Approximately $13 Million of Notional Structured Securities Affected
New York, October 28, 2016 -- Moody's Investors Service has affirmed the rating on one interest-only
class in DLJ Commercial Mortgage Corp., Commercial Mortgage
Pass-Through Certificates, Series 1998-CF1 as follows:
Cl. S, Affirmed Caa2 (sf); previously on Dec 10,
2015 Affirmed Caa2 (sf)
RATINGS RATIONALE
The rating on the IO class, Class S, was affirmed based on
the credit performance (or the weighted average rating factor or WARF)
of the referenced classes. The IO class is the only outstanding
Moody's-rated class in this transaction.
Moody's rating action reflects a base expected loss of 0.0%
of the current balance, the same as at Moody's last review.
Moody's does not anticipate losses from the remaining collateral
in the current environment. However, over the remaining life
of the transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Our ratings
reflect the potential for future losses under varying levels of stress.
Moody's base expected loss plus realized losses is now 1.6%
of the original pooled balance, the same as at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The rating of an IO class is based on the credit performance of its referenced
classes. An IO class may be upgraded based on a lower weighted
average rating factor or WARF due to an overall improvement in the credit
quality of its reference classes. An IO class may be downgraded
based on a higher WARF due to a decline in the credit quality of its reference
classes, paydowns of higher quality reference classes or non-payment
of interest. Classes that have paid off through loan paydowns or
amortization are not included in the WARF calculation. Classes
that have experienced losses are grossed up for losses and included in
the WARF calculation, even if Moody's has withdrawn the rating.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in this rating was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower CMBS"
published on October 2015. Please see the Ratings Methodologies
page on www.moodys.com for a copy of this methodology.
DESCRIPTION OF MODELS USED
Moody's analysis used the excel-based Large Loan Model.
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 and property type. Moody's also further adjusts
these aggregated proceeds for any pooling benefits associated with loan
level diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the October 17, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $13
million from $839 million at securitization. The certificates
are collateralized by nine mortgage loans ranging in size from less than
1% to 26% of the pool. Four loans, constituting
25% of the pool, have defeased and are secured by US government
securities.
There are currently no loans on the watchlist or in special servicing.
Eleven loans have been liquidated from the pool, resulting in an
aggregate realized loss of $14 million (for an average loss severity
of 23%).
Moody's received full year 2015 operating results for 75% of the
pool, and partial year 2016 operating results for 28% of
the pool. Moody's weighted average conduit LTV is 84%,
compared to 81% at Moody's last review. Moody's
conduit component excludes loans with structured credit assessments,
defeased and CTL loans, and specially serviced and troubled loans.
Moody's net cash flow (NCF) reflects a weighted average haircut
of 22% to the most recently available net operating income (NOI).
Moody's value reflects a weighted average capitalization rate of
11%.
Moody's actual and stressed conduit DSCRs are 0.98X and 1.80X,
respectively, compared to 1.05X and 1.78X at the last
review. Moody's actual DSCR is based on Moody's NCF
and the loan's actual debt service. Moody's stressed
DSCR is based on Moody's NCF and a 9.25% stress rate
the agency applied to the loan balance.
The top three conduit loans represent 61% of the pool balance.
The largest loan is the Randall's Store Loan ($3.3 million
-- 26% of the pool), which is secured by a
59,000 square foot retail property in Sugar Land, Texas.
The property is 100% leased to Randall's, a grocery store
and subsidiary of Safeway, Inc. The grocery store lease runs
until November 2022. Moody's LTV and stressed DSCR are 78%
and 1.53X, respectively, compared 81% and 1.47X
at prior review.
The second largest loan is the Walgreens - Seattle Loan ($2.2
million -- 18% of the pool), which is secured
by a 14,000 square foot retail property in Seattle, Washington.
The property is 100% leased to Walgreen Co. through October
2056, however Walgreen's retains the ability to terminate its lease
early beginning in 2016. Moody's LTV and stressed DSCR are 91%
and 1.31X, respectively, compared to 87% and
1.36X at prior review.
The third largest loan is the Walgreens Retail Building --
Gresham Loan ($2.2 million -- 17% of
the pool), which is secured by a 14,000 square foot retail
property in Gresham, Oregon. The property is 100%
leased to Walgreen Co. through July 2056. Moody's LTV and
stressed DSCR are 102% and 1.17X, respectively,
compared 88% and 1.36X at prior review.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's did not use any stress scenario simulations in its analysis.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the credit rating action on the support provider and in relation to
each particular credit rating action for securities that derive their
credit ratings from the support provider's credit rating.
For provisional ratings, this announcement provides certain regulatory
disclosures in relation to the provisional rating assigned, and
in relation to a definitive rating that may be assigned subsequent to
the final issuance of the debt, in each case where the transaction
structure and terms have not changed prior to the assignment of the definitive
rating in a manner that would have affected the rating. For further
information please see the ratings tab on the issuer/entity page for the
respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Leah Zulkoski
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Matthew Halpern
AVP-Analyst/Manager
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
