Fitch Affirms BACM 2006-2; Revises Outlook
KEY RATING DRIVERS
Affirmations are based off the continued stable performance of the underlying pool collateral. Fitch modeled losses of 9.2% of the remaining pool; expected losses on the original pool balance total 13.3%, including $111.7 million (4.1% of the original pool balance) in realized losses to date. Interest shortfalls are currently affecting classes A-J through P. Fitch has designated 28 Fitch Loans of Concern(19.3%), which includes 12 specially serviced assets (12.7%).
As of the November 2015 distribution date, the pool's aggregate principal balance has been reduced by 43.5% to $1.53 billion from $2.7 billion at issuance. Per the servicer reporting, 19 loans (11.4% of the pool) are defeased. The majority of the pool (93%) matures in 2016.
The largest contributor to modelled losses is a loan, totalling 1.1% of the total current balance of the pool, secured by a 95,683 square foot (sf) mixed-use property in Santa Cruz, CA. The building's largest tenants include the New Teacher Center (15.4% of net rentable area (NRA)), Imprivata (8.9%), and California ONAX (5.9%). Occupancy at the property has increased to 39% as of June 2015 compared to 26% as of January 2015. The servicer reported net-operating income (NOI) debt service coverage ratio (DSCR) was 0.07x as of YE 14 and 0.06x as of YE 13. The borrower has kept the loan current; the loan remains with the master servicer.
The next largest contributor to modelled losses is the Eastland Mall loan (11%), which is secured by a 1.05 million sf (709,820 sf as collateral) retail center located in Evansville, IN. The mall is anchored by Dillard's (17%), JCPenney (14%), and Toys "R" Us/Kids "R" Us (6%). Occupancy has remained relatively stable at 94% as of June 2015. The servicer reported DSCR decreased slightly to 1.49x as of YE 14 from 1.63x as of YE 13. The property has potential lease rollover of 41% in the coming year, including JCPenney.
The third largest contributor to expected losses is the Wichita Retail Portfolio loan, secured by three retail properties. The portfolio totals 360,942 sf and each property is located in Wichita, KS. The loan was transferred to the special servicer on July 10, 2014 for monetary default. The portfolio has struggled to keep tenants and was 65% occupied as of March 31, 2014. The servicer reported a portfolio level DSCR of 0.76x during the same period.
RATING SENSITIVITIES
The Stable Rating Outlooks on classes A-4 and A-M reflect sufficient credit enhancement and expected continued paydown. The Rating Outlook on class A-J was revised to Stable from Negative to reflect the 29% paydown since last review with minimal losses. The Rating Outlooks on classes B and C are Negative due to potential erosion in credit enhancement following the disposition of loans currently in special servicing. The distressed classes may be subject to further downgrades as additional losses are realized or if losses exceed Fitch's expectations.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Fitch has affirmed the following ratings and Revised Rating Outlooks as indicated:
--$726.7 million class A-4 at 'AAAsf'; Outlook Stable;
--$101 million class A-1A at 'AAAsf'; Outlook Stable;
--$269.9 million class A-M at 'AAAsf'; Outlook Stable;
--$215.9 million class A-J at 'BBBsf'; Outlook to 'Stable' from 'Negative';
--$50.6 million class B at 'BBsf'; Outlook Negative;
--$27 million class C at 'Bsf'; Outlook Negative;
--$40.5 million class D at 'CCsf'; RE 25%;
--$27 million class E at 'Csf'; RE 0%;
--$30.4 million class F at 'Csf'; RE 0%;
--$27 million class G at 'Csf'; RE 0%;
--$10.1 million class H at 'Dsf'; RE 0%;
--$0 class J at 'Dsf'; RE 0%;
--$0 class K at 'Dsf'; RE 0%;
--$0 class L at 'Dsf'; RE 0%;
--$0 class M at 'Dsf'; RE 0%;
--$0 class N at 'Dsf'; RE 0%;
--$0 class O at 'Dsf'; RE 0%.
The class A-1, A-2, A-3 and A-AB certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the rating on the interest-only class XW certificates.
Комментарии