Fitch Affirms Commercial Capital Access One, Series 2; Assigns LS Ratings

CHICAGO--(BUSINESS WIRE)-- Fitch Ratings has affirmed and assigned Loss Severity (LS) ratings to Commercial Capital Access One, Inc., series 2, as follows:

--$30.7 million class A at 'AAA/LS1'; Outlook Stable;

--$121,317 class I 'AAA/LS5'; Outlook Stable;

--$20.5 million class B at 'AAA/LS3'; Outlook Stable;

--$33.1 million class C at 'AA+/LS3'; Outlook Stable;

--$23.7 million class D at 'A/LS3'; Outlook Negative.

Fitch does not rate the $3.2 million class E, the $10.3 million class F, the $3.2 million class G.

The rating affirmations are the result of sufficient credit enhancement to offset Fitch expected losses following Fitch's prospective review of potential stresses and expected losses associated with specially serviced assets. Fitch expects losses of 4.6% of the remaining pool balance, approximately $5.7 million, from the loans in special servicing and the loans that are not expected to refinance at maturity based on Fitch's refinance test. Rating Outlooks reflect the likely direction of any changes to the ratings over the next one to two years.

The collateral includes 70.1% multifamily loans with Low Income Housing Tax Credits (LIHTC). These tax credits are nearing the end of their 10-year federal income tax annual benefit term, with an additional five years before fulfilling the 15-year compliance period. LIHTC properties are rent restricted and available to income qualified households for a minimum of 15 years. The remaining 29.9% is secured by a mix of hotel, industrial and retail loans.

Seventeen (42.6%) of the LIHTC multifamily loans are eligible to be covered by a limited guaranty provided by SunAmerica, Inc, a subsidiary of American International Group, Inc. (AIG). The guaranty requires SunAmerica to pay the special servicer, on behalf of the trustee, an amount equal to any realized losses arising from specially serviced loans, or to purchase the specially serviced loans directly from the trust. The outstanding guaranty amount is approximately $14.3 million or 27.6% of the current balance of the loans covered under the guaranty.

As of the May 2010 distribution date, the transaction's aggregate principal balance has decreased 59.8% to $124.8 million from $315.8 million at issuance. There are 45 of the original 92 loans remaining in transaction. There are seven (12.6%) specially serviced loans.

Fitch stressed the cash flow of the remaining non defeased loans by applying a 10% reduction to 2008 fiscal year end net operating income and applying an adjusted market cap rate between 7.5% and 10% to determine value.

Similar to Fitch's prospective analysis of recent vintage CMBS, each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Fitch considered loans that could refinance to a debt service coverage ratio of 1.25 times or higher to payoff at maturity. Ten loans did not payoff at maturity, and three loans incurred a loss when compared to Fitch's stressed value.

Additional information on Fitch's amended criteria for analyzing recent vintage U.S. CMBS is available in the following report, available at 'www.fitchratings.com':

--'Surveillance Methodology for Recent Vintage U.S. CMBS' (July 7, 2009).

Additional information is available at 'www.fitchratings.com'.

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE '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.

Fitch Ratings
Adam Ott, 312-368-2094, Chicago
Adam Fox, 212-908-0869, New York
or
Media Relations:
Sandro Scenga, 212-908-0278
Email: [email protected]

Source: Fitch Ratings