Fitch downgrades COMM 2012-CCRE4 | MarketScreener

Fitch Ratings downgraded one and confirmed nine classes of Deutsche Bank Securities, Inc. COMM 2012-CCRE4 Commercial Mortgage Transfer Certificates, Series 2012-CCRE4.

The rating outlook for two classes has been revised from stable to negative.

RATING ACTIONS

Entity / Debt

Evaluation

Prior

COMM 2012-CEMR4

A-3 12624QAR4

LT

AAAsf

asserted

AAAsf

AM 12624QAT0

LT

A-sf

asserted

A-sf

A-SB 12624QAQ6

LT

AAAsf

asserted

AAAsf

B 12624QBA0

LT

CCCsf

Downgrade

B-sf

C 12624QAC7

LT

csf

asserted

csf

D12624QAE3

LT

fsd

asserted

fsd

E 12624QAG8

LT

fsd

asserted

fsd

F 12624QAJ2

LT

fsd

asserted

fsd

XA 12624QAS2

LT

A-sf

asserted

A-sf

Page

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SEE ADDITIONAL ASSESSMENT DETAILS

KEY SCORING FACTORS

High loss expectations: Fitch’s loss expectations are high due to expected losses on the remaining shopping center asset in the pool, the Eastview Shopping Center and municipalities. The downgrade reflects refinancing concerns related to the large total outstanding debt of $210 millionwhose $120 million was contributed to this operation, and the upcoming maturity in September 2022.

Fitch’s analysis included a reimbursement scenario assuming that Eastview Shopping Center and Commons is the last remaining loan in the pool. In addition, higher expected losses have been applied across the pool to address the majority of maturing loans this year. Fitch identified four loans (21.1%) as Fitch Loans of Concern (FLOC) with no special management loans.

Fitch’s current ratings incorporate a benchmark loss of 11.20%. The stable outlook on the investment classes reflects the expectation of repayment of the pool’s performing loans maturing this year given their performance and low leverage, while the distressed classes consider the potential for loss of the Eastview Shopping Center and Commons loan.

Mall of Concern/Largest Contributor to Lose: The largest FLOC and largest contributor to loss is the Eastview Shopping Center and Commons (17.8% of the pool). It is secured by 802,636 square feet of a regional mall and a 1.7 million square foot retail center at Victor, NY. The loan, which is sponsored by Wilmorite Propertieshad previously been transferred to special duty in May 2020 due to the distress of the pandemic, but was later updated and returned to the repair master in July 2020. The loan has remained outstanding since returning to the repair master.

The net operating income (NOI) reported by the YE 2021 server was 6% lower than YE 2020 and 33% lower than the show. Collateral occupancy and manager-reported NOI debt service coverage ratio (DSCR) for this OI loan was 79% and 1.44x at YE 2021, compared to 83% and 1.52x at YE 2020, 90% and 1.81x to YE 2019 and 94% and 2.19x on issue.

Not collateral sear closed in the fourth quarter of 2018 and not collateral Lord and Taylor closed in the first quarter of 2021. The former non-collateral sear the space was filled by Dick’s new experiential concept, Dick’s Sports House, which includes a climbing wall, a high-tech batting cage, virtual golf stations and a 17,000 square foot outdoor turf pitch and running track to host sporting events that can be used as an outdoor ice rink. winter. The mall part is anchored by non-guarantees JCPenneynot collateral Macy’s and Von Maur non-collateral, and the power center portion is anchored by Home Depot non-collateral and Target non-collateral. The largest collateral tenant is Regal Cinemas, which leases approximately 9.4% of net leasable area per February 2026.

Fitch’s base case loss expectation of 55% reflects a 15% cap rate on NOI YE 2021 and represents impending performance and rollover issues. The loan interest rate is 4.625%.

Increased credit enhancement (CE) offset by higher realized losses: CE has increased since issuance due to amortization and loan repayments, with 39.1% of the original pool balance repaid. Additionally, 27.3% of the pool was defeated. Since origination, 16 loans have been liquidated, contributing to realized losses of $102.9 million affecting classes D through G. Interest shortfalls are also currently affecting classes D through G.All loans are maturing this year, with 23.9% of the pool maturing in the third quarter and 76.1% in the fourth quarter.

Since the previous rating action, the emerald square loan, which was secured by 564,501 square feet of a 1.02 million square foot regional shopping center in North Attleboro, MA, was eliminated with a high loss. The loan was subject to special service prior to liquidation and was settled with losses of $24.9 million reflecting a loss severity of 62.3% based on the original loan balance. The rally was below valuation values ​​at the time of the review, but was within the range of Fitch’s sensitivity analysis, which reflected regional mall refinancing concerns and continued underperformance. In addition, the prior liquidation of the Las Vegas fashion outletswhich was previously the third largest loan in the pool, contributed to the losses of the lower classes.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to a negative rating action/downgrade:

Downgrades to “AAAsf” rated categories are not likely due to senior positions in the capital structure and the expected imminent repayment of the majority of the pool maturing in the coming months.

Downgrades to “A-sf” category, although unlikely, would occur if overall pool losses increase, with loans failing to repay on their respective due dates and the remaining mall assets suffering outsized losses beyond that. current estimates. The distressed “Csf” and “CCCsf” rating categories would be downgraded as losses became more certain or realized.

Fitch has identified both a baseline scenario and a worse-than-expected negative stagflation scenario, based on the fallout from the Russia–Ukraine war where growth is much weaker in a context of rising inflation and interest rates; even if the adverse scenario were to materialize, Fitch expects virtually no impact on ratings performance, indicating very few ratings or outlook changes. However, for some transactions with concentrations of underperforming retail exposures, the impact on ratings may be slight to modest, indicating some shifts in ratings from below investment grade.

Factors that could, individually or collectively, lead to positive rating action/improvement:

Factors that could lead to upgrades would include stable to improved asset performance coupled with redemption and/or defeasance. Upgrades from Investment Grade rated categories would occur with significant improvement in CE and/or defeasance. Classes would not be upgraded above “Asf” if there is a probability of interest shortfall.

Upgrades to the “CCCsf” and “Csf” rating categories are not likely to reflect the risks associated with loans that cannot be refinanced at maturity and the uncertainty of losses for the Eastview Shopping Center and the Communes loan remaining in the pool.

Best/Worst Case Evaluation Scenario

Global credit ratings of structured finance transactions have a best-case upgrade scenario (defined as the 99th percentile of rating transitions, measured in the positive direction) of seven notches over a three-year rating horizon ; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured negatively) of seven notches over three years. The full range of best-case and worst-case credit ratings for all rating categories ranges from “AAAsf” to “Dsf”. Worst case and worst case credit ratings are based on historical performance. For more information on the methodology used to determine industry-specific best-case and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.