Approximately $142.1 Million of Structured Securities Affected
New York, November 11, 2010 -- Moody's Investors Service (Moody's) upgraded the ratings of three classes
and affirmed five classes of DLJ Mortgage Corporation, Series 2000-CKP1
Cl. S, Affirmed at Aaa (sf); previously on Nov 6,
2000 Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on
Dec 8, 2006 Upgraded to Aaa (sf)
Cl. A-4, Upgraded to Aaa (sf); previously on
Dec 8, 2006 Upgraded to Aa2 (sf)
Cl. B-1, Upgraded to Aaa (sf); previously on
Dec 20, 2007 Upgraded to Aa3 (sf)
Cl. B-2, Upgraded to A3 (sf); previously on Feb
27, 2007 Upgraded to Baa1 (sf)
Cl. B-3, Affirmed at Ba2 (sf); previously on
Apr 28, 2010 Downgraded to Ba2 (sf)
Cl. B-5, Affirmed at C (sf); previously on Apr
28, 2010 Downgraded to C (sf)
Cl. B-6, Affirmed at C (sf); previously on Apr
28, 2010 Downgraded to C (sf)
The upgrade is due to the significant increase in subordination due to
loan payoffs and amortization and stable overall performance. The
pool has paid down by 69% since 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
the current ratings.
Moody's rating action reflects a cumulative base expected loss of
20.7% of the current balance. Moody's stressed
scenario loss is 24% 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 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 these ratings were "CMBS: Moody's
Approach to Rating U.S. Conduit Transactions" published
in September 2005, and "Moody's Approach to Rating Large Loan/Single
Borrower Transactions" published in July 2000. Both methodologies
are available on Moody's website at www.moodys.com.
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 moodsy.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 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.
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 25 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 April 28, 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 during the past
As of the October 12, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 86% to $175.9
million from $1.29 billion at securitization. The
Certificates are collateralized by 46 mortgage loans ranging in size from
less than 1% to 25% of the pool, with the top ten
loans representing 64% of the pool.
Seven 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 (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-one loans have been liquidated from the pool since securitization,
resulting in an aggregate $49.5 million loss (33%
loss severity on average). Due to realized losses, classes
B-7, B-8, B-9 and C have been eliminated
entirely and Class B-6 has experienced a 12% principal loss.
Currently, 34 loans, representing 62% of the pool,
are in special servicing. The largest specially serviced loan is
the Sandhurst Apartments Loan ($12.5 million -- 7.1%
of the pool), which is secured by 328 unit apartment complex located
in Roseville, Michigan. The loan was transferred to special
servicing in July 2010. Twenty-six of the loans are in special
servicing due to maturity default while seven are in foreclosure and one
is 90 days delinquent. The master servicer has recognized an aggregate
$5.5 million appraisal reduction on eight of the specially
serviced loans. Moody's has estimated an aggregate $31.1
million loss (51% expected loss on average) for the specially serviced
Moody's has assumed a high default probability for three poorly
performing loans representing 5% of the pool. Moody's
has estimated a $1.9 million loss (20% expected loss
based on a 50% probability default) from the troubled loans.
Moody's was provided with full year 2009 operating results for 93%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV for the conduit component is 82%
compared to 81% at Moody's prior review. Moody's
net cash flow reflects a weighted average haircut of 12.0%
to the most recently available net operating income. Moody's
value reflects a weighted average capitalization rate of 9.6%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs for the conduit component are 1.17X and 1.37X,
respectively, compared to 1.17X and 1.38X 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 36% of the pool.
The largest loan is the Valencia Marketplace Power Center Loan ($43.3
million -- 25.0% of the pool), which is secured
by a 530,000 square foot power retail center located in Valencia,
California. The largest tenants are Wal-Mart (28%
of the gross leasable area (GLA), lease expiration October 2016)
and Toys 'R' US (8.5% of the GLA; lease expiration
January 2022). The property was 100% leased as of February
2010, the same as at last review. Moody's LTV and stressed
DSCR are 72% and 1.34X, respectively, compared
to 75% and 1.30X, at last review.
The second largest loan is the Radisson Portfolio Loan ($10.3
million -- 5.8% of the pool), which is secured
by two Radisson Hotels, totaling 224 rooms, located in Wisconsin
and Minnesota. The portfolio was transferred to special servicing
in September 2010 for maturity default. Moody's does not
anticipate any loses at this time. Moody's LTV and stressed DSCR
100% and 1.28X, respectively, compared to 127%
and 0.99X at last review.
The third largest loan is the Kent Hill Plaza Loan ($9.1
million -- 5.2% of the pool), which is secured
by a 108,045 SF retail center located in Kent, Washington.
The property was 68% leased as of June 2010, compared to
67% at last review. The loan was transferred to special
servicing in September 2010 for maturity default. Moody's
does not anticipate any loses at this time. Moody's LTV and stressed
DSCR 96% and 1.07X, respectively, compared to
96% and 1.04X 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 Analytics
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 Three and Affirms Five CMBS Classes of DLJ 2000-CKP1
250 Greenwich Street
New York, NY 10007