Fitch Ratings has upgraded one class and affirmed three classes of Nomura Asset Securities Corp.'s commercial mortgage pass-through certificates, series 1998-D6. A detailed list of rating actions follows at the end of this press release.
KEY RATING DRIVERS
The upgrade is due to increased credit enhancement, defeasance, and continued paydown. Fitch modeled losses of 9.5% of the remaining pool; expected losses on the original pool balance total 2.6%, including $87.5 million (2.3% of the original pool balance) in realized losses to date. Fitch has designated eight loans (27.1%) as Fitch Loans of Concern; there are no specially serviced loans.
As of the December 2014 distribution date, the pool's aggregate principal balance has been reduced by 97.1% to $108.3 million from $3.72 billion at issuance. Per the servicer reporting, 13 loans (56.1% of the pool) are defeased , the remaining loans are retail (76.7%) and industrial properties (10.7%) located in secondary or tertiary markets with 27.9% exposed to various Cinemark locations and 25.5% exposed to CarMax. Interest shortfalls are currently affecting classes B-4 through B-7H.
RATING SENSITIVITY
Rating Outlooks on classes B-2 and B-3 remain Stable. Class B-2 remains Stable as it is anticipated the class will pay down in full next remittance date. The Rating Outlook on class B-3 is Stable as affirmations are expected due to the likelihood of a full principal recovery. No further upgrades to class B-3 is warranted at this time given that the class has experienced interest shortfalls previously as well as the remote potential for interest shortfalls in the future. According to Fitch's global criteria for rating caps, Fitch will not assign or maintain 'AAAsf' or 'AAsf' ratings for notes that it believes have a high level of vulnerability to interest shortfalls or deferrals, even if permitted under the terms of the documents (for more details please see the full report titled 'Criteria for Rating Caps and Limitations in Global Structured Finance Transactions', dated May 28, 2014, at www.fitchratings.com).
Fitch upgrades the following class as indicated:
--$37.2 million class B-3 to 'Asf' from 'BBBsf'; Outlook Stable.
Fitch affirms the following classes as indicated:
--$286,151 class B-2 at 'Asf'; Outlook Stable;
--$5.6 million class B-5 at 'Dsf'; RE 0%;
--$0 class B-6 at 'Dsf'; RE 0%.
The class A-1A, A-1B, A-1C, A-2, A-3, A-4 and A-5 certificates have paid in full. Fitch does not rate the class B-1, B-4, B-7 and B-7H certificates. Fitch previously withdrew the rating on the interest-only class PS-1 certificates.
Additional information on Fitch's criteria for analyzing U.S. CMBS transactions is available in the Dec. 10, 2014 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
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (Aug. 4, 2014);
--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (Dec. 10, 2014).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=812608
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=963956
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