Fitch Affirms CMAT 1999-C2; Removes Class F from Watch Negative

NEW YORK--(BUSINESS WIRE)--Fitch Ratings has removed from Rating Watch Negative and subsequently affirmed and assigned a Rating Outlook to the following class of Commercial Mortgage Asset Trust, series 1999-C2 (CMAT 1999-C2) commercial mortgage pass-through certificates:

--$15.5 million class F at 'AAAsf/LS4'; Outlook Negative.

In addition, Fitch has affirmed and revised Loss Severity (LS) ratings for the following classes:

--$105.4 million class A-3 at 'AAAsf/LS2'; Outlook Stable;

--$38.8 million class B at 'AAAsf/LS3'; Outlook Stable;

--$38.8 million class C at 'AAAsf/LS3'; Outlook Stable;

--$11.6 million class D at 'AAAsf/LS5'; Outlook Stable;

--$29.1 million class E at 'AAAsf/LS3'; Outlook Negative.

Fitch withdraws the ratings of the interest-only class X. (For additional information, see 'Fitch Revises Practice for Rating IO & Pre-Payment Related Structured Finance Securities', dated June 23, 2010.)

The affirmations are the result of Fitch's revised loss estimates for the transaction following its prospective analysis, which is similar to its recent vintage fixed-rate commercial mortgage backed security (CMBS) analysis. Fitch expects potential losses of 8.9%, approximately $25.9 million, of the remaining pool balance from the loans in special servicing and the loans that are not expected to refinance at maturity based on Fitch's refinance test.

The Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. The Negative Outlook for classes E and F reflects the potential for higher expected losses from the largest specially serviced asset (10.2% of the pool). While Fitch modeled a significant loss on this defaulted loan; the special servicer has not concluded a final value for the property.

As of the August 2010 distribution date, the pool has paid down 62.4% to $291.4 million from $775.2 million at issuance. Ten loans (46.5%) are currently defeased. Fitch has identified six Loans of Concern (29.5%), including four loans in special servicing (14.3%).

The largest specially serviced asset (10.2%), Henry W. Oliver building, is a delinquent office property located in Pittsburgh, PA. The building lost its largest tenant in March 2010. Current occupancy is 31%.

The next largest specially serviced asset (1.9%) is an office property located in Wakefield, MA. The loan, which has passed its anticipated repayment date, is still current.

The remaining specially serviced assets consist of two REO former Circuit City properties located in Ridgeland, MS (1.4%) and Wichita Falls, TX (0.8%). The two properties are being marketed for sale.

Fitch stressed the cash flow of the remaining non-defeased loans by, generally, applying a 10% reduction to 2008 fiscal year-end net operating income, and applying an adjusted market cap rate between 7.25% and 11% 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. Under this scenario, two loans are not expected to pay off at maturity with one loan incurring a loss when compared to Fitch's stressed value.

Information used to conduct this review included data received from Trepp; The Bank of New York Mellon, as master servicer; LNR Partners, Inc., as special servicer; and third party information received from the World Wide Web.

Additional information is available at www.fitchratings.com.

Related Research:

--'Global Structured Finance Rating Criteria' (Aug. 13, 2010);

--'Special-Purpose Vehicles in Structured Finance Transactions' (Sept. 17, 2009);

--'Surveillance Methodology for Recent Vintage U.S. CMBS' (Jul 7, 2009);

--'U.S. CMBS Surveillance Criteria' (Oct. 7, 2008);

--'Rating Criteria for Fitch's U.S. CMBS Multiborrower Rating Model' (Jan 4, 2008);

--'Commercial Mortgage Asset Trust, Series 1999-C2' (Dec. 2, 1999).

Related Research:

Commercial Mortgage Asset Trust, Series 1999-C2

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=62897

Rating Criteria for Fitch's U.S. CMBS Multiborrower Rating Model

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=367170

U.S. CMBS Surveillance Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=408326

Surveillance Methodology for Recent Vintage U.S. CMBS

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=457782

Special-Purpose Vehicles in Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=466618

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=547326

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