Fitch Ratings has downgraded five nonpooled classes, upgraded two pooled classes, and affirmed 14 classes of Greenwich Capital Commercial Funding Corporation (GCCFC), series 2006-FL4. Downgrades to the nonpooled classes associated with the 260 East 161st Street and 2600 West Olive Avenue loans were due to increased loss expectations on those loans. Upgrades to two of the senior classes reflect higher credit enhancement levels due to principal paydown. A detailed list of rating actions follows at the end of this press release.
Under Fitch's methodology, approximately 70% of the pool is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 14.4% from generally year-end 2011 servicer-reported financial data, or from recent appraised values. To determine a sustainable Fitch cash flow and stressed value, Fitch analyzed servicer-reported operating statements and rent rolls, updated property valuations, and comparisons with properties' competitive sets. Fitch estimates average recoveries on the pooled loans will be approximately 80% in the base case.
The transaction is collateralized by seven assets, which includes three loans secured by hotels (68.3% of the pooled and nonpooled trust balance), two loans by office properties (17.6%), one real estate owned (REO) regional mall (12.3%), and one loan by a multifamily/condominium project (1.8%). All of the original final maturity dates, including all extension options, have passed. Each of the remaining loans has been further extended through a modification and/or forbearance, with the exception of one asset (12.3% by scheduled loan balance) that has been REO since 2009. Of the remaining loans, 19.4% are scheduled to mature in 2013, with 68.3% scheduled to mature in 2014.
With respect to the pooled classes, four loans were modeled to take a loss in the base case: PGA National Resort and Spa (33.8% of the pooled trust balance), Northwest Plaza (11%), 260 East 161st Street (8.5%) and 2600 West Olive Avenue (7%). The 10 junior non-pooled component classes have all either incurred or are expected to incur losses.
The primary contributor to loss under the 'B' stress is the specially serviced Northwest Plaza, an REO asset consisting of an approximately 1.7 million square foot (sf) regional mall and an attached 12-story, 153,000 sf office building located in St. Ann, MO. The loan transferred to special servicing in October 2008 for payment default and in September 2009, the property became REO. Following a failed redevelopment effort, the interior of the mall was shuttered in December 2010. The last information available on the property indicated that the mall was only 8% occupied by several tenants with exterior access, with the attached office building 49% occupied. Within the past 12 months, a new, local broker was engaged to market and sell the property and it is now under contract with closing slated for mid-July. However, Fitch modeled no recoveries on both the pooled and nonpooled trust assets.
Fitch downgrades the following classes and assigns or revises Recovery Estimates (REs) as indicated:
--$770,025 class N-E161 to 'Csf' from 'Bsf'; RE 0%;
--$1.4 million class N-2600 to 'Csf' from 'CCCsf'; RE 0%;
--$2 million class O-2600 to 'Csf' from 'CCCsf'; RE 0%;
--$1.3 million class P-2600 to 'Csf' from 'CCCsf'; RE 0%;
--$1.7 million class Q-2600 to 'Csf' from 'CCsf'; RE 0%.
Fitch upgrades the following classes and revises Rating Outlooks as indicated:
--$35.4 million class B to 'AAAsf' from 'AAsf'; Outlook revised to Stable from Positive;
--$30.7 million class C to 'AAsf' from 'Asf', Outlook revised to Stable from Positive.
Fitch affirms the following class and revises the Rating Outlook as indicated:
--$11.3 million class F at 'BBsf'; Outlook revised to Stable from Negative.
Fitch affirms the following classes and revises REs as indicated:
--$53.1 million class A2 at 'AAAsf'; Outlook Stable;
--$18 million class D at 'BBBsf'; Outlook Stable;
--$16.7 million class E at 'BBB-sf'; Outlook Stable;
--$15 million class G at 'CCCsf'; RE 100%;
--$17.6 million class H at 'CCsf'; RE 70%;
--$14.2 million class J at 'Csf'; RE 0%;
--$7.2 million class K at 'Csf'; RE 0%;
--$5.1 million class L at 'Dsf'; RE 0%;
--$2 million class N-NZH at 'Dsf'; RE 85%;
--$1.6 million class N-NW at 'Csf'; RE 0%;
--$894,510 class O-NW at 'Csf'; RE 0%;
--$956,200 class P-NW at 'Csf'; RE 0%;
--$1.2 million class Q-NW at 'Csf'; RE 0%.
In addition, the following classes originally rated by Fitch have paid in full: A1, N-MET, O-MET, N-LAX, N-SCR, O-SCR, N-PDS, O-PDS, N-WYN, N-HAP, O-HAP, P-HAP, N-CPH, O-CPH, P-CPH, Q-CPH, S-CPH, N-LJS, N-LDC, O-LDC, P-LDC, N-444, O-444, and X-1.
Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (June 6, 2012);
--'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions' (Dec. 1, 2011).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923
Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=657734
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