Fitch Ratings upgrades PNC Mortgage Acceptance Corp., series 2000-C1. A detailed list of rating actions follows the end of the press release.
The upgrades are the result of increased credit enhancement. Fitch modeled losses of 23% of the remaining pool; expected losses of the original pool are at 6.8%, including losses already incurred to date.
As of the June 2012 distribution date, the pool's aggregate principal balance has been paid down by approximately 95% to $29.1 million from $1.24 billion at issuance. Four (14%) of the remaining 21 loans are defeased. One asset is with the special servicer (15.1%).Interest shortfalls are currently affecting classes G and H with cumulative unpaid interest totaling $3.5 million.
Fitch stressed the cash flow of the non-defeased, non-specially serviced loans by applying a 10% reduction to 2011 fiscal year-end net operating income, and applying a stressed cap rate to determine value. Under this analysis, two loans, in addition to the specially serviced asset, are expected to incur a loss.
The largest asset in the pool (15.1%) and the largest contributor to loss is a vacant 455, 000 square foot industrial property in Auburn Hills, MI. The asset is real estate owned (REO) and is listed for sale.
Fitch upgrades the following classes as indicated:
--$4.8 million class F to 'AAAsf' from 'AA+sf'; Outlook Stable;
--$12 million class G to 'Bsf' from 'CCC', Outlook Stable.
Fitch affirms the following:
--$12 million class H at 'Dsf'; RE 50%;
--Class J at 'Dsf'; RE 0%;
--Class K at 'Dsf'; RE 0%;
--Class L at 'Dsf'; RE 0%;
--Class M at 'Dsf'; RE 0%.
Classes A-1, A-2, B, C, D and E are paid in full. Fitch does not rate class O. The ratings on class N and interest-only class X have previously been withdrawn. (For additional information on the withdrawal of the rating on Class X, see 'Fitch Revises Practice for Rating IO & Pre-Payment Related Structured Finance Securities', dated June 23, 2010).
Additional information on Fitch's criteria for analyzing U.S. CMBS is available in the Dec. 21, 2011 report, 'Surveillance Methodology for U.S. Fixed-Rate CMBS Transactions', which is available at 'www.fitchratings.com' under the following headers:
Structured Finance >> CMBS >> Criteria Reports
Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
Applicable Criteria and Related Research:
--Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (Jun. 6, 2012);
--'Surveillance Methodology for U.S. Fixed-Rate CMBS Transactions' (Dec. 21, 2011).
Rating Criteria' (Jun. 6, 2012);
--'Surveillance Methodology for U.S. Fixed-Rate CMBS Transactions' (Dec. 21, 2011).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923
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