NEW YORK--(BUSINESS WIRE)--
Fitch Ratings has upgraded two and affirmed five classes of Lehman Brothers Floating Rate Commercial Mortgage Trust 2007-LLF C5. The upgrades reflect the deleveraging of the transaction due to $428.2 million in loan repayments since the last rating action. A detailed list of rating actions follows at the end of this release.
KEY RATING DRIVERS
All of the remaining loans have reached their original final maturity dates and all have either been modified or are currently in forbearance. Two of the seven remaining loans are in special servicing.
Under Fitch's methodology, all loans are modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 6.7% and pooled expected losses are 34.3%. To determine a sustainable Fitch cash flow and stressed value, Fitch analyzed servicer-reported operating statements and STR reports, updated property valuations, and recent sales comparisons. Fitch estimates that average recoveries will be strong at approximately 62.1% in the base case.
The transaction is collateralized by seven loans; three loans are secured by office or office/industrial properties (66.5%) and four by hotels properties (33.5%). Five loans (42.8%) mature in 2013 or have already matured, and two loans (57.2%) mature in 2014.
The largest contributor to Fitch's modeled losses is the Normandy Office Portfolio. The loan is secured by eight office and two industrial properties totaling 1.38 million square feet (sf). The properties are located in Massachusetts and New Jersey. The portfolio was previously in special servicing due to an imminent maturity default. The loan transferred back to the master servicer in March 2013 after a modification that included a maturity date extension.
The second largest contributor to loss is the Park Hyatt Beaver Creek loan which is secured by a full serve hotel containing 190 rooms located in Avon, Colorado (Vail). The loan transferred to the special servicer in April 2012 due to imminent maturity default. The loan is currently in a forbearance period.
The third largest contributor to loss is Sheraton Old San Juan loan which is secured by the leasehold interest in a full service hotel containing 240 rooms located in San Juan, Puerto Rico. Amenities for the hotel include a casino, meeting space, full service restaurants, a swimming pool, and an exercise room. The loan transferred to the special servicer in July 2012 due to a maturity default. The special servicer and borrower have agreed on modification terms which include a maturity date extension.
The ratings on the class B through G notes are expected to be stable as the credit enhancement continues to increase due to paydowns. The class H notes may be subject to further downgrades as losses are realized.
Fitch has upgraded the following notes:
--$31,839,000 class D to 'Asf' from 'BBBsf'; Outlook Stable;
--$28,756,000 class E to 'Asf' from 'BBB-sf'; Outlook Stable.
Fitch has affirmed the following notes:
--$29,891,086 class C at 'Asf'; Outlook Stable;
--$28,756,000 class F at 'BBsf'; Outlook Stable;
--$28,756,000 class G at 'Bsf'; Outlook Stable;
--$51,761,000 class H at 'CCC'; RE 100%;
--$57,510,060 class J at 'D'; RE 0%.
Classes A-1, A-2, A-3, B, and X-1 have paid in full. Fitch does not rate classes CGC, CPE, CQR-1, CQR-2, DMC-1, DMC-2, FBS-1, FBS-2, FTC-1, FTC-2, HAR-1, HAR-2, HRH, HSS, INO, JHC, LCC, MVR, NOP-1, NOP-2, NOP-3, OCS, ONA, OWS-1, OWS-2, PHO, SBG, SFO-1, SFO-2, SFO-3, SFO-4, SFO-5, TSS-1, and TSS-2, UCP, VIS, and WHH. Fitch previously withdrew the rating of the interest-only class X-2.
Additional information is available at 'www.fitchratings.com'.
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' (Nov. 29, 2012).
Applicable Criteria and Related Research
Global Structured Finance Rating Criteria
Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions
Matthew McGowan, +1-212-908-0733
Fitch Ratings, Inc.
One State Street Plaza
New York, NY 10004
Christopher Bushart, +1-212-908-0606
Sandro Scenga, New York, +1 212-908-0278