Approximately $223.8 Million of Structured Securities Affected
New York, September 09, 2010 -- Moody's Investors Service (Moody's) downgraded the ratings of five classes
and affirmed eight classes of PNC Mortgage Acceptance Corp.,
Commercial Mortgage Pass-Through Certificates, Series 2000-C2
Cl. X Certificate, Affirmed at Aaa (sf); previously
on Oct 23, 2000 Definitive Rating Assigned Aaa (sf)
US$18.230M Cl. B Certificate, Affirmed at Aaa
(sf); previously on Apr 4, 2005 Upgraded to Aaa (sf)
US$48.423M Cl. C Certificate, Affirmed at Aaa
(sf); previously on Oct 10, 2006 Upgraded to Aaa (sf)
US$13.452M Cl. D Certificate, Affirmed at Aaa
(sf); previously on Jul 9, 2007 Upgraded to Aaa (sf)
US$13.451M Cl. E Certificate, Affirmed at Aaa
(sf); previously on Sep 25, 2008 Upgraded to Aaa (sf)
US$18.831M Cl. F Certificate, Affirmed at Aa1
(sf); previously on Sep 25, 2008 Upgraded to Aa1 (sf)
US$16.141M Cl. G Certificate, Affirmed at Aa3
(sf); previously on Sep 25, 2008 Upgraded to Aa3 (sf)
US$18.832M Cl. H Certificate, Affirmed at Baa1
(sf); previously on Oct 3, 2007 Upgraded to Baa1 (sf)
US$29.592M Cl. J Certificate, Downgraded to
B1 (sf); previously on Oct 3, 2007 Upgraded to Ba1 (sf)
US$8.071M Cl. K Certificate, Downgraded to
B3 (sf); previously on Oct 23, 2000 Definitive Rating Assigned
US$8.071M Cl. L Certificate, Downgraded to
Ca (sf); previously on Oct 23, 2000 Definitive Rating Assigned
US$10.761M Cl. M Certificate, Downgraded to
C (sf); previously on Oct 23, 2000 Definitive Rating Assigned
US$5.380M Cl. N Certificate, Downgraded to
C (sf); previously on Oct 23, 2000 Definitive Rating Assigned
The downgrades are due to higher expected losses from the pool resulting
from realized and anticipated losses from specially serviced and poorly
performing loans, interest shortfalls and refinance risk associated
with loans maturing in an adverse economic environment. Twenty-three
loans, or 75% of the non-defeased pool, have
or will mature within the next 36 months. Eight of these loans,
representing 37% of the pool, have a Moody's stressed debt
service coverage ratio (DSCR) less than 1.0X.
The affirmations are 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. Based on our current base expected loss, the credit
enhancement levels for the affirmed classes are sufficient to maintain
their existing ratings.
Moody's rating action reflects a cumulative base expected loss of
15.4% of the current balance. At last review,
Moody's cumulative base expected loss was 1.3%.
Moody's stressed scenario loss is 18.6% of the current
balance. Moody's provides a current list of base and stress
scenario losses for conduit and fusion CMBS transactions on moodys.com
Depending on the timing of loan payoffs and the severity and timing of
losses from specially serviced loans, the credit enhancement level
for investment grade classes could decline below the current levels.
If future performance materially declines, the expected level of
credit enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these
expectations. Performance that falls outside an acceptable range
of the key parameters may indicate that the collateral's credit
quality is stronger or weaker than Moody's had anticipated during
the current review. Even so, deviation from the expected
range will not necessarily result in a rating action. There may
be mitigating or offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to amortization
and loan payoffs or a decline in subordination due to realized losses.
Primary sources of assumption uncertainty are the current stressed macroeconomic
environment and continuing weakness in the commercial real estate and
lending markets. Moody's currently views the commercial real
estate market as stressed with further performance declines expected in
the industrial, office, and retail sectors. Hotel performance
has begun to rebound, albeit off a very weak base. Multifamily
has also begun to rebound reflecting an improved supply / demand relationship.
The availability of debt capital is improving with terms returning towards
market norms. Job growth and housing price stability will be necessary
precursors to commercial real estate recovery. Overall, Moody's
central global scenario remains "hook-shaped" for 2010
and 2011; we expect overall a sluggish recovery in most of the world's
largest economies, returning to trend growth rate with elevated
fiscal deficits and persistent unemployment levels.
The principal methodologies used in rating PNC Mortgage Acceptance Corp.,
Series 2000-C2 were "CMBS: Moody's Approach to Conduit Transactions"
published in September 2000 and "Moody's Approach to Rating Large Loan/Single
Borrower Transactions" published in July 2000. Other methodologies
and factors that may have been considered in the process of rating this
issuer can also be found 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.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 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 level are driven by a paydown analysis based on
the individual loan level Moody's LTV ratio. Moody's
Herf score, a measure of loan level diversity, is a primary
determinant of pool level diversity and has a greater impact on senior
certificates. Other concentrations and correlations may be considered
in our analysis. Based on the model pooled credit enhancement levels
at Aa2 and B2, 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 underlying ratings
is melded with the conduit model credit enhancement into an overall model
result. Fusion loan credit enhancement is based on the underlying
rating of the loan which corresponds to a range of credit enhancement
levels. Actual fusion credit enhancement levels are selected based
on loan level diversity, pool leverage and other concentrations
and correlations within the pool. Negative pooling, or adding
credit enhancement at the underlying rating level, is incorporated
for loans with similar underlying ratings in the same transaction.
In cases where the Herf falls below 20, Moody's also employs
the large loan/single borrower methodology. This methodology uses
the Excel-based Large Loan Model v 8.0 and then reconciles
and weights the results from the two 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.
Moody's ratings are determined by a committee process that considers
both quantitative and qualitative factors. Therefore, the
rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance
of commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of quantitative
tools -- MOST® (Moody's Surveillance Trends) and CMM
(Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated October 3, 2007. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or financial
instruments in this transaction and the due diligence reports had a neutral
impact on the ratings.
As of the August 12, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 79% to $223.82
million from $1.08 billion at securitization. The
Certificates are collateralized by 35 mortgage loans ranging in size from
less than 1% to 15% of the pool, with the top ten
loans representing 65% of the pool. One loan, representing
5% of the pool, has defeased and is collateralized with U.S.
Government securities. Defeasance at last review represented 28%
of the pool.
Ten loans, representing 27% 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) 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
Ten loans have been liquidated from the pool, resulting in an aggregate
realized loss of $7.16 million (15% loss severity
on average). Sixteen loans, representing 56% of the
pool, are currently in special servicing. The largest specially
serviced loan is the AppleTree Business Park Loan ($33.7
million -- 15% of the pool), which is secured by a 435,000
square foot office complex located in Cheektowaga, New York,
a suburb of Buffalo. The loan was transferred into special servicing
in June 2010 due to imminent default. The loan has passed its September
1, 2010 anticipated repayment date (ARD) and is current.
The property was 90% leased as of March 2010, compared to
84% at last full review.
The second largest specially serviced loan is the 4351 N Atlantic Road
Loan ($21.7 million -- 10% of the pool),
which is secured by a 236,770 square foot single tenant office building
located in Auburn Hills, Michigan. Continental Teves leases
192,200 square feet of the space through July 2020. The loan
transferred into special servicing in June 2010 due to the borrower's
inability to repay the loan at maturity in July 2010. The borrower
has been working to refinance the loan and is marketing the property for
The third largest specially serviced loan is the Northside Marketplace
Loan ($13.9 million -- 6% of the pool),
which is secured by a 189,299 square foot retail property located
in Nashville, Tennessee. The loan transferred into special
servicing in January 2010 due to imminent payment default and is currently
90+ days delinquent. The loan passed an anticipated repayment
date (ARD) of September 1, 2010 and the borrower is seeking a loan
The remaining 13 specially serviced loans are secured by a mix of office,
hotel, retail and multifamily properties. The master servicer
has recognized an aggregate $10.2 million appraisal reduction
for four of the specially serviced loans. Moody's has estimated
an aggregate $30.4 million loss (32% expected loss
on average) for the specially serviced loans.
Moody's has assumed a high default probability for two poorly performing
loans representing 5% of the pool and has estimated a $2.1
million loss (18% expected loss based on a 50% probability
default) from these troubled loans.
Based on the most recent remittance statement, Classes M through
O have experienced cumulative interest shortfalls totaling $1.0
million. Moody's anticipates that the pool will continue to experience
interest shortfalls because of the high exposure to specially serviced
loans. Interest shortfalls are caused by special servicing fees,
including workout and liquidation fees, appraisal subordinate entitlement
reductions (ASERs) and extraordinary trust expenses.
Moody's was provided with full-year 2009 and partial-year
2010 operating results for 94% and 21%, respectively,
of the non-defeased pool. Excluding specially serviced and
troubled loans, Moody's weighted average LTV is 83%
compared to 79% at Moody's prior full review. Moody's
net cash flow reflects a weighted average haircut of 14.4%
to the most recently available net operating income. Moody's
value reflects a weighted average capitalization rate of 10.2%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.17X and 1.45X, respectively,
compared to 1.29X and 1.42X at last full review.
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
risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. The pool has a Herf of 13
compared to 35 at Moody's prior full review. The decline
in Herf has been partially offset by increased credit support due to loan
payoffs and amortization. The pool has paid down 57% since
Moody's last full review.
The top three performing conduit loans represent 19% of the pool
balance. The largest loan is the Sweetheart Cup Distribution Center
Loan ($24.4 million -- 11% of the pool),
which is secured by a 1.03 million square foot industrial building
located in Hampstead, Maryland. The property is fully occupied
by a single tenant, Solo Cup Company, through July 2020.
The loan has amortized 4% since last review and is on the watchlist
due to an anticipated repayment date of October 1, 2010.
Although property performance has been stable since securitization,
Moody's analysis reflects a stressed cash flow due to a challenged refinance
environment and our concerns about single tenant exposure. Moody's
LTV and stressed DSCR are 90% and 1.34X, respectively,
compared to 81% and 1.30X at last review.
The second largest loan is The Waterford at Portage Loan ($9.2
million -- 4.1% of the pool), which is secured
by two multifamily properties located in Akron, Ohio. This
loan is currently on the master servicer's watchlist due to a low DSCR.
Property performance has declined primarily due to increased operating
expenses and a decline in occupancy. The properties are currently
87% occupied compared to 90% at last full review.
The loan has amortized 4% since last review and matures in July
2015. Moody's believes that there is a high probability that this
loan may default prior to loan maturity. Moody's LTV and
stressed DSCR are 151% and 0.68X, respectively,
compared to 117% and 0.88X at last review.
The third largest loan is The Waterford at Spencer Oaks Apartments Loan
($8.0 million -- 3.6% of the pool),
which is secured by a multifamily property located in Denton, Texas.
This loan is currently on the master servicer's watchlist due to a low
DSCR. Property performance remains in line with Moody's last
full review and as of May 2010, the property was 92% leased,
compared to 86% at last full review. The loan has amortized
4% since last review and matures in June 2015. Moody's
LTV and stressed DSCR are 102% and 1.01X, respectively,
compared to 107% and 0.94X at last review.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, and confidential and proprietary Moody's
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purpose of maintaining
a credit rating.
MOODY'S adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
MOODY'S considers to be reliable including, when appropriate,
independent third-party sources. However, MOODY'S
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Structured Finance Group
Moody's Investors Service
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's Downgrades Five and Affirms Eight CMBS Classes of PNCMA 2000-C2
250 Greenwich Street
New York, NY 10007