Fitch Ratings has downgraded seven classes of
Fitch has also revised the Rating Outlook on five classes to Stable from Negative.
RATING ACTIONS
Entity / Debt
Rating
Prior
COMM 2012-CCRE3
A-3 12624PAE5
LT
AAAsf
Affirmed
AAAsf
A-M 12624PAJ4
LT
Asf
Downgrade
AAsf
A-SB 12624PAD7
LT
AAAsf
Affirmed
AAAsf
B 12624PAL9
LT
BBBsf
Downgrade
Asf
C 12624PAQ8
LT
BBsf
Downgrade
BBBsf
D 12624PAS4
LT
Bsf
Downgrade
BBsf
E 12624PAU9
LT
CCsf
Downgrade
CCCsf
F 12624PAW5
LT
Csf
Affirmed
Csf
G 12624PAY1
LT
Csf
Affirmed
Csf
Page
of 2
VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Regional Mall Concentration: Despite improving loan performance for the majority of the pool exposure to regional malls remains a rating concern. Fitch performed a paydown scenario assuming that the three non-defeased regional malls are the last remaining assets in the pool. This scenario, along with further certainty of losses, contributed to the downgrades and Negative Outlooks. Class A-M would be the most senior class reliant on these malls; this class was capped at 'Asf'.
Lowered Loss Expectations; Expected Paydown: Fitch's loss expectations for the pool have improved since the prior rating action due to generally stable to improved performance as loans affected by the pandemic exhibit recovering cashflow. The majority of the pool (92.3%) matures in 2022 and the remainder of the pool (7.7%) matures in the first half of 2023. The Stable Outlooks on classes A-3 and A-SB reflect increasing defeasance as well as expected paydown from upcoming maturities.
Fitch's current ratings incorporate a base case loss of 11.7%. An additional stress that factored in potential outsized losses of 50% on
The loan transferred to the special servicer in
The largest contributor to expected losses is the
Occupancy was 82% as of
The loan, which is sponsored by
Improved Credit Enhancement: Credit enhancement has improved since Fitch's last rating action due to continued scheduled amortization and increased defeasance. As of
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
Factors that could lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans.
Downgrades to the classes rated 'AAAsf' are not expected as credit enhancement remains high and the classes are expected to payoff as loans reach maturity. Downgrades to classes A-M and B are not expected unless the mall loans significantly deteriorate. Downgrades to classes C, D, and PEZ are possible should FLOCs fail to stabilize and performance continues to decline, including if the regional mall values decline further. Downgrades to the distressed classes are expected as losses are realized.
Factors that could, individually or collectively, lead to positive rating action/upgrade:
Upgrades are not currently expected given the pool's exposure to regional malls and the outlook for retail performance. Factors that lead to upgrades would include significantly improved performance coupled with pay down and/or defeasance.
An upgrade to class A-M is not possible as the rating is capped due to the regional mall exposure. Classes B, C, D, and PEZ should only be upgraded should one or more of the regional malls dispose at greater than expected recoveries. Upgrades to the distressed classes are not likely.
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
PARTICIPATION STATUS
The rated entity (and/or its agents) or, in the case of structured finance, one or more of the transaction parties participated in the rating process except that the following issuer(s), if any, did not participate in the rating process, or provide additional information, beyond the issuer's available public disclosure.
APPLICABLE CRITERIA
Global Structured Finance Rating Criteria (pub.
Structured Finance and Covered Bonds Counterparty Rating Criteria (pub.
APPLICABLE MODELS
Numbers in parentheses accompanying applicable model(s) contain hyperlinks to criteria providing description of model(s).
CMBS Conduit Surveillance Model, v1.19.5 (1)
ADDITIONAL DISCLOSURES
Dodd-Frank Rating Information Disclosure Form
Solicitation Status
Endorsement Policy
ENDORSEMENT STATUS
COMM 2012-CCRE3 EU Endorsed,UK Endorsed
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