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I AGREE
23 Mar 2011
Approximately $156 million of Structured Securities Affected
New York, March 23, 2011 -- Moody's Investors Service (Moody's) affirmed ratings of four classes of
Structured Asset Securities Corporation, Commercial Mortgage Pass-Through
Certificates, Series 1997-LL1 as follows:
Cl. D Certificate, Affirmed at Aaa (sf); previously
on January 6, 2006 Upgraded to Aaa (sf)
Cl. E Certificate, Affirmed at Aaa (sf); previously
on March 8, 2007 Upgraded to Aaa (sf)
Cl. F Certificate, Affirmed at A2 (sf); previously on
March 8, 2007 Upgraded to A2 (sf)
Cl. X-1 Certificate, Affirmed at Aaa (sf); previously
on October 14, 1997 Definitive Rating Assigned Aaa (sf)
RATINGS RATIONALE
The affirmations of the pooled classes were due to key parameters,
including Moody's loan to value (LTV) ratio remaining within an acceptable
range.
The affirmations reflect the positive impact of lower leverage due to
amortization on the single remaining loan in the pool, the inherent
value of the assets, and strong sponsorship.
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 Large Loan/Single Borrower Transactions" published in July 2000.
Moody's review incorporated the use of 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 June 17, 2010. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a third-party
due diligence report on the underlying assets or financial instruments
related to the monitoring of this transaction in the past six months.
DEAL PERFORMANCE
As of the March 14, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 9% to $156
million from $170 million since last review. The 20-year
fixed rate loan with a rate of 7.865% has an anticipated
repayment date (ARD) of April 10, 2012 with a final maturity date
of April 12, 2017. The loan sponsor is an affiliate of Host
Hotels & Resorts, Inc. (Moody's senior unsecured
rating of Ba1; outlook Stable).
The Courtyard Portfolio Loan ($156 million -- 100%
of pooled balance) is secured by 50 properties totaling 7,220 guest
rooms located in 16 states. The property's operating performance
has deteriorated significantly in the last two years. Revenue per
Available Room (RevPAR) for calendar year 2010 was $57.40
compared to full year 2009 results of $56.33. Despite
a slight increase in RevPAR, Net House Profit showed a slight decline
during the same period going from $23.1 million in 2009
to $21.9 million in 2010.
The lodging sector experienced unprecedented levels of stress since 4Q
2008; however, we believe the lodging sector has bottomed out
in 2010 and is on its way to recovery. The pool's 2009 and
2010 year-end performances were significantly lower than historical
levels, and we do not believe that they are representative of the
subject pool's stabilized performance. During our last review,
we anticipated further declines in 2010.
Comparing the month of December 2010 operating performance over December
2009 and December 2008 performances may be a better indicator of what
can be expected in 2011. RevPAR for December 2010 was $39.45,
up 11% from December 2009 result of $35.51 but still
lower than December 2008 result of $42.37. Net House
Profit for the month of December 2010, traditionally a challenging
month, was -$239,575, a big improvement
over December 2009 Net House Profit of -$810,810 but
still shy of December 2008 Net House Profit of $164,332.
Moody's weighted average pooled loan to value (LTV) ratio remains at 56%
same as last review. Moody's stressed debt service coverage ratio
(DSCR) for the loan is at 1.74X compared to 1.81X at last
review. Although the actual DSCR is below 1.0X due to a
20-year amortization schedule, we believe that the combination
of strong sponsorship, inherent value of the assets and improving
lodging market fundamentals warrant affirmations at this time.
The pool has not experienced any losses since securitization. The
outstanding interest shortfall amount is $9,726.
New York
Eun Jee Park
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Michael M. Gerdes
Senior Vice President
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 Four CMBS Classes of SASCO 1997-LL1
No Related Data.
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