Fitch Ratings has affirmed 13 classes of
In addition, the Rating Outlooks on classes D, E, X-D and X-E were revised to Negative from Stable. The Rating Outlook remains Negative on class F.
RATING ACTIONS
Entity / Debt
Rating
Prior
A-3 61766CAD1
LT
AAAsf
Affirmed
AAAsf
A-4 61766CAE9
LT
AAAsf
Affirmed
AAAsf
A-S 61766CAG4
LT
AAAsf
Affirmed
AAAsf
A-SB 61766CAF6
LT
AAAsf
Affirmed
AAAsf
B 61766CAK5
LT
AA-sf
Affirmed
AA-sf
C 61766CAL3
LT
A-sf
Affirmed
A-sf
D 61766CAV1
LT
BBB-sf
Affirmed
BBB-sf
E 61766CAX7
LT
BB-sf
Affirmed
BB-sf
F 61766CAZ2
LT
B-sf
Affirmed
B-sf
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VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Criteria Update: The rating actions reflect the impact of Fitch's updated
CMBS Rating Criteria, published on
and/or credit enhancement (CE) since Fitch's prior rating action.
Stable Loss Expectations: Loss expectations for the pool remain stable since Fitch's prior rating action. Seven loans are considered Fitch Loans of Concern (FLOCs; 42.4% of the pool), and no loans are currently in special servicing. Fitch's current ratings reflect a 'Bsf' rating case loss of 5.10%.
The Negative Outlooks on the classes D, E, X-D, X-E and F reflect performance and refinance concerns on two office loans in the top 15, 2100 Ross and
Fitch Loans of Concern: The 2100 Ross loan (9.6%) is secured by a 33-story, 843,728-sf office building located in the
Occupancy for the property was 63.5% as of the
Fitch's 'Bsf' rating case loss of 4.2% prior to concentration adjustments is based on a 9.50% cap rate and 25% stress to YE 2021 NOI to account for loss of the largest tenant and weak submarket fundamentals.
The property was 73.6% occupied as of the
The property's other largest tenants include Factor Systems (10.9%;
Fitch's 'Bsf' rating case loss of 11% prior to concentration adjustments is based on a 10.0% cap rate and 20% stress to the YE 2022 NOI to reflect lease rollover concerns.
The pool has exposure to three Simon-owned outlet malls, combined 12.6% of the pool, including
The largest contributor to pool loss expectations is the
The property's largest tenants include
The TTM
Fitch's 'Bsf' rating case loss of 34% prior to concentration adjustments reflects a 15% cap rate and a 10% stress to YE 2021 NOI, and factors in an increased probability of default due to heightened maturity default risk given the sustained performance declines.
Occupancy has fallen to 77% as of YE 2022, compared to 76% at YE 2021, 81% at YE 2020, 87% at YE 2019 and 92% at issuance. Per the YE 2022 rent roll, 12.3% of the NRA had lease expirations in 2022 and 17.2% have lease expirations in 2023. The YE 2022 NOI DSCR was 2.58x, down from 2.87x at YE 2021, 2.78x at YE 2020, 2.91x at YE 2019 and 3.01x at issuance.
No updated sales report was provided to Fitch. The most recent sales were reported at
Fitch's 'Bsf' rating case loss of 33% prior to concentration add-ons reflects a 15% cap rate and 15% stress to the YE 2022 NOI and factors in an increased probability of default due to heightened maturity default risk given the overall performance declines and upcoming rollover.
Fitch's 'Bsf' rating case loss of 4.7% prior to concentration adjustments reflects a 10% cap rate and 15% total haircut to the YE 2021 NOI to account for near-term lease rollover concerns and declining occupancy.
Increased CE: As of the
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade
Downgrades would occur with an increase in pool level losses from underperforming or specially
serviced loans. Downgrades of the 'AA-sf' and 'AAAsf' categories are not likely due to increasing CE and expected continued paydowns,
but may occur
should interest shortfalls affect these classes. A downgrade of the 'A-sf' rated class could
occur if expected losses increase significantly and/or all of the FLOCs suffer losses. Downgrades to classes D, E, X-D, X-E and F are possible should loss expectations increase from continued performance decline of the FLOCs, additional loans default or transfer to special servicing, higher realized losses than expected on the specially serviced assets and/or with outsized losses on the larger office FLOCs and retail outlet loans.
Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade
Upgrades would occur with stable to improved asset performance, particularly on the FLOCs, coupled with paydown and/or defeasance. Upgrades of the 'A-sf' and 'AA-sf' categories would only occur with significant improvement in CE and/or performance stabilization of FLOCs, and be limited by adverse selection, increased concentrations and further underperformance of the office properties and retail outlet. Upgrades to classes D, E, X-D, X-E and F are unlikely absent significant performance improvement and substantially higher recoveries than expected on the FLOCs, and there is sufficient CE to the classes.
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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