Market Overview

KBRA Assigns Preliminary Ratings to UBS 2018-C12


Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of
preliminary ratings to 17 classes of UBS 2018-C12 (see ratings list
below), a $804.9 million CMBS conduit transaction collateralized by 65
commercial mortgage loans secured by 75 properties.

The collateral properties are located in 24 states, with three state
exposures each representing more than 10.0% of the pool balance:
California (12.2%), Texas (11.9%), and Virginia (11.3%). The pool has
exposure to all of the major property types, with four each representing
10.0% or more of the pool balance: office (25.9%), retail (22.5%),
lodging (19.4%), and multifamily (12.6%). The loans have principal
balances ranging from $931,000 to $50.0 million for the largest loan in
the pool, Wyvernwood Apartments (6.2%), which is secured by a
1,175-unit, Class-B, garden-style multifamily complex located in Los
Angeles, California. The five largest loans, which also include
Riverfront Plaza (6.2%), Riverwalk (5.6%), 139 Ludlow Street (4.2%), and
Aspect RHG Hotel Portfolio (4.2%), represent 26.3% of the initial pool
balance, while the top 10 loans represent 40.0%.

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 using our CMBS
Property Evaluation Methodology
. On an aggregate basis, KNCF was
7.1% less than the issuer cash flow. KBRA capitalization rates were
applied to each asset's KNCF to derive values that were, on an aggregate
basis, 38.9% less than third party appraisal values. The pool has an
in-trust KLTV of 97.3% and an all-in KLTV of 107.6%. The model deploys
rent and occupancy stresses, probability of default regressions, and
loss given default calculations to determine losses for each collateral
loan that are then used to assign our credit ratings.

For complete details on the analysis, please see our pre-sale report, UBS
published at
The report includes our UBS
2018-C12 KBRA Conduit Comparative Analytic Tool (KCAT)
, an easy
to use, Excel-based workbook that provides the following information:

  • KBRA Deal Tape – Contains KBRA loan level details for every loan in
    the pool, and the ability for users to input adjustments to KNCF and
    KBRA Cap Rates and see the related impact on key deal metrics.
  • KBRA Credit Metrics Comparison Tool – Enables the user to compare the
    subject transaction to a user-defined transaction comp set. The
    feature provides many of the fields that are included in our CMBS
    Monthly Trend Watch publication.
  • Excel-based property cash flow statements for the top 20 loans.

Preliminary Ratings Assigned: UBS 2018-C12

Class     Initial Class Balance     Expected KBRA Rating
A-1     $23,420,000     AAA(sf)
A-2     $87,995,000     AAA(sf)
A-SB     $38,957,000     AAA(sf)
A-3     $10,670,000     AAA(sf)
A-4     $185,000,000     AAA(sf)
A-5     $217,415,000     AAA(sf)
A-S     $69,426,000     AAA(sf)
B     $34,210,000     AA(sf)
C     $36,222,000     A-(sf)
D     $21,357,0001     BBB+(sf)
D-RR2     $20,902,0001     BBB-(sf)
E-RR2     $9,056,000     BB+(sf)
F-RR2     $9,055,000     BB-(sf)
G-RR2     $9,056,000     B-(sf)
NR-RR2     $32,197,824     NR
X-A     $563,457,0003     AAA(sf)
X-B     $139,858,0003     AAA(sf)
X-D     $21,357,0001,3     BBB+(sf)

1Approximate initial certificate balances. The certificate
balances of the Class D and Class D-RR certificates (and accordingly,
the approximate notional balance of the Class X-D certificates) will not
be determined until final pricing. However, each class' initial
certificate balance is expected to fall within the following ranges:
Class D - $19,358,000 to $23,507,000; and Class D-RR - $18,752,000 to
$22,901,000. The notional balance of the Class X-D certificates will be
equal to the certificate balance of the Class D certificates. Any
variation in the initial certificate balance of the Class D certificates
could affect the credit enhancement for the Class D. 2In
satisfaction of the US Risk Retention rules, these classes are expected
to be purchased and retained by KKR Real Estate Credit Opportunity
Partners Aggregator I L.P., a third-party purchaser on the closing date.
Such classes will represent an "eligible horizontal residual interest"
and will represent at least 5.0% of the fair market value of all
non-residual certificates issued. 3Notional balance.

Representations & Warranties Disclosure

All Nationally Recognized Statistical Rating Organizations are required,
pursuant to SEC Rule 17g-7, to provide a description of a transaction's
representations, warranties and enforcement mechanisms that are
available to investors when issuing credit ratings. KBRA's disclosure
for this transaction can be found in the report available here.

Related Publications: (available

About KBRA and KBRA Europe

KBRA is a full service credit rating agency registered with the U.S.
Securities and Exchange Commission as an NRSRO. In addition, KBRA is
recognized by the National Association of Insurance Commissioners as a
Credit Rating Provider and a certified Credit Rating Agency (CRA) by the
European Securities and Markets Authority (ESMA). Kroll Bond Rating
Agency Europe Limited is registered with ESMA as a CRA.

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