Approximately $100.1 Million of Securities Affected
New York, November 17, 2016 -- Moody's Investors Service, ("Moody's") has affirmed the ratings
on three classes of Commercial Mortgage Leased-Backed Certificates
2000-CMLB1 (CMLBC 2001-CMLB1) as follows:
Cl. A-2, Affirmed Aaa (sf); previously on May
12, 2016 Affirmed Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on May
12, 2016 Affirmed Aaa (sf)
Cl. X, Affirmed Ba3 (sf); previously on May 12,
2016 Affirmed Ba3 (sf)
RATINGS RATIONALE
The ratings on two P&I classes, classes A-2 & A-3,
were affirmed because the transaction's key metric, the weighted
average rating factor (WARF), is within acceptable ranges.
The rating on the IO class was affirmed based on the credit performance
(or the weighted average rating factor or WARF) of its referenced classes.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The ratings of Credit Tenant Lease (CTL) deals are primarily based on
the senior unsecured debt rating (or the corporate family rating) of the
tenants leasing the real estate collateral supporting the bonds.
Other factors that are also considered are Moody's dark value of
the collateral (value based on the property being vacant or dark),
which is used to determine a recovery rate upon a loan's default and the
rating of the residual insurance provider, if applicable.
Factors that may cause an upgrade of the ratings include an upgrade in
the rating of the corporate tenant or significant loan paydowns or amortization
which results in a higher dark loan to value. Factors that may
cause a downgrade of the ratings include a downgrade in the rating of
the corporate tenant or the residual insurance provider.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's Approach
to Rating Credit Tenant Lease and Comparable Lease Financings" published
in October 2016. Please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
Moody's used a Gaussian copula model, incorporated in its public
CDO rating model CDOROM, to generate a portfolio loss distribution
of a pool of CTL loans to assess the ratings.
DEAL PERFORMANCE
As of the October 20, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 63% to $177.9
million from $476.3 million at securitization. The
Certificates are collateralized by 103 mortgage loans ranging in size
from less than 1% to 7% of the pool. Eighty-two
of the loans are CTL loans secured by properties leased to 20 corporate
credits tenants. Twenty-one loans, representing 16.3%
of the pool, have defeased and are collateralized with U.S.
Government securities.
Sixteen loans, constituting 9.2% of the pool,
are on the master servicer's watchlist. The watchlist includes
loans that meet certain portfolio review guidelines established as part
of the CRE Finance Council (CREFC) monthly reporting package. As
part of Moody's ongoing monitoring of a transaction, the agency
reviews the watchlist to assess which loans have material issues that
could affect performance.
One loan has been liquidated from the pool, resulting in a realized
loss of $5.5 million (49% loss severity).
Due to realized losses, Class K has been eliminated entirely and
Class J has experienced an 11% principal loss. There are
currently no loans in special servicing.
The CTL pool, excluding defeasance, consists of 82 loans secured
by properties leased to 20 credit tenants. The largest exposures
are SUPERVALU Inc. ($27.0 million -- 15.1%
of the pool; senior unsecured rating B3 -- stable outlook),
Autozone, Inc. ($26.3 million -- 14.8%
of the pool; senior unsecured rating: Baa1 - stable
outlook) and Walgreen Co. ($14.4 million --
8.1% of the pool; senior unsecured rating Baa2 -
On review for possible downgrade). Excluding defeased loans,
approximately 97% of the credits are publicly rated by Moody's
and 49% of them have investment grade ratings.
The bottom-dollar weighted average rating factor (WARF) for this
pool is 1493, compared to 1488 at the last review. WARF is
a measure of the overall quality of a pool of diverse credits.
The bottom-dollar WARF is a measure of default probability.
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.
In rating this transaction, Moody's CDOROM™ is used to model
the expected loss for each tranche. Moody's CDOROM™
is a Monte Carlo simulation tool which takes each underlying asset default
probability as input. Each underlying asset default behavior is
then modeled individually with a standard multi-factor model incorporating
both intra- and inter-industry correlation. The correlation
structure is based on a Gaussian copula. Each Monte Carlo scenario
simulates defaults and if applicable, recovery rates, to derive
losses on a portfolio. For a synthetic transaction, the model
then allocates losses to the tranches in reverse order of priority to
derive the loss on the tranches. By repeating this process and
averaging over the number of simulations, Moody's can derive
the expected loss on the tranches. For a cash transaction,
the portfolio loss, or default, distribution produced by Moody's
CDOROM™ may be input into a separate cash flow model in accordance
with its priority of payment to determine each tranche's expected
loss.
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.
Dariusz Surmacz
Vice President - Senior 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
Asst Vice President - Analyst
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
