Fitch Affirms CD 2007-CD5
KEY RATING DRIVERS
Fitch modeled losses of 6.4% of the remaining pool; expected losses on the original pool balance total 8.3%, including $82.3 million (3.9% of the original pool balance) in realized losses to date. Fitch has designated 46 loans (23.6%) as Fitch Loans of Concern, which includes 10 specially serviced assets (6.2%).
As of the September 2015 distribution date, the pool's aggregate principal balance has been reduced by 32.3% to $1.42 billion from $2.09 billion at issuance. Three loans (12.1% of the pool) are defeased. Interest shortfalls are currently affecting classes F through S. Three loans (1.2% of the pool) mature in 2016. The majority of the pool (97%) matures in 2017. One loan (1.1%) matures in 2022.
The largest contributor to expected losses is the specially-serviced Versar Center Office Building loan (1.9% of the pool), which is secured by two office properties totalling 217,396 sf located in Springfield, VA. The loan transferred to the special servicer in October 2014 due to imminent default. The property has struggled with occupancy issues since the economic downturn and the borrower has indicated that it can no longer fund shortfalls. Additionally, the parent company of the borrower has been working to restructure its debt and divest certain holdings. The special servicer is pursuing foreclosure while discussions with the borrower are ongoing. The property is 67% occupied.
The next largest contributor to expected losses is the Copper Beech Townhomes - Statesboro, GA loan (2.1%), which is secured by a 246-unit student housing property located in Statesboro, GA, home of Georgia State University. The property has had historically strong performance but occupancy has fallen recently due to increased competition in the market. The YE 2014 net cash flow debt service coverage ratio (NCF DSCR) was 0.87x versus 1.37x at YE 2012 and 1.16x underwritten at issuance.
The third largest contributor to expected losses is the specially-serviced Centre at Culpeper (1.1%), a 73,000 square foot neighborhood shopping center in Culpeper County, Virginia. The loan transferred to the special servicer in March 2011 due to monetary default. The asset became real estate owned (REO) as of February 2012. The special servicer has been working to stabilize the asset and will market it for sale. The property is now approximately 75% occupied.
The Rating Outlooks for classes A-4 through A-M remain Stable due to increasing credit enhancement and continued paydown. Rating Outlooks on the A-M classes remain Positive; with continued paydown and resolution of the larger assets in special servicing, upgrades to these classes are likely. Rating Outlooks on classes C through E are revised to stable due to overall stable collateral performance, lease renewals of several large tenants and further clarity about the value of the REO assets in special servicing. Rating changes to these classes are considered unlikely until a material economic or asset-level event changes the transaction's portfolio-level metrics.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Fitch affirms the following classes and revises Rating Outlooks as indicated:
--$20.9 million class C at 'BBsf'; Outlook to Stable from Negative;
--$20.9 million class D at 'BBsf'; Outlook to Stable from Negative;
--$18.3 million class E at 'Bsf'; Outlook to Stable from Negative.
Fitch affirms the following classes:
--$716 million class A-4 at 'AAAsf'; Outlook Stable;
--$168.2 million class A-1A at 'AAAsf'; Outlook Stable;
--$168.7 million class AM at 'AAAsf'; Outlook Stable;
--$40.7 million class A-MA at 'AAAsf'; Outlook Stable;
--$111.8 million class AJ at 'BBBsf'; Outlook Positive;
--$27 million class A-JA at 'BBBsf'; Outlook Positive;
--$20.9 million class B at 'BBBsf'; Outlook Stable;
--$18.3 million class F at 'CCCsf'; RE 50%;
--$20.9 million class G at 'CCsf'; RE 0%;
--$23.6 million class H at 'CCsf'; RE 0%;
--$23.6 million class J at 'Csf'; RE 0%;
--$17.5 million class K at 'Dsf'; RE 0%;
--$0 class L at 'Dsf'; RE 0%;
--$0 class M at 'Dsf'; RE 0%;
--$0 class N at 'Dsf'; RE 0%;
--$0 class O at 'Dsf'; RE 0%;
--$0 class P at 'Dsf'; RE 0%;
--$0 class Q at 'Dsf'; RE 0%.
The class A-1, A-2, A-3 and A-AB certificates have paid in full. Fitch does not rate class S. Fitch previously withdrew the ratings on the interest-only class XP and XS certificates.
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