KBRA Assigns Preliminary Ratings to UBS 2017-C6

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Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of UBS 2017-C6 (see ratings list below), a $684.7 million CMBS conduit transaction collateralized by 38 commercial mortgage loans secured by 124 properties.

The collateral properties are located in 26 states, with three state exposures representing more than 10.0% of the pool balance: California (16.8%), Ohio (13.9%) and Texas (12.2%). The pool has exposure to all of the major property types, with three representing more than 10.0% of the pool balance: office (34.3%), retail (27.2%) and multifamily (11.3%). The loans have principal balances ranging from $3.5 million to $40.0 million for the largest loan in the pool, Burbank Office Portfolio (5.8%), which is comprised of four Class-A office properties located in Burbank, California, approximately 12 miles north of the Los Angeles CBD. The five largest loans, which also include Yorkshire & Lexington Towers (5.8%), National Office Portfolio (5.8%), One Cleveland Center (5.7%), and Griffin Portfolio (5.3%), represent 28.5% of the initial pool balance, while the top 10 loans represent 48.9%.

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 CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 7.5% 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, 42.0% less than third party appraisal values. The pool has an in-trust KLTV of 95.8% and an all-in KLTV of 109.2%. 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 2017-C6 published today at www.kbra.com. The report includes our KBRA 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.

Preliminary Ratings Assigned: UBS 2017-C6

Class     Initial Class Balance     Expected KBRA Rating
A-1     $21,136,000     AAA(sf)
A-2     $63,519,000     AAA(sf)
A-SB     $32,627,000     AAA(sf)
A-3     $40,000,000     AAA(sf)
A-4     $148,878,000     AAA(sf)
A-5     $165,633,000     AAA(sf)
A-BP     $7,500,000     AAA(sf)
A-S     $76,174,000     AAA(sf)
B     $30,811,000     AA-(sf)
C     $26,533,000     A-(sf)
D     $29,956,000     BBB-(sf)
E     $13,694,000     NR
F     $6,847,000     NR
NR     $21,397,267     NR
X-A     $471,793,0001     AAA(sf)
X-B     $133,518,0001     AAA(sf)
X-BP     $7,500,0001     AAA(sf)
X-D     29,956,0001     BBB-(sf)
X-E     13,694,0001     NR
X-F     6,847,0001     NR
X-NR     21,397,2671     NR
RR Interest2     N/A     N/A

1 Notional balance

2 A majority-owned affiliate of Rialto Mortgage Finance, LLC, the retaining sponsor, will purchase the RR Interest, which is intended to meet the definition of an “eligible vertical interest” under the US credit risk retention rules. The RR Interest will represent at least 5.0% of each non-residual class of certificates.

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 set forth in the related offering documents when issuing credit ratings. KBRA’s disclosure for this transaction is contained in the report entitled CMBS: UBS 2017-C6 Representations & Warranties Disclosure Report.

Related publications (available at www.kbra.com):

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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).

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Business Wire: 18:28 GMT Monday 27th November 2017

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