Capital Market Journal

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CCRE CREDIT DERIVATIVES PROBABILITY OF DEFAULT CREDIT RATING DOWNGRADE

Commercial Real Estate securitized credit derivatives downgraded, because of declining credit quality

downgraded the ratings on six classes in COMM 2012-CCRE2 Mortgage Trust (“COMM 2012-CCRE2”), Commercial Pass-Through Certificates, Series 2012-CCRE2 as follows:

Cl. D, Downgraded to Ba1 (sf); previously on Sep 22, 2022 Downgraded to Baa2 (sf)

Cl. E, Downgraded to B1 (sf); previously on Sep 22, 2022 Downgraded to Ba2 (sf)

Cl. F, Downgraded to Caa1 (sf); previously on Sep 22, 2022 Downgraded to B2 (sf)

Cl. G, Downgraded to Caa3 (sf); previously on Sep 22, 2022 Affirmed Caa1 (sf)

Cl. PEZ, Downgraded to Ba1 (sf); previously on Sep 22, 2022 Downgraded to A2 (sf)

Cl. X-B*, Downgraded to Caa3 (sf); previously on Sep 22, 2022 Affirmed B1 (sf)

*  Reflects Interest-Only Classes

RATINGS RATIONALE

The ratings on four P&I classes were downgraded due to increased risk of losses and interest shortfalls driven primarily by the significant exposure to specially serviced and troubled loans. The largest loan in the pool, Chicago Ridge Mall loan (53% of the pool), is secured by a super-regional mall and may face increased refinance risk at its maturity in July 2023. Furthermore, the Crossgates Mall loan (41% of the pool), which was previously modified transferred back to special servicing due to imminent maturity default ahead of its extended maturity date in May 2023.

The ratings on one IO class was downgraded due to a decline in the credit quality of its referenced classes. The IO Class references all P&I classes including Class H, which is not rated by Moody’s.

The rating on the exchangeable class was downgraded based on a decline in the credit quality of its referenced exchangeable classes, and from principal paydowns of the higher-quality reference classes.

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