Fitch Affirms Prudential Mortgage Capital Funding ROCK 2001-C1; Assigns Outlooks

NEW YORK--(BUSINESS WIRE)--Fitch Ratings affirms and assigns Rating Outlooks and Loss Severity (LS) ratings to Prudential's ROCK commercial mortgage pass-through certificates, series 2001-C1, as follows:

--$495.8 million class A-2 at 'AAA/LS1'; Outlook Stable;

--Interest-only class X-2 at 'AAA'; Outlook Stable;

--$27.2 million class B at 'AAA/LS3'; Outlook Stable;

--$38.6 million class C at 'AAA/LS2'; Outlook Stable;

--$9.1 million class D at 'AAA/LS3'; Outlook Stable;

--$11.4 million class E at 'AAA/LS3'; Outlook Stable;

--$15.9 million class F at 'AAA/LS3'; Outlook Stable;

--$13.6 million class G at 'AAA/LS3'; Outlook Stable;

--$13.6 million class H at 'AA/LS3'; Outlook Stable;

--$22.7 million class J at 'BBB+/LS3'; Outlook Negative;

--$6.8 million class K at 'BBB-/LS4'; Outlook Negative;

--$4.5 million class L at 'BB+/LS4'; Outlook Negative;

--$9.1 million class M at 'B/LS3'; Outlook Negative;

--$4.5 million class N at 'B-/LS4'; Outlook Negative.

Fitch does not rate the $7.6 million class O certificates. Classes A-1 and X-1 have been paid in full.

The affirmations are the result of sufficient credit support to the Fitch rated classes due to defeasance and minimal Fitch expected losses within the transaction following Fitch's prospective review of potential stresses and expected losses associated with specially serviced assets. Fitch expects losses of approximately 1% of the remaining pool balance, approximately $6.8 million, the majority of which are from loans currently in special servicing.

As of the March 2010 distribution date, the pool's collateral balance has paid down 25.1% to $680.5 million from $908.2 million at issuance. Thirty-eight of the remaining loans have defeased (46.5%).

As of March 2010, there are five specially serviced loans (8.5%). The largest specially serviced loan, IDT Building (3.7%), is secured by a 444,180 square foot (sf) office building located in Newark, NJ. The loan transferred to special servicing in February 2009 for imminent default. The servicer is working with the borrower to secure a new tenant. The loan has been modified for 48 months during which interest will be paid at 6.9% while accruing at the original note rate of 8.9%. Unpaid interest during the term will be capitalized to the loan.

The second largest specially serviced loan (0.9%) is secured by an 146,340 sf office property located in Columbus, OH. The loan transferred to special servicing in November 2009 for imminent default after the borrower requested a loan modification. The special servicer has meet with the borrower and continues to explore a potential modification of the loan.

Fitch stressed the cash flow of the remaining non-defeased loans by applying a 10% reduction to 2008 fiscal year end net operating income and applying an adjusted market cap rate between 7.25% and 10.5% to determine value.

Similar to Fitch's prospective analysis of recent vintage CMBS, each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Loans that could refinance to a debt service coverage ratio of 1.25 times or higher were considered to pay off at maturity. Seven loans did not pay off at maturity with one loan incurring a loss when compared to Fitch's stressed value.

Additional information on Fitch's amended criteria for analyzing recent vintage U.S. CMBS is available in the July 7, 2009 report, 'Surveillance Methodology for Recent Vintage U.S. CMBS,' which is available at 'www.fitchratings.com' under the following headers:

Structured Finance >> CMBS >> Criteria Reports

Additional information is available at 'www.fitchratings.com'.

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