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Kroll Bond Rating Agency Assigns Preliminary Ratings to MSCI 2015-XLF1

NEW YORK–(BUSINESS WIRE)–

Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of preliminary ratings to two classes of the MSCI 2015-XLF1 securitization, a $545.1 million large loan floating-rate CMBS transaction (see ratings listed below).

MSCI 2015-XLF1 is a CMBS large loan floating-rate transaction collateralized by five, non-recourse, first lien mortgage loans with an aggregate in-trust principal balance of $545.1 million. The senior pooled notes, together with 680 Madison Avenue, total $348.4 million and include Ashford Full Service Portfolio ($103.8 million), Ashford Select Service Portfolio ($31.4 million), and SOMA Towers ($28.2 million). Both the senior pooled and the subordinate non-pooled notes, which total $85.6 million, will be contributed to the trust. There is one non-pooled loan, Elad Portfolio, which is the sole source of cash flow for the “ELD” certificates, which are not rated by KBRA. As a result, the trust loan counts, balances, and percentages herein exclude the non-pooled Elad Portfolio loan.

The majority of the pool consists of lodging properties (50.0%) which serve as collateral for two loans, Ashford Full Service Portfolio ($103.8 million, 5 assets) and Ashford Select Service Portfolio ($31.4 million, 5 assets). Retail exposure (42.6%) is represented by 680 Madison Avenue ($185.0 million, 1 asset). The remaining property type exposure, multifamily (7.4%), consists of the SOMA Towers loan. The properties are located in ten states with three individual state exposures that represent more than 10.0% of the pool balance: New York (42.6%), California (12.7%), and Minnesota (10.2%).

KBRA’s analysis of the transaction involved a detailed evaluation of the underlying cash flows using our CMBS Property Evaluation Guidelines and the application of our CMBS Single-Borrower & Large Loan Rating Methodology. The results of the analysis yielded a KNCF for the underlying collateral properties that was, on average, 4.9% less than the issuer cash flow for the pooled loan components. KBRA applied our stressed capitalization rates to the KNCF to arrive at valuations of the underlying properties. The KBRA values were, on average, 29.7% less than the appraiser’s valuation for the pooled loan components. The resulting KBRA in-trust loan to value (KLTV) was 66.5% for the pooled loan components and the KLTV was 88.8% for the total in-trust balance, inclusive of the subordinate loan components. All of the loans have additional financing in place in the form of mezzanine debt. Inclusive of this additional debt, the weighted average all-in KLTV for the trust assets was 118.4%. As part of our analysis of the transaction, we also reviewed and considered third party engineering and environmental reports, our analysts’ site visits to the collateral properties, and the transaction structure.

Preliminary Ratings Assigned: MSCI 2015-XLF1

Class Balance Rating A $213,400,000 AAA(sf) X-CP(1) $348,400,000 NR X-EXT(1) $348,400,000 NR B $60,500,000 AA-(sf) C $45,100,000 NR D $29,400,000 NR AFS1(2) $37,100,000 NR AFS2(2) $27,600,000 NR ASL1(2) $9,100,000 NR ASL2(2) $8,000,000 NR SOMA(2) $3,800,000 NR ELD1(3) $55,100,000 NR ELD2(3) $14,100,000 NR ELD3(3) $10,300,000 NR ELD4(3) $8,200,000 NR ELD5(3) $15,900,000 NR ELD6(3) $7,500,000 NR ELDX(3) $87,700,000 NR

1 Notional amount
2 Represents a loan-specific class of certificates and is only entitled to distributions from the corresponding subordinate non-pooled component of the related mortgage loan.
3 Represents a loan-specific class that is only entitled to proceeds received with respect to the Elad Portfolio loan.

Related publications: (available at www.kbra.com)

CMBS: MSCI 2015–XLF1 Presale Report

CMBS: Single Borrower & Large Loan Rating Methodology, published August 8, 2011

CMBS Property Evaluation Guidelines, published June 10, 2011

About Kroll Bond Rating Agency

KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).

FinanceLoansCMBS Contact: Kroll Bond Rating Agency, Inc.
Analytical Contacts:

Michael McGorty, (646) 731-2393

mmcgorty@kbra.com

or

Michael Brown, (646) 731-2307

mbbrown@kbra.com

or

Ken Kor, (646) 731-2339

kkor@kbra.com

or

Robin Regan, (646) 731-2358

rregan@kbra.com

or

Follow us on Twitter!
@KrollBondRating […]

Kroll Bond Rating Agency Assigns Preliminary Ratings to Hyatt Hotel Portfolio Trust 2015-HYT

NEW YORK–(BUSINESS WIRE)–

Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of preliminary ratings to the Hyatt Hotel Portfolio Trust 2015-HYT transaction (see ratings list below). Hyatt Hotel Portfolio Trust 2015-HYT is a CMBS single borrower transaction that is collateralized by a $340.0 million floating rate loan that was originated by JPMorgan Chase Bank, National Association and an affiliate of Goldman Sachs Mortgage Company. The loan has an initial two year term with three, one-year extension options. Proceeds from the mortgage loan, along with $167.0 million of mezzanine financing, $117.7 million of cash equity and a $19.0 million letter of credit contributed by the loan sponsor, were used to facilitate the acquisition of a portfolio of 38 hospitality assets.

The loan is secured by the borrower’s fee simple interests in 35 lodging properties totaling 4,530 keys, as well as the leasehold interest in three assets totaling 420 keys. Twenty-seven of the properties are select-service hotels operated under the Hyatt Place flag. These assets were built between 1990 and 2013, and range in size from 79 to 162 keys. The remaining 11 assets are extended-stay hotels operated under the Hyatt House flag. These assets were built between 1997 and 2010. All of the properties in the portfolio have been renovated since 2007, and a total of $41.0 million ($8,277 per key) has been spent on capital improvements across the portfolio from 2007 to 2014. Over 95% of the collateral properties by ALA are located in markets considered to be primary or secondary by KBRA. The primary market exposure (19.9%) includes two of the ten largest properties by ALA which equates to 9.4% of the portfolio balance. In addition, one of the portfolio’s five largest MSA concentrations is in a primary market, Boston (4.9%).

KBRA’s analysis of the transaction included a detailed evaluation of the properties’ cash flows using our CMBS Property Evaluation Guidelines, and the application of our CMBS Single Borrower & Large Loan Rating Methodology. For the purposes of our analysis, we determined KBRA net cash flow (KNCF) for each asset, and applied KBRA capitalization rates to each property’s KNCF to determine property value. KBRA adjusted this value to give partial credit in the amount of $30.0 million for a capital improvement reserve that was funded at origination. The weighted average variance to the issuer’s NCF was 2.4%, and the weighted average value variance to each property’s third party appraisal values was 34.0%. The analysis produced an aggregate KBRA value of $371.3 million and an in- trust KLTV of 91.6%.

For further details on KBRA’s analysis of the transaction, please see our Pre-Sale Report, entitled Hyatt Hotel Portfolio Trust 2015-HYT, which was published today at www.kbra.com.

The preliminary ratings are based on information known to KBRA at the time of this publication. Information received subsequent to this release could result in the assignment of final ratings that differ from the preliminary ratings.

Preliminary Ratings Assigned: Hyatt Hotel Portfolio Trust 2015-HYT

Class Expected Rating Balance (US$) A AAA(sf) $110,070,000 X-CP AAA(sf) $289,000,000(1) X-EXT AAA(sf) $340,000,000(1) B AA-(sf) $40,130,000 C A-(sf) $29,800,000 D BBB-(sf) $43,000,000 E BB-(sf) $62,100,000 F B-(sf) $54,900,000

(1)Notional balance.

17g-7 Disclosure:

All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report entitled Hyatt Hotel Portfolio Trust 2015-HYT 17g-7 Disclosure Report.

Related publications: (available at www.kbra.com)

CMBS Presale: Hyatt Hotel Portfolio Trust 2015-HYT

CMBS Property Evaluation Guidelines, published June 10, 2011

CMBS Single Borrower & Large Loan Rating Methodology, published February 23, 2012

About Kroll Bond Rating Agency

KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).

BondsFinanceHyatt Hotel Contact: Analytical Contacts:

Laura Wolinsky, (646) 731-2379

lwolinsky@kbra.com

or

Ken Kor, (646) 731-2339

kkor@kbra.com

or

Robin Regan, (646) 731-2358

rregan@kbra.com

or

Michael B. Brown, (646) 731-2307

mbbrown@kbra.com […]

Fitch Affirms CSFB 2006-TFL2

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has affirmed all classes of Credit Suisse First Boston Mortgage Securities Corp., series 2006-TFL2. Fitch’s performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. A detailed list of rating actions follows at the end of this release.

KEY RATING DRIVERS

The affirmations are the result of overall stable performance since Fitch’s last rating action. Under Fitch’s methodology, approximately 58.4% of the pool 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 5%. To determine a sustainable Fitch cash flow and stressed value, Fitch analyzed servicer-reported operating statements and rent rolls, updated property valuations, and recent sales comparisons. Based on improving loan performance as well as greater stability in commercial real estate fundamentals (as compared to the recessionary years), Fitch estimates the average recoveries on the pooled loans will be greater than 80% in the base case.

The transaction on a pooled level is collateralized by three loans, all of which are hospitality assets. The Kerzner Portfolio (75.1%) and NH Krystal Hotel portfolio (8.2%) have loan extensions through 2014. The JW Marriott Starr Pass (16.7%) remains in maturity default. The transaction’s final rated maturity date is October 2021.

The largest loan in the pool is the Kerzner Portfolio, secured by a diverse portfolio of real estate. The main collateral interests consist of: 3,023-key Atlantis Resort and casino, Paradise Island; 600-room all-suite hotel tower, 495-unit condominium hotel; 40 acres of water attractions; 106-key One & Only Ocean Club and 18-hole Ocean Club Golf Course; water treatment and desalinization facility; 63-slip Marina at Atlantis and associated retail at Marina Village.

As of year-end (YE) 2012 the portfolio reported an NCF DSCR of 6.02x for the pooled debt. While operating cash flow for the collateral is below expectations from issuance, YE 2012 net operating income (NOI) had increased 14% from YE 2011. A recent value estimate indicates the collective value of the collateral would result in full repayment of the rated debt. A recent modification of the loan included an extension of the loan’s final maturity for three years through September 2014.

The JW Marriott Starr Pass consists of a 575-room full-service hotel and a 27-hole Arnold Palmer-designed championship golf course, located in Tucson, AZ. The loan has remained in special servicing since its initial transfer for imminent default in April 2010. The loan has underperformed expectations from issuance, and the Tucson hotel market remains soft relative to the recovery experienced by the greater U.S. lodging market. A receiver remains in place at the property after the appointment in late 2011. The special servicer continues to explore a number of avenues in resolution strategy.

The CSFB 2006-TFL2 trust also includes the non-pooled Sava/Fundamental Portfolio. The loan is secured by two portfolios of health care facilities: the Sava Portfolio (86% of allocated loan amount) and the Fundamental Portfolio (14%). The collateral is comprised of over 150 skilled nursing facilities; mixed-use facilities, long-term care hospitals, and assisted living. The properties are located in over 20 states, the largest concentration of which lies in Texas. The loan, which has demonstrated stable performance since issuance, has been in the process of extension, which is expected to close in June. The master servicer is processing the extension.

RATING SENSITIVITIES

The Negative Outlooks on the Sava rake classes SV-H, SV-J, and SV-K are due to uncertainties surrounding federal health care policy and the potential changes that may take place under the current administration. Downgrades are possible with a decline in collateral performance.

No rating changes are anticipated on the classes with stable outlooks. Downgrades to classes rated ‘CCCsf’ are possible with an increase in expected losses.

Fitch affirms the following classes:

–$211.3 million class A-2 at ‘AAAsf’; Outlook Stable;

–$41 million class B at ‘AAAsf’; Outlook Stable;

–$41 million class C at ‘AAAsf’; Outlook Stable;

–$33 million class D at ‘AAsf’; Outlook Stable;

–$25 million class E at ‘Asf’; Outlook Stable;

–$19 million class F at ‘BBB-sf’; Outlook Stable;

–$19 million class G at ‘BBsf’; Outlooks Stable;

–$19 million class H at ‘CCCsf’; RE 100%;

–$20 million class J at ‘CCCsf’; RE 100%;

–$22 million class K at ‘CCCsf’; RE 100%;

–$16.1 million class L at ‘Dsf’; RE 95%;

–$56.2 million class KER-A at ‘A-sf’; Outlook Stable;

–$40 million class KER-B at ‘BBBsf’; Outlook Stable;

–$35 million class KER-C at ‘BBBsf’; Outlook Stable;

–$43.1 million class KER-D at ‘BBB-sf’; Outlook Stable;

–$43.5 million class KER-E at ‘BBsf’; Outlook Stable;

–$57.8 million class KER-F at ‘CCCsf’; RE 100%;

–$3.1 million class NHK-A at ‘CCCsf’; RE 100%.

Fitch affirms the following classes, which are non-pooled components of the trust, revises Outlooks as indicated:

–$375.7 million class SV-A1 at ‘AAAsf’; Outlook Stable;

–$126 million class SV-A2 at ‘AAAsf’; Outlook Stable;

–$61 million class SV-B at ‘AA+sf’; Outlook Stable;

–$31 million class SV-C at ‘AAsf’; Outlook Stable;

–$31 million class SV-D at ‘AA-sf’; Outlook Stable;

–$30 million class SV-E at ‘A+sf’; Outlook Stable;

–$31 million class SV-F at ‘Asf’; Outlook Stable;

–$30 million class SV-G at ‘A-sf’; Outlook Stable;

–$54 million class SV-H at ‘BBB+sf’; Outlook to Negative from Stable;

–$34 million class SV-J at ‘BBBsf’; Outlook to Negative from Stable;

–$39 million class SV-K at ‘BBsf’; Outlook to Negative from Stable.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ (May 24, 2013);

–‘Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions’ (Sept. 21, 2012).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661

Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=688831

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=794849

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Contact:

Fitch Ratings

Primary Analyst

Chris Bushart, +1 212-908-0606

Senior Director

Fitch Ratings, Inc.

One State Street Plaza

New York, NY 10004

or

Committee Chairperson

Mary MacNeill, +1 212-908-0785

Managing Director

or

Media Relations:

Sandro Scenga, +1 212-908-0278

sandro.scenga@fitchratings.com […]

Fitch Affirms Malibu Loan Fund, Ltd.

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has affirmed the $57,200,500 of notes issued by Malibu Loan Fund, Ltd. (Malibu) at ‘CCCsf’.

The affirmation reflects Fitch’s analysis of both the market value (MV) and the credit risk of the portfolio. Given the exposure to both risks, the tranches are generally rated to the lower of the two indicative levels.

The notes’ rating was primarily determined by comparing the credit risk of the portfolio to the current credit enhancement available to the notes. The credit risk of the portfolio was analyzed using the Portfolio Credit Model (PCM), as described in Fitch’s Corporate CDO criteria. PCM projects the portfolio’s loss rates (due to default and recovery) that may be experienced under various rating stresses. The credit enhancement of the notes, which measures the amount of realized losses that can occur before the notes are undercollateralized, was then compared to the PCM’s loss rates. Based on Fitch’s PCM analysis, the credit enhancement to the notes of approximately 4.2% falls below the portfolio’s ‘CCCsf’ rating loss rate. Due to the presence of excess spread in the transaction and the manager’s ability to infuse cash into the transaction, however, Fitch views the credit risk to be consistent with a ‘CCCsf’ rating.

The MV risk was analyzed by comparing the distance-to-trigger (DTT) metric of 11.7% to advance rate (AR) ranges, which is in line with a ‘B’ stress. As of the trustee report dated Dec. 31, 2012, the net collateral value (NCV) of the eligible collateral account was reported to be approximately $69.2 million. The NCV is equal to the sum of the MV of the eligible collateral and the unrealized MV gains or losses of the reference portfolio. The DTT metric indicates the price decline stress that would occur before triggering a termination event, which occurs when the NCV falls below $27 million (the termination threshold). The trigger is structured ‘inside the tranche’, such that the transaction may unwind with a substantial loss to the rated notes if breached.

The AR ranges are based on Fitch’s analysis of the market dislocation experienced in 2007-2008, and represent a peak-to-trough decline. The worst case peak-to-trough price decline observed in loans during that timeframe was approximately 15%, which Fitch viewed as a ‘BB’ stress. Fitch’s analysis of the MV risk begins with a categorization of portfolio loan assets based on the seniority level of the loan and/or their market price, which is then used to determine the AR thresholds under various rating stresses. A senior secured first lien loan priced above 85% of par would be classified as Category 2, and the AR applied to a Category 2 asset under a ‘BB’ stress would be 85%. A covenant-light loan or a loan that is priced between 70% and 85% of par would be classified as Category 3, in which an AR of 73% would apply in a ‘BB’ stress.

A loan that is priced below 70% of par would be classified as Category 4, and an AR of 51% would apply in a ‘BB’ stress. Fitch also assumed that price declines under a ‘B’ stress would be approximately half of the observed ‘BB’ stress, implying that the price decline for a Category 2 asset would be approximately 7.5%. Therefore, the ARs for Category 2, 3, and 4 assets would be 92%, 85% and 75%, respectively, under a ‘B’ stress. This analysis is further supplemented in Fitch’s May 2008 commentary, ‘Fitch Update: Application of Revised Market Value Structure Criteria to TRR CLOs’.

Based on Fitch’s classification of the portfolio assets, Malibu’s portfolio is composed of the following:

–83.6% Category 2 assets;

–14.8% Category 3 assets;

–1.6% Category 4 assets.

The weighted average AR of the current portfolio (as of the Dec. 31, 2012 trustee report) is approximately 90.7% under a ‘B’ stress, which corresponds to an MV decline of 9.3%. Based on Fitch’s classification of the assets, the DTT of 11.7% falls within Fitch’s ‘B’ stress for the structure. In addition, sensitivity to MV risk still remains high, as the amount of long-dated assets is 25.2%. The increased exposure to long-dated assets implies potential MV risk upon the maturity of the program.

The manager has made multiple infusions of cash collateral to increase Malibu’s cushion to its distribution threshold – a mechanism that traps excess spread generated from the reference portfolio to invest in additional collateral. The manager had injected amounts up to approximately $165.3 million in cash on multiple occasions to avoid breach of the distribution threshold during the credit crisis.

Malibu Loan Fund, Ltd. is a synthetic total rate of return collateralized loan obligation (CLO) with an MV termination trigger. The transaction closed on Sept. 30, 2005 and is managed by Aegon USA Investment Management. The notes began to experience negative net asset value coverage in 2008, but subsequently benefited from cash infusions which were designed to increase the distance to the distribution and termination thresholds. In May 2012, the transaction was amended and the maximum permitted aggregate notional amount of Malibu Loan Fund was lowered from $700 million to $400 million, in addition to lowering the rated note balance from $110.8 million to $57 million. The transaction remains in its reinvestment period until November 2014.

Additional information is available at ‘www.fitchratings.com‘. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.

The information used to assess these ratings was sourced from the periodic trustee reports, note valuation reports, and the public domain.

Applicable Criteria & Related Research:

–‘Rating Market Value Structures’ (Aug. 15, 2012);

–‘Global Structured Finance Rating Criteria’ (June 6, 2012);

–‘Global Rating Criteria for Corporate CDOs’ (Aug. 8, 2012);

–‘Fitch Update: Application of Revised Market Value Structure Criteria to TRR CLOs’ (May 15, 2008).

Applicable Criteria and Related Research:

Global Rating Criteria for Corporate CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=683910

Rating Market Value Structures

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=686102

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE.

Contact:

Fitch Ratings

Primary Surveillance Analyst

Shashi Srikantan

Director

+1-212-908-0393

Fitch, Inc.

One State Street Plaza

New York, NY 10004

or

Committee Chairperson

Derek Miller

Senior Director

+1-312-368-2076

or

Media Relations:

Sandro Scenga, +1-212-908-0278 (New York)

sandro.scenga@fitchratings.com […]

Fitch Affirms Pooled Classes of COMM 2006-FL12

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has affirmed the pooled classes and upgraded five nonpooled classes of COMM Mortgage Trust 2006-FL12. Fitch’s performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. A detailed list of rating actions follows at the end of this release.

Despite having a modified pro rata pay structure, credit enhancement for more senior classes will continue to benefit from loan payoffs and dispositions. Classes A-1, A-2, and A-J receive 85% of any payoffs or principal proceeds on non-defaulted loans (paid sequentially). In addition, the transaction has loan-level sequential pay triggers. As of the July 2012 remittance, the trustee reported that the following remaining loans were deemed to have had a sequential paydown event: Four Seasons Hualalai, Albertsons (Newkirk) Portfolio, and Embassy Suites Lake Buena Vista. Both structural features result in increased credit enhancement to senior classes. The Positive Outlooks on classes B and C are attributable to future anticipated increases in credit enhancement.

Under Fitch’s methodology, approximately 70% of the pool 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 14.3% from generally year-end 2011 servicer-reported financial data, or from recent appraised values. To determine a sustainable Fitch cash flow and stressed value, Fitch analyzed servicer-reported operating statements and rent rolls, updated property valuations, and comparisons with properties’ competitive sets. Fitch estimates full recoveries on the pooled loans in the base case.

The transaction is collateralized by nine loans, which includes four secured by primarily hotels (62.5% of the total trust balance), one by a multifamily property (15.5%), two by office properties (14%), and two by retail properties (8%).

The transaction faces significant near-term maturity risk. Two loans (17.6% of the total trust balance), Albertsons (Newkirk) Portfolio and Four Seasons Hualalai, defaulted in August 2011 and June 2012, respectively, after failing to pay off at their final maturities. Another 45.5% of the loans will reach their modified/extended maturities through the end of 2013. Finally, the Kerzner International Portfolio (36.9%) was extended through September 2014. The transaction’s rated final maturity date is December 2020.

As of the July 2012 remittance, seven loans (94.8%) were in special servicing. Of the specially serviced loans, five loans (75.7%) are performing in accordance with their modified loan terms, while two loans (19.1%) are in default.

The largest defaulted loan is the Four Seasons Hualalai, which is primarily secured by a 243-key luxury resort hotel located on the Kona-Kohala Coast of Ka’upulehu-Kona, HI. Additional collateral includes several residential lots within the Hualalai residential community and the Hualalai Golf Club. The loan was structured with an initial maturity of June 9, 2008, with four one-year extension options. The borrower recently defaulted at its June 8, 2012 final maturity. Despite the default, recent performance of the hotel has improved. For the trailing 12 months ended April 30, 2012, occupancy, ADR, and RevPAR were 78.9%, $875, and $691, compared with 65.7%, $872, and $573 for the same period last year. The special servicer is currently reviewing the borrower’s request for an extension.

The second largest defaulted loan is the Albertsons (Newkirk) Portfolio, which was originally secured by 50 anchor boxes located across 15 states, totaling 2.4 million sf. Since issuance, four properties have been released, totaling 217,577 square feet. The portfolio is triple-net leased to various grocer tenants, primarily consisting of Albertsons (officially New Albertson’s, Inc., rated ‘CCC’ by Fitch). The loan was structured with an initial maturity of Aug. 9, 2008, with three one-year extension options. The borrower defaulted at its Aug. 9, 2011 final maturity. All cash flow is being trapped and post-maturity payments are being applied while the special servicer works to resolve the loan or dispose of the assets.

Fitch upgrades the following classes and revises Rating Outlooks and Recovery Estimates (REs) as indicated:

–$66.4 million class KR1 to ‘BBB-sf’ from ‘BBsf’; Outlook to Stable from Negative;

–$20.7 million class KR2 to ‘BBsf’ from ‘Bsf’; Outlook to Stable from Negative;

–$6.5 million class FSH1 to ‘CCCsf’ from ‘CCsf’; RE 100%;

–$8.7 million class FSH2 to ‘CCCsf’ from ‘CCsf’; RE 100%;

–$9.1 million class FSH3 to ‘CCCsf’ from ‘CCsf’; RE 100%.

Fitch affirms the following classes and revises Rating Outlooks and REs as indicated:

–$237 million class A-2 at ‘AAAsf’; Outlook Stable;

–$507 million class A-J at ‘AAAsf’; Outlook Stable;

–$85.3 million class B at ‘AA+sf’; Outlook Positive;

–$59.9 million class C at ‘AA+sf’; Outlook Positive;

–$66.1 million class D at ‘AAsf’; Outlook Stable;

–$49.2 million class E at ‘AA-sf’; Outlook Stable;

–$49.2 million class F at ‘Asf’; Outlook Stable;

–$46.9 million class G at ‘BBBsf’; Outlook Negative;

–$29.2 million class H at ‘BBsf’; Outlook Negative;

–$24.6 million class J at ‘Dsf’; RE 65%;

–$58.5 million class KR3 at ‘CCCsf’; RE 100%;

–$5.6 million class IP1 at ‘BBB+sf’; Outlook Negative;

–$9.3 million class IP2 at ‘BBBsf’; Outlook Negative;

–$9.1 million class IP3 at ‘CCCsf’; RE 75%;

–$7.1 million class CN1 at ‘BBBsf’; Outlook Stable;

–$4.9 million class CN2 at ‘BBBsf’; Outlook Stable;

–$4.8 million class CN3 at ‘BBB-sf’; Outlook Stable;

–$5.3 million class AN3 at ‘CCCsf’; RE 100%;

–$4.2 million class AN4 at ‘CCCsf’; RE 100%;

–$2.4 million class LS1 at ‘BBsf’; Outlook to Stable from Positive;

–$2.6 million class LS2 at ‘Bsf’; Outlook to Stable from Positive;

–$2.5 million class LS3 at ‘CCCsf’; RE 100%;

–$5 million class FG1 at ‘BBsf’; Outlook Stable;

–$5.2 million class FG2 at ‘BBsf’; Outlook Stable;

–$3.7 million class FG3 at ‘Bsf’; Outlook Stable;

–$4.7 million class FG4 at ‘Bsf’; Outlook Stable;

–$6.1 million class FG5 at ‘CCCsf’; RE 100%;

–$1.7 million class ES1 at ‘Bsf’; Outlook Negative;

–$1.6 million class ES2 at ‘CCCsf’; RE 0%;

–$1.4 million class ES3 at ‘CCCsf’; RE 0%;

–$1.2 million class TC1 at ‘BBsf’; Outlook Stable;

–$1 million class TC2 at ‘BBsf’; Outlook Stable.

Fitch withdraws its ratings on classes HDC1, LB1, LB2, and LB3, which have had their balances reduced to zero due to principal paydown and realized losses. The corresponding assets, Hotel Del Coronado and Legacy Bayside Business Park, have been disposed of. The classes were previously rated ‘Dsf’ as a result of incurring principal losses.

The following classes originally rated by Fitch have paid in full: A-1, CA2, CA3, CA4, SR1, MSH1, MSH2, MSH3, MSH4, AH1, AH2, AH3, AH4, CM1, and CM2. In addition, Fitch previously withdrew its ratings on the interest-only classes X-1, X-2, X-3-BC, X-3-DB, X-3-SG, X-4, X-5-BC, X-5-DB, and X-5-SG.

Fitch does not rate the nonpooled classes CA1, AN1, and AN2.

Additional information is available at ‘www.fitchratings.com‘. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ (June 6, 2012);

–‘Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions’ (Dec. 1, 2011);

–‘Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions’ (Sept. 26, 2011).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=657734

Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=651703

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE.

Contact:

Fitch Ratings

Primary Analyst

Scott Pritchard, +1-212-908-9141

Director

Fitch, Inc.

One State Street Plaza

New York, NY 10004

or

Committee Chairperson

Mary MacNeill, +1-212-908-0785

Managing Director

or

Media Relations

Sandro Scenga, +1-212-908-0278

sandro.scenga@fitchratings.com […]