Fitch Upgrades 2 Classes of BACM 2007-1; Affirms Super Senior Classes
KEY RATING DRIVERS
The upgrades reflect better than expected recoveries on disposed assets and lower modeled losses on the remaining pool. Fitch modeled losses of 13.3% of the remaining pool; expected losses on the original pool balance total 15.6%, including \\$288.1 million (9.2% of the original pool balance) in realized losses to date. Fitch has designated 43 loans (39.3%) as Fitch Loans of Concern, which includes two specially serviced assets (2.5%).
As of the July 2015 distribution date, the pool's aggregate principal balance has decreased 51.7% to \\$1.52 billion from \\$3.15 billion at issuance. As of July 2015, there are cumulative interest shortfalls in the amount of \\$32.8 million, affecting classes A-J through Q.
The largest contributor to modeled loss is the Skyline Portfolio (17.9% of the pool, inclusive of the A and B note). The office portfolio, which consists of eight office buildings totaling 2.64 million square feet (sf) in Falls Church, VA, transferred to special servicing in March 2012 for imminent default. The sponsor, Vornado, cited the Base Realignment and Closure statute (BRAC), as contributing to recent and upcoming vacancies at the properties. The pari passu loan was modified in October 2013 with the \\$271.2 million pari passu portion split into a \\$140 million A-note and a \\$131.2 million B-note. The loan maturity was extended to February 2022 with a one-year extension option if certain performance metrics are attained. The loan continues to perform under the terms of the modification.
The next largest contributor to modeled losses is the largest specially serviced loan (1.6% of the pool), which is secured by a 157,839-sf grocery-anchored retail center located in Brunswick, ME. The loan transferred to special servicing in April 2015 for imminent default. The center is anchored by a Shaw's supermarket with lease expiration in 2025; however, the last reported occupancy was 58%. The subject property is located less than two miles from Bowdoin College.
RATING SENSITIVITIES
Rating Outlooks on classes A-4 through A-MFL are expected to remain Stable due to high credit enhancement at their respective rating category. The Stable Outlooks also reflect additional stresses applied to the assets in special servicing. The distressed classes (those rated 'CCCsf' and below) are subject to further downgrades as losses are realized.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Fitch upgrades the following classes and revises Rating Outlooks as indicated:
--\\$214.5 million class A-MFX to 'BBBsf' from 'BBsf'; Outlook to Stable from Negative;
--\\$60 million class A-MFL to 'BBBsf' from 'BBsf'; Outlook to Stable from Negative.
Fitch affirms the following classes:
--\\$633 million class A-4 at 'AAAsf'; Outlook Stable;
--\\$231.6 million class A-1A at 'AAAsf'; Outlook Stable;
--\\$259.5 million class A-J at 'CCsf'; RE 55%;
--\\$27.5 million class B at 'Csf'; RE 0%;
--\\$35.4 million class C at 'Csf'; RE 0%;
--\\$18.6 million class D at 'Dsf'; RE 0%;
--\\$0 million class E at 'Dsf'; RE 0%;
--\\$0 million class F at 'Dsf'; RE 0%;
--\\$0 million class G at 'Dsf'; RE 0%;
--\\$0 million class H at 'Dsf'; RE 0%;
--\\$0 million class J at 'Dsf'; RE 0%;
--\\$0 million class K at 'Dsf'; RE 0%;
--\\$0 million class L at 'Dsf'; RE 0%;
--\\$0 million class M at 'Dsf'; RE 0%;
--\\$0 million class N at 'Dsf'; RE 0%;
--\\$0 million class O at 'Dsf'; RE 0%;
--\\$0 million class P at 'Dsf'; RE 0%.
Classes A-1, A-2, A-3 and A-AB are paid in full. Fitch does not rate the fully depleted class Q. Fitch previously withdrew the rating on the interest-only class XW and the \\$40 million class A-MFX2.
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