KBRA Assigns Preliminary Ratings to UBS 2018-C15

Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of UBS 2018-C15 (see ratings list below), a $646.5 million CMBS conduit transaction collateralized by 41 commercial mortgage loans secured by 317 properties.

The collateral properties are located in 37 states, with two states, Texas (19.5%) and California (10.6%), representing more than 10.0% of the pool balance. The pool has exposure to all of the major property types, with the top three being retail (29.6%), office (22.1%), and lodging (15.7%). The loans have principal balances ranging from $3.0 million to $55.0 million for the largest loan in the pool, Great Value Storage Portfolio (8.5%), which is comprised of 64 self-storage properties located in 10 states that together comprise 4.1 million sf or 30,811 units. The five largest loans, which also include Heartland Dental Medical Office Portfolio (8.5%), Saint Louis Galleria (7.0%), Staples Strategic Industrial (5.4%), and CBBC Industrial Portfolio (5.1%), represent 34.5% of the initial pool balance, while the top 10 loans represent 53.1%

KBRAs 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 KBRAs estimate of sustainable net cash flow (KNCF) and KBRA value using our U.S. CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 6.8% less than the issuer cash flow. KBRA capitalization rates were applied to each assets KNCF to derive values that were, on an aggregate basis, 39.0% less than third party appraisal values. The pool has an in-trust KLTV of 93.6% and an all-in KLTV of 100.9%. 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-C15 published at www.kbra.com. The report includes our UBS 2018-C15 KBRA Conduit Comparative Analytic Tool (KCAT), an easy to use, Excel-based workbook that provides the following information:


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  • 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 2018-C15

Class     Initial Class Balance     Expected KBRA Rating
A-1     $20,496,000     AAA(sf)
A-2     $62,148,000     AAA(sf)
A-SB     $34,111,000     AAA(sf)
A-3     See Footnote (1)     AAA(sf)
A-4     See Footnote (1)     AAA(sf)
A-S     $63,839,000     AAA(sf)
B     $30,708,000     AA(sf)
C     $27,475,000     A-(sf)
D     See Footnote (2)     BBB+(sf)
D-RR4     See Footnote (3)     BBB-(sf)
E-RR4     $7,273,000     BB+(sf)
F-RR4     $6,464,000     BB-(sf)
G-RR4     $6,465,000     B-(sf)
NR-RR4     $21,819,345     NR
X-A     $452,534,0005     AAA(sf)
X-B     $122,022,0005     AAA(sf)
X-D     $8,385,0002     BBB+(sf)

1The exact initial certificate balances of the Class A-3 and A-4 certificates will not be determined until final pricing. However, each class initial certificate balance is expected to fall within the following ranges: Class A-3 – $125.0 million to $175.0 million; Class A-4 – $160.779 million to $210.779 million. The aggregate initial certificate balance of the Class A-3 and A-4 certificates is expected to be $335.779 million. ²The exact initial certificate balance of the Class D certificate will not be determined until final pricing. However, the class initial certificate balance is expected to fall within the following range: $7.047 million to $9.536 million. ³The exact initial certificate balance of the D-RR certificate will not be determined until final pricing. However, the classs initial certificate balance is expected to fall within the following range: $20.364 million to $22.853 million. 4In 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. 5Notional balance.

To access ratings, reports and disclosures, click here.

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

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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.

Analytical Contacts:
Hinman, Associate Director
(646) 731-2418
[email protected]

Wang, Senior Director
(646) 731-2450
[email protected]

Cent Wong, Senior Managing Director
(646) 731-2374
[email protected]

Keagle, Senior Director
(646) 731-3357
[email protected]