Approximately $573.9 Million of Structured Securities Affected
New York, March 30, 2011 -- Moody's Investors Service (Moody's) upgraded the ratings of two classes
and affirmed 11 classes of Morgan Stanley Dean Witter Capital I Trust
2001-TOP 5, Commercial Mortgage Pass-Through Certificates,
Series 2001-TOP5 as follows:
Cl. A-4, Affirmed at Aaa (sf); previously on
Dec 27, 2001 Definitive Rating Assigned Aaa (sf)
Cl. X-1, Affirmed at Aaa (sf); previously on
Dec 27, 2001 Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Aug 16,
2005 Upgraded to Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Sep 25,
2008 Upgraded to Aaa (sf)
Cl. D, Upgraded to Aa1 (sf); previously on Sep 25,
2008 Upgraded to Aa2 (sf)
Cl. E, Upgraded to A3 (sf); previously on Feb 12,
2007 Upgraded to Baa1 (sf)
Cl. F, Affirmed at Baa3 (sf); previously on Dec 27,
2001 Definitive Rating Assigned Baa3 (sf)
Cl. G, Affirmed at Ba1 (sf); previously on Dec 27,
2001 Assigned Ba1 (sf)
Cl. H, Affirmed at Ba2 (sf); previously on Dec 27,
2001 Assigned Ba2 (sf)
Cl. J, Affirmed at Ba3 (sf); previously on Dec 27,
2001 Assigned Ba3 (sf)
Cl. K, Affirmed at B1 (sf); previously on Dec 27,
2001 Assigned B1 (sf)
Cl. L, Affirmed at B2 (sf); previously on Dec 27,
2001 Assigned B2 (sf)
Cl. M, Affirmed at B3 (sf); previously on Dec 27,
2001 Assigned B3 (sf)
RATINGS RATIONALE
The upgrades are due to overall improved pool performance and increased
credit subordination levels due to loan payoffs and amortization.
The pool has amortized 29% 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 existing
ratings.
Moody's rating action reflects a cumulative base expected loss of 1.9%
of the current balance. Moody's stressed scenario loss is 4.9%
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 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 methodology used in this rating was "CMBS: Moody's
Approach to Rating U.S. Conduit Transactions" published
in September 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 pay
down 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
underlying ratings 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 underlying rating level,
is incorporated for loans with similar credit estimates in the same transaction.
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 February 12, 2007.
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 March 15, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 44% to $583.8
million from $1.04 billion at securitization. The
Certificates are collateralized by 107 mortgage loans ranging in size
from less than 1% to 8% of the pool, with the top
ten non-defeased loans representing 37% of the pool.
The pool contains one loan, representing 8% of the pool,
with an investment grade credit estimate. Twenty-nine loans,
representing 25% of the pool, have defeased and are secured
by U.S. Government securities. The pool has significant
near-term refinance risk, as loans representing 71%
of the non-defeased pool mature within the next 12 months.
Twenty-nine loans, representing 22% 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.
Two loans have been liquidated from the pool since securitization,
resulting in an aggregate $542,002 loss (8% loss severity
on average). Four loans, representing 2% of the pool,
are currently in special servicing. Moody's has estimated an aggregate
$3.4 million loss (32% expected loss on average)
for the specially serviced loans.
Moody's has assumed a high default probability for one performing loan
representing 0.2% of the pool and has estimated a $155,346
loss (15% expected loss based on a 30% probability default)
from this troubled loan.
Moody's was provided with full year 2009 and partial year 2010 operating
results for 94% and 86%, respectively, of the
pool's non-defeased loans. Excluding specially serviced
and troubled loans, Moody's weighted average LTV is 65% compared
to 71% at Moody's prior full review. Moody's net cash flow
reflects a weighted average haircut of 14% 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 1.66X and 1.85X, respectively,
compared to 1.62X and 1.44X at Moody's prior full 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.
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 32
compared to 48 at Moody's prior full review.
The loan with a credit estimate is the Manufactured Home Communities Portfolio
Loan ($44.0 million -- 7.5%), which
is secured by seven manufactured housing communities located in Florida
(3), suburban Phoenix (2), suburban Denver and Las Vegas.
The portfolio totals 2,105 units and each community has a full complement
of amenities. As of December 2009, the portfolio was 90%
leased, essentially the same as at last review. Property
performance has improved due to increased rental income and the loan is
benefiting from amortization. The loan has paid down 7%
since last full review and matures in September 2011. Moody's current
credit estimate and stressed DSCR are A3 and 1.62X, respectively,
compared to Baa3 and 1.41X at last full review.
The top three performing conduit loans represent 13% of the pool
balance. The largest loan is the Great American Technical Center
Loan ($30.8 million -- 5.3%), which
is secured by two office/R&D buildings totaling 237,000 square
feet (SF) located in Santa Clara, California. The property
is part of the 5.5 million SF Marriott Business Park. The
properties are 100% leased to two tenants: Broadcom (58%
of the net rentable area (NRA); lease expiration November 2012) and
Data Domain (42% of the NRA; lease expiration June 2018).
Property performance has improved since last review when Broadband was
the sole tenant following two tenants vacating. The loan is also
benefiting from amortization, paying down 11% since last
full review, and matures in November 2011. Moody's analysis
reflects a stressed cash flow due to our concerns about the property refinancing
with significant lease rollover in 2012, as well as a soft Santa
Clara office/R&D market. Moody's LTV and stressed DSCR are
56% and 2.04X, respectively, compared to 91%
and 1.24X at last full review.
The second largest loan is the Great Western Savings Building Loan ($25.1
million -- 4.3%) , which is secured by a 153,000
SF Class A office building located in downtown Berkeley, California.
As of January 2010, the property was 92% leased compared
to 86% at last full review. Major tenants include MPR Associates,
Inc. (17% of the NRA; lease expiration October 2012)
and Cadence Systems (14% of the NRA; lease expiration October
2012). Property performance has improved since last review due
to increased base rent and is stable. The loan is benefiting from
amortization, paying down 6% since last review, and
matures in October 2011. Moody's LTV and stressed DSCR are 63%
and 1.71X, respectively, compared to 81% and
1.34X at last full review.
The third largest loan is the Lake Mary Centre Loan ($22.2
million -- 3.8%), which is secured by a 339,000
SF community retail center located near Orlando in Lake Mary, Florida.
The property is anchored by K-Mart, which leases 26%
of the property's NRA through August 2013, and Albertson's,
which leases 19% of the NRA through June 2012. The center
was 96% leased as of September 2010, similar to at last full
review. Property performance is stable and the loan is benefiting
from amortization. The loan has paid down 6% since last
full review and matures in November 2011. Moody's LTV and stressed
DSCR are 62% and 1.62X, respectively, compared
to 68% and 1.47X at last full 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
Tiffany Putman
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 Two and Affirms 11 CMBS Classes of MSDWC 2001-TOP5
