KEY RATING DRIVERS
Since last rating action, class A-1 has received pay down totaling approximately
As of the
Under Fitch's methodology, approximately 60.3% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. Modeled recoveries are below average at 27.7% reflecting the significant subordinate debt in the transaction.
The largest contributor to Fitch's base case loss expectation is a B-note (13% of the total collateral) secured by two office towers located in
The next largest contributor to Fitch's base case loss expectation is a defaulted B-note (11.7% of the total collateral) secured by a 575-room full-service resort located in
This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions', which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. 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 the various defaults 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 through C pass the cash flow model at the ratings listed below.
The Positive and Stable Outlooks on classes A through C generally reflect the senior positions in the capital structure and/or cushion in the modeling.
The 'CCC' ratings for classes D through F 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 Assets of Concern, factoring in anticipated recoveries relative to each class' credit enhancement.
If the collateral continues to repay at or near par, classes may be upgraded. The junior classes are subject to further downgrade should realized losses begin to increase.
Fitch upgrades the following:
Fitch affirms the following classes and revises Outlooks as indicated:
Additional information is available at 'www.fitchratings.com'.
--'Global Structured Finance Rating Criteria' (
--'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions' (
--'Global Rating Criteria for Structured Finance CDOs' (
Global Structured Finance Rating Criteria
Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions
Global Rating Criteria for Structured Finance CDOs
Primary Surveillance Analyst
Source: Fitch Ratings
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