Approximately $163.8 Million of Structured Securities Affected
New York, April 28, 2011 -- Moody's Investors Service (Moody's) affirmed the ratings of 12 classes
of PNC Mortgage Acceptance Corp., Commercial Mortgage Pass-Through
Certificates, Series 2000-C2 as follows:
Cl. X, Affirmed at Aaa (sf); previously on Oct 23,
2000 Definitive Rating Assigned Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Oct 10,
2006 Upgraded to Aaa (sf)
Cl. D, Affirmed at Aaa (sf); previously on Jul 9,
2007 Upgraded to Aaa (sf)
Cl. E, Affirmed at Aaa (sf); previously on Sep 25,
2008 Upgraded to Aaa (sf)
Cl. F, Affirmed to Aaa (sf); previously on Sep 25,
2008 Upgraded to Aa1 (sf)
Cl. G, Affirmed at Aa3 (sf); previously on Sep 25,
2008 Upgraded to Aa3 (sf)
Cl. H, Affirmed at Baa1 (sf); previously on Oct 3,
2007 Upgraded to Baa1 (sf)
Cl. J, Affirmed at B1 (sf); previously on Sep 9,
2010 Downgraded to B1 (sf)
Cl. K, Affirmed at B3 (sf); previously on Sep 9,
2010 Downgraded to B3 (sf)
Cl. L, Affirmed at Ca (sf); previously on Sep 9,
2010 Downgraded to Ca (sf)
Cl. M, Affirmed at C (sf); previously on Sep 9,
2010 Downgraded to C (sf)
Cl. N, Affirmed at C (sf); previously on Sep 9,
2010 Downgraded to C (sf)
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index
(Herf), remaining within acceptable ranges. Based on our
current base expected loss, the credit enhancement levels for the
affirmed classes are sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of 13.6%
of the current balance. At last full review, Moody's cumulative
base expected loss was 15.4%. Moody's stressed scenario
loss is 21.9% of the current balance. Moody's provides
a current list of base and stress scenario losses for conduit and fusion
CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
Depending on the timing of loan payoffs and the severity and timing of
losses from specially serviced loans, the credit enhancement level
for investment grade classes could decline below the current levels.
If future performance materially declines, the expected level of
credit enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key parameters
may indicate that the collateral's credit quality is stronger or weaker
than Moody's had anticipated during the current review. Even so,
deviation from the expected range will not necessarily result in a rating
action. There may be mitigating or offsetting factors to an improvement
or decline in collateral performance, such as increased subordination
levels due to amortization and loan payoffs or a decline in subordination
due to realized losses.
Primary sources of assumption uncertainty are the current sluggish macroeconomic
environment and varying performance in the commercial real estate property
markets. However, Moody's expects to see increasing or stabilizing
property values, higher transaction volumes, a slowing in
the pace of loan delinquencies and greater liquidity for commercial real
estate in 2011. The hotel and multifamily sectors are continuing
to show signs of recovery, while recovery in the office and retail
sectors will be tied to recovery of the broader economy. The availability
of debt capital continues to improve with terms returning toward market
norms. Moody's central global macroeconomic scenario reflects an
overall sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
The principal methodologies used in this rating were "Moody's Approach
to Rating U.S. CMBS Conduit Transactions," published
September 2000 and "CMBS: Moody's Approach to Rating Large Loan/Single
Borrower Transactions" published in July 2000.
Moody's review incorporated the use of the Excel-based CMBS Conduit
Model v 2.50 which is used for both conduit and fusion transactions.
Conduit model results at the Aa2 level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality grade
(which reflects the capitalization rate used by Moody's to estimate Moody's
value). Conduit model results at the B2 level are driven by a paydown
analysis based on the individual loan level Moody's LTV ratio.
Moody's Herfindahl score (Herf), a measure of loan level diversity,
is a primary determinant of pool level diversity and has a greater impact
on senior certificates. Other concentrations and correlations may
be considered in our analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or determined based
on a multiple or ratio of either of these two data points. For
fusion deals, the credit enhancement for loans with investment-grade
credit estimates is melded with the conduit model credit enhancement into
an overall model result. Fusion loan credit enhancement is based
on the underlying rating of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the underlying rating level, is
incorporated for loans with similar credit estimates in the same transaction.
Moody's uses a variation of Herf to measure diversity of loan size,
where a higher number represents greater diversity. Loan concentration
has an important bearing on potential rating volatility, including
risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. The pool has a Herf of 12
compared to 13 at Moody's prior review.
In cases where the Herf falls below 20, Moody's employs also the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.0. The large loan
model derives credit enhancement levels based on an aggregation of adjusted
loan level proceeds derived from Moody's loan level LTV ratios.
Major adjustments to determining proceeds include leverage, loan
structure, property type, and sponsorship. These aggregated
proceeds are then further adjusted for any pooling benefits associated
with loan level diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that considers both
quantitative and qualitative factors. Therefore, the rating
outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance
of commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of quantitative
tools -- MOST® (Moody's Surveillance Trends) and CMM
(Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated September 09, 2010.
Please see the ratings tab on the issuer / entity page on moodys.com
for the last rating action and the ratings history.
As of the April 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 84% to $177.3
million from $1.08 billion at securitization. The
Certificates are collateralized by 28 mortgage loans ranging in size from
less than 1% to 19% of the pool, with the top ten
loans representing 74% of the pool. The pool does not contain
any defeased loans. The pool faces significant refinance risk as
loans representing 75% of the pool have either matured or will
mature within the next 12 months.
Eight loans, representing 19% of the pool, are on the
master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of the CRE
Finance Council's (CREFC) monthly reporting package. As part of
our ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact performance.
Seven loans have been liquidated from the pool, resulting in an
aggregate realized loss of $5.7 million (15% loss
severity on average). Nine loans, representing 32%
of the pool, are currently in special servicing. The largest
specially serviced loan is the Northside Marketplace Loan ($13.7
million -- 8% of the pool), which is secured by a 189,299
square foot (SF) retail property located in Nashville, Tennessee.
The loan transferred into special servicing in January 2010 due to imminent
payment default. The loan passed its anticipated repayment date
(ARD) of September 1, 2010 and the borrower submitted a modification
proposal which was subsequently rejected. The loan is currently
tracking foreclosure. The remaining eight specially serviced loans
are secured by a mix of property types. The master servicer has
recognized an aggregate $21.9 million appraisal reduction
for the specially serviced loans. Moody's has estimated an aggregate
$18.7 million loss (39% expected loss on average)
for the specially serviced loans.
Moody's has assumed a high default probability for one poorly performing
loan representing 1% of the pool and has estimated a $278,968
loss (15% expected loss based on a 50% probability default)
from this troubled loan.
The top three conduit loans represent 37% of the outstanding pool
balance. The largest loan is the AppleTree Business Park Loan ($33.3
million -- 19% of the pool), which is secured by a 435,000
SF office complex located in Cheektowaga, New York, a suburb
of Buffalo. At last review, the loan was in special servicing
due to imminent default. The loan has passed its September 1,
2010 ARD and is current. The property was 91% leased as
of March 2011 compared to 90% at last review. Moody's LTV
and stressed DSCR are 82% and 1.32X, respectively,
compared to 111% and 0.98X at last review.
The second largest loan is the Sweetheart Cup Distribution Center Loan
($23.6 million -- 13% of the pool), which
is secured by a 1.03 million square foot industrial building located
in Hampstead, Maryland. The property is fully occupied by
a single tenant, Solo Cup Company, through July 2020.
The loan had an ARD of October 1, 2010 but is current. Although
property performance has been stable since securitization, Moody's
analysis reflects a stressed cash flow due to a challenged refinance environment
and our concerns about single tenant exposure. Moody's LTV and
stressed DSCR are 86% and 1.40X, respectively,
compared to 90% and 1.34X at last review.
The third largest loan is The Waterford at Portage Loan ($9.1
million -- 5.1% of the pool), which is secured
by two multifamily properties located in Akron, Ohio. This
loan is currently on the master servicer's watchlist due to low DSCR.
At last review, property performance declined primarily due to increased
operating expenses and a decline in occupancy. However, operating
expenses have decreased and occupancy has improved to 93% as of
December 2010 from 87% at last review. Moody's LTV and stressed
DSCR are 136% and 0.76X, respectively, compared
to 151% and 0.68X at last review.
Structured Finance Group
Moody's Investors Service
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's Affirms 12 CMBS Classes of PNCMA 2000-C2
250 Greenwich Street
New York, NY 10007