NEW YORK--(RCMC 2012-CREL1 transaction (see ratings list below). RCMC 2012-CREL1 is a $291.1 million commercial real estate (CRE) securitization, collateralized by 30 subordinate commercial real estate assets that have 76 underlying properties.)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings for the
RCMC 2012-CREL1 is a fully ramped, static transaction. The is comprised 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 accounts 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 actual 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.
The preliminary ratings are based on information known to KBRA at the time of this publication. Information received subsequent to this release could result in the assignment of final ratings that differ from the preliminary ratings.
Preliminary Ratings Assigned: RCMC 2012-CREL1
|Class||Expected Rating||Balance (US$)|
|Issuer Equity Securities||NR||$119,350,226|
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 entitled RCMC 2012-CREL1 17g7 Disclosure Report.
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