Fitch Ratings has downgraded four and affirmed two classes of
In addition, the Rating Outlook on class B has been revised to Stable from Negative.
RATING ACTIONS
Entity / Debt
Rating
Prior
COMM 2012-CCRE1
B 12624BAG1
LT
Asf
Affirmed
Asf
C 12624BAH9
LT
BBsf
Downgrade
BBBsf
D 12624BAL0
LT
CCsf
Downgrade
CCCsf
E 12624BAN6
LT
Csf
Downgrade
CCCsf
F 12624BAQ9
LT
Csf
Downgrade
CCsf
G 12624BAS5
LT
Csf
Affirmed
Csf
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VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Regional Mall Concentration; High Loss Expectations: Three specially serviced loans remain in the pool, two (93.4% of pool) secured by regional malls and one (6.6%) secured by a student housing property. Due to the concentrated nature of the pool, Fitch performed a paydown analysis that grouped these loans based on the likelihood of repayment and expected losses from the liquidation of these loans. The downgrades of classes C, D, E and F and Negative Outlook on class C reflect a greater certainty of losses based on updated servicer valuations, in addition to the reliance on proceeds from underperforming regional malls with uncertainty around timing/recovery and ultimate disposition of these loans.
The affirmation and Outlook revision to Stable from Negative on class B reflect increased/high credit enhancement (CE) and a greater certainty of recoveries based on current modeled losses.
The largest loan in the pool,
Fitch's base case loss expectation of 53% reflects a 20% cap rate and 5% stress to the YE 2022 NOI to account for the ongoing challenges with refinance/repayment of this loan.
The second largest loan,
The mall is anchored by three non-collateral tenants:
Fitch's base case loss expectation of 63% reflects a discount to the recent servicer provided valuation and equates to a 38% cap rate on the pre-pandemic YE 2019 NOl.
The third largest loan,
Increase in Credit Enhancement: One loan with an
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade
A downgrade to class B is unlikely due to sufficient CE. A downgrade to class C would occur if performance and/or valuations of the regional malls decline further or one of regional malls is disposed with greater than expected losses. Downgrades to the distressed classes D, E. F and G would occur as losses are realized from disposition of the regional malls.
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 malls improves significantly or one of the regional malls is disposed with better than expected recoveries.
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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