Fitch Affirms MLMT 2004-MKB1; Assigns Loss Severity Ratings

Fitch Affirms MLMT 2004-MKB1; Assigns Loss Severity Ratings

30/07/10 - 21:08. NEW YORK (BusinessWire).- Fitch Ratings has affirmed, assigned Loss Severity Ratings (LS) and Rating Outlooks to Merrill Lynch Mortgage Trust (MLMT) commercial mortgage securities, series 2004-MKB1 as follows: --$87.1 million class A-2 at 'AAA/LS1'; Outlook Stable;--$65 million class A-3 at 'AAA/LS1'; Outlook Stable;--$169.7 million class A-4 at 'AAA/LS1'; Outlook Stable;--$105.1 million class A-1A at 'AAA/LS1'; Outlook Stable;--$27 million class B at 'AAA/LS3'; Outlook Stable;--$11 million class C at 'AAA/LS4'; Outlook Stable;--$25.7 million class D at 'AA/LS3'; Outlook Stable;--$11 million class E at 'A+/LS4'; Outlook Stable;--$13.5 million class F at 'A-/LS4; Outlook Stable.--$12.3 million class G at 'BBB/LS4'; Outlook Stable;--$11 million class H at 'BBB-/LS4'; Outlook Stable;--$3.7 million class J at 'BB+/LS5'; Outlook Stable;--$4.9 million class K at 'BB/LS5'; Outlook Stable;--$4.9 million class L at 'BB-/LS5'; Outlook Negative;--$4.9 million class M at 'B+/LS5'; Outlook Negative;--$2.5 million class N at 'B/LS5'; Outlook Negative;--$3.7 million class P at 'B-/LS5'; Outlook Negative. Fitch withdraws the ratings on the interest-only classes XC and XP. (For additional information on the withdrawal of the rating on class X-1, see Fitch Revises Practice for Rating IO & Pre-Payment Related Structured Finance Securities, June 23, 2010.) Fitch does not rate the $9.8 million class Q. Class A-1 has been paid in full. The affirmations are due to sufficient credit protection 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 1.8% of the remaining pool balance, approximately $10.8 million, from the loans in special servicing and the loans that are not expected to refinance at maturity based on Fitch's refinance test. As of the July 2010 distribution date, the pool's collateral balance has paid down 41.6% to $572.5 million from $980 million at issuance. Thirteen of the remaining loans have defeased (29.8%). As of July 2010, there are two specially serviced loans (3%). The largest specially serviced loan (1.8%), is secured by a 113,556 square foot (sf) office building located in Memphis, TN. The loan transferred to special servicing in April 2009 and the special servicer foreclosed on the property in October 2009. The special servicer is currently marketing the property for sale. The second largest specially serviced loan (1.1%) is secured by 228-unit multifamily property located in Tampa, FL. The loan transferred to special servicing in February 2009 and the borrower filed bankruptcy a year later. The special servicer working through the bankruptcy court recently voted against the borrowers reorganization plan. 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 7.25% and 10.5% to determine value. Similar to Fitch's prospective analysis of recent vintage commercial mortgage backed securities (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. Loans that could refinance to a debt service coverage ratio of 1.25 times or higher were considered to pay off at maturity. Under this scenario, fifteen loans are not expected to pay off at maturity with three loans incurring 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 July 7, 2009 report, 'Surveillance Methodology for Recent Vintage U.S. CMBS,' which is available at 'www.fitchratings.com' under the following headers: Structured Finance >> CMBS >> Criteria Reports Additional information is available at 'www.fitchratings.com'. Related Research:Surveillance Methodology for Recent Vintage U.S. CMBShttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=457782 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.