NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigned its final ratings to thirteen classes of UBS-Barclays 2012-C5 certificates in a $1.49 billion CMBS conduit transaction. Concurrently, we have withdrawn our preliminary ratings on the certificates, which were assigned on February 11, 2013 (see our ratings listed below).
The transaction is collateralized by 81 fixed rate commercial mortgage loans that are secured by 122 properties. The properties are geographically diverse and located across 25 states. 36.7% of the collateral properties, by balance, are located in California followed by Florida (12.0%), and Maryland (7.3%). The pool has exposure to all of the major property types with two concentrations in excess of 10.0%: retail (44.1%) and office (22.0%). Much of the California and retail exposure is represented by the properties that serve as collateral for the two largest loans, which together comprise over a quarter of the pool balance (27.6%). The loans, Santa Anita Mall (14.5%) and Valencia Town Center (13.1%), are each secured by regional malls located in Southern California that are owned and operated by the same sponsor, Westfield America, Inc. Together, these two malls account for 75.1% of the pool’s 36.7% California exposure, and 62.6% of its 44.1% retail exposure.
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. The analysis included a detailed evaluation of the underlying collateral properties’ financial and operating performance using our CMBS Property Evaluation Guidelines to determine KNCF. The resulting KNCF for the collateral properties was 4.2% below the 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 32.1% less than third party appraisal values. The pool has an in-trust KLTV of 91.2% and an all-in KLTV of 92.7%.
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.
For complete details on the analysis, please see our presale Report, UBS-Barclays 2012-C5, available at www.krollbondratings.com.
Final Ratings: UBS-Barclays 2013-C5
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About Kroll Bond Rating Agency
KBRA was established in 2010 by Jules Kroll to restore trust in credit ratings by creating new standards for assessing risk and by offering accurate, clear and transparent ratings. 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).