Approximately $36.9 Million of Structured Securities Affected
New York, December 20, 2013 -- Moody's Investors Service (Moody's) affirms the ratings of three classes
and downgrades three classes of GMAC Commercial Mortgage Securities,
Inc., Series 2002-C3 Mortgage Pass-Through
Certificate as follows:
Cl. J, Affirmed B3 (sf); previously on Feb 7,
2013 Affirmed B3 (sf)
Cl. K, Affirmed Caa2 (sf); previously on Feb 7,
2013 Affirmed Caa2 (sf)
Cl. L, Downgraded to C (sf); previously on Feb 7,
2013 Affirmed Caa3 (sf)
Cl. M, Downgraded to C (sf); previously on Feb 7,
2013 Affirmed Ca (sf)
Cl. N, Affirmed C (sf); previously on Feb 7, 2013
Affirmed C (sf)
Cl. X-1, Downgraded to Caa3 (sf); previously
on Feb 7, 2013 Downgraded to Caa2 (sf)
RATINGS RATIONALE
The downgrades of Classes L and M are to reflect Moody's base expected
loss.
The affirmation of Class J is due to key parameters, including Moody's
loan to value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable
ranges along with concerns of interest shortfalls. The ratings
of the Classes K and N are consistent with Moody's expected loss
and thus are affirmed. The downgrade of the IO Class, Class
X-1, is due to a decline in the weighted average rating factor
or WARF of its referenced classes.
Moody's rating action reflects a base expected loss of 28.4%
of the current balance compared to 39.7% at Moody's
prior review. Moody's base expected loss plus realized losses is
now 4.6% of the original pooled balance compared to 5.4%
at the prior review. Moody's provides a current list of base
expected losses for conduit and fusion CMBS transactions on moodys.com
at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. Performance
that falls outside the given range may indicate that the collateral's
credit quality is stronger or weaker than Moody's had previously anticipated.
Factors that may cause an upgrade of the ratings include significant loan
paydowns or amortization, an increase in the pool's share
of defeasance or overall improved pool performance. Factors that
may cause a downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in this rating were "Moody's Approach to Rating
U.S. CMBS Conduit Transactions" published in September 2000,
and "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 these methodologies.
Methodological approach for loss and recovery analysis
The methodological approach used in this rating is as follows: Moody's
utilized a loss and recovery approach in rating the P&I classes in
this deal since 77% of the pool is in special servicing and performing
conduit loans only represent 23% of the pool. In this approach,
Moody's determines a probability of default for each specially serviced
loan that we expect will generate a loss and estimates a loss given default
based on a review of broker's opinions of value (if available),
other information from the special servicer, available market data
and Moody's internal data. The loss given default for each
loan also takes into consideration repayment of servicer advances to date,
estimated future advances and closing costs. Translating the probability
of default and loss given default into an expected loss estimate,
Moody's then applies the aggregate loss from specially serviced loans
to the most junior class(es) and the recovery as a pay down of principal
to the most senior class(es).
DESCRIPTION OF MODELS USED
Moody's review utilized the excel-based CMBS Conduit Model
v 2.64 which is used for both conduit and fusion transactions.
Conduit model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR and Moody's property quality
grade (which reflects the capitalization rate used by Moody's to
estimate Moody's value). Conduit model results at the B2
(sf) level are driven by a paydown analysis based on the individual loan
level Moody's LTV ratio. Other concentrations and correlations
may be considered in our analysis. Based on the model pooled credit
enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit
classes are either interpolated between these two data points or determined
based on a multiple or ratio of either of these two data points.
For fusion deals, the credit enhancement for loans with investment-grade
credit assessments is melded with the conduit model credit enhancement
into an overall model result. Negative pooling, or adding
credit enhancement at the credit assessment level, is incorporated
for loans with similar credit assessments in the same transaction.
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
risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. The pool has a Herf of 5 compared
to 8 at prior review.
In cases where the Herf falls below 20, Moody's uses the excel-based
Large Loan Model v 8.6 and then reconciles and weights the results
from the Conduit and Large Loan models in formulating a rating recommendation.
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 December 10, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $36.9
million from $777.4 million at securitization. The
Certificates are collateralized by 9 mortgage loans ranging in size from
less than 1% to 28% of the pool. One loan,
representing 5% of the pool has defeased and is secured by US Government
securities. There are no loans that have investment grade credit
assessments.
No loans are currently on the master servicer's watchlist.
Eight loans have been liquidated from the pool, resulting in an
aggregate realized loss of $24.9 million (56% loss
severity on average). Four loans, representing 77%
of the pool, are currently in special servicing. The largest
specially serviced loan is the Broadmoor Apartments ($10.4
million -- 28.2% of the pool), which is secured
by 384 unit multifamily property located in Tampa, Florida.
The loan was transferred to special servicing in July 2012 due to maturity
default and subsequently the borrower files for Chapter 11 bankruptcy
in April 2013. A court ordered modification will become effective
January 2014, with the UPB rising to $12.75 million
to include all advances and deferred expenses and the loan maturity extending
48 months.
The second largest specially serviced loan is the Lake Park Pointe Shopping
Center ($7.4 million -- 20.0% of the
pool), which is secured by a 91,818 square foot (SF) retail
shopping center in Chicago, Illinois. The loan transferred
to special servicing in April 2012 due to the largest tenant vacating
in 2011. The loan was modified in April 2013 that included a ten
month forbearance extension till December 2013, the borrower brought
the loan current and an interest drop to 5% from 7.1%.
As of November 2013, the property was 90% leased.
The special servicer is looking for a 90-day extension to the forbearance
period. Moody's does not expect a loss for this loan.
The third largest specially serviced loan is the Nashville Business Center
-- A note ($5.6 million -- 15.2%
of the pool), which also includes a $3.6 million B
note. The loan is secured by a 893,100 SF industrial facility
in Murfreesboro, Tennessee and transferred to special servicing
in November 2011 due to imminent monetary default. Per the modification
in September 2013, the loan was extended till July 2014 with two,
one-year extension options and was converted from amortizing to
interest-only for the remainder of the loan term. As of
July 2013, the property was 25% leased.
Moody's estimates an aggregate $6.7 million loss for
specially serviced loans (32% expected loss on average).
Moody's has assumed a high default probability for one poorly performing
loans based on a 100% probability default.
Moody's was provided with full year 2012 and partial year 2013 operating
results for 67% and 33% of the pool, respectively.
Moody's weighted average conduit LTV is 75% compared to 94%
at Moody's prior review. Moody's conduit component
excludes loans with credit assessments, defeased and CTL loans and
specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 2% to the most recently
available net operating income (NOI). Moody's value reflects
a weighted average capitalization rate of 10%.
Moody's actual and stressed conduit DSCRs are 1.95X and 1.52X,
respectively, compared to 1.26X and 1.25X 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 top three conduit loans represent 9% of the pool balance.
The largest loan is the Walgreens Hattiesburg Loan ($1.2
million -- 3.2% of the pool), which is secured
by a 15,120 SF Walgreens anchored retail property in Hattiesburg,
Mississippi. This property has been 100% leased to Walgreens
since securitization and has a lease expiration in April 2059.
Moody's LTV and stressed DSCR are 60% and 1.82X, respectively,
compared to 67% and 1.62X at prior review.
The second largest loan is the Walgreens Savannah Loan ($1.1
million -- 3.1% of the pool), which is secured
by a 15,120 SF Walgreens anchored retail property in Savannah,
Georgia. This property has been 100% leased to Walgreens
since securitization and has a lease expiration in November 2061.
Moody's LTV and stressed DSCR are 56% and 1.93X, respectively,
compared to 59% and 1.84X at prior review.
The third largest loan is the Walgreens Madison Hoy Loan ($911,721
-- 2.5% of the pool), which is secured by a 13,905
SF Walgreens anchored retail property in Madison, Mississippi.
This property has been 100% leased to Walgreens since securitization
and has a lease expiration in February 2059. Moody's LTV and stressed
DSCR are 44% and 2.47X, respectively, compared
to 47% and 2.29X 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.
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.
Randy Goldstein
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
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 Three and Downgrades Three Classes of GMAC 2002-C3
