NEW YORK--(BUSINESS WIRE)--Fitch Ratings has affirmed 21 classes of ML-CFC Commercial Mortgage Trust, commercial mortgage pass-through certificates series 2007-8 (ML-CFC 2007-8). A detailed list of rating actions follows at the end of this release.
Fitch has issued a focus report on this transaction. The report provides a detailed and up-to-date perspective on key credit characteristics of the ML-CFC 2007-8 transaction and property-level performance of the related trust loans.
KEY RATING DRIVERS
Relatively Stable Performance: The affirmations reflect the relatively stable performance of the pool since Fitch's last rating action and modeled losses remain in line with previous expectations. Fitch modeled losses of 20.3% of the remaining pool; expected losses on the original pool balance total 18.5%, including $117 million (4.8% of original pool balance) in realized losses incurred to date. Modeled losses at the last rating action were 18.1% of the original pool balance. As of the November 2016 distribution date, the pool's aggregate principal balance has been reduced by 32.2% to $1.65 billion from $2.44 billion at issuance. Cumulative interest shortfalls totaling $59.8 million are affecting classes AJ and AJ-A through T.
Defeasance: According to servicer reporting and as of November 2016, 10.8% of the pool has been defeased, which includes 22 fully defeased loans (10.7%) and one partially defeased loan (defeased portion accounts for 0.1% of pool).
Loans of Concern: Fitch has designated 49 loans (45.6%) as Fitch Loans of Concern, which includes 13 specially serviced loans/assets (29.4%).
Prolonged REO Workouts: Of the seven REO assets comprising 7.2% of the pool, two (3.1%) have been REO since 2012, two (2.4%) since 2013, two since 2014 (0.3%) and one since 2015 (1.4%). Three of the assets in the top 15 are REO, including the two largest, Towers at University Town Center (2.9%) and Douglas Corporate Center I & II (2.2%), which have been REO since 2012 and 2013, respectively.
Loan Concentration: The largest loan, Spring Gate - A/B Notes, comprises 18.3% of the pool, and remains the largest contributor to Fitch modeled loss expectations. The loan remains in special servicing and was previously modified into A/B notes in 2015.
Maturity Concentration: Loan maturities are concentrated in 2017 (91% of pool, excluding REO assets).
Undercollateralization: The pool is undercollateralized as the aggregate balance of the certificates is $217,986 greater than the aggregate collateral balance, as of the November 2016 remittance report. This disparity of principal balances is due to the servicer recovering workout-delayed reimbursement amounts from the transaction's principal collections.
The Negative Outlook on classes A-3, A-1A, AM and AM-A reflects the uncertainty surrounding the workout and ultimate disposition of the specially serviced loans/assets and the possibility of negative rating migration should performing loans, many of which are highly leveraged, not refinance at maturity as expected. The distressed classes may be subject to further downgrades as additional losses are realized.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided or reviewed in relation to this rating.
Fitch has affirmed and revised Rating Outlooks for the following classes:
--$625.4 million class A-3 at 'AAsf'; Outlook to Negative from Stable;
--$413.2 million class A-1A at 'AAsf'; Outlook to Negative from Stable;
--$126.9 million class AM at 'Bsfsf'; Outlook to Negative from Stable;
--$116.6 million class AM-A at 'Bsfsf'; Outlook to Negative from Stable;
--$109.4 million class AJ at 'Csf'; RE 20%;
--$100.6 million class AJ-A at 'Csf'; RE 20%;
--$12.2 million class B at 'Csf'; RE 0%;
--$39.6 million class C at 'Csf'; RE 0%;
--$27.4 million class D at 'Csf'; RE 0%;
--$9.1 million class E at 'Csf'; RE 0%;
--$18.3 million class F at 'Csf'; RE 0%;
--$21.3 million class G at 'Csf'; RE 0%;
--$32.2 million class H at 'Dsf'; RE 0%;
--$0 class J at 'Dsf'; RE 0%;
--$0 class K at 'Dsf'; RE 0%;
--$0 class L at 'Dsf'; RE 0%;
--$0 class M at 'Dsf'; RE 0%;
--$0 class N at 'Dsf'; RE 0%;
--$0 class P at 'Dsf'; RE 0%;
--$0 class Q at 'Dsf'; RE 0%;
--$0 class S at 'Dsf'; RE 0%.
The class A-1, A-2 and A-SB certificates have paid in full. Fitch does not rate class T. Fitch previously withdrew the rating on the interest-only class X.
Additional information is available at www.fitchratings.com.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016)
Global Structured Finance Rating Criteria (pub. 27 Jun 2016)
North America and Asia-Pacific Multiborrower CMBS Surveillance Criteria (pub. 01 Dec 2016)
ML-CFC Commercial Mortgage Trust, Series 2007-8
Dodd-Frank Rating Information Disclosure Form
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