Approximately $835 Million of Structured Securities Affected
New York, November 18, 2012 -- Moody's Investors Service has assigned ratings to seven classes of CMBS securities, issued by BB-UBS Trust 2012-SHOW Commercial Mortgage Pass-Through Certificates, Series 2012-SHOW.
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. X-A, Definitive Rating Assigned Aaa (sf)
Cl. X-B, Definitive Rating Assigned Aa2 (sf)
Cl. B, Definitive Rating Assigned Aa2 (sf)
Cl. C, Definitive Rating Assigned A2 (sf)
Cl. D, Definitive Rating Assigned Baa2 (sf)
Cl. E, Definitive Rating Assigned Baa3 (sf)
The Certificates are collateralized by a single loan backed by a first lien commercial mortgage related to interests in the Las Vegas retail center known as Fashion Show Mall. Fashion Show Mall is a 1.8 million SF regional mall (836,006 SF of which serves as collateral to the loan) which contains seven anchor tenants, was constructed in 1981, and subsequently renovated in 1993 and 2002-2003. Further renovations recently commenced in September 2012 and are scheduled to be complete by year-end 2013. Anchors at the property include Dillard's, Nordstrom, Macy's, Neiman Marcus, Saks Fifth Avenue, Forever XXI, and Macy's Men. Major tenants in occupancy include Topshop, Abercrombie & Fitch, Maggiano's, Express, Zara, Z Gallerie, and The Capital Grille. The mall also houses several luxury brands such as Louis Vuitton, Cole Haan, Diesel, Coach, and Henri Bendel. As of August 2012, the collateral's occupancy rate was approximately 99.3%.
The ratings are based on the collateral and the structure of the transaction.
Moody's rating approach for securities backed by a single loan compares the credit risk inherent in the underlying properties with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects.
The credit risk of the loan is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by the DSCR, and 2) Moody's assessment of the severity of loss in the event of default, which is largely driven by the LTV of the underlying loan.
Moody's Trust LTV Ratio of 75.1% is in-line with other fixed-rate standalone-property loans that have previously been assigned an credit assessment of Baa3.
The Moody's Trust Actual DSCR of 2.41X and Moody's actual Stressed DSCR of 1.04X are considered to be in-line with other Moody's rated loans of similar respective leverages.
The methodologies used in this rating were "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.
Moody's review incorporated the use of the excel-based Large Loan Model v 8.1. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis also uses the CMBS IO calculator v 1.0 which references the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.
The V Score for this transaction is assessed as Medium, the same as the V score assigned to the U.S. Single Borrower CMBS sector. This reflects typical volatility with respect to the critical assumptions used in the rating process as well as an average disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 16%, or 25%, the model-indicated rating for the currently rated Aaa classes would be Aa1, A1, or Baa1, respectively. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis.
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Robb Paltz VP - Senior Credit Officer Structured Finance Group Moody'sInvestors Service, Inc.250 Greenwich StreetNew York, NY 10007 U.S.A. JOURNALISTS: 212-553-0376 SUBSCRIBERS: 212-553-1653Nick Levidy MD - Structured Finance Structured Finance Group JOURNALISTS: 212-553-0376 SUBSCRIBERS: 212-553-1653 Releasing Office: Moody's Investors Service, Inc.250 Greenwich StreetNew York, NY 10007 U.S.A. JOURNALISTS: 212-553-0376 SUBSCRIBERS: 212-553-1653(C) 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.
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