Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of
preliminary ratings to 15 classes of UBS 2018-C11 (see ratings list
below), a $803.8 million CMBS conduit transaction collateralized by 48
commercial mortgage loans secured by 91 properties.
The collateral properties are located in 26 states, with three state
exposures each representing more than 10.0% of the pool balance: New
York (18.5%) and California (13.7%), and Virginia (13.6%). The pool has
exposure to all of the major property types, with four each representing
10.0% or more of the pool balance: office (36.3%), retail (27.2%),
mixed-use (15.8%) and lodging (14.8%). The loans have principal balances
ranging from $3.0 to $50.0 million for the largest loan in the pool, 20
Times Square (6.2%), which is secured by the land underlying a 42-story
mixed-use tower located in the Times Square district of New York City.
The five largest loans, which also include Riverfront Plaza (6.2%),
Torrance Technology Campus (5.0%), 5th Street Station (4.5%),
and Orlando Airport Marriott Lakeside (4.3%), represent 26.2% of the
initial pool balance, while the top 10 loans represent 44.2%.
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
7.6% 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, 39.5% less than third party appraisal values. The pool has an
in-trust KLTV of 96.6% and an all-in KLTV of 107.3%. 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
2018-C11 published at www.kbra.com.
The report includes our UBS
2018-C11 KBRA Conduit Comparative Analytic Tool (KCAT), an easy
to use, Excel-based workbook that provides the following information:
Preliminary Ratings Assigned: UBS 2018-C11
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
representations, warranties and enforcement mechanisms that are
available to investors when issuing credit ratings. KBRA’s disclosure
for this transaction can be found in the report available here.
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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
recognized by the National Association of Insurance Commissioners as a
Credit Rating Provider and 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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