Approximately $7.7 Million of Structured Securities Affected
New York, February 09, 2011 -- Moody's Investors Service (Moody's) upgraded the rating of one class and
affirmed one class of Mansfield Trust, Commercial Mortgage Pass-Through
Certificates, Series 2001-1 as follows:
Cl. F Certificate, Upgraded to Aaa (sf); previously
on Jul 23, 2001 Assigned B2 (sf)
Cl. X Certificate, Affirmed at Aaa (sf); previously
on Jul 23, 2001 Definitive Rating Assigned Aaa (sf)
The upgrade is due to increased credit subordination due to loan payoffs
and amortization and overall improved pool performance.
The affirmation of the IO class is due to its priority position in the
interest payment waterfall.
Moody's rating action reflects a cumulative base expected loss of
2.9% of the current balance. At last review,
Moody's cumulative base expected loss was 1.7%.
Moody's stressed scenario loss is 10.8% 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 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 this rating were: "Moody's
Approach to Rating Canadian CMBS" published on May 26, 2000 and
"CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions"
published in July 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 3 compared
to 21 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 March 25, 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
As of the January 18, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 97%
to $7.6 million from $265.2 million at securitization.
The Certificates are collateralized by three loans ranging in size from
18% to 50% of the pool. All three loans mature within
the next six months.
No loans are on the master servicer's watchlist. There have
been no realized losses since securitization and there are currently no
delinquent or specially serviced loans.
Moody's was provided with full year 2009 operating statements for 100%
of the pool. Moody's LTV ratio is 54% compared to 60%
at Moody's prior review. Moody's net cash flow reflects a
weighted average haircut of 10% to the most recently available
net operating income. Moody's value reflects a weighted average
capitalization rate of 10.3%.
Moody's actual and stressed DSCRs are 1.40X and 2.08X,
respectively, compared to 1.25X and 2.11X 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 largest loan in the pool is the 11 Kenview Drive Loan ($3.8
million -- 49.8% of the pool), which is secured
by a 140,000 square foot single tenant industrial complex located
in the Greater Toronto area. The property was 100% leased
as of December 2009, the same as the last review. The loan
matures in May 2011. Moody's LTV and stressed DSCR are 61%
and 1.83X, respectively, compared to 91% and
1.22X at last review.
The second largest loan is the 2050 Drew Road Loan ($2.5
million -- 32.5% of the pool), which
is secured by a 100,000 square foot single tenant industrial complex
located in the greater Toronto area. The property was 100%
leased as of April 2010, the same as the last review. The
loan matures in April 2011. Moody's LTV and stressed DSCR are 51%
and 2.19X, respectively, compared to 58% and
1.92X at Moody's last review.
The third largest loan is the 13272-12296 Comber Way Loan ($1.4
million -- 17.8% of the pool), which is secured
by a 55,000 square foot single tenant industrial complex located
in the Greater Vancouver area. The property was 100% leased
as of December 2009, the same as the last review. Sun Life
Assurance Company of Canada negotiated a renewal of the loan and purchased
the loan from the pool at its February 1, 2011 maturity.
The payoff of this loan will be reflected in the February remittance statement.
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 Upgrades One and Affirms One CMBS Class of MANS 2001-1
250 Greenwich Street
New York, NY 10007