DBRS Upgrades Three Classes of N-45° First CMBS Issuer Corporation, Series 2003-1

DBRS has today upgraded three classes of N-45° First CMBS Issuer Corporation, Series 2003-1 as follows:

Class C to AAA from AA
Class D to AA (low) from A (low)
Class E to BB (high) from BB

DBRS has also confirmed the other classes in the transaction as follows:

Class A-2 at AAA
Class IO at AAA
Class B at AAA
Class F at B

DBRS does not rate the $13.3M Class G. The trends for all classes of the transaction are Stable.

The rating action comes in response to increased credit enhancement for the bonds, which was caused by loan maturities. In the DBRS analysis, a net cash flow stress of 20% was applied to all loans in the transaction to arrive at the current rating categories.

The positive rating action was tempered by the sub-par performance of five loans ( 10.19% of the pool) that are on the servicer’s watchlist, four of which ( 5.73% of the pool) DBRS has placed on the DBRS HotList. Those four loans are on the servicer’s watchlist for low occupancy and a low YE2009 DSCR. DBRS estimates that the performance and positions of the properties securing these four HotList loans increase their respective refinance risk. Two of the four HotList loans mature in 2011. Despite the risk with these loans, they have an average debt yield of 18.5%, which is considered to be healthy and any potential losses associated with the loans resulting from a default would be contained to the first loss piece.

The pool collateral has reduced 60% since issuance and now has a total balance of $223 million

DBRS will continue to monitor the transaction on a monthly basis for updated performance on the HotList loans as well as upcoming loan maturities. For more information on this transaction, refer to the DBRS Global CMBS Monthly Surveillance Report.

Note:
All figures are in Canadian dollars unless otherwise noted.

The applicable methodologies are CMBS Rating Methodology and CMBS Surveillance, which can be found on our website under Methodologies.