Kroll Bond Rating Agency (KBRA) assigned its final ratings to twelve classes of UBS Commercial Mortgage Trust 2012-C1, a $1.3 billion CMBS multi-borrower transaction. Concurrently, we have withdrawn our preliminary ratings on the certificates, which were assigned on April 19, 2012 (see our ratings listed below).
The transaction is collateralized by 73 fixed rate commercial mortgage loans that are secured by 100 properties across 31 states. The loans were contributed by UBS Real Estate Securities Inc., Barclays Bank PLC and Archetype Mortgage Funding II LLC. These originators contributed 81.4%, 10.3% and 8.4% of the pool balance, respectively. The top five loans represent 34.8% of the pool and the top ten loans represent 55.8%. The pool is comprised of loans secured by eight property types, with significant exposures in retail (29.0%), office (28.8%), and lodging (22.5%). The lodging exposure includes a leased fee interest in the Dream Hotel Downtown (9.0%) in New York, NY.
KBRA's analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of underlying collateral properties' financial and operating performance, which determine KBRA's estimate of sustainable net cash flow (KNCF) and KBRA value. The analysis included a detailed evaluation of the underlying collateral properties' financial and operating performance using our CMBS Property Evaluation Guidelines to determine Kroll Net Cash Flow (KNCF). The resulting KNCF for the collateral properties was 5.5% below issuer net cash flow on a weighted average basis. KBRA capitalization rates were applied to each asset's KCNF to derive individual property values that, on an aggregate basis, were 33.2% less than third party appraisal values. The weighted average KBRA capitalization rate for the transaction was 9.61%.
KNCF and KBRA capitalization rates were among the key inputs used in our credit modeling process. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan that were used by KBRA to assign our credit ratings for this transaction.
Final Ratings Assigned: UBS 2012-C1 Â | ||||||||||||||
| Class | Â | Â | Â | Â | Â | Â | Rating | Â | Â | Â | Â | Balance | Â | |
| A-1 | Â | Â | Â | Â | Â | Â | AAA (sf) | Â | Â | Â | Â | $72,819,000 | Â | |
| A-2 | Â | Â | Â | Â | Â | Â | AAA (sf) | Â | Â | Â | Â | $105,671,000 | Â | |
| A-3 | Â | Â | Â | Â | Â | Â | AAA (sf) | Â | Â | Â | Â | $657,155,000 | Â | |
| A-AB | Â | Â | Â | Â | Â | Â | AAA (sf) | Â | Â | Â | Â | $96,008,000 | Â | |
| A-S | Â | Â | Â | Â | Â | Â | AAA (sf) | Â | Â | Â | Â | $113,130,000 | Â | |
| X-A | Â | Â | Â | Â | Â | Â | AAA (sf) | Â | Â | Â | Â | $1,044,783,000* | Â | |
| X-B | Â | Â | Â | Â | Â | Â | AAA (sf) | Â | Â | Â | Â | $286,151,174* | Â | |
| B | Â | Â | Â | Â | Â | Â | AA (sf) | Â | Â | Â | Â | $66,547,000 | Â | |
| C | Â | Â | Â | Â | Â | Â | A (sf) | Â | Â | Â | Â | $49,910,000 | Â | |
| D | Â | Â | Â | Â | Â | Â | BBB- (sf) | Â | Â | Â | Â | $74,865,000 | Â | |
| E | Â | Â | Â | Â | Â | Â | BB (sf) | Â | Â | Â | Â | $26,618,000 | Â | |
| F | Â | Â | Â | Â | Â | Â | B(sf) | Â | Â | Â | Â | $23,292,000 | Â | |
| * Notional Amount | ||||||||||||||
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Related publications (available at www.krollbondratings.com): |
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CMBS Presale Report: UBS 2012-C1, published April 19, 2012 CMBS: UBS 2012-C1 17-g7 Disclosure Report, published April 19, 2012 CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012 CMBS Property Evaluation Guidelines, published June 10, 2011 |
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About Kroll Bond Rating Agency
Kroll Bond Rating Agency, Inc. (www.krollbondratings.com) is registered with the SEC as a nationally recognized statistical rating organization (NRSRO). Kroll Bond Rating Agency was established in 2010 to restore trust in credit ratings by establishing new standards for assessing risk and by offering accurate, clear, and transparent ratings.
Contacts:
Analytic Contacts:
Kroll Bond Rating Agency
Nitin
Bhasin, CFA, 917-281-3264
Senior Director
nbhasin@krollbondratings.com
or
Allison
Werry, 917-281-3251
Senior Director
awerry@krollbondratings.com
