Kroll Bond Rating Agency Assigns Final Ratings to UBS-Barclays 2012-C2

NEW YORK--(BUSINESS WIRE)-- Kroll Bond Rating Agency (KBRA) assigned its final ratings to fourteen classes of UBS-Barclays 2012-C2 certificates in a $1.22 billion CMBS multi-borrower transaction. Concurrently, we have withdrawn our preliminary ratings on the certificates, which were assigned on June 26, 2012 (see our ratings listed below).

The transaction is collateralized by 54 fixed rate commercial mortgage loans that are secured by 83 properties. The top five loan exposures represent 39.2% of the initial pool balance and the top ten loan exposures represent 60.7%. The properties are geographically diverse and located across 21 states. There is a significant exposure to New York, which accounts for 22.0% of the pool balance, followed by Michigan (10.7%), New Jersey (8.6%), Florida (8.4%) and Connecticut (7.8%).

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 4.1% 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 29.1% less than third party appraisal values. The pool has an in-trust KLTV of 94.3% and an all-in KLTV of 97.1%. The trust collateral includes a leased fee interest, 909 Third Avenue, which skews some metrics due to its low KLTV of 23.5% when analyzed on a look through basis that includes the value of the improvements. The in-trust and all-in KLTV excluding this loan are 96.6% and 99.5%, respectively.

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-C2, available at www.krollbondratings.com.

Final Ratings: UBS-Barclays 2012-C2

1 Notional balance

Related Publications:
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012
CMBS Property Evaluation Guidelines, published June 10, 2011

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).

Kroll Bond Rating Agency
Analytic:Keith Kockenmeister, 646-731-2349
kkockenmeister@krollbondratings.com
orMichael Brown, 646-731-2307
mbbrown@krollbondratings.com
orPramit Sheth, 646-731-2330
psheth@krollbondratings.com

Source: Kroll Bond Rating Agency