CHICAGO--(BUSINESS WIRE)--Fitch Ratings has taken the following rating actions on Morgan Stanley Dean Witter Mortgage Capital Owner Trust, series 2000-F1:
--Class C upgraded to 'Asf' from 'BBBsf''; Outlook Stable;
--Class D upgraded to 'BBBsf' from 'BBB-sf'; Outlook Stable;
--Class E upgraded to 'Bsf' from 'CCCsf'; assigned Outlook Stable;
--Class F upgraded to 'CCsf' from 'Csf'/RE 100%;
--Class G affirmed at 'Csf'/RE 100%.
KEY RATING DRIVERS
The upgrade of class C and D reflects the level of credit enhancement (CE) available to the classes as well as the significant amount of defeased collateral. This collateral is sufficient to pay these two classes in full with timely interest. Fitch utilized its 'Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes', particularly its Three-Risk CLN Matrix for the review of these classes. The matrix utilizes a cross default probability of the credit defeasance providers to arrive at a rating. Fitch's rating on class D reflects its subordinated position in the priority of payments.
The class E upgrade to 'Bsf' and class F to 'CCsf' and the affirmation of class G reflect the CE available to the notes. Class E has a Stable Outlook, while classes F and G have 100% recovery estimates (REs), reflecting the expectation of full repayment in a benign economic environment. The ratings reflect the methodology detailed below.
METHODOLGY
In reviewing the transactions, Fitch utilized its 'Bespoke Assumptions: Surveillance Criteria for Franchise Loan ABS'. This methodology took into account analytical considerations outlined in Fitch's 'Global Structured Finance Rating Criteria', issued July 2015, including asset quality, credit enhancement, financial structure, legal structure, and originator and servicer quality.
Fitch's analysis of the transaction focused on its analysis of the obligor credit quality measured by their Fixed Charge Coverage Ratio (FCCR). If the obligor had a FCCR below 1.0x, Fitch assumed the obligor would default as they likely will not be able to continue making debt obligations. Additionally, Fitch assumed delinquent or specially serviced loans would default. Fitch then modelled the transaction assuming these obligors would default in month one and be liquidated in 24 months, with a recovery rate consistent with historical observations based on loan type and real estate usage. Expected payments are considered under this base scenario to determine recovery estimates for distressed classes, while expected losses are applied to arrive at an adjusted structure before conduction the FCCR analysis.
Fitch then prospectively defaulted obligors based on their FCCRs for the various rating classes. For example, the default of obligors with an FCCR between 1.00x and 1.15x were considered consistent with a 'BBsf' Stress. Any expected net losses from the analysis would be applied as write downs to the most subordinate note, in the adjusted note structure previously described. If a class did not receive any write downs, it was considered to have passed that respective stress.
Fitch also analysed any exposure to obligor concentrations. In this analysis, Fitch derived a net exposure to the largest obligor(s) based on assumed recovery rates and applied the losses to the adjusted note structure. If a class did not receive a write down, it was deemed to have passed.
RATING SENSITIVITIES
As the majority of the pool consists of collateral in defeasance, the performance of the senior classes will be tied to the future performance of the currently high credit quality collateral providers. The performance of the subordinate notes is exposed to the performance of the few large remaining obligors. However, as the transaction continues to amortize, positive rating actions on the subordinate tranches could be possible if credit enhancement builds and relative exposure to larger obligor performance declines.
DUE DILIGENCE USAGE
No third party due diligence was received for this rating action.
Additional information is available at www.fitchratings.com.
Applicable Criteria
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158
Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 28 May 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748781
Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes (pub. 08 Mar 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=878513
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1003866
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1003866
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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