Approximately $27.2 Million of Structured Securities Affected
New York, October 28, 2010 -- Moody's Investors Service (Moody's) upgraded the rating of one class,
downgraded one class and affirmed three classes of GMAC Commercial Mortgage
Securities, Inc., Series 2000-C1 Mortgage Pass-Through
Certificates as follows:
Cl. X, Affirmed at Aaa (sf); previously on Mar 16,
2000 Assigned Aaa (sf)
Cl. H, Upgraded to Ba1 (sf); previously on Nov 2,
2004 Downgraded to B1 (sf)
Cl. J, Affirmed at B2 (sf); previously on Nov 2,
2004 Downgraded to B2 (sf)
Cl. K, Downgraded to C (sf); previously on Jun 1,
2006 Downgraded to Caa1 (sf)
Cl. L, Affirmed at C (sf); previously on Jun 1,
2006 Downgraded to C (sf)
The upgrade is due to the significant increase in subordination due to
loan payoffs and amortization and the pool's high exposure to defeased
loans, which represent 15% of the current pool balance.
The pool has paid down 96% since Moody's prior review.
The downgrade is due to higher expected losses for the pool resulting
from realized and anticipated losses from specially serviced and troubled
loans, a decline in loan level diversity, as measured by the
Herfindahl Index (Herf) and concerns about loans approaching maturity
in an adverse environment. Seven loans, representing 83%
of the pool, either have matured or mature within the next six months.
All of these loans are in special servicing.
Moody's is affirming Classes J, L and X because current subordination
levels for these classes are sufficient for the current ratings.
Moody's rating action reflects a cumulative base expected loss of
42.6% of the current balance. At last review,
Moody's cumulative base expected loss was 0.9%.
Moody's stressed scenario loss is 50.9% 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
Due to paydowns and amortization, all of the investment grade classes
of this transaction have paid off. If future performance materially
declines, the expected level of credit enhancement for the remaining
outstanding classes may be insufficient for their current ratings.
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 GMAC Commercial Mortgage Securities,
Inc., Series 2000-C1 Mortgage Pass-Through
Certificates were "CMBS: Moody's Approach to Rating U.S.
Conduit Transactions" published in September 2000, and "CMBS:
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 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 as well as the excel-based CMBS Large Loan Model v.
8.0 which is used for Large Loan 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 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
credit estimates in the same transaction.
The pool has a Herf of 7, compared to 36 at last review.
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 May 23, 2008. 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
As of the October 15, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $27.24
million from $879.8 million at securitization. The
Certificates are collateralized by 11 mortgage loans ranging in size from
less than 2% to 18% of the pool, with the top eight
non-defeased loans representing 85% of the pool.
The pool only contains one performing conduit loan. The remaining
loans are either defeased (three loans representing 15% of the
pool) or are in special servicing (seven loans representing 83%
of the pool).
Twenty five loans have been liquidated from the pool, resulting
in an aggregate realized loss of $22.9 million (16%
loss severity on average). Due to realized losses, classes
O through M have been eliminated entirely and Class L has experienced
a 31% principal loss. The seven specially serviced loans
were transferred to special servicing due to imminent maturity default.
The largest specially serviced loan is the Brookscrossing Apartments Loan
($5.06 million -- 18.9% of the pool),
which is secured by a 224 unit multifamily property located in Riverdale,
Georgia. The loan was transferred to special servicing in July
2009 and became real estate owned (REO) on July 6, 2010.
The servicer has recognized a $1.1 million appraisal reduction
on the loan. The remaining six specially serviced loans are secured
by a mix of property types. Moody's has estimated an aggregate
$11.3 million loss (50% expected loss on average)
for the specially serviced loans.
Based on the most recent remittance statement, Class L has a cumulative
interest shortfalls totaling $323,907. 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.
Due to the high percentage of loans in special servicing, Moody's
analysis was largely based on a loss and recovery analysis for specially
serviced and troubled loans. The performance of the conduit component,
which only represents 1.5% of the pool, is stable
and performing in-line with Moody's expectations.
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 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.
Structured Finance Group
Moody's Investors Service
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's Upgrades One, Downgrades One and Affirms Three CMBS Classes of GMAC 2000-C1
250 Greenwich Street
New York, NY 10007