Fitch: Kmart Store Closings Trigger Few CMBS Downgrades.

Business Editors

NEW YORK--(BUSINESS WIRE)--Jan. 27, 2003

Fitch Ratings downgrades only six classes in five transactions and places one class of another transaction on Rating Watch Negative following its review of 40 multi-borrower commercial mortgage-backed securities (CMBS) transactions with Kmart exposure. The reviewed transactions contain loans with Kmart stores scheduled to close following Kmart's announcement on Jan. 14, 2003 that it will close an additional 326 stores and seek bankruptcy court approval for the rejection of the leases. Deals that Fitch affirms are listed at the end of this press release. Individual press releases dated Jan. 24, 2003, provide more detail on each transaction that was downgraded or placed on Rating Watch Negative.

Last year, Fitch downgraded five CMBS transactions as a result of Kmart store closings. In those cases, as is true in this round of downgrades, the rating actions occurred in transactions that expect losses on other loans in the deal as well.

'Given the size and scope of the Kmart default, the fact that there have been so few downgrades serves as testament to the resilience and effectiveness of the structure and loan diversity of conduit CMBS,' said Karen Trebach, director, Fitch Ratings.

Fitch-rated CMBS transactions are currently assessed adequately for Kmart exposure, although it is difficult to predict whether Kmart will achieve its announced goal of emerging from bankruptcy in April 2003.

'Conflicting economic indicators bear watching in assessing conditions in CMBS transactions where exposure to a single large retail chain could impact multiple transactions,' said Mary MacNeill, senior director, Fitch Ratings. 'CMBS exposure to retail is relatively high.'

The downgrades are as follows:

CSFB 98-C1

--Class I to 'CCC' from 'B-'.

DLJ 00-CKP1

--Class B-7 to 'B-' from 'B+'.

FUNB 2000-C1

--Class M to 'CCC' from 'B-'.

MCF 97-MC1

--Class H to 'CCC' from 'B'.

MCF 98-MC2

--Class J to 'B-' from 'B';

--Class K to 'CCC' from 'B-'.

The following class is placed on Rating Watch Negative:

CSFB 97-C2

--Class G 'BB-'.

A higher expected loss severity is assumed on the stand-alone properties as compared to properties in which Kmart represents less than 50% of the net rentable area (NRA). When determining which bonds are most affected by the Kmart store closings, Fitch compared the amount of credit enhancement to a specific tranche versus an expected loss percentage. The expected loss percentage is based on: (i) a loss factor of 0% to 75% applied to the loan balance, based on the percentage NRA represented by Kmart in the center; (ii) a pooling factor was applied based on the number of Kmart's within the pool and (iii) an additional loss factor was taken on the total loans of concern (exclusive of Kmart). The calculation resulted in an expected loss for the pool.

If the expected loss approximated or was less than the subordination level to the lowest class(es), the rating on that class(es) was affirmed. If the expected loss exceeded the lowest class's subordination level, the class was downgraded or placed on Rating Watch Negative pending receipt of further information from the servicer.

Deals affirmed by Fitch:

--ASC 1997-D4;

--Bear Stearns 1998-C1;

--Bear Stearns 2000-WF1;

--CBA 1993-C1;

--CAPCO 1998-D7;

--Chase 1997-1;

--Chase 2000-1;

--DLJ 1998-CF2;

--FUNB-CMB 1999-C2;

--GECCMC 2001-1;

--GE 2002-3;

--GMAC 1997-C2;

--GMAC 1998-C2;

--GMAC 1999-C3;

--GS 1998-C1;

--Heller 2000-PH1;

--JPM 2001-CIBC1;

--LB 1999-C1;

--LB-UBS 2000-C3;

--MCF 1996-MC1;

--MCF 1998-MC1;

--MLMI 1995-C1;

--MLMI 1997-C1;

--MLMI 1998-C1-CTL;

--Midland 1996-C1;

--MS 1998-WF1;

--MS 1998-XL1;

--MS 1999-CAM1;

--MSDW 2001-Top1;

--MSDW 2001-Top3;

--NLF 1999-2;

--Pru Rock 2001-C1;

--SASCO 1996-CFL;

--SBM7 2002-CDC.