Approximately $146.9 Million of Structured Securities Affected
New York, December 17, 2010 -- Moody's Investors Service (Moody's) upgraded the ratings of three classes
and affirmed six classes of GE Capital Commercial Mortgage Corporation,
Commercial Mortgage Pass-Through Certificates, Series 2000-1
as follows:
Cl. A-2, Affirmed at Aaa (sf); previously on
Dec 21, 2000 Definitive Rating Assigned Aaa (sf)
Cl. X, Affirmed at Aaa (sf); previously on Dec 21,
2000 Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Aug 2,
2006 Upgraded to Aaa (sf)
Cl. C, Upgraded to Aaa (sf); previously on Dec 20,
2007 Upgraded to Aa3 (sf)
Cl. D, Upgraded to Aa2 (sf); previously on Feb 19,
2008 Upgraded to A2 (sf)
Cl. E, Upgraded to Baa1 (sf); previously on Jan 28,
2010 Downgraded to Ba3 (sf)
Cl. F, Affirmed at Caa1 (sf); previously on Jan 28,
2010 Downgraded to Caa1 (sf)
Cl. H, Affirmed at C (sf); previously on Jan 28,
2010 Downgraded to C (sf)
Cl. I, Affirmed at C (sf); previously on Feb 19,
2008 Downgraded to C (sf)
RATINGS RATIONALE
The upgrades are due to the significant increase in subordination due
to loan payoffs and amortization.
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
11.0% of the current balance. At last review,
Moody's cumulative base expected loss was 4.8%.
Moody's stressed scenario loss is 13.3% 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.
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 methodology used in these ratings was "CMBS: Moody's
Approach to Conduit Transactions" published in September 2000.
In addition to methodologies and research, 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.
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 7 compared
to 22 at last review. Moody's did not employ its large loan
methodology for this deal despite the low Herf Index due to a significant
increase in credit subordination since our last review. In addition
we applied increased stress in our cash flow analysis to offset the impact
of a loss of loan level 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 January 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 in the past
six months.
DEAL PERFORMANCE
As of the November 18, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 76% to $170.9
million from $707.3 million at securitization. The
Certificates are collateralized by 31 mortgage loans ranging in size from
less than 1% to 21% of the pool, with the top ten
loans representing 76% of the pool. Six loans representing
23% of the pool have defeased and are collateralized with U.S.
Government securities. Defeasance at last review represented 42%
of the pool. There are no loans with credit estimates.
Thirteen loans, representing 60% 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. A majority of the loans are on the watchlist due to
upcoming loan maturities.
Ten loans have been liquidated from the pool since securitization,
resulting in an aggregate $32.6 million loss (37%
loss severity on average). Four loans, representing 11%
of the pool, are currently in special servicing. The largest
specially serviced loan is the Cypress Point Loan ($10.1
million -- 5.9% of the pool), which is secured
by a 153,000 square foot office property located in Denver,
Colorado. The loan was transferred to special servicing in March
2010 as a result of monetary default. The loan is in the process
of foreclosure. The master servicer has recognized an appraisal
reductions totaling $3.5 for the loan.
The remaining specially serviced loans are secured by retail properties.
Moody's has estimated an aggregate $8.4 million loss
(43% expected loss on average) for all the specially serviced loans.
Moody's has assumed a high default probability for three poorly
performing loans representing 24% of the pool and has estimated
an aggregate $8.7 million loss (20% expected loss
based on a 67% probability default) from these troubled loans.
Moody's was provided with full year 2009 operating results for 53%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 75% compared to 78%
at last review. Moody's net cash flow reflects a weighted
average haircut of 11.6% to the most recently available
net operating income. Moody's value reflects a weighted average
capitalization rate of 9.9%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.35X and 1.56X, respectively,
compared to 1.36X and 1.48X 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 45% of the pool
balance. The largest loan is the Synergy Business Park Loan ($35.4
million -- 20.7% of the pool), which consists
of eight office buildings located in Brentwood (Nashville), Tennessee
and totaling 491,800 square feet. The portfolio was 80%
leased as of June 2010 compared to 90% at last review. Despite
the decline in occupancy performance has improved and the loan has benefited
from amortization. Moody's LTV and stressed DSCR are 88%
and 1.22X, respectively, compared to 106% and
1.02X at last review.
The second largest loan is the Embassy Suites-New Orleans Loan
($27.7 million -- 16.3% of the pool),
which is secured by a 372-room limited service hotel located in
New Orleans, Louisiana. The loan had been transferred to
special servicing in September 2009 due to imminent payment default but
was transferred back to the master servicer in June 2010. The loan
was modified and the term extended three years. Moody's LTV and
stressed DSCR are 124% and 0.97X, respectively,
compared to 156% and 0.78X at last review.
The third largest loan is the 16522 Hunters Green Parkway Loan ($12.9
million -- 7.6% of the pool), which is secured
by a 487,000 square foot office/warehouse property located in Hagerstown,
Maryland. The property was 100% leased as of December 2010,
the same as last review. Moody's LTV and stressed DSCR are 69%
and 1.48X, respectively, compared to 87% and
1.18X 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
Lacey Morgan
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 Three and Affirms Six CMBS Classes of GECMC 2000-1
