Approximately $1.5 Million of Notional Structured Securities Affected
New York, October 27, 2017 -- Moody's Investors Service, ("Moody's") has
affirmed the rating on one interest only (IO) class of DLJ Commercial
Mortgage Corp 1998-CF1, Commercial Mortgage Pass-Through
Certificates, Series 1998-CF1 as follows:
Cl. S, Affirmed C (sf); previously on Jun 9, 2017
Downgraded to C (sf)
RATINGS RATIONALE
The rating on the IO class was affirmed based on the credit quality 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% of the
current balance, the same as at Moody's last review.
Moody's base expected loss plus realized losses is now 1.7%
of the original pooled balance. 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.
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.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
An IO class may be subject to ratings upgrades if there is an improvement
in the credit quality of its referenced classes, subject to the
limits and provisions of the updated IO methodology.
An IO class may be subject to ratings downgrades if there is (i) a decline
in the credit quality of the reference classes and/or (ii) paydowns of
higher quality reference classes, subject to the limits and provisions
of the updated IO methodology.
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 in July 2017. Please see the Rating Methodologies page
on www.moodys.com for a copy of this methodology.
Additionally, the methodology used in rating Cl. S was "Moody's
Approach to Rating Structured Finance Interest-Only (IO) Securities"
published in June 2017. Please see the Rating Methodologies page
on www.moodys.com for a copy of this methodology.
DEAL PERFORMANCE
As of the October 16, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99.8% to
$1.5 million from $839 million at securitization.
The Certificates are collateralized by two mortgage loans.
The larger loan represents 98% of the pool and is 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.
The smaller loan represents 2% of the pool and has defeased and
is secured by US Government securities.
Eleven loans have been liquidated from the pool, contributing to
an aggregate realized loss of $14 million (23% loss severity
on average).
The top loan is the Walgreens Retail Building - Portland Loan ($1.49
million -- 98% of the pool), which is secured
by a 14,000 square foot retail property in Portland, Oregon.
The property is 100% leased to Walgreens through May 2067.
The property has amortized 35% since securitization. Moody's
LTV and stressed DSCR are 78% and 1.49X, respectively,
compared to 77% and 1.54X at the 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.
Wesley Flamer-Binion
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Keith Banhazl
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
