The largest contributor to expected losses is the REO asset, Montclair Plaza (5.9% of the pool), which is a 1.4 million square foot regional mall located in Montclair, CA, approximately 30 miles east of Los Angeles anchored by Nordstrom, Macy's, JC Penney and Sears. As of year-end (YE) 2012, the property was 80.8% occupied with debt service coverage ratio (DSCR) of 1.19x. The asset is REO and the servicer is holding the asset until market conditions improve prior to sale.
The next largest contributor to expected losses is the REO asset, Four Seasons Resort and Club - Dallas, TX (5.5%), which is a full-service hotel property located in Irving, TX. Property performance has declined as NOI decreased 21% from YE2011 to YE2012. DSCR has also decreased to 0.55x at YE2012 from 0.67x at YE2011. The strategy for resolution is to hold the asset until property renovations are complete and market conditions improve.
The third largest contributor to expected losses is The Gas Company Tower loan (7.2%), which is secured by a 1.3 million sf class A office building located in downtown Los Angeles, CA. Performance of the property declined with the 5th largest tenant (7.9%) vacating at lease expiration in November 2011 and the largest tenant, Southern California Gas (31.4%), downsizing its space and renewing at a reduced rate. As of June 2012, occupancy for the property was 81% with DSCR of 0.92x.
In total, there are currently 25 loans (20.2%) in special servicing which consists of five loans (1.7%) in foreclosure, two loans (0.4%) that are 60 days delinquent, 15 loans (16.9%) that are REO, 1 loan (0.8%) that is current and two loans (0.4%) that are non-performing matured balloon loans.
At Fitch's last review there were 33 loans (21.5%) in special servicing which consists of seven loans (2.6%) in foreclosure, two loans (0.2%) that were 90 days delinquent, 21 loans (16.9%) that were REO, two loans (1.4%) that were current and one loan (0.2%) that was a non-performing matured balloon loan.
Fitch downgrades the following classes and revises Recovery Estimates (REs) as indicated:
--$359.5 million class A-M to 'BBB-sf' from 'AAAsf', Outlook Negative;
--$278.6 million class A-J to 'CCCsf' from 'Bsf', RE 55%;
--$58.4 million class C to 'CCsf' from 'CCCsf', RE 0%;
--$31.5 million class D to 'Csf' from 'CCsf', RE 0%;
--$6.1 million class O to 'Dsf' from 'Csf', RE 0%.
Fitch affirms the following classes as indicated:
--$241.6 million class A-2 at 'AAAsf', Outlook Stable;
--$140.2 million class A-PB at 'AAAsf', Outlook Stable;
--$215 million class A-3 at 'AAAsf', Outlook Stable;
--$802.2 million class A-4 at 'AAAsf', Outlook Stable;
--$522.5 million class A-1A at 'AAAsf', Outlook Stable;
--$250 million class A-4FL at 'AAAsf', Outlook Stable;
--$22.5 million class B at 'CCCsf', RE 0%;
--$49.4 million class E at 'Csf', RE 0%;
--$40.4 million class F at 'Csf', RE 0%;
--$40.4 million class G at 'Csf', RE 0%;
--$40.4 million class H at 'Csf', RE 0%;
--$44.9 million class J at 'Csf', RE 0%;
--$18 million class K at 'Csf', RE 0%;
--$9 million class L at 'Csf', RE 0%;
--$13.5 million class M at 'Csf', RE 0%;
--$4.5 million class N at 'Csf', RE 0%;
--Class P at 'Dsf', RE 0%.
The class A-1 certificates have paid in full. Fitch does not rate the class Q and FS certificates. Fitch previously withdrew the rating on the interest-only class IO certificate.
The FS class is associated with the Four Seasons Resort & Club - Dallas loan which is not rated by Fitch.
Additional information on Fitch's criteria for analyzing U.S. CMBS transactions is available in the Dec. 18, 2012 report, 'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria', which is available at 'www.fitchratings.com' under the following headers:
Structured Finance >> CMBS >> Criteria Reports