Fitch Affirms Chase Commercial Mortgage Securities Corp. 2000-3; Assigns LS Ratings

CHICAGO--(BUSINESS WIRE)--Fitch Ratings has affirmed, revised Rating Outlooks and assigned Loss Severity (LS) ratings to Chase Commercial Mortgage Securities Corp., commercial mortgage pass-through certificates, series 2000-3. A detailed list of rating actions follows the end of the press release.

The affirmations are due to stable performance and defeasance, limited Fitch expected losses upon disposition of specially serviced assets, and limited expected losses from Fitch's prospective review of potential stresses. Fitch expects losses of approximately 5%, or $23.5 million from loans in special servicing and loans that are not expected to refinance at maturity based on Fitch's refinance test. These losses will be absorbed by classes not rated by Fitch. The majority of Fitch's expected losses are associated with loans currently in special servicing.

As of the April 2010 distribution date, the pool's certificate balance has paid down 38.7% to $470.2 million from $767.5 million at issuance. Of the remaining 68 loans, 24 (32.8%) have defeased.

There are four specially serviced loans in the pool (6.9%). Two of the loans have foreclosed, one is real estate owned (REO) and the other is 90+ days delinquent.

The largest specially serviced asset (3.6%) is secured by a 172,513 square foot (sf) office building located in Addison, TX. The loan transferred in January 2010 for imminent default. Servicer-reported year-end 2009 debt service coverage ratio (DSCR) was 0.74 times (x), and the subject was 86%. Servicer is in the process of discussing possible alternatives to foreclosure with the borrower.

The second largest specially serviced asset (1.9%) is a 157,299 sf office building located in Roswell, GA. The loan transferred to special servicing in August 2008 for monetary default. The building became REO in February 2010.

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 7.5% and 10% 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 (DSCR) of 1.25x or higher were considered to payoff at maturity. Of the non-defeased or non-specially serviced loans, eight loans (17.8% of the pool) incurred a loss when compared to Fitch's stressed value.

Fitch has affirmed and assigned LS ratings to the following classes as indicated:

--$293 million class A-2 at 'AAA/LS1'; Outlook Stable;

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

--$36.5 million class B at 'AAA/LS1'; Outlook Stable;

--$30.7 million class C at 'AAA/LS4'; Outlook Stable;

--$10.6 million class D at 'AAA/LS5'; Outlook Stable;

--$24 million class E at 'AA/LS4'; Outlook Stable;

--$7.7 million class F at 'AA-/LS5'; Outlook Negative.

Class A-1 has paid in full. Fitch does not rate classes G through M.

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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