of 49.3%. The pool's loan concentration index (LCI) is 553, which is greater than the YTD 2016 and the 2015 averages of 420 and 367, respectively.
High Lodging Exposure: Approximately 36.0% of the pool by balance, including eight of the top 20 loans, is comprised of hotel properties. Hotel concentration in the pool is greater than the YTD 2016 and 2015 averages of 16.3% and 17.0%, respectively. Two of the top 10 loans, 132 West 27th Street (9.5% of the pool) and Fairfield Inn Time Square Fee (6.8% of the pool), are classified as hotels but are collateralized by a net lease and leased fee interest, respectively. Excluding these two loans, the hotel concentration is 19.7%, which is higher than the YTD 2016 and 2015 averages, respectively. Hotels have the highest probability of default in Fitch's multiborrower CMBS model.
For this transaction, Fitch's net cash flow (NCF) was 20.5% 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 could result in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to MSC 2016-UBS11 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 'Asf' 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 'BBB+sf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on page 11.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
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 mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on the 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.
REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS
A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by accessing the appendix referenced under 'Related Research' below. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions' (May 2016).
Additional information is available at www.fitchratings.com.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 18 Jul 2016)
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions (pub. 18 Aug 2016)
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 01 Jul 2016)
Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 16 Jun 2016)
Global Structured Finance Rating Criteria (pub. 27 Jun 2016)
Rating Criteria for Structured Finance Servicers (pub. 01 Jul 2016)
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)
Morgan Stanley Capital I Trust 2016-UBS11 -- Appendix
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1