Fitch Ratings has downgraded five and affirmed one class of
The Rating Outlook on class C is Negative following the downgrade. The Outlook on class B remains Negative.
RATING ACTIONS
Entity / Debt
Rating
Prior
COMM 2012-CCRE1
B 12624BAG1
LT
Asf
Affirmed
Asf
C 12624BAH9
LT
BBBsf
Downgrade
Asf
D 12624BAL0
LT
CCCsf
Downgrade
Bsf
E 12624BAN6
LT
CCCsf
Downgrade
Bsf
F 12624BAQ9
LT
CCsf
Downgrade
CCCsf
G 12624BAS5
LT
Csf
Downgrade
CCsf
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VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Greater Certainty of Loss; High Loss Expectations and Pool Concentration: Despite significant paydown since the prior rating action, exposure to regional malls (two loans; 86.9% of pool) remains a rating concern. All four loans remaining in the pool are considered Fitch Loans of Concern (FLOCs), including three in special servicing (40.4%).
The downgrades reflect a greater certainty of loss for the remaining loans, with increased loss expectations for
Given the pool concentration, Fitch performed a liquidation analysis, which considered the likelihood of repayment and expected losses from the liquidation of the remaining loans. All remaining classes are reliant on proceeds from the regional malls for repayment. Fitch assumed in the analysis that the majority of class B would be repaid by the two non-mall loans, giving the class higher recoverability prospects. Classes C through H are fully reliant on proceeds from the regional malls for repayment, with Fitch's current loss expectations impacting the distressed rated classes D, E, F and G.
While credit enhancement is high, Fitch expects the ultimate workout and recovery timing for the regional mall loans to be prolonged. The Negative Outlooks for class B and C reflect Fitch's concerns for performance stabilization and refinance prospects of these loans.
Regional Mall FLOCs: The largest loan in the pool,
Fitch's loss expectation on this loan is approximately 44%, implying a 20% cap rate and 5% stress to the YE 2021 NOI.
The second-largest loan,
The mall is anchored by three non-collateral tenants:
Fitch's loss expectation on this loan is approximately 56%; the loss considers a discount to the most recent servicer reported appraisal value. Fitch's loss implies a 32% cap rate on the YE 2019 NOI and is consistent with Fitch stressed values on similar defaulted mall properties.
Additional Specially Serviced Loans: The remaining two loans, which transferred to special servicing for maturity default, are
Increased Credit Enhancement: Credit enhancement has increased since Fitch's prior rating action, primarily from the repayment of loans at maturity as expected. As of the
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
Downgrades of classes B and C would occur if performance of the regional mall FLOCs declines further. Downgrades of the distress classes would occur as losses are realized from loan dispositions.
Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the
Factors that could, individually or collectively, lead to positive rating action/upgrade:
Upgrades are unlikely due to the regional mall concentration, but could occur if performance of the regional mall FLOCs improves significantly.
Best/Worst Case Rating Scenario
International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
ESG Considerations
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg
Additional information is available on www.fitchratings.com
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