Fitch Ratings has downgraded three classes and affirmed one class
The Rating Outlook on class B has been revised to Stable from Negative. A Negative Outlook was assigned to class C following the downgrade. Classes A-1, A-2 and the interest-only class X-A are paid in full.
RATING ACTIONS
Entity / Debt
Rating
Prior
A-2 36197QAC3
LT
PIFsf
Paid In Full
AAAsf
B 36197QAG4
LT
AAsf
Affirmed
AAsf
C 36197QAJ8
LT
BB-sf
Downgrade
Asf
D 36197QAL3
LT
CCCsf
Downgrade
BBsf
DM 36197QAN9
LT
CCCsf
Downgrade
Bsf
X-A 36197QAE9
LT
PIFsf
Paid In Full
AAAsf
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VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Decline in Performance of Remaining Asset; Refinance Risk: The downgrades and Negative Outlook are the result of a sustained decline in performance of the remaining asset,
Fitch's net cash flow (NCF) was
Fitch applied a 13% cap rate in its analysis, consistent with comparable properties and given the outlook for regional malls, the current performance and concerns with refinancing. The cap rate is an increase from a 10% cap rate modeled in prior rating actions. The Fitch debt service coverage ratio (DSCR) and loan to value (LTV) for the remaining loan, inclusive of the B-note, is 0.65x and 144%, respectively.
The transaction collateral consists of one mortgage loan secured by a 343,910-sf portion of the 1.04-million-sf
Comparable in-line sales were
There are four non-collateral anchor tenants at the
The loan's scheduled maturity is in
Paydown and Amortization: The transaction has experienced significant paydown due to the payoff of two of the three loans,
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
Factors that could lead to downgrades for the remaining classes include if mall occupancy does not stabilize and cash flow deteriorates and/or the loan is not able to refinance or extend with favorable terms for recovery.
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:
Upgrades are currently not expected given Fitch's concern with the upcoming loan maturity but are possible with significant and sustained occupancy and cash flow improvements. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls, which could occur if the remaining loan were to become delinquent.
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
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
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