Approximately $1.19 Billion of Structured Securities Affected
New York, April 28, 2011 -- Moody's Investors Service (Moody's) affirmed the ratings of 25 classes
of Citigroup Commercial Mortgage Trust 2005-C3, Commercial
Mortgage Pass-Through Certificates, Series 2005-C3
as follows:
Cl. A-2, Affirmed at Aaa (sf); previously on
Jul 15, 2005 Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on
Jul 15, 2005 Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Affirmed at Aaa (sf); previously on
Jul 15, 2005 Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on
Jul 15, 2005 Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on
Jul 15, 2005 Definitive Rating Assigned Aaa (sf)
Cl. A-MFL, Affirmed at Aaa (sf); previously on
Sep 22, 2010 Confirmed at Aaa (sf)
Cl. A-M, Affirmed at Aaa (sf); previously on
Sep 22, 2010 Confirmed at Aaa (sf)
Cl. XC, Affirmed at Aaa (sf); previously on Jul 15,
2005 Definitive Rating Assigned Aaa (sf)
Cl. XP, Affirmed at Aaa (sf); previously on Jul 15,
2005 Definitive Rating Assigned Aaa (sf)
Cl. A-J, Affirmed at A2 (sf); previously on Sep
22, 2010 Downgraded to A2 (sf)
Cl. B, Affirmed at Baa1 (sf); previously on Sep 22,
2010 Downgraded to Baa1 (sf)
Cl. C, Affirmed at Baa3 (sf); previously on Sep 22,
2010 Downgraded to Baa3 (sf)
Cl. D, Affirmed at B1 (sf); previously on Sep 22,
2010 Downgraded to B1 (sf)
Cl. E, Affirmed at B3 (sf); previously on Sep 22,
2010 Downgraded to B3 (sf)
Cl. F, Affirmed at Caa3 (sf); previously on Sep 22,
2010 Downgraded to Caa3 (sf)
Cl. G, Affirmed at Ca (sf); previously on Sep 22,
2010 Downgraded to Ca (sf)
Cl. H, Affirmed at C (sf); previously on Sep 22,
2010 Downgraded to C (sf)
Cl. J, Affirmed at C (sf); previously on Sep 16,
2010 Downgraded to C (sf)
Cl. K, Affirmed at C (sf); previously on Sep 16,
2010 Downgraded to C (sf)
Cl. L, Affirmed at C (sf); previously on Sep 16,
2010 Downgraded to C (sf)
Cl. M, Affirmed at C (sf); previously on Sep 16,
2010 Downgraded to C (sf)
Cl. N, Affirmed at C (sf); previously on Sep 16,
2010 Downgraded to C (sf)
Cl. CP-1, Affirmed at Baa1 (sf); previously on
Jul 15, 2005 Definitive Rating Assigned Baa1 (sf)
Cl. CP-2, Affirmed at Baa2 (sf); previously on
Jul 15, 2005 Definitive Rating Assigned Baa2 (sf)
Cl. CP-3, Affirmed at Baa3 (sf); previously on
Jul 15, 2005 Definitive Rating Assigned Baa3 (sf)
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(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
the existing rating.
Moody's rating action reflects a cumulative base expected loss of 6.9%
of the current balance. At last full review, Moody's cumulative
base expected loss was 8.5%. Moody's stressed scenario
loss is 14.7% 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 methodology used in this rating was: "Moody's Approach
to Rating Fusion Transactions" published in April 2005.
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 47,
compared to 52 at Moody's prior review.
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 22, 2010.
Please see the ratings tab on the issuer / entity page on moodys.com
for the last rating action and the ratings history.
DEAL PERFORMANCE
As of the April 15, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 18% to $1.19
billion from $1.45 billion at securitization. The
Certificates are collateralized by 113 mortgage loans ranging in size
from less than 1% to 9% of the pool, with the top
ten loans representing 37% of the pool. The pool includes
one loan with an investment grade credit estimate, representing
9% of the pool. Five loans, representing 3%
of the pool, have defeased and are collateralized with U.S.
Government securities.
Twenty-eight loans, representing 23% 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 (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.
Four loans have been liquidated from the pool, resulting in a $26.9
million loss (68% loss severity on average). Currently six
loans, representing 12% of the pool, are in special
servicing. The largest specially serviced loan is the Novo Nordisk
Headquarters Loan ($53.0 million -- 4.5%
of the pool), which is secured by a mortgage on two, three-story
Class A suburban office buildings totaling 225,651 square feet (SF)
located in Princeton, New Jersey. The loan transferred to
special servicing in January 2010 for imminent maturity default and the
loan matured in March 2010. The borrower submitted a modification
proposal and the loan is dual tracking modification/foreclosure.
The remaining five specially serviced loans are secured by a mix of property
types. The master servicer has recognized an aggregate $42.1
million appraisal reduction for the specially serviced loans. Moody's
has estimated an aggregate loss of $45.0 million (34%
expected loss on average) for the specially serviced loans.
Moody's has assumed a high default probability for nine poorly performing
loans representing 9% of the pool and has estimated a $16.7
million loss (15% expected loss based on a 30% probability
default) from these troubled loans.
Moody's was provided with full year 2009 and full or partial year 2010
operating results for 95% and 72%, respectively,
of the non-defeased performing pool. Excluding specially
serviced and troubled loans, Moody's weighted average LTV is 97%,
the same as at last full review. Moody's net cash flow reflects
a weighted average haircut of 12% to the most recently available
net operating income. Moody's value reflects a weighted average
capitalization rate of 9.0%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.28X and 1.05X, respectively,
compared to 1.29X and 1.03X at last full review.
Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's
NCF and a 9.25% stressed rate applied to the loan balance.
The loan with a credit estimate is the Carolina Place Loan ($101.3
million -- 8.6%), which is the pooled component
of a $148.9 million first mortgage loan secured by the borrower's
interest in a 1.1 million SF regional mall located in suburban
Charlotte, North Carolina. The mall is anchored by Belk,
Dillard's, Macy's, J.C. Penney and Sears.
The overall property was 99% leased as of September 2010,
the same as at last review. The trust also includes the $14.0
million non-pooled loan component which secures the non-pooled
Classes CP-1, CP-2 and CP-3. Moody's
underlying rating and stressed DSCR for the pooled loan component are
A3 and 1.65X, respectively, compared to A3 and 1.62X
at last review. The underlying ratings for Classes CP-1,
CP-2 and CP-3 are Baa1, Baa2, and Baa3,
respectively, the same as at last review.
The top three performing loans represent 9% of the pool balance.
The largest performing loan is the Abilene Mall Loan ($35.7
million -- 3.0% of the pool), which is secured
by the borrower's interest in a 680,000 SF single-story
regional mall located in Abilene, Texas. The mall is anchored
by Dillard's, J. C. Penney, and Sears.
J.C. Penney is only anchor included in the collateral.
The overall property was 91% leased as of November 2010,
compared to 90% at last review. Moody's LTV and stressed
DSCR are 104% and 0.97X, respectively, compared
to 105% and 0.95X at last review.
The second largest performing loan is the Penn Mar Shopping Center Loan
($35.4 million -- 3.0% of the pool),
which is secured by a 382,000 SF retail center located in Forestville
(Prince George's County), Maryland. The center was 92%
leased as of December 2010 compared to 94% at last review.
Moody's LTV and stressed DSCR are 85% and 1.11X, respectively,
compared to 88% and 1.07X at last review.
The third largest performing loan is the 250 West Pratt Loan ($34.7
million -- 3.0% of the pool), which is secured
by a 24-story 355K SF office property located in downtown Baltimore,
Maryland. Property performance has remained stable. The
property was 77% leased as of December 2010 compared to 78%
at last review. Moody's LTV and stressed DSCR are 122% and
0.82X, respectively, the same as at last review.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
New York
Tiffany Putman
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Sandra Ruffin
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Affirms 25 CMBS Classes of CGCMT 2005-C3
