Fitch Ratings has affirmed 12 classes of
RATING ACTIONS
ENTITY/DEBT RATING PRIOR
A-J 46628FAN1
LT Csf Affirmed Csf
B 46628FAP6
LT Csf Affirmed Csf
C 46628FAQ4
LT Csf Affirmed Csf
D 46628FAR2
LT Csf Affirmed Csf
E 46628FAS0
LT Csf Affirmed Csf
F 46628FAU5
LT Dsf Affirmed Dsf
G 46628FAW1
LT Dsf Affirmed Dsf
H 46628FAY7
LT Dsf Affirmed Dsf
J 46628FBA8
LT Dsf Affirmed Dsf
K 46628FBC4
LT Dsf Affirmed Dsf
L 46628FBE0
LT Dsf Affirmed Dsf
M 46628FBG5
LT Dsf Affirmed Dsf
VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Significant REO Composition;
The largest asset is the Westfield Centro Portfolio (76.2%). The loan, which was originally secured by a portfolio of five retail centers totaling 2.4 million square feet, was transferred to special servicing in
The ultimate timing and disposition strategies of all the REO assets remain uncertain at this time.
Minor Improvement in Credit Enhancement: Credit enhancement has increased slightly since Fitch's last rating action due to the full repayment of two loans totaling
Coronavirus Exposure: Given the number of REO assets, Fitch expects the coronavirus to have limited effect on property level performance. However, the economic slowdown associated with the virus may hinder the ability of several properties to re-lease and may delay any disposition plans.
RATING SENSITIVITIES
The affirmations at distressed rating levels reflect the classes' reliance on proceeds from REO assets. The disposition of these assets is expected to generate significant losses and impact all of the remaining classes.
Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade:
Sensitivity factors that lead to upgrades would include stable to improved asset performance. Upgrades are considered unlikely given the pool's concentration of REO assets. Upgrades would occur if the REO assets are liquidated with significantly higher recoveries than expected. Upgrades to the 'Dsf' rated classes are not possible; these classes have previously incurred principal losses.
Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade:
Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the distressed classes are possible as losses materialize and credit enhancement becomes eroded.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a 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 in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation to this rating action.
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
ESG CONSIDERATIONS
The highest level of ESG credit relevance, if present, is a score of 3. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity(ies), either due to their nature or to the way in which they are being managed by the entity(ies). For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg.
Additional information is available on www.fitchratings.com
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