MSCI, INC.
Fitch Ratings has downgraded eight and affirmed 65 classes of five
Five classes were assigned a Negative Rating Outlook following their downgrades, and the Rating Outlooks on 10 classes were revised to Negative from Stable in connection with the correction of errors.
This rating action commentary corrects errors with respect to the rating and/or Rating Outlook for 17 classes, originally published between
Additionally, this rating action commentary also corrects an error with respect to the rating for class X-C in CGCMT 2014-GC21, which incorrectly assigned a rating that was inconsistent with the lowest rated reference class E whose payable interest has an impact on the payment to the interest-only class.
RATING ACTIONS
Entity / Debt
Rating
Prior
CGCMT 2014-GC21
A-4 17322MAV8
LT
AAAsf
Affirmed
AAAsf
A-5 17322MAW6
LT
AAAsf
Affirmed
AAAsf
LT
AAAsf
Affirmed
AAAsf
A-S 17322MAY2
LT
AAAsf
Affirmed
AAAsf
B 17322MAZ9
LT
Asf
Affirmed
Asf
C 17322MBA3
LT
BBBsf
Affirmed
BBBsf
D 17322MAA4
LT
CCCsf
Affirmed
CCCsf
E 17322MAC0
LT
CCsf
Affirmed
CCsf
F 17322MAE6
LT
Csf
Affirmed
Csf
Page
of 8
VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Criteria Update; 'Bsf' Loss Expectations: The rating actions reflect the impact of the updated
Deal-level 'Bsf' rating case losses are as follows:
CSAIL 2017-CX9: 4.8%;
BANK 2017-BNK9: 6.8%;
CGCMT 2014-GC21: 8.7%.
The Negative Outlook revisions on classes B, X-B and C, and assignment of Negative Outlooks on classes D, X-D, E and X-E following their downgrades, reflect performance and refinance concerns on two office loans in the top 15, 2100 Ross and
The largest contributor to overall loss expectations, 2100 Ross, 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 24% prior to concentration adjustments is based on a 10% cap rate and 25% stress to the YE 2021 NOI, and incorporates a 100% probability of default to account for heightened default risk due to loss of the largest tenant, lack of leasing momentum and weak submarket fundamentals.
The Negative Outlook revisions on classes E and X-D, and assignment of a Negative Outlook on class F-RR following its downgrade, reflect their limited ratings cushion and refinance concerns with the
Fitch's 'Bsf' rating case loss of 12% prior to concentration adjustments on the
CSAIL 2017-CX9: The affirmations reflect the impact of the updated criteria and generally stable pool loss expectations since Fitch's prior rating action. The pool is concentrated with only 24 loans remaining, of which 65% is secured by office properties, many of which are underperforming. Six loans (31%) were flagged as Fitch Loans of Concern (FLOCs), which includes one REO asset (6.4%) and three loans (9.6%) in special servicing.
The Negative Outlook revisions on classes A-S, X-A and V1-A, and maintenance of Negative Outlooks on classes B, X-B, C, V1-B, D, V1-D, E, V1-E and X-E reflect an additional sensitivity analysis that incorporates an increased probability of default assumption on the Center 78, Keystone 200 & 300 and
The Center 78 loan is secured by a 372,672-sf suburban office building in
BANK 2017-BNK9: The affirmations reflect the impact of the updated criteria and generally stable pool loss expectations since Fitch's prior rating action. Seven loans (19.8%) were flagged as FLOCs, which includes two loans (6%) in special servicing.
The Negative Outlook revisions on classes B and X-B, and maintenance of Negative Outlooks on classes C, D, X-D, E and X-E are due to the pool's elevated level of FLOCs, including exposure to underperforming office properties facing declining occupancy and high submarket vacancy rates. Approximately 27% of the remaining pool is secured by office assets. The Negative Outlooks also reflect an additional sensitivity analysis that incorporates a 100% probability of default on the
CGCMT 2014-GC21: The downgrade of class X-C to 'CCsf' from 'CCCsf' in CGCMT 2014-GC21 is tied to its lowest rated reference class E (rated CCsf) whose payable interest has an impact on the payment to the interest-only class.
Changes to CE: These pools' aggregate balance has been reduced by an average of 20.4% (ranging from 1.0% to 35.9%) since issuance.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade
The Negative Outlooks reflect possible future downgrades stemming from concerns with potential further declines in performance that could result in higher expected losses on FLOCs. If expected losses increase, downgrades to these classes are anticipated.
Downgrades to 'AAAsf' rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. For 'AAAsf' rated bonds, additional stresses applied to defeased collateral as the
Downgrades to 'AAsf', 'Asf' and 'BBBsf' category rated classes could occur if deal-level losses increase significantly on non-defeased loans in the transactions and with outsized losses on larger FLOCs.
Downgrades to 'BBsf' and 'Bsf' category rated classes are possible with higher expected losses from continued performance of the FLOCs and with greater certainty of near-term losses on specially serviced assets and other FLOCs.
Downgrades to distressed ratings of 'CCCsf' through 'Csf' would occur as losses become more certain and/or as losses are incurred.
Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade
Upgrades to 'AAsf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction.
Upgrades to the 'Asf' and 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls.
Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes.
Upgrades to distressed ratings of 'CCCsf' through 'Csf' are not expected, but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs.
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
The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' 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. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. For more information on Fitch's ESG Relevance Scores, visit https://www.fitchratings.com/topics/esg/products#esg-relevance-scores.
Additional information is available on www.fitchratings.com
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