NEW YORK--(BUSINESS WIRE)--Fitch maintains Rating Watch Negative on four classes of Credit Suisse First Boston Mortgage Securities Corp., Series 2006-TFL2 (CSFB 2006-TFL2) and five classes of COMM Mortgage Trust, Series 2006-FL12 (COMM 2006-FL12). A detailed list of rating actions follows at the end of this release.
KEY RATING DRIVERS
With much of the original collateral refinancing out of the pools, both transactions have become increasingly concentrated, and a majority of the remaining loans are now secured by collateral located outside of the U.S. In particular, the Atlantis (formerly referred to as Kerzner International) loan now represents 81% and 100% of the aforementioned deals, respectively and is primarily secured on property located in the Bahamas. At issuance the Atlantis (Kerzner) loan represented 21.6% and 23.7% of the referenced transactions. Given the increased concentration to the Bahamas, the transaction's rating linkage to this sovereign is significant.
Fitch's Criteria for Rating Securitizations in Emerging Markets limit securitization ratings to a maximum of three to four notches above a country's IDR and country ceiling dependent upon the mitigants available to address potential transfer and convertibility risk arising from capital controls being imposed. The transactions have certain mechanisms available, including servicer advancing, which would allow for continuation of transaction cash flows in the event of an interruption of revenues from the Bahamas collateral owing to the imposition of capital controls. In addition, given the large draw of American tourists that vacation at the Atlantis resort, a considerable portion of revenues for the collateral is collected outside of the Bahamas in U.S. dollars through credit card sales. These factors support a rating level of up to four notches above an investment grade country ceiling; however, this would fall short of a level of 'AAsf' or 'AAAsf', resulting in the Rating Watch Negative.
The Atlantis property is a diverse portfolio of real estate. The main collateral consists of: the 3,023-key Atlantis Resort and casino, Paradise Island; 600-room all-suite hotel tower, 495-unit condominium hotel; 40 acres of water attractions; 106-key One & Only Ocean Club and 18-hole Ocean Club Golf Course; water treatment and desalinization facility; 63-slip Marina at Atlantis and associated retail at Marina Village. As of year-end 2013 the portfolio reported a NCF DSCR of 5.76x, compared with 6.02x in 2012. A recent value estimate indicates the collective value of the collateral would result in full repayment of the rated debt. The loan, after an earlier modification, was extended and the final maturity is in September 2014.
Recent press indicates the Atlantis loan has been circled by a consortium of issuers for the purpose of refinancing the existing debt. Fitch anticipates the refinance will be executed prior to its maturity in September 2014; however, should the loan not make significant progress towards take out financing over the next few months, downgrades between one to two rating categories are expected.
Fitch maintains the following classes of CSFB 2006-TFL2 on Rating Watch Negative:
--$198.2 million class A-2 'AAAsf';
--$41 million class B 'AAAsf';
--$41 million class C 'AAAsf';
--$33 million class D 'AAsf'.
In addition, Fitch maintains the following classes of COMM 2006-FL12 on Rating Watch Negative:
--$143.8 million class A-J 'AAAsf';
--$72.1 million class B 'AA+sf';
--$50.7 million class C 'AA+sf';
--$55.9 million class D 'AAsf';
--$41.6 million class E 'AA-sf'.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (May 24, 2013);
--'Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions' (Sept. 20, 2013)
--'Criteria for Ratings Caps and Limitations in Global Structured Finance Transactions' (June 12, 2013)
--'Criteria for Rating Securitizations in Emerging Markets' (June 27, 2013)
--'Criteria for Sovereign Risk in Developed Markets for Structured Finance and Covered Bonds' (April 11, 2014)