Kroll Bond Rating Agency (KBRA) downgrades the Class F certificates to B- (sf) from B (sf). All other outstanding ratings for UBS 2012-C1 are affirmed. Although some of the transaction's credit metrics have improved since the last ratings change in May 2016, the downgrade is primarily driven by an increase in KBRA's estimated loss for Poughkeepsie Galleria (largest, 7.5% of the pool balance), as well as KBRA's estimated losses for four other loans (9.9%). In addition, a Real Estate Owned (REO) asset was disposed of since last review, resulting in a $5.4 million principal loss.
As of the March 2020 remittance period, there are no delinquent loans. However, there is one performing specially serviced loan (1.6%). In addition, there are five loans (16.3%) on the master servicer's watchlist. The specially serviced loan and four watchlist loans (15.8%) have been identified as KBRA Loans of Concern (K-LOCs). K-LOCs consist of specially serviced and REO assets as well non-specially serviced loans in default or at heightened risk of default in the near term.
Excluding K-LOCs with losses, the transaction’s weighted average (WA) KBRA Loan-to-Value (KLTV) of 82.6% has decreased from 92.2% at last review and 95.6% at securitization. The KBRA Debt Service Coverage (KDSC) of 1.24x has decreased from 1.47x at last review and 1.50x at securitization. The top 10 non-defeased loans by balance represent 34.4% of the pool and have each maintained a KBRA Performance Outlook (KPO) of Perform with the exception of Poughkeepsie Galleria (7.5%), Hartford 21 (6.7%), Bridgewater Falls (5.2%), Tharaldson Portfolio (3.3%), and Westminster Square (1.6%), which have KPOs of Underperform.
KBRA reviewed and utilized the most recent property financial information made available by the master servicer for the non-defeased loans to assess individual loan and pool performance. For K-LOCs, this analysis was supplemented with KBRA’s analysts’ projections of potential discrete loss estimates. The results of the analysis were input into KBRA’s CMBS multi-borrower credit model to re-determine KBRA’s credit enhancement levels (C/E) for the pool. The comparison of the updated C/E levels with the transaction’s capital structure, along with other factors such as the near-term loan maturity profile, realized losses, loss projections from K-LOCs, KPOs, and interest shortfalls were considered in determining if rating adjustments were needed on the principal and interest classes. For complete details on KBRA’s analysis, please refer to the surveillance report, as well as links to the publications below.
- UBS 2012-C1 Pre-Sale Report
- U.S. CMBS Property Evaluation Methodology
- U.S. CMBS Multi-Borrower Rating Methodology
- Methodology for Rating Interest-Only Certificates in CMBS Transactions
- Global Structured Finance Counterparty Methodology
Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the U.S. Information Disclosure Form located here.
Information on the meaning of each rating category can be located here.
Further disclosures relating to this rating action are available in the U.S. Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
KBRA is a full-service credit rating agency registered as an NRSRO with the U.S. Securities and Exchange Commission. 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. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and is a certified Credit Rating Agency (CRA) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.
Allison Werry, Director (Lead Analyst)
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Anshul Manglani, Associate
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Roy Chun, Managing Director (Rating Committee Chair)
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