Approximately $236.1 Million of Structured Securities Affected
New York, June 17, 2010 -- Moody's Investors Service (Moody's) affirmed the ratings of six
classes, upgraded one class and downgraded six classes of Morgan
Stanley Dean Witter Capital I Trust 2000-LIFE2, Commercial
Mortgage Pass-Through Certificates, Series 2000-LIFE2.
The upgrade is due to increased credit support resulting from paydowns,
amortization and defeasance. The downgrades are due to higher losses
for the pool resulting from anticipated losses from specially serviced
and highly leveraged watchlisted loans and refinance risk associated with
loans approaching maturity. Thirty four loans, representing
70% of the pool, are maturing during the next six months.
The affirmations are due to key rating parameters, including Moody's
loan to value (LTV) ratio and Moody's debt service coverage (DSCR)
remaining within acceptable ranges. The decline in loan concentration,
as measured by the Herfindahl (Index), has been mitigated by increased
credit support due to loan payoffs and amortization. The pool's
balance has declined by 42% since last review.
The rating action is the result of Moody's on-going surveillance
of commercial mortgage backed securities (CMBS) transactions.
As of the June 15, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 68% to $241.6
million from $765.3 million at securitization. The
Certificates are collateralized by 45 mortgage loans ranging in size from
less than 1% to 7% of the pool, with the top ten loans
representing 42% of the pool. Eleven loans, representing
20% of the pool, have defeased and are secured by U.S.
Government securities. The pool contains one loan, representing
6% of the pool, which has an investment grade underlying
rating. At last review, four other loans, representing
18% of the pool, also had investment grade underlying ratings.
These loans have paid off.
Ten loans, representing 25% 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 CRE
Finance Council (CREFC; formerly Commercial Mortgage Securities Association)
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.
Two loans have been liquidated from the pool, resulting in a $224,700
loss (4% loss severity on average). There are 13 loans,
representing 21% of the pool, currently in special servicing.
The largest specially serviced loan is the Crossroads I Office Building
Loan ($12.2 million -- 3.9% of the pool),
which is secured by a 118,000 square foot Class A office property
located in Englewood, Colorado. The loan transferred to special
servicing in June 2009 due to payment default and is in the process of
foreclosure. The property's performance declined after a
tenant which leased 51% of the net rentable area (NRA) vacated
after its lease expired in December 2004.
The second largest specially serviced loan is the Quail Creek and Quail
Ridge Apartments Loan ($5.6 million -- 1.8%
of the pool), which is secured by a 202 unit apartment complex located
in Rock Hills, South Carolina. The loan was transferred to
special servicing in September 2009 due to payment default and is currently
90+ days delinquent.
The remaining 11 specially serviced loans are secured by a mix of office,
industrial, retail, and multifamily properties. Moody's
estimates a $27.0 million aggregate loss for all the specially
serviced loans (48% expected loss on average). The special
servicer has recognized an aggregate $8.5 million appraisal
reduction for five of the specially serviced loans.
Moody's has assumed a high default probability on one loan representing
approximately 2% of the pool. This loan is on the watchlist
due to declines in performance and matures within the next six months.
Moody's has estimated a $1.1 million loss from this
loan (30% expected loss based on a 40% default probability).
Moody's was provided with full and partial-year 2009 operating
results for 57% of the pool. Excluding specially serviced
and troubled loans, Moody's weighted average LTV is 66% compared
to 77% at last review.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.52X and 1.71X, respectively,
compared to 1.40X and 1.52X. Moody's actual
DSCR is based on Moody's net cash flow (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.
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 score is 40. The pool has a Herf of 19,
compared to 43 at last review. The decline in Herf has been mitigated
by increased credit support.
The loan with an underlying rating is Tasman Corporate Center Loan ($19.3
million -- 6.2% of the pool), which is secured
by a 141,000 square foot office building located in Santa Clara,
California. The property is situated in a corporate park containing
6.0 million square feet of office space. The property was
100% leased to Brio Technology (Brio) through June 2010.
Brio vacated at the end of its lease term but the building has been 100%
leased to Citrix for a seven-year term. The loan matures
in August 2010. Moody's current underlying rating and stressed
DSCR are Baa2 and 1.76X, respectively, compared to
Baa2 and 1.63X at last review.
The three largest conduit loans represent 18% of the pool.
The largest conduit loan is the 825 Seventh Avenue Loan ($20.8
million -- 6.6% of the pool), which is secured
by a 165,000 square foot office condominium located in midtown Manhattan.
The property was 100% leased as of March 2010, the same as
at last review. The largest tenant is Young and Rubicam Inc.,
which leases 82% of the NRA through April 2015. Moody's
LTV and stressed DSCR are 77% and 1.33X, respectively,
essentially the same as at last review.
The second largest loan is the Sugarhouse Center Loan ($13.3
million -- 4.3% of the pool), which is secured
by a 207,000 square foot retail center located in Salt Lake City,
Utah. Major tenants include Cinemark, Nordtsrom Rack and
Michael's. The property was 96% leased as of December
2009. The loan matures in August 2010. Moody's LTV
and stressed DSCR are 46% and 2.22X, respectively,
compared to 53% and 1.94X at last review.
The third largest loan is Covina Marketplace Loan ($8.8
million -- 3.3% of the pool), which is secured
by an 105,000 square foot retail property located in Covina,
California. The property was 85% leased as of December 2009.
The loan matures in September 2010. Moody's LTV and stressed
DSCR are 72% and 1.43X, respectively, compared
to 70% and 1.47X at last review.
Moody's rating action is as follows:
-Class A-2, $115,521,533,
affirmed at Aaa; previously assigned Aaa on 10/31/2000
-Class X, Notional, affirmed at Aaa; previously
assigned Aaa on 10/31/2000
-Class B, $22,961,000, affirmed
at Aaa; previously upgraded to Aaa from Aa1 on 8/2/2006
-Class C, $24,874,000, affirmed
at Aaa; previously upgraded to Aaa from Aa2 on 9/25/2008
-Class D, $6,888,000, upgraded to
Aaa from Aa2; previously upgraded to Aa2 from A1 on 9/25/2008
-Class E, $18,751,000, affirmed
at A3; previously upgraded to A3 from Baa1 on 9/25/2008
-Class F, $7,653,000, affirmed at
Baa2; previously upgraded to Baa2 from Baa3 on 9/25/2008
-Class J, $9,184,000, downgraded
to Caa2 from Ba2; previously assigned Ba2 on 10/31/2000
-Class K, $3,061,000, downgraded
to Ca from Ba3; previously assigned Ba3 on 10/31/2000
-Class L, $4,018,000, downgraded
to C from B1; previously assigned B1 on 10/31/2000
-Class M, $6,697,000, downgraded
to C from B2; previously assigned B2 on 10/31/2000
-Class N, $2,870,000, downgraded
to C from B3; previously assigned B3 on 10/31/2000
-Class O, $957,000, downgraded to C from
Caa2; previously assigned Caa2 on 10/31/2000
Moody's monitors transactions on both a monthly basis through two
sets of quantitative tools -- MOST® (Moody's Surveillance
Trends) and CMM on Trepp -- and on a periodic basis through
a comprehensive review. Moody's prior review is summarized
in a press release dated September 6, 2007.
Due to the pool's low Herf score, two principal methodologies were
used in monitoring this transaction: "CMBS: Moody's
Approach to Rating U.S. Fusion Transactions,"
published on April 19, 2005, and "CMBS: Moody's Approach
to Rating Large Loan/Single Borrower Transactions" published on July 7,
2000. These publications are available on www.moodys.com
in the Rating Methodologies sub-directory under the Research &
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
Michael M. Gerdes
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's Affirms Six, Upgrades One and Downgrades Six CMBS Classes of MSDWC 2000-LIF2