OREANDA-NEWS. Fitch Ratings has affirmed Windermere XIV CMBS Ltd

EUR105.5m class A (XS0330752436) affirmed at 'BBBsf'; Outlook Negative
EUR78m class B (XS0330752782) affirmed at 'Bsf'; Outlook Negative
EUR63.5m class C (XS0330752949) affirmed at 'CCCsf'; Recovery Estimate (RE) RE15%
EUR26.9m class D (XS0330753244) affirmed at 'CCsf'; RE0%
EUR35.6m class E (XS0330753590) affirmed at 'CCsf'; RE0%
EUR17.1m class F (XS0330753673) affirmed at 'Dsf'; RE0%

Windermere XIV is a securitisation of four commercial mortgage loans (down from eight loans at closing in November 2007) originated by subsidiaries of Lehman Brothers Inc.

KEY RATING DRIVERS
The affirmation of the notes reflects a broadly unchanged credit profile over the last 12 months. The class A notes' rating is supported by sequential amortisation via excess rental cashflows (approximately EUR3.3m in the last quarter only) and relies on little residual real estate value, in line with the overall average-to-low property quality. The class B notes' rating reflects an unchanged Fitch collateral value assessment of EUR185m.

The borrower of the largest loan (the EUR233.8m Fortezza II loan, representing 71% of the collateral balance) failed to sell a portfolio of five properties (Fitch understands from the servicer report that only one non-binding offer was put forward). As a result, the loan was transferred to special servicing on 16 November 2015 after the failure of the borrower to meet the April 2015 debt amortisation target.

This absence of investor interest for the properties is in line with Fitch's assessment of the loan collateral quality, which will likely result in significant principal losses upon work-out completion. The special servicer strategy of extending in-place leases (likely at the price of material rent discounts) need to be perfected relatively quickly in light of the April 2018 legal final maturity (LFM) of the notes.

Furthermore, the Fortezza II loan and the Fortezza loan (reported as IFB and Pavia Fortress I and Naples Enel Tower Fortress II loans in the investor report) in Windermere X CMBS Ltd share the same borrower, an Italian closed ended real estate fund. Therefore an enforcement of one of these loans could automatically trigger the enforcement of the other loan, making any work-out strategy complicated.

The performance of the three other loans is in line with Fitch's expectations with assets sales for the Baywatch and Sisu loans in progress.

RATING SENSITIVITIES
The absence of progress on the winding down of the Fortezza loan is likely to result in downgrades within the next two years.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION
The information below was used in the analysis.
-Servicer reporting provided by Mount Street LLP as of the October 2015 interest payment date (IPD)
-Cash manager reports as of the October 2015 IPD
-Loan-by-loan data provided by the servicer as at as of the October 2015 IPD