Fitch Ratings has downgraded all classes of
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
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:
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
Increased Credit Enhancement Offset by Pool Concentration: As of the
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
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.
Structured Finance and Covered Bonds Counterparty Rating Criteria (pub.
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