KEY RATING DRIVERS
Since the last rating action, the senior classes, A-1A and A-1B, have received
Approximately 105 different assets are contributed to the CDO. Since the revolving period ended in
As of the
Under Fitch's methodology, approximately 86% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 7.4% from, generally, YE 2013 or T12 1Q 2014. Modeled recoveries are average at 41.7%.
The largest contributor to Fitch's base case loss expectation is a preferred equity position (3.6% of the pool) on an office complex located in
The next largest component of Fitch's base case loss expectation is a whole loan (4.4%) secured by an office building located in
The third largest component of Fitch's base case loss expectation is a whole loan (3.4%) secured by a poorly performing regional mall 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-1 through A-2 are consistent with the ratings listed below.
The 'CCC' and below ratings for classes B through J 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's credit enhancement.
The Negative Outlooks for classes A-1 through A-2 reflect the potential for further negative credit migration of the underlying collateral. The junior classes are subject to further downgrade should realized losses begin to increase.
Fitch affirms the following classes:
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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