Fitch Upgr DLJ Mtge Acceptance 1996-CF2 Cls A2, A3, B1 & B2.Business Editors NEW YORK--(BUSINESS WIRE)--Nov. 1, 2001 Fitch upgrades DLJ DLJ Distributor License for Java DLJ Donaldson, Lufkin & Jenrette Inc. DLJ Drive Like Jehu (band) DLJ Defence Laboratory Jodhpur (India) DLJ Dead Letter Journal Mortgage Acceptance Corp.'s commercial mortgage pass-through certificates Pass-Through Certificates (PTCs) are instruments that evidence the ownership of two or more Equipment Trust Certificates. In other words, Equipment Trust Certificates may be bundled into a pass-through structure as a means of diversifying the asset pool and/or increasing the size , series 1996-CF2 certificates as follows: $30.6 million class A-2 to `AAA' from `AA+', $30.6 million class A-3 to `AA-' from `A+', $25.5 million class B-1 to `A' from `BBB BBB A medium grade assigned to a debt obligation by a rating agency to indicate an adequate ability to pay interest and repay principal. However, adverse developments are more likely to impair this ability than would be the case for bonds rated A and above. +', and $12.7 million class B-2 to `BBB' from `BBB-'. Fitch affirms the $54.6 million class A-1A, $213 million class A-1B and interest-only class S at `AAA'. In addition, Fitch affirms $30.6 million class B-3 at `BB' and $17.8 million class B-4 at `B'. Fitch does not rate the $17.4 million class C. The rating affirmations follow Fitch's annual review of the transaction, which closed in November 1996. The upgrades reflect increased subordination along with steady pool performance. As of the October 2001 distribution date, the pool's aggregate certificate balance had decreased by 15%, to $432.8 million from $508.6 million at issuance. Midland Loan Services, Inc., the master servicer, collected year-end 2000 operating statements operating statement See income statement. for 99% of the loans by principal balance. Based on these operating statements, the pool's 2000 weighted average debt service coverage ratio The debt service coverage ratio (DSCR), or debt service ratio, is the ratio of net operating income to debt payments on a piece of investment real estate. It is a popular benchmark used in the measurement of an income-producing property’s ability to produce (DSCR DSCR See: Debt-service coverage ratio ) increased to 1.66 times (x) from 1.61x at year-end 1999 and 1.44x at closing. The top ten loans represent 31% of the pool. The weighted average DSCR for the top ten improved from 1.37x at issuance to 1.70x in 1999 to 1.84x in 2000. Although the transaction's weighted average DSCR has improved, the number of loans with DSCRs less than 1.0x has increased from seven loans (4.1%) for year-end 1999 to 11 loans (7.9%) for year-end 2000. Thus far the pool has only had one realized loss Realized Loss A loss recognized when assets are sold for a price lower than the original purchase price. Notes: A portion of the realized loss may be applied against a capital gain or realized profit to reduce taxes. in 2000 from the sale of a real estate owned Real Estate Owned Property owned by a lender - usually a bank - after an unsuccessful sale at a foreclosure auction. This is common because most of the properties up for sale at these auctions are worth less than the total amount owed to the bank: the minimum bid in most (REO reo Noun NZ a language [Maori] ) loan for 2% of class C's balance. 42% of the pool have at least one material collateral document exception, which was factored into Fitch's analysis. Fitch identified nine loans of concern (7%) in the pool. Of the five loans (3.43%) in specially servicing, there are two REO loans (1.52%) currently being marketed for sale. One of the properties is an independent living facility in Chattanooga, TN; the other is a vacant big box retail property located in Clinton, IA. The recent appraisal for the retail property is significantly below the current loan balance indicating a possible loss to the trust. One multifamily property (0.45%) is being specially serviced because the borrower transferred ownership without lender's consent and is in the process of completing the loan assumption documentation. The fourth loan in special servicing is a hotel property (0.6%) located in Whiteville, NC. The loan transferred to special servicing after the borrower fell behind on debt service payments when increased competition negatively affected the hotel's income. The special servicer is monitoring the loan for potential return to the master servicer. The last loan in special servicing is a multifamily property located in Houston, TX (0.9%) and is in special servicing due to imminent default, but the borrower is currently working to cure the delinquency delinquency Criminal behaviour carried out by a juvenile. Young males make up the bulk of the delinquent population (about 80% in the U.S.) in all countries in which the behaviour is reported. . Additionally, Fitch identified four loans (3.54%) as potential concern that demonstrated a significant decrease in the DSCR or had a year-end 2000 DSCR below 1.00x. Fitch assumed seven loans of concern totaling 5.73% of the pool would default with a higher loss severity. After taking into consideration the strengths and weaknesses of the entire pool, the resulting subordination levels were sufficient to support the upgrades and affirmations. Fitch will continue to monitor this transaction, as surveillance is ongoing. |
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