Approximately $96.2 Million of Structured Securities Affected
New York, December 17, 2010 -- Moody's Investors Service (Moody's) upgraded the ratings of four classes,
affirmed ten classes and downgraded one class of Washington Mutual Asset
Securities Corp., Series 2003-C1 Mortgage Pass-Through
Certificates, as follows:
Cl. A, Affirmed at Aaa (sf); previously on Mar 20,
2003 Definitive Rating Assigned Aaa (sf)
Cl. X, Affirmed at Aaa (sf); previously on Mar 20,
2003 Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Jun 28,
2005 Upgraded to Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Jun 28,
2005 Upgraded to Aaa (sf)
Cl. D, Affirmed at Aaa (sf); previously on Mar 8,
2007 Upgraded to Aaa (sf)
Cl. E, Affirmed at Aaa (sf); previously on Mar 20,
2008 Upgraded to Aaa (sf)
Cl. F, Affirmed at Aaa (sf); previously on Mar 20,
2008 Upgraded to Aaa (sf)
Cl. G, Upgraded to Aaa (sf); previously on Mar 20,
2008 Upgraded to Aa2 (sf)
Cl. H, Upgraded to Aa1 (sf); previously on Mar 20,
2008 Upgraded to A1 (sf)
Cl. J, Upgraded to A3 (sf); previously on Mar 20,
2008 Upgraded to Baa1 (sf)
Cl. K, Upgraded to Baa3 (sf); previously on Mar 20,
2008 Upgraded to Ba1 (sf)
Cl. L, Affirmed at Ba2 (sf); previously on Mar 20,
2008 Upgraded to Ba2 (sf)
Cl. M, Affirmed at B1 (sf); previously on Mar 20,
2003 Definitive Rating Assigned B1 (sf)
Cl. N, Affirmed at Caa1 (sf); previously on Apr 30,
2009 Downgraded to Caa1 (sf)
Cl. O, Downgraded to Caa2 (sf); previously on Apr 30,
2009 Downgraded to Caa1 (sf)
RATINGS RATIONALE
The upgrades are due to increased subordination from loan payoffs and
amortization, and the pool's overall stable performance.
The pool has paid down by 82% since securitization and 27%
since Moody's last review.
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 current ratings.
The downgrade is due to higher than expected losses for the pool from
troubled loans and increased credit quality dispersion.
Moody's rating action reflects a cumulative base expected loss of
2.8% of the current pool balance. Moody's provides
a current list of base and stress scenario losses for conduit and fusion
CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
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 methodology used was "CMBS: Moody's Approach to Rating
U.S. Conduit Transactions" published in September 2000.
In addition to methodologies and research available on moodys.com,
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
Herfindahl score (Herf), 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
credit estimates is melded with the conduit model credit enhancement into
an overall model result. Fusion loan credit enhancement is based
on the credit estimate 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 credit estimate level, is incorporated
for loans with similar credit estimates 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 19
compared to 28 at last review.
In cases where the Herf falls below 20, Moody's generally employs
the large loan/single borrower methodology. Moody's did not
employ this methodology in the review of this deal despite the low Herf
Index due to a significant increase in credit subordination since our
last review. Moody's incorporated additional stresses in our cash
flow analysis to offset the decline in loan diversity.
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 April 30, 2009. 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 did not receive or take into account a
third-party due diligence report on the underlying assets or financial
instruments related to the monitoring of this transaction in the past
six months.
DEAL PERFORMANCE
As of the November 18, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 82% to $101.5
million from $571.9 million at securitization. The
Certificates are collateralized by 60 mortgage loans ranging in size from
less than 1% to 14% of the pool, with the top ten
loans representing 55% of the pool.
Thirteen loans, representing 31% 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 performance.
Three loans have been liquidated from the pool since securitization,
resulting in an aggregate $372,514 loss (3.7%
loss severity on average). Currently, there are no loans
in special servicing. However, Moody's has assumed
a high default probability for two poorly performing loans, representing
5% of the pool, and estimates an aggregate $986,637
loss (40% expected loss based on a 50% probability of default)
from these troubled loans.
Moody's was provided with full year 2009 and partial year 2010 operating
results for 99% and 84% of the pool, respectively.
Excluding the troubled loans, Moody's weighted average LTV
is 64%, a decrease from 74% at last review.
Moody's net cash flow reflects a weighted average haircut of 11%
to the most recently available net operating income. Moody's
value reflects a weighted average capitalization rate of 10%.
Based on Moody's analysis, 9% of the pool has an LTV
greater than 100% compared to 7% at last review and 5%
at securitization.
Excluding the troubled loans, Moody's actual and stressed
DSCRs are 1.59X and 1.87X, respectively, compared
to 1.44X and 1.68X at last 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.
The top three loans represent 30% of the outstanding pool balance.
The largest loan is the Center Pointe Plaza Loan ($14.6
million -- 14.4% of the pool), which
is secured by a 252,493 square foot power center located in Christiana
-- a suburb of Wilmington, Delaware. As of September
2010, the center was 92% leased compared to 100% at
last review. Major tenants include Home Depot (44% of the
net rentable area (NRA); lease expiration in January 2013);
Babies 'R Us (17% of the NRA; lease expiration in January
2013) and T.J. Maxx (12% of the NRA, lease
expiration in January 2013). The loan has amortized 12%
since last review and performance has been stable. Moody's LTV
and stressed DSCR are 43% and 2.43X, respectively,
compared to 51% and 2.08X at last review.
The second largest loan is the 33 Irving Place Loan ($9.5
million -- 9.3% of the pool), which
is secured by a 166,321 square foot class B office building located
in the East Midtown South submarket of New York City. As of September
2010, the property was 100% leased, the same as at
last review. The largest tenant is Ultrasound Tech Services (36%
of the NRA; lease expiration in September 2021). The loan
has amortized 5% since last review and performance has been stable.
Moody's LTV and stressed DSCR are 31% and 3.19X, respectively,
compared to 44% and 2.27X at last review.
The third largest loan is the Laurel Vista Apartments Loan ($6.6
million -- 6.5% of the pool), which
is secured by a 62-unit multi-family property located in
Los Angeles, California. The property was 92% leased
as of September 2010 compared to 90% at last review. The
loan has amortized by 3% since last review. Moody's LTV
and stressed DSCR are 85% and 1.18X, respectively,
compared to 86% and 1.17X at last review.
REGULATORY DISCLOSURES
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
Analytics information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes 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.
New York
Juan Acosta
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Sandra Ruffin
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Upgrades Four, Affirms Ten and Downgrades One CMBS Class of WAMU 2003-C1
