Approximately $18.7 Million of Structured Securities Affected
New York, June 01, 2017 -- Moody's Investors Service has affirmed the ratings on two classes and
downgraded the rating on one class in Paine Webber Mortgage Acceptance
Corporation V 1999-C1 as follows:
Cl. G, Affirmed A1 (sf); previously on Jun 10,
2016 Upgraded to A1 (sf)
Cl. H, Affirmed C (sf); previously on Jun 10,
2016 Affirmed C (sf)
Cl. X, Downgraded to Caa2 (sf); previously on Jun 10,
2016 Affirmed Caa1 (sf)
RATINGS RATIONALE
The rating on Class G was affirmed because the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio,
Moody's stressed debt service coverage ratio (DSCR) and the transaction's
Herfindahl Index (Herf), are within acceptable ranges.
The rating on Class H was affirmed because the ratings are consistent
with Moody's expected loss plus realized losses. Class H
has already experienced a 25% realized loss as result of previously
liquidated loans.
The rating on the IO Class (Class X) was downgraded due to the decline
in the credit performance of its reference classes resulting from principal
paydowns of higher quality reference classes.
Moody's rating action reflects a base expected loss of 15.7%
of the current balance, compared to 13.1% at Moody's
last review. Moody's base expected loss plus realized losses is
now 2.4% of the original pooled balance, unchanged
from Moody's last review. 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.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS
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 can indicate that the collateral's
credit quality is stronger or weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a significant
amount of loan paydowns or amortization, an increase in the pool's
share of defeasance or an improvement in pool performance.
Factors that could lead to a downgrade of the ratings include a decline
in the performance of the pool, loan concentration, an increase
in realized and expected losses from specially serviced and troubled loans
or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Moody's Approach
to Rating Large Loan and Single Asset/Single Borrower CMBS" published
in October 2015 and "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 these methodologies.
Additionally, the methodology used in rating Cl. X was Moody's
Approach to Rating Structured Finance Interest-Only Securities
methodology published in October 2015. Please see the Rating Methodologies
page on www.moodys.com for a copy of this methodology.
Please note that on February 27, 2017, Moody's released a
"Request for Comment" in which it has requested market feedback on proposed
changes to its methodology for rating structured finance interest-only
(IO) securities called "Moody's Approach to Rating Structured Finance
Interest-Only Securities," dated October 20, 2015.
If Moody's adopts the new methodology as proposed, the changes could
affect the ratings of PMAC 1999-C1. Please see "Moody's
Proposes Revised Approach to Rating Structured Finance Interest-Only
(IO) Securities", which is available at www.moodys.com,
for more information about the implications of the proposed changes to
the methodology on Moody's ratings.
DESCRIPTION OF MODELS USED
Moody's analysis used the excel-based Large Loan Model.
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 and property type. Moody's also further adjusts
these aggregated proceeds for any pooling benefits associated with loan
level diversity and other concentrations and correlations.
In evaluating the Credit Tenant Lease (CTL) component, Moody's used
a Gaussian copula model, incorporated in its public CDO rating model
CDOROM to generate a portfolio loss distribution for the credit tenant
lease (CTL) component of the transaction.
DEAL PERFORMANCE
As of the May 15, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $18.7
million from $704.8 million at securitization. The
certificates are collateralized by 13 mortgage loans ranging in size from
1% to 32% of the pool. Four loans, constituting
17% of the pool, have defeased and are secured by US government
securities. The pool contains a Credit Tenant Lease (CTL) component
that includes three non-defeased loans, representing 67%
of the pool.
Four loans, constituting 37% 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.
Thirteen loans have been liquidated from the pool, contributing
to an aggregate realized loss of $13.8 million (for an average
loss severity of 36%).
Moody's received full year 2015 operating results for 100% of the
pool, and full or partial year 2016 operating results for 100%
of the pool (excluding specially serviced and defeased loans).
Moody's weighted average conduit LTV is 22%, compared
to 30% at Moody's last review. Moody's conduit
component excludes loans with structured credit assessments, defeased
and CTL loans, and specially serviced and troubled loans.
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
11.0%.
Moody's actual and stressed conduit DSCRs are 1.54X and >4.00X,
respectively, compared to 1.51X and >4.00X at the
last 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% stress rate
the agency applied to the loan balance.
The top three conduit loans represent 11.6% of the pool
balance. The largest loan is the Post Haste Plaza Loan ($1.41
million -- 7.4% of the pool), which is secured
by a 36,000 square foot (SF) retail property located in Hollywood,
Florida. As of December 2016, the property was 100%
leased, unchanged from Moody's prior review. The loan
is fully amortizing and has amortized 50% since securitization.
The loan matures in October 2023 and Moody's LTV and stressed DSCR are
25% and >4.00X, respectively.
The second largest loan is the Best Western Regent Inn Loan ($0.45
million -- 2.4% of the pool), which is secured
by an 88-room limited service hotel located in Mansfield,
Connecticut. The loan is on the watchlist due to low DSCR caused
by low occupancy and an increase in expenses. The loan is fully
amortizing and has amortized 84% since securitization. The
loan matures in September 2018 and Moody's LTV and stressed DSCR are 37%
and 3.46X, respectively.
The third largest loan is the Hard Rock Cafe Loan ($0.35
million -- 1.8% of the pool), which is secured
by a 15,650 SF retail property in downtown San Diego, California.
As of December 2016, the property was 98% leased.
The loan is on the watchlist due to recent lease rollover, however,
the occupancy is not expected to decline. The loan is fully amortizing
and has amortized 85% since securitization. Moody's LTV
and stressed DSCR are 10% and >4.00X, respectively.
The CTL component consists of three loans, constituting 67%
of the pool, secured by properties leased to three tenants.
The largest exposures are Beckman Coulter, Inc. ($6.1
million -- 32% of the pool; Beckman was acquired by Danaher
Corporation; senior unsecured rating A2 -- stable outlook) and
Regal Cinemas Corporation ($5.7 million -- 30%
of the pool; Regal Entertainment Group; senior unsecured rating:
B3 -- stable outlook). The bottom-dollar weighted average
rating factor (WARF) for this pool is 2354, compared to 2310 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.
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.
Nicola Gomes
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
Matthew Halpern
Vice President - Senior Analyst
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
