DBRS Assigns Provisional Ratings to UBSC 2011-C1

DBRS has today assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2011-C1 (the Certificates) to be issued by UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1. The trends are Stable.

– Class A-1 at AAA (sf)
– Class A-2 at AAA (sf)
– Class A-3 at AAA (sf)
– Class A-AB at AAA (sf)
– Class A-S at AAA (sf)
– Class X-A at AAA (sf)
– Class X-B at AAA (sf)
– Class B at AA (sf)
– Class C at “A” (sf)
– Class D at BBB (high) (sf)
– Class E at BBB (low) (sf)
– Class F at BB (sf)
– Class G at B (sf)

The collateral consists of 32 fixed-rate loans secured by 38 multifamily, mobile home parks and commercial properties. The portfolio has a balance of $673,920,599. The pool consists of moderate leverage financing, with a DBRS weighted-average term debt service coverage ratio and debt yield of 1.35 times and 10.0%, respectively. Of the collateral, 87.5% is located in suburban or urban locations and benefits from relatively diverse economies. Underwriting was generally prudent, and the average DBRS net cash flow variance was -5.6%.

The pool suffers from concentrations of both number of loans and loan size among the top ten. The 32-loan pool is approximately half the size of the average conduit deal brought to market in 2011, and the top ten loans represent 63.2% of the pool by cutoff date balance. DBRS has accounted for these concentration concerns by applying a pool-wide upward adjustment of probability of default at each rating category of approximately 10%. The deal is further challenged by the concentration of hotel loans, representing 15.4% of the pool balance, including three of the largest 15 loans in the pool. These riskier property types are mitigated by applying hotel-specific cash flow volatiles, which assume between a 31% and 40% cash flow decline for a BBB stress and a 67% to 85% cash flow decline for a AAA stress.

The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, upgrades or downgrades by DBRS after the date of issuance.

Finalization of ratings is contingent upon receipt of final documents conforming to information already received.

Notes:
All figures are in U.S. dollars unless otherwise noted.

All classes except A-1, A-2, A-3 and A-AB are privately placed pursuant to Rule 144a. The Class X-A and Class X-B balances are notional.

The applicable methodology is CMBS Rating Methodology, which can be found on our website under Methodologies.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.