KBRA Assigns Preliminary Ratings to UBS 2019-C16
Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of UBS 2019-C16 (see ratings list below), a $682.7 million CMBS conduit transaction collateralized by 53 commercial mortgage loans secured by 488 properties.
The collateral properties are located in 34 states, with only one state, Texas (23.0%), representing more than 10.0% of the pool balance. Virginia (8.7%) and Florida (7.5%) round out the top three state exposures. The pool has exposure to all the major property types, with the top three being retail (29.8%), office (23.2%), and multifamily (19.0%). The loans have principal balances ranging from $822,500 to $47.0 million for the largest loan in the pool, The Colonnade Office Complex (6.9%), which is secured by a 1.1 million sf Class-A suburban office complex located 14 miles north of the Dallas CBD. The five largest loans, which also include Dominion Tower (6.7%), SkyLoft Austin (5.3%), Southern Motion Industrial Portfolio (4.6%), and Great Value Storage Portfolio (4.4%), represent 27.9% of the initial pool balance, while the top 10 loans represent 45.7%.
KBRA's analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of the underlying collateral properties' financial and operating performance, which determine KBRA's estimate of sustainable net cash flow (KNCF) and KBRA value using our U.S. CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 7.2% 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, 37.0% less than third party appraisal values. The pool has an in-trust KLTV of 92.5% and an all-in KLTV of 106.5%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan that are then used to assign our credit ratings.
For complete details on the analysis, please see our pre-sale report, UBS 2019-C16 published at www.kbra.com. The report includes our UBS 2019-C16 KBRA Conduit Comparative Analytic Tool (KCAT), 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 included in our CMBS Monthly Trend Watch publication.
- Excel-based property cash flow statements for the top 20 loans.
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Preliminary Ratings Assigned: UBS 2019-C16 |
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| Class | Initial Class Balance | Expected KBRA Rating | ||||||
| A-1 | $18,368,000 | AAA (sf) | ||||||
| A-2 | $78,496,000 | AAA (sf) | ||||||
| A-SB | $36,080,000 | AAA (sf) | ||||||
| A-3 | $95,000,000 - $140,000,0001 | AAA (sf) | ||||||
| A-4 | $204,926,000 - $249,926,0001 | AAA (sf) | ||||||
| A-S | $75,094,000 | AAA (sf) | ||||||
| B | $30,720,000 | AA (sf) | ||||||
| C | $19,798,000 - $23,211,0001 | A (sf) | ||||||
| D | $10,240,000 | A- (sf) | ||||||
| D-RR2 | $10,923,000 - $14,336,0001 | BBB+ (sf) | ||||||
| E-RR2 | $10,240,000 | BBB (sf) | ||||||
| F-RR2 | $6,827,000 | BBB- (sf) | ||||||
| G-RR2 | $8,533,000 | BB (sf) | ||||||
| H-RR2 | $6,827,000 | B (sf) | ||||||
| NR-RR2 | $22,187,051 | NR | ||||||
| X-A3 | $477,870,000 | AAA (sf) | ||||||
| X-B3 | $105,814,000 | AAA (sf) | ||||||
| X-C3 | $30,038,000 - $33,451,0001 | AAA (sf) | ||||||
1The exact initial certificate balances will not be determined until final pricing. However, the initial certificate balances are expected to fall within the above ranges. The aggregate initial certificate balance of the Class A-3 and A-4 certificates is expected to be $344.9 million; the initial certificate balance of the Class C and Class D-RR certificates is expected to fall within the above range such that the aggregate fair value of the Class D-RR, Class E-RR, Class F-RR, Class G-RR, Class H-RR and Class NR-RR certificates will equal at least 5% of the estimated fair value of all the classes of certificates (other than the Class R certificates) issued; and the notional amount of the Class X-C certificates will equal to the aggregate certificate balance of the Class C and Class D certificates. 2In satisfaction of the US Risk Retention rules, these classes are expected to be purchased and retained by KKR Real Estate Credit Opportunity Partners Aggregator I L.P. or its majority-owned affiliate (in satisfaction of the retention obligations of UBS AG in its capacity as the retaining sponsor), a third-party purchaser on the closing date. Such classes will represent an "eligible horizontal residual interest" and will represent at least 5.0% of the fair market value of all non-residual certificates issued. 3Notional balance.
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- UBS 2019-C16 Pre-Sale Report
- UBS 2019-C16 KBRA Conduit KCAT
- U.S. CMBS Multi-Borrower Rating Methodology
- U.S. CMBS Property Evaluation Methodology
- Methodology for Rating Interest-Only Certificates in CMBS Transactions
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About KBRA and KBRA Europe
KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus, is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.
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