Fitch Places 4 US CMBS Transactions on Rating Watch Due to Mervyns Bankruptcy

NEW YORK--(BUSINESS WIRE)--Fitch Rating places the following commercial mortgage backed securities (CMBS) classes on Rating Watch Negative:

Bear Stearns 2001-TOP2:

--$6.3 million class H 'BB';

--$7.5 million class J 'BB-';

--$3.8 million class K 'B-';

--$5 million class L 'B-'.

Bear Stearns 2006-TOP22:

--$10.7 million class J 'BB+';

--$2.1 million class K 'BB';

--$6.4 million class L 'BB-';

--$2.1 million class M 'B+';

--$2.1 million class N 'B';

--$4.3 million class O 'B-'.

COMM 2005-FL11:

--$35.6 million class J at 'A-';

--$37.7 million class K at 'BBB';

--$31.4 million class L at 'BBB-'.

GMAC 2006-C1:

--$19.1 million class G 'BBB+';

--$19.1 million class H 'BBB';

--$23.3 million class J 'BBB-';

--$6.4 million class K 'BB+';

--$6.4 million class L 'BB';

--$8.5 million class M 'BB-';

--$2.1 million class N 'B+';

--$4.2 million class O 'B';

--$6.4 million class P 'B-'.

The Rating Watch Negative placements are the result of the recent bankruptcy filing of Mervyns. Fitch identified $1.3 billion of U.S. CMBS loans with exposure to Mervyns as a tenant or shadow anchor. The following transactions were identified as having potential credit impairments based on a hypothetical liquidation scenario of Mervyns assets.

Bear Stearns 2001-TOP2 contains a 210,258 square foot (sf) retail center located in San Jose, CA. Mervyns occupied 42.1% of the net rentable area and pays 19.1% of total rents. The most recent servicer reported occupancy is 98.8% and debt service coverage as of year-end 2007 was 1.76 times (x). The loan is scheduled to mature in December 2010 and has a 7.88% coupon.

Bear Stearns 2006-TOP22 contains a shadow rated Mervyns Portfolio (3.6%) secured by 25 cross-collateralized and cross-defaulted retail properties totaling 1.9 million sf in CA (23) and TX (two). The whole loan is composed of two pari passu participations: the A note included in this transaction and the B note included in MSCI 2005-TOP21 which is not rated by Fitch. The borrower has established and funded a seven-month debt service reserve with the servicer.

COMM 2005-FL11 and GMAC 2006-C1 contain pari passu participations corresponding to a shadow rated DDR/Macquarie Mervyn's Portfolio. The whole loan is separated into three pari passu notes, including the fixed-rate A-1 note ($106.3 million) securitized in the GE 2005-C4 transaction, the fixed-rate A-2 note ($106.3 million) securitized in GMAC 2006-C1 transaction and the floating-rate A-3 note ($45.9 million) securitized in the COMM 2005-FL11 transaction. Fitch rates the GMAC 2006-C1 and COMM 2005-FL11 transactions. The fixed-rate notes have maturity dates of Oct. 1, 2010, while the floating-rate note had an initial maturity date of Oct. 1, 2007, and is in the final approval stages for its second extension option with an expiration date of Oct. 1, 2009.

The single tenanted properties are located in California (23), Nevada (5), Arizona (5) and Texas (1), with the majority of the 2.6 million sf located in shopping centers and malls. In its initial shadow rating analysis, Fitch utilized a dark value analysis. Fitch has reviewed the assumptions in its dark value analysis, including the assumed market rent of the re-let square footage, the costs to carry the properties through stabilization and the overall capitalization rate. The current analysis takes into account the markets where the properties are located and the property type, in addition to the economic and retail sector outlooks. Mervyns continues to pay its contractual rent and the loan is current. The sponsors are Developers Diversified Realty Corporation and Macquarie DDR Trust.

Classes FNB-1, FNB-2, and FNB-3 of the GMAC 2006-C1 transaction remain on Rating Watch Negative due to an unrelated decline in performance since issuance at the First National Bank Center.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.