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Rating Action:

Moody's Affirms One Interest Only Class of DLJMA 1997-CF2

Global Credit Research - 24 Jan 2014

Approximately $20.9 Million of Notional Structured Securities Affected

New York, January 24, 2014 -- Moody's Investors Service has affirmed the rating of one class of DLJ Mortgage Acceptance Corp., Commercial Mortgage Pass-Through Certificates, Series 1997-CF2 as follows:

Cl. S, Affirmed Caa3 (sf); previously on Feb 22, 2013 Affirmed Caa3 (sf)

RATINGS RATIONALE

The rating of the IO class, Class S, was affirmed based on the credit performance of its referenced classes. The IO class is the only outstanding Moody's-rated class in this transaction.

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that have experienced losses are grossed up for losses and included in the WARF calculation, even if Moody's has withdrawn the rating.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 CMBS Large Loan/Single Borrower Transactions" published in July 2000. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

DESCRIPTION OF MODELS USED

Moody's review incorporated the use of the excel-based Large Loan Model v 8.6. 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.

DEAL PERFORMANCE

As of the January 15, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $20.9 million from $661.9 million at securitization. The Certificates are collateralized by two mortgage loans.

Twelve loans have been liquidated from the pool, resulting in an aggregate realized loss of $34.5 million (35% loss severity on average). Currently, there are no loans in special servicing.

Moody's was provided with both full year 2012 and partial year 2013 operating results for 100% of the pool. Moody's weighted average conduit LTV is 70% compared to 79% at Moody's prior review. Moody's net cash flow (NCF) reflects a weighted average haircut of 14% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.0%.

Moody's actual and stressed conduit DSCRs are 1.18X and 1.57X, respectively, compared to 0.99X and 1.39X at prior 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% stressed rate applied to the loan balance.

The largest loan is the West Ridge Market Loan ($20.5 million -- 98% of the pool), which is secured by an anchored retail center located in Minnetonka, Minnesota. As of October 2013 the property was 97% leased. The property's anchors include Dick's Sporting Goods, Bed Bath & Beyond and Michael's Stores. Moody's LTV and stressed DSCR are 71% and 1.53X, respectively.

The other remaining loan is fully amortizing and leased to CVS through December 2017, which extends five months beyond the loan maturity date in July 2017.

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.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

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 rating action on the support provider and in relation to each particular 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 rating action, and whose ratings may change as a result of this 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.

Matthew Halpern
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

Keith Banhazl
VP - Sr Credit Officer/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

Moody's Affirms One Interest Only Class of DLJMA 1997-CF2
No Related Data.

 

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