Fitch Upgrades 9 Classes of Bear Stearns 2002-Top8
KEY RATING DRIVERS
The upgrades reflect the increase in credit enhancement due to amortization coupled with a high concentration of defeasance. Fitch modeled losses of 5.6% of the remaining pool; expected losses on the original pool balance total 1.1%, including \$5.2 million (0.6% of the original pool balance) in realized losses to date. Fitch has designated two loans (11.2%) as Fitch Loans of Concern, which includes one specially serviced asset (8.9%).
As of the February 2015 distribution date, the pool's aggregate principal balance has been reduced by 90.6% to \$78.9 million from \$842.2 million at issuance. Per the servicer reporting, three loans (69.7% of the pool) are defeased. Interest shortfalls are currently affecting classes H through O.
The largest contributor to expected losses is a 205,000 square foot (sf) single-tenant retail asset (8.9% of the pool) located in Sacramento, CA. The tenant vacated the property in October 2013 subsequent to the trust foreclosing upon the property in June 2012. The city filed an eminent domain lawsuit and subsequently took possession of the site with the intention of developing the site for a new sports arena in downtown Sacramento. The servicer was in negotiations with the city to determine the compensation for the taking and reached a settlement in mid-February 2015.
Classes C through J remain stable due to increasing credit enhancement and continued amortization of the pool. Despite improved credit enhancement levels, the limited upgrades to classes H through L reflect the exposure to interest shortfalls and thin subordinate tranches. Distressed classes (those rated below 'B') may be subject to further downgrades based on the resolution of the remaining asset in special servicing.
Fitch upgrades the following classes and assigns Rating Outlooks as indicated:
--\$9.5 million class D to 'AAAsf' from 'AAsf'; Outlook Stable;
--\$11.6 million class E to 'AAAsf' from 'Asf'; Outlook Stable;
--\$6.3 million class F to 'AAAsf' from 'Asf'; Outlook Stable;
--\$4.2 million class G to 'AAAsf' from 'BBBsf'; Outlook Stable;
--\$8.4 million class H to 'Asf' from 'BBsf'; Outlook Stable;
--\$3.2 million class J to 'BBBsf' from 'Bsf'; Outlook Stable;
--\$4.2 million class K to 'BBsf' from 'CCCsf'; Outlook Stable assigned;
--\$3.2 million class L to 'Bsf' from 'CCsf'; Outlook Stable assigned;
--\$3.2 million class M to 'CCCsf' from 'Csf'; RE 100%.
Fitch affirms the following classes:
--\$19.9 million class C at 'AAAsf'; Outlook Stable;
--\$2.1 million class N at 'Csf'; RE 60%.
Classes A-1, A-2, B and X-2 have paid in full. Fitch does not rate the class O certificates. Fitch previously withdrew the rating on the interest-only class X-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