Fitch Ratings affirms and revises the Rating Outlook of one class of Merrill Lynch Mortgage Trust ML 1996-C2 commercial mortgage pass-through certificates, series 1996-C2, as follows:
--$5.5 million class F at 'Asf/LS1'; Outlook to Stable from Negative.
Fitch also affirms the following class:
--$39.8 million class G at 'Csf/RR3'.
Fitch does not rate class H, and classes A-1, A-2, A-3, B, C, D, and E have all paid in full. Class IO has been withdrawn.
As of the June 2011 remittance report, the transaction has paid down 95.9% to $46.7 million from $1.1 billion at issuance. Twenty loans remain in the transaction, of which two (36.4%) are in special servicing and real-estate owned (REO).
Fitch stressed the cash flow of the remaining loans by applying a 5% reduction to the most recent fiscal year-end net operating income, and applying an adjusted market cap rate between 8.10% and 9.5% to determine value. All the loans also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. All of the loans are modeled to pay off at maturity, and could refinance to a debt-service coverage ratio (DSCR) above 1.25 times (x).
The largest contributor to Fitch modeled losses is a 672-room exterior corridor hotel located in Orlando, FL. The property is currently on the market, and the special servicer is evaluating final offers. Fitch expects losses upon liquidation of the asset.
The second largest contributor to Fitch modeled losses is a 367-room exterior corridor hotel located in Kissimmee, FL. The special servicer foreclosed on the property in September 2010 and is preparing to list it for sale. Fitch expects losses upon liquidation of the asset.
Additional information on Fitch's criteria is available in the Nov. 17, 2010 report, 'Surveillance Methodology for U.S. Fixed-Rate CMBS Transactions', which is available at 'www.fitchratings.com' under the following headers:
Structured Finance then CMBS then Criteria Reports
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (Aug. 13, 2010);
--'Surveillance Methodology for U.S. Fixed -Rate CMBS Transactions' (Nov. 17, 2010).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=547326
Surveillance Methodology for U.S. Fixed-Rate CMBS Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=574208
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Fitch Ratings
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