KEY RATING DRIVERS
The upgrades reflect improved performance of the underlying loans along with significant delevering of the capital structure. Since the
The portfolio is considered concentrated with only 18 assets remaining.
Under Fitch's methodology, approximately 85.8% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. Fitch estimates that average recoveries will be 52.4% reflecting the recovery expectations upon default of the CMBS tranches and real estate loans.
The largest component of Fitch's base case loss expectation is a mezzanine loan (13.2%) secured by a portfolio of 12 luxury resorts and hotels consisting of 4,742 keys located in beachfront and waterfront locations, including
The second largest component to Fitch's base case loss expectation is a whole loan (9.5%) secured by a 163 room hotel located in
The third largest component to loss is the modeled losses on the CMBS collateral. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions', which applies Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. The breakeven rates for classes A-1 through G generally pass the cash flow model at the rating assigned below.
The 'CCC' and 'CC' ratings for classes H through K are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Loans of Concern, factoring in anticipated recoveries relative to the credit enhancement of each class.
The Stable Outlook on the classes A-2 through G reflects the classes' senior position in the capital structure and the improved credit enhancement to the classes. The ratings on the class H through K notes may be subject to further downgrades as losses are realized. The Positive Outlook on class A-1 reflects the significant credit enhancement to the class and its senior-most position in the capital structure.
Fitch has upgraded the following as indicated:
Fitch has affirmed the following as indicated:
Fitch previously withdrew its ratings of class B following the full surrender of those certificates. Fitch does not rate the
Additional information is available at 'www.fitchratings.com'.
--'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions' (
--'Global Structured Finance Rating Criteria' (
--'Global Rating Criteria for Structured Finance CDOs' (
Global Structured Finance Rating Criteria
Global Rating Criteria for Structured Finance CDOs
Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions
Primary Surveillance Analyst
Source: Fitch Ratings
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