Fitch Ratings has downgraded all classes of Cantor Commercial Real Estate (CFCRE) Commercial Mortgage Trust 2011-C2 commercial mortgage pass-through certificates.

Class D was downgraded to 'BBsf' from 'BBB+sf' and assigned a Stable Rating Outlook. Class E was downgraded to 'CCCsf' from 'B-sf'/Negative. Class F and G were downgraded to 'Csf' from 'CCsf.'

RATING ACTIONS

Entity / Debt

Rating

Prior

CFCRE 2011-C2

D 12527DAF7

LT

BBsf

Downgrade

BBB+sf

E 12527DAG5

LT

CCCsf

Downgrade

B-sf

F 12527DAH3

LT

Csf

Downgrade

CCsf

G 12527DAJ9

LT

Csf

Downgrade

CCsf

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VIEW ADDITIONAL RATING DETAILS

KEY RATING DRIVERS

Continued High Loss Expectations; Higher Certainty of Loss: Despite significant paydown since the prior rating action, the downgrades reflect higher expected losses on the one remaining asset: RiverTown Crossings, a 635,769-sf of a 1.3 million-sf regional mall in Grandville, MI. The loan, which is sponsored by Brookfield Property Retail Group, transferred to special servicing in October 2020. The loan did not pay off at its June 2021 maturity. A cash management account is trapping excess cash. The property is being dual tracked for foreclosure, while the borrower and lender continue to discuss possible workout solutions.

Fitch's base case loss is 56%, implying a 32% cap rate on the YE 2019 NOI, and 18% on YE 2021 NOI. Given the pool concentration, Fitch performed a liquidation analysis, which considered the recovery and loss expectations on the remaining underperforming regional mall asset.

The mall is anchored by three non-collateral tenants: Macy's, JCPenney and Kohl's. Non-collateral Sears closed in January 2021 and non-collateral Younkers closed in 2018. The collateral anchors are Dick's, (14.4% net rentable area [NRA] through January 2025) and Celebration Cinemas, (13.6% through December 2024). Collateral occupancy was 93% as of YE 2021 compared with 86% at YE 2020 and 93% as of March 2019.

Servicer-reported NOI debt service coverage ratio (DSCR) was 1.01x at YE 2021 down from 1.51x at YE 2020 and 1.82x at YE 2019. In-line tenant sales were $301 psf at YE 2020, down from $361 psf for the TTM ended March 2020; sales for 2021 were requested but not received. Near term rollover includes 12% NRA in 2022 and 2023.

Increased Credit Enhancement Offset by Pool Concentration: As of the June 2022 distribution date, the pool's aggregate principal balance has been reduced by 89% to $83.6 million from $774.1 billion at issuance. Since the last rating action, six loans ($45.3 million) paid off in full. The sole remaining asset is specially serviced.

RATING SENSITIVITIES

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

Sensitivity factors that lead to downgrades include an increase in expected losses from the remaining specially serviced loan. Further downgrades to the distressed classes would occur as losses become more certain.

Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes.

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

Although upgrades are not expected, factors that could lead to upgrades would include improved performance or valuation of RiverTown Crossings.

Upgrades to the distressed classes are possible should the lender and borrower reach a resolution and recovery expectations increase. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls.

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

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch 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

CFCRE 2011-C2 has an ESG Relevance Score of '4' for Exposure to Social Impacts due to exposure to an underperforming regional mall due to changes in consumer preferences, which has a negative impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors.

Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg.

Additional information is available on www.fitchratings.com

PARTICIPATION STATUS

The rated entity (and/or its agents) or, in the case of structured finance, one or more of the transaction parties participated in the rating process except that the following issuer(s), if any, did not participate in the rating process, or provide additional information, beyond the issuer's available public disclosure.

APPLICABLE CRITERIA

Global Structured Finance Rating Criteria (pub. 26 Oct 2021) (including rating assumption sensitivity)

Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 04 Nov 2021)

North America and Asia-Pacific Multiborrower CMBS Surveillance Criteria (pub. 09 Apr 2022) (including rating assumption sensitivity)

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