Approximately $83.2 Million of Structured Securities Affected
New York, April 28, 2011 -- Moody's Investors Service (Moody's) upgraded the rating of one class and
affirmed eight classes of PNC Mortgage Acceptance Corporation Commercial
Mortgage Pass-Through Certificates, Series 2000-C1
as follows:
Cl. X, Affirmed at Aaa (sf); previously on Nov 8,
2000 Definitive Rating Assigned Aaa (sf)
Cl. E, Upgraded to Aaa (sf); previously on Sep 25,
2008 Upgraded to Aa1 (sf)
Cl. F, Affirmed at A1 (sf); previously on Jun 30,
2010 Confirmed at A1 (sf)
Cl. G, Affirmed at B1 (sf); previously on Jun 30,
2010 Downgraded to B1 (sf)
Cl. H, Affirmed at Ca (sf); previously on Jun 30,
2010 Downgraded to Ca (sf)
Cl. J, Affirmed at C (sf); previously on Jun 30,
2010 Downgraded to C (sf)
Cl. K, Affirmed at C (sf); previously on Jun 30,
2010 Downgraded to C (sf)
Cl. L, Affirmed at C (sf); previously on Jun 30,
2010 Downgraded to C (sf)
Cl. M, Affirmed at C (sf); previously on Jun 30,
2010 Downgraded to C (sf)
RATINGS RATIONALE
The upgrade is due to the significant increase in subordination due to
loan payoffs and amortization and overall stable pool performance.
The pool has paid down by 25% since Moody's last review.
The affirmations are due to key parameters, including Moody's
loan to value ratio (LTV), 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.
Moody's rating action reflects a cumulative base expected loss of
35% of the current balance. At last review, Moody's
cumulative base expected loss was 28%. The current cumulative
base expected loss represents a higher percentage of the pool than at
last review due to significant pay downs since last review, even
though the dollar amount of expected loss is less. At last review
Moody's cumulative expected loss was $31 million compared
to $29 million at this review. Moody's stressed scenario
loss is 38% 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 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 forward-looking view of the likely range of performance
over the medium term. From time to time, Moody's may,
if warranted, change these expectations. Performance that
falls outside the given range may indicate that the collateral's credit
quality is stronger or weaker than Moody's had anticipated when the related
securities ratings were issued. Even so, a deviation from
the expected range will not necessarily result in a rating action nor
does performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an assessment
of a range of factors including, but not exclusively, the
performance metrics.
Primary sources of assumption uncertainty are the current sluggish macroeconomic
environment and varying performance in the commercial real estate property
markets. However, Moody's expects to see increasing or stabilizing
property values, higher transaction volumes, a slowing in
the pace of loan delinquencies and greater liquidity for commercial real
estate in 2011 The hotel and multifamily sectors are continuing to show
signs of recovery, while recovery in the office and retail sectors
will be tied to recovery of the broader economy. The availability
of debt capital continues to improve with terms returning toward market
norms. Moody's central global macroeconomic scenario reflects an
overall sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
The principal methodologies used in this rating were "Moody's Approach
to Rating Conduit Transactions" published in September 2000 and
"CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions"
published in July 2000.
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 11
compared to 17 at Moody's prior 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 June 30, 2010.
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 April 15, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 90% to $83
million from $801 million at securitization. The Certificates
are collateralized by 30 mortgage loans ranging in size from less than
1% to 20% of the pool, with the top ten loans representing
71% of the pool. Two loans, representing 3%
of the pool, have defeased and are collateralized with U.S.
Government securities. The pool faces significant refinance risk
as loans representing 68% of the pool either have or will mature
within the next six months.
Three loans, representing 9% 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's (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.
Thirty-five loans have been liquidated from the pool, resulting
in a realized loss of $17.4 million (18% loss severity).
Eleven loans, representing 58% of the pool, are currently
in special servicing. Moody's has estimated an aggregate
$28 million loss (62% expected loss on average) for the
specially serviced loans.
Moody's has assumed a high default probability for three poorly
performing loans representing 8% of the pool and has estimated
an aggregate $1 million loss (15% expected loss based on
a 50% probability default) from these troubled loans.
Moody's was provided with full year 2009 operating results for 94%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 88% compared to 87%
at Moody's prior review. Moody's net cash flow reflects
a weighted average haircut of 23% to the most recently available
net operating income. Moody's value reflects a weighted average
capitalization rate of 10%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.22X and 1.87X, respectively,
compared to 1.20X and 1.76X 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 performing conduit loans represent 16% of the pool
balance. The largest loan is the Willow Run Business Center II
Loan ($8.4 million -- 10% of the pool) which
is secured by a 400,000 square foot industrial building which is
100% leased to General Motors (Moody's senior unsecured rating
Ba2; stable outlook) through August 2012). At least review,
General Motors announced that they would close the plant, however
they in fact renewed their lease for a two year period. The loan
matures on May 15, 2011. Moody's LTV and stressed DSCR are
112% and 1.01X, respectively, compared to 115%
and 0.98X at last review.
The second largest performing conduit loan is the Hampton Inn Maple Grove
Loan ($3 million -- 12.8% of the pool),
which is secured by a limited service hotel property located in Maple
Grove, Minnesota. The loan is performing in-line with
the prior reviews, and has benefited from amortization. Moody's
LTV and stressed DSCR are 64% and 2.02X, respectively,
compared to 66% and 1.95X at last review.
The third largest performing conduit loan is the Oregon Portfolio Loan
($2 million -- 3% of the pool), which is secured
by two cross collateralized and cross defaulted multifamily properties
in Philadelphia, Pennsylvania. The current weighted average
occupancy is 99% for the two properties compared with 97%
at last review. The loan is performing in-line with the
prior reviews, and has benefited from amortization. Moody's
LTV and stressed DSCR are 61% and 1.71X, respectively,
compared to 63% and 1.66X at last review.
The top three specially serviced loans represent 39% of the pool.
The largest loan is the Ryder Integrated Logistics Loan ($16 million
-- 19% of the pool), which is secured by a 455,000
square foot industrial building located in Auburn Hills Michigan.
At last review the building was 100% leased by Ryder Integrated
Logistics, however it has since vacated the property the property
is now real estate owned (REO).
The second largest specially serviced loan is the CSC Office Building
Loan ($11 million -- 13% of the pool), which
is secured by 140,000 square foot office property located in Southfield
Michigan. The loan transferred to special servicing due to maturity
default. and is now REO. As of February 2011, the
property was 35% leased compared to 71% at last review.
The third largest specially serviced loan is the Avanex Building Loan
($5 million -- 6% of the pool), which is secured
by a 54,000 square foot office property located in Fremont California.
This loan went into payment default in 2009 and is currently REO.
The property is 100% leased compared to 28% 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
Brad Kamedulski
Associate 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 One and Affirms Eight CMBS Classes of PNCMA 2000-C1
