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Life On The Pacific

Last week's commercial mortgage ratings actions

November 13, 2001

By SAM GARCIA


click here for residential ratings actions

click here for subprime ratings actions


October loan status reports from the CMBS trustees and servicers indicate that trouble may be around the corner from lodging loans, according Standard & Poor's (S&P). Based on these monthly reports, late payments (payment not yet received but still in a grace period) on lodging loans increased dramatically to $1.2 billion during the month of October, up from the $850 million in August 2001. Given the weak operating performance of lodging properties, especially since September 11, this jump in late payments may well be an early warning sign of a sharp increase in the delinquency rate for lodging loans in CMBS transactions. Florida late payer loans seemed to show the biggest increase this year, increasing to $138 million in October from $52 million in August.

S&P assigned its preliminary ratings to Bank of America N.A.- First Union National Bank (FUNB) Commercial Mortgage Trust's $1,136,731,161 commercial mortgage pass-through certificates series 2001-3. The preliminary ratings are based on information as of Nov. 5, 2001 and reflect the credit support provided by the subordinate classes of certificates, the liquidity provided by the trustee, the economics of the underlying loans, and the geographic and property-type diversity of the loans. S&P's analysis determined that, on a weighted average basis, the pool has a debt service coverage ratio (WADSCR) of 1.30 times (X), a beginning loan-to-value ratio (LTV) of 91.7%, and an ending LTV of 80.4%.

S&P affirmed its ratings on four classes of the First Union-Lehman Brothers Commercial Mortgage Trust's commercial mortgage pass-through certificates series 1997-C1. The affirmations on the $1.18 billion pool reflect an improvement in operating performance since issuance, but with an increasing number of under performing loans. According to the servicer, FUNB, the pool has exhibited improved financial performance with the WADSCR increasing to 1.48x from 1.34x at issuance. Retail and multifamily are the two most common property types at 39.8% and 39.6% of total principal balance, respectively.

Classes of Morgan Stanley Dean Witter Capital I Inc.'s $846.3 million commercial mortgage pass-through certificates series 2001-XLF were rated by S&P. The ratings, which are based on information as of Nov. 6, 2001, reflect the credit support provided by the subordinate classes of certificates; the liquidity provided by the servicer, the trustee, and the fiscal agent; the economics of the underlying mortgage loans; and the transaction structure. S&P's analysis determined that the pool has a WADSCR of 1.54x, based on a weighted average stress constant of 9.93%, a beginning LTV of 63.5%, and an ending LTV of 63%.

Fitch withdrew its `A' rating on Kidder Peabody Acceptance Corp. 1's privately placed series 1994-M1 multifamily mortgage pass-through certificates, class C, because the transaction has been paid in full.

Classes of Aetna Commercial Mortgage Trust's multiclass pass-through certificates, series 1997-ALIC were upgraded by Fitch, reflecting increases in subordination levels due to amortization and loan payoffs. Midland Loan Services, L.P. (Midland), the master servicer, collected 90% (by balance) of the year-end (YE) 2000 property financial statements. The YE-2000 WADSCR for those loans with financials was 1.63x compared to 1.39x (for the same loans) at closing. Fitch is concerned with the increase in retail exposure. The certificates are currently securitized by 25 mortgage loans, consisting primarily of office (52%), retail (23%), industrial (11%), and hotel (9%) properties.

Fitch assigned an underlying rating of 'A' to Florida Housing Finance Corp.'s (FHFC) $10.4 million housing revenue bonds, 2001 series H-1, and $6.6 million taxable housing revenue bonds, 2001 series H-2 (Noah's Landing Apartments), reflecting the guarantee of the project mortgage during construction by FHFC through its Affordable Housing Guarantee Fund (guarantee fund). The project mortgage is expected to be insured by FHA through an agreement between the HUD and the FHFC under the State Housing Finance Agency (SHFA) risk-sharing program.

Fitch also assigned an underlying rating of 'A' to FHFC's $15.5 million housing revenue bonds, 2001 series F-1 and series F-2. The underlying rating reflects the guarantee of the project mortgage during construction by FHFC through its Affordable Housing Guarantee Fund, which Fitch rates at 'A' based on the fund's low risk-to-capital ratio, adequate reserve requirements, and high asset quality and liquidity of reserve fund investments. In addition, the project mortgage is expected to be insured by FHA through an agreement between the HUD and the FHFC under the SHFA risk-sharing program.

Classes of Credit Suisse First Boston Mortgage Securities Corp. (CSFB), series 1995-WF1 were upgraded and affirmed by Fitch. The upgrade is primarily due to an increase in subordination caused by the prepayment of four loans representing 8% of the pool. Wells Fargo, the master servicer, collected year-end 2000 financials for 34 of 35 loans remaining in the pool. Based on this information, performance on the underlying loans continues to be strong as evidenced by the WADSCR, which has increased from 1.50x at issuance to a 1.69x as of year-end 2000.

S&P lowered and affirmed various classes of CSFB's $2.36 billion commercial mortgage pass-through certificates series 1998-C1. The lowered rating reflects an already realized loss of $3.1 million, as well as the potential for additional losses associated with specially serviced loans, and loans in REO with a total exposure (outstanding principal plus advances) of $59 million. Based on year-end net 2000 operating statements collected by the servicer, ORIX Capital Markets LLC (ORIX), the WADSCR for the 252 loans for which information is available has increased to 1.66x from 1.43x at issuance. The pool's property type composition is diverse with retail, multifamily, hotel, and office representing 41%, 21%, 17%, and 15%, respectively, of the principal balance. Considering potential losses, S&P believes that the current credit enhancement level of the lowest rated class could be affected as a result of the anticipated losses.

Fitch affirmed several classes of DLJ Commercial Mortgage Corp's pass-through certificates, series 1999-CG2, following Fitch's annual review. Significant property type concentrations include retail (36%), multifamily (34%) and office (12%). GEMSA Loan Services, the master servicer, collected year-end 2000 property financial statements for 320 loans (96% of the pool) and year-to-date 2000 financials for 15 loans (3% of the pool). Based on this, the pool's WADSCR is 1.43x, up from 1.34x at origination.

Three classes of DLJ Mortgage Acceptance Corp., multifamily mortgage pass-through certificates, series 1993-MF17, were upgraded by Fitch due to improved performance from last year's annual review in addition to continued pay down of the mortgage pool. The certificates are currently collateralized by 33 multifamily properties located in seven states, with 51% of the loans located in Texas. Fitch acknowledged the property type and geographic concentrations as a concern and included this in the analysis of the overall pool. Using the master servicer Cap Mark Services' trailing 12-month (TTM) net operating income (NOI) for each of the loans as of October 2001, the DSCR improved to 1.73x from 1.61x using TTM NOI as of June 2000 and 1.36x at issuance.

Classes of LXP Funding Corp.'s commercial mortgage pass-through certificates were affirmed by Fitch following its annual review of the transaction. The transaction is secured by a blanket first mortgage lien on 17 single tenant commercial properties, located in 12 states. The majority of the properties are leased to credit tenants and 16 of them (87% by balance) are triple net leased. The TTM operating performance (as of 6/01) has improved since closing, and Fitch's stressed DSCR for classes A, B, and C is at 4.03x, 2.44x, and 1.78x, respectively, compared to 3.35x, 2.17x, and 1.63x at origination. Fitch is concerned with the overall decline of tenants' credit quality because only 62 percent of the tenants are rated or shadow-rated investment grade, compared to 86% at closing.

Fitch affirmed $1.39 billion classes of Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust's commercial mortgage pass-through certificates, series 1999-1. GMAC Commercial Mortgage Corp., the master servicer, collected year-end (YE) 2000 financials for 73% of the pool balance which indicated that the 2000 WADSCR is 1.47x, compared to the banker's underwritten and 1999 WADSCR's for the same loans of 1.32x and 1.41x, respectively.

Several classes of Asset Securitization Corp.'s commercial mortgage pass-through certificates series 1996-D2 were lowered, affirmed or raised by S&P. The lowered ratings reflect the anticipated deterioration in credit support relating to some of the specially serviced assets, which comprise 13.2% of the asset pool, and the raised ratings and affirmations reflect increased credit support since issuance, which adequately supports the ratings after taking into account the anticipated losses. Multifamily (26.4% of the loan pool), lodging (22.9%), and health care (19.1%) properties were the most common property types. The WADSCR based on reported NOI for 98.3% of the nondefeased loans was 1.65x, down from 1.77x at issuance. The master servicer is Pacific Life Insurance Co. As of October 2001, five assets (8.34%) are delinquent or REO.

S&P assigned preliminary ratings to GE Capital Commercial Mortgage Corp.'s $963.8 million commercial pass-through certificates series 2001-3, based on information as of Nov. 8, 2001. The preliminary ratings reflect the credit support provided by the subordinate classes of certificates, the liquidity provided by the servicer and trustee, the economics of the underlying mortgage loans, and the geographic and property-type diversity of the loans. The pool has a WADSCR of 1.30x) based on a weighted average coupon of 7.30%, a beginning LTV of 92.5%, and an ending LTV of 79.5%.

MortgageDaily.com
Classes of NationsLink Funding Corporation, commercial mortgage pass-through certificates, series 1999- SL, were affirmed by Fitch following the annual review of the May 1999 transaction. Significant property concentrations include, industrial (33%), office (24%), retail (14%) and multifamily (14%), and sixty-four percent of the properties are located in California. Overall, this transaction is performing as expected.

Sam Garcia has been in mortgage lending since 1980, and is managing editor of MortgageDaily.com. He also owns and operates CloseNow.com, a real estate portal site.

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