Approximately $55.9 Million of Structured Securities Affected
New York, December 02, 2010 -- Moody's Investors Service (Moody's) upgraded the ratings of two classes,
downgraded two classes and affirmed four classes of Commercial Mortgage
Securities Corp. Commercial Mortgage Pass-Through Certificates,
Series 2000-2 as follows:
Cl. X, Affirmed at Aaa (sf); previously on Jun 27,
2000 Definitive Rating Assigned Aaa (sf)
Cl. F, Upgraded to Aaa (sf); previously on Jun 4,
2008 Upgraded to A2 (sf)
Cl. G, Upgraded to A3 (sf); previously on Jun 4,
2008 Upgraded to Baa1 (sf)
Cl. H, Affirmed at Ba3 (sf); previously on Oct 15,
2009 Downgraded to Ba3 (sf)
Cl. I, Downgraded to Ca (sf); previously on Oct 15,
2009 Downgraded to B3 (sf)
Cl. J, Downgraded to C (sf); previously on Oct 15,
2009 Downgraded to Caa3 (sf)
Cl. K, Affirmed at C (sf); previously on Oct 15,
2009 Downgraded to C (sf)
Cl. L, Affirmed at C (sf); previously on Oct 15,
2009 Downgraded to C (sf)
The upgrades are due to the significant increase in subordination due
to loan payoffs and amortization and the pool's high exposure to
defeasance, which represents 36% of the current pool balance.
The downgrades are due to higher expected losses for the pool resulting
from realized and anticipated losses from specially serviced and troubled
loans and concerns about loans approaching maturity in an adverse environment.
Three loans, representing 22% of the pool, either have
matured or mature within the next six months. All of these loans
are in special servicing.
Moody's affirmed five classes because the current credit enhancement
levels for these classes are sufficient to maintain their existing ratings
based on our current estimate of base expected loss.
Moody's rating action reflects a cumulative base expected loss of
16.1% of the current balance. Moody's stressed
scenario loss is 23.0% 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 methodologies used in these ratings 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.
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.
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 18 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 October 15, 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 November 18, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 92% to $55.9
million from $738.7 million at securitization. The
Certificates are collateralized by seven mortgage loans ranging in size
from less than 2% to 29% of the pool. The pool only
contains two performing conduit loans, representing 32% of
the pool. The remaining loans are either defeased (one loan representing
36% of the pool) or are in special servicing (four loans representing
32% of the pool).
Currently there are no loans on the watchlist.
Twelve loans have been liquidated from the pool, resulting in an
aggregate realized loss of $32.5 million (33% loss
severity on average). Due to realized losses, classes L through
M have been eliminated entirely and Class K has experienced a 79%
principal loss. At last review the pool had experienced $12.4
million in realized losses.
The largest specially serviced loan is the Baseline Greenfield Shopping
Center ($6.6 million -- 11.8% of the
pool), which is secured 79,412 square foot (SF) former grocery-anchored
retail center located in Gilbert, Arizona. The loan was transferred
to special servicing in September 2009 as a result of payment default
and was foreclosed on August 22, 2010. The servicer has recognized
appraisal reductions totaling $3.4 million on two of the
specially serviced loans. Moody's has estimated an aggregate
$7.8 million loss (42% expected loss on average)
for the specially serviced loans.
Based on the most recent remittance statement, Classes K and J have
a cumulative interest shortfalls totaling $50,795.
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 of defaulted
loans. The performance of the conduit component, which only
represents 32% of the pool, is stable and performing in-line
The largest conduit loan is the AEC II - Arbor Landings I &
II ($16.4 million -- 29.4% of the pool),
which is secured by a 328 unit multifamily property located in Ann Arbor,
Michigan. The property was 88% leased as of June 2010 compared
to 92% at last review. Moody's LTV and stressed DSCR
are 86% and 1.12X, respectively, compared to
89% and 1.09X at last review.
The second conduit loan is the CVS Pharmacy Loan ($1.36
million -- 2.4% of the pool), which is secured
by a 10,000 square foot single tenant retail property located in
Columbia, South Carolina. The property was 100% leased
as of June 2010, the same as last review. Moody's LTV
and stressed DSCR are 86% and 1.03X respectively,
compared to 86% and 1.22X 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
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 Two, Downgrades Two and Affirms Four CMBS Classes of CCMSC 2000-2
250 Greenwich Street
New York, NY 10007