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16 Dec 2009
Approximately $186.6 Million of Structured Securities Affected
New York, December 16, 2009 -- Moody's Investors Service (Moody's) affirmed the ratings of eight classes
and downgraded three classes of Solar Trust Commercial Mortgage Pass-Through
Certificates, Series 2002-1. The downgrades are due
to higher expected losses for the pool resulting from increased leverage
of the conduit component, anticipated losses from several highly
leveraged watchlisted loans and refinancing risk associated with loans
approaching maturity in an adverse environment. Four loans,
representing 10% of the pool, mature within the next 36 months
and have a Moody's stressed debt service coverage (DSCR) less than
The affirmations are primarily due to key rating parameters, including
Moody's loan to value (LTV) ratio, Moody's DSCR and
the Herfindahl Index (Herf), remaining within acceptable ranges.
In addition, the pool has benefited from increased credit subordination
due to loan payoffs and amortization as well as increased defeasance.
The rating action is the result of Moody's on-going surveillance
of commercial mortgage backed securities (CMBS) transactions.
As of the November 30, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by 29% to $190.6
million from $266.6 million at securitization. The
Certificates are collateralized by 49 mortgage loans ranging in size from
less than 1% to 9% of the pool, with the top ten loans
representing 58% of the pool. The pool contains one loan,
representing 8% of the pool, with an investment grade underlying
rating. At last review, the Hotel Novotel Loan, which
represents 9% of the pool, also had an underlying rating.
However, because of a decline in performance which resulted in increased
leverage, the loan is now analyzed as part of the conduit.
Eleven loans, representing 11% of the pool, have defeased
and are now collateralized by U.S. Government securities,
compared to 4% at last review.
Eight loans, representing 13% 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 Commercial Mortgage Securities Association's (CMSA) 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.
The pool has not experienced any losses since securitization and currently
there are no loans in special servicing.
Moody's has identified three troubled loans, representing
3% of the pool, with a high default probability and has estimated
an aggregate $1.0 million loss (17% loss severity
on average) from these troubled loans. Moody's rating action
recognizes potential uncertainty around the timing and magnitude of loss
from these troubled loans.
Moody's was provided with full-year 2008 operating results
for 93% of the pool. Excluding troubled loans, Moody's
weighted average LTV ratio is 80% compared to 73% at Moody's
Excluding troubled loans, Moody's actual and stressed DSCRs
are 1.81X and 1.98X, respectively, compared
to 1.55X and 1.54X at last review. Moody's
stressed DSCR is based on Moody's net cash flow (NCF) and a 9.25%
stressed rate applied to the loan balance. Moody's actual
DSCR is based on Moody's NCF and the loan's actual debt service.
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
the risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf is 40. The pool has a Herf of 19 compared
to 27 at last review.
The loan with an underlying rating is the Chateaugay Centre Loan ($15.7
million - 8% of the pool), which is secured by a 211,000
square foot enclosed retail center located Chateaugay, Quebec,
a submarket of Montreal. The property was 96% leased as
of February 2009. The center is anchored by Super C and Hart.
Performance has been stable. Moody's current underlying rating
and stressed DSCR are Aa3 and 2.14X, respectively,
compared to Aa3 and 2.02X at last review.
The three largest conduit loans represent 24% of the pool.
The largest conduit loan is the Hotel Novotel Loan ($16.9
million -- 9% of the pool), which is secured by a 62-room
full service hotel located in downtown Toronto, Ontario.
Performance has declined since last review due to a drop off in tourist
and business travel. Occupancy and revenue per available room (RevPAR)
for year-to-date ending October 2009 were 68% and
$89, respectively, compared to 80% and $118
in 2008. Moody's LTV and stressed DSCR are 100% and
1.25X, respectively, compared to 57% and 2.17X
at last review.
The second largest conduit loan is the Langley Gate Shopping Centre Loan
($14.9 million -- 8% of the pool), which
is secured by a 152,000 square foot retail center located in the
Langley suburb of Vancouver, British Columbia.. The
property was 100% leased as of February 2009. The center
is anchored by Sears Home and Home Sense. Performance has improved
due to increase in rental revenues and loan amortization. Moody's
LTV and stressed DSCR are 56% and 1.78X, respectively,
compared to 80% and 1.25X at last review.
The third largest loan is the Parkland Mall Loan ($12.9
million -- 7% of the pool), which is secured by a 268,000
square foot enclosed retail center located in Yorkton, Saskatchewan.
The property was 80% leased as of February 2009. The center
is anchored by Zellers, IGA and Shoppers Drug Mart. Moody's
LTV and stressed DSCR are 78% and 1.42X, respectively,
compared to 80% and 1.39X at last review.
Moody's rating action is as follows:
-Class A-1, $23,983,875,
affirmed at Aaa; previously assigned at Aaa on 12/11/2002
-Class A-2, $127,959,000,
affirmed at Aaa; previously assigned at Aaa on 12/11/2002
-Class IO, Notional, affirmed at Aaa; previously
assigned at Aaa on 12/11/2002
-Class B, $8,665,000, affirmed at
Aaa; previously upgraded to Aaa on 4/6/2006
-Class C, $7,999,000, affirmed at
A1; previously upgraded to A1 on 4/6/2006
-Class D, $6,665,000, affirmed at
Baa1; previously upgraded to Baa1 on 4/6/2006
-Class E, $2,667,000, affirmed at
Baa2; previously upgraded to Baa2 on 4/6/2006
-Class F, $3,999,000, affirmed at
Ba2; previously assigned at Ba2 on 12/11/2002
-Class G, $1,333,000, downgraded
to B1 from Ba3; previously assigned at Ba3 on 12/11/2002
-Class H, $2,667,000, downgraded
to Caa1 from B2; previously assigned at B2 on 12/11/2002
-Class J, $665,000, downgraded to Caa2
from B3; previously assigned at B3 on 12/11/2002
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 review is summarized
in a press release dated October 26, 2007.
Due to the pool's low Herf score, the two principal methodologies
were used in monitoring this transaction are "Moody's Approach to Rating
Canadian CMBS", published on May 26, 2000 and "CMBS:
Moody's Approach to Rating Large Loan/Single Borrower Transactions"
published on July 7, 2000. Both reports are available on
www.moodys.com in the Rating Methodologies sub-directory
under the Research & Ratings tab. Other methodologies and factors
that may have been considered in the process of rating this issuer can
also be found in the Rating Methodologies sub-directory on Moody's
website. In addition, Moody's publishes a weekly summary
of structured finance credit, ratings and methodologies, available
to all registered users of our website, at www.moodys.com/SFQuickCheck.
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
Moody's Affirms Eight and Downgrades Three CMBS Classes of Solar Trust 2002-1
Michael M. Gerdes
Senior Vice President
Structured Finance Group
Moody's Investors Service
No Related Data.
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