Fitch Ratings has affirmed all classes of BANK 2017-BNK7 Commercial Mortgage Pass-Through Certificates Series 2017-BNK7.
RATING ACTIONS
Entity / Debt
Rating
Prior
BANK 2017-BNK7
A-3 06541XAC4
LT
AAAsf
Affirmed
AAAsf
A-4 06541XAE0
LT
AAAsf
Affirmed
AAAsf
A-5 06541XAF7
LT
AAAsf
Affirmed
AAAsf
A-S 06541XAJ9
LT
AAAsf
Affirmed
AAAsf
A-SB 06541XAD2
LT
AAAsf
Affirmed
AAAsf
B 06541XAK6
LT
AA-sf
Affirmed
AA-sf
C 06541XAL4
LT
A-sf
Affirmed
A-sf
D 06541XAV2
LT
BBB-sf
Affirmed
BBB-sf
E 06541XAX8
LT
BB-sf
Affirmed
BB-sf
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VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Stable Loss Expectations: Overall pool performance and loss expectations have remained stable since Fitch's prior rating action. All loans within the pool are performing with no loans in special servicing. Three loans (12.9% of the pool) have been designated as Fitch Loans of Concern (FLOCs). Fitch's current ratings incorporate a base case loss of 3.8% for the pool.
Fitch Loans of Concern: The largest driver to losses is the Mall of
In-line tenant sales in 2021 were reported at
Fitch modeled a loss of approximately 16.0% on the loan based on a 12.5% cap rate and a 5% stress to the YE2021 NOI which reflects declining NOI and a dark
The second largest driver to losses is the
Fitch's modeled loss of 13% is based on a cap rate of 11.5% and a 10% stress to the YE2019 NOI to reflect the expectation of continued recovery.
The largest increase in losses is contributed by
Fitch's modeled loss of 12% is based on a cap rate of 10% and a 5% stress to the YE2022 NOI, which reflects the decline in occupancy at the subject property.
Minimal Change to Credit Enhancement: As of the
Investment-Grade Credit Opinion Loans: Four loans (23.0%) were assigned investment-grade credit opinions at issuance and all loans continue to perform in line with Fitch's expectations at issuance.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
Downgrades to the senior classes, A-1, A-2, A-3, A-SB, A-4, A-5, X-A, B, X-B and C are not likely due to the high credit enhancement (CE), but could occur if interest shortfalls occur or if loans of concern transfer to special servicing and realize significant losses. Downgrades to classes D and X-D would occur should overall pool losses increase, one or more large loans, have an outsized loss, which would erode CE. Downgrades to classes E, X-E, F and X-F would occur should loss expectations increase due to an increase in specially serviced loans, or a further decline in the FLOCs' performance.
Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the
Factors that could, individually or collectively, lead to positive rating action/upgrade:
Upgrades of classes B, X-B and C may occur with significant improvement in CE or defeasance, but would be limited should the deal be susceptible to a concentration whereby the underperformance of FLOCs could cause this trend to reverse. Upgrades to classes D and X-D would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration; classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Upgrades to classes E, X-E, F and X-F is not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or if there is sufficient CE, which would likely occur when class G is not eroded and the senior classes payoff.
Best/Worst Case Rating Scenario
International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.
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