NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigned its final ratings to RCMC 2012-CREL1, a $291.1 million commercial real estate (CRE) securitization (see ratings listed below). Concurrently, we have withdrawn our preliminary ratings on the certificates, which were assigned on November 9, 2012.
The transaction is a fully ramped, static securitization of 30 CRE assets including 24 mezzanine loans (87.9%), four preferred equity interests (6.8%), one CMBS rake certificate (3.4%), and one B-note (1.9%). The mezzanine loans include two junior mezzanine loans (11.6% of the pool) and one pari-passu participation in a mezzanine loan (4.3%). The top five assets are all mezzanine loans, including Plaza Mexico (9.0%), 55 West Monroe (7.4%), Gansevoort Park Hotel (6.9%), Wyvernwood Apartments (6.6%) and Sun Development Portfolio (6.1%). The top five assets represent 36.0% of the initial pool balance, and the top ten represent 57.4%. The 76 underlying properties are located in 18 states, and the three largest state concentrations are New York (23.7%), California (21.6%), and Illinois (11.5%). The pool has exposure to four property types with concentrations in excess of 10%; multifamily (27.9%), office (26.1%), hospitality (19.9%) and retail (15.7%).
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 accounted for the unique characteristics of CRE properties, which are a function of the specific markets in which they are located, their overall quality, and their ability to attract tenants at sustainable rent levels. KBRA capitalization rates were applied to each asset’s KNCF to derive individual property values that, on an aggregate basis, were 36.6% lower than third party appraisal values. The weighted average capitalization rate for the transaction was 9.2%. The pool has a First Dollar KLTV of 97.6% (also known as attachment point) and a Last Dollar KLTV of 116.7% (also known as detachment point). The KNCF and KBRA value of each underlying property were stressed based on property-type and market specific rent and occupancy stresses, which in turn were used to derive each asset’s probability of default (PD) and loss given default (LGD). The amortization schedules for each trust asset, its related senior debt, and “all in” KDSC and “all in” KLTV to calculate the asset’s PDs. To calculate LGD, net liquidation proceeds were first applied to the senior debt until it was fully extinguished. Any remaining net liquidation proceeds were applied to the subordinate debt.
Final Ratings Assigned: RCMC 2012-CREL1
|Class||Rating||Balance (USD)||Rating Action|
|Issuer Equity Securities||NR||NA||Assigned|