Correction to text, Nov. 21, 2006 Release: Moody's Upgrades Four Classes of Credit Suisse First Boston Mortgage Securities Corp., Series 2003-CK2; Places Class GLC on Review for Possible Downgrade. Correction to Debt List.
Approximately $914.1 Million of Structured Securities Affected
New York, November 21, 2006 -- Correction to debt list, Class GLC on review for possible downgrade.
Revised release as follows.
Moody's Investors Service upgraded the ratings of four classes and affirmed
the ratings of 14 classes of Credit Suisse First Boston Mortgage Securities
Corp., Commercial Mortgage Pass-Through Certificates,
Series 2003-CK2 as follows:
-Class A-1, $57,364,437,
Fixed, affirmed at Aaa
-Class A-2, $196,000,000,
Fixed, affirmed at Aaa
-Class A-3, $109,000,000,
Fixed, affirmed at Aaa
-Class A-4, $364,293,000,
Fixed, affirmed at Aaa
-Class A-X, Notional, affirmed at Aaa
-Class A-SP, Notional, affirmed at Aaa
-Class B, $32,118,000, Fixed,
affirmed at Aaa
-Class C, $12,353,000, Fixed,
affirmed at Aaa
-Class D, $29,647,000, Fixed,
upgraded to Aa2 from Aa3
-Class E, $12,353,000, Fixed,
upgraded to Aa3 from A1
-Class F, $12,353,000, WAC Cap,
upgraded to A2 from A3
-Class G, $19,764,000, WAC Cap,
upgraded to Baa1 from Baa2
-Class H, $14,824,000, WAC,
affirmed at Baa3
-Class J, $17,294,000, Fixed,
affirmed at Ba1
-Class K, $17,294,000, Fixed,
affirmed at Ba2
-Class L, $4,941,000, Fixed,
affirmed at Ba3
-Class N, $6,176,000, Fixed,
affirmed at B2
-Class O, $4,941,000, Fixed,
affirmed at B3
-Class GLC, $3,427,085, Fixed,
currently rated Baa3; on review for possible downgrade
Moody's is placing non-pooled Class GLC on review for possible
downgrade due to performance issues on the Great Lakes Crossing Loan as
discussed below.
As of the November 17, 2006 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 4.7%
to $959.2 million from $1.0 billion at securitization.
The Certificates are collateralized by 101 mortgage loans ranging in size
from less than 1.0% to 8.8% of the pool with
the top 10 loans representing 46.0% of the pool.
The pool consists of one shadow rated loan, representing 8.8%
of the pool, a conduit component, representing 74.9%
of the pool and U.S. Government securities, representing
16.3% of the pool. Nine loans, representing
16.3% of the pool, plus the non-pooled Ritz-Carlton
Key Biscayne B Note (not rated by Moody's) have defeased and are
collateralized by U.S. Government securities.
Two loans have been liquidated from the pool resulting in an aggregate
realized loss of approximately $148,000. One loan,
representing less than 1.0% of the pool, is in special
servicing. Moody's is not projecting a loss from this specially
serviced loan currently. Ten loans, representing 4.9%
of the pool, are on the master servicer's watchlist.
Moody's was provided with full-year 2005 and partial-year
2006 operating results for 98.2% and 94.0%
respectively, of the performing loans. Moody's loan to value
ratio ("LTV") for the conduit component is 90.5%,
compared to 92.7% at last review and compared to 94.0%
at securitization.
Moody's is upgrading Classes D, E, F and G due to defeasance,
stable pool performance and increased credit support. Classes B,
C, D and E were upgraded on August 2, 2006 and Classes D and
E were placed on review for further possible upgrade based on a Q tool
based portfolio review (see "US CMBS: Q Tool Based Portfolio
Review Results in Numerous Upgrades," Moody's Special
Report, August 2, 2006).
The largest shadow rated loan is the Great Lakes Crossing Loan ($82.8
million - 8.8%), which represents a 59.0%
participation interest in a $139.7 million first mortgage
loan. The loan is secured by the borrower's interest in a 1.4
million square foot value oriented shopping center located approximately
30 miles north of Detroit in Auburn Hills, Michigan. The
center is also encumbered by a B Note which is the security for non-pooled
Class GLC. The collateral securing the loan consists of 1.14
million square feet of anchor and in-line space. The center
is anchored by Burlington Coat Factory, Sports Authority,
Bed Bath and Beyond, Circuit City, T.J.Maxx
and Marshalls. In addition, the center is anchored by Bass
Pro Shops and a 25-screen AMC Theater, both occupying non-collateral
space. The center is 86.0% occupied, compared
to 88.9% at last review and compared to 91.1%
at securitization. Sales have exhibited a downward trend.
The property's financial performance has declined as well since
last review. The borrower is an affiliate of Taubman Centers,
Inc. (Moody's preferred stock rating B1; stable outlook),
a publicly traded REIT. Moody's is placing non-pooled
Class GLC on review for possible downgrade pending the receipt of additional
financial and market information.
The top three conduit loans represent 15.4% of the pool.
The largest conduit loan is the Museum Square Loan ($54.1
million - 5.8%), which is secured by a 522,000
square foot office building located on Wilshire Boulevard in downtown
Los Angeles, California. As of June 2006, the property
was 89.4% occupied, compared to 87.0%
at last review and compared to 86.2% at securitization.
The largest tenants are SAG (19.8% NRA; lease expiration
July 2014), Virgin Entertainment (7.2% NRA; lease
expiration April 2010), and American Federation TV and Radio (6.7%
NRA; lease expiration January 2007). As a result of increased
occupancy, performance has improved despite increased operating
expenses. Moody's LTV is 87.8%, compared to
93.1% at last review and compared to 92.1%
at securitization.
The second largest conduit loan is the Crescent at Carlyle Loan ($52.2
million - 5.5%), which is secured by a 212,900
square foot office building located in Alexandria, Virginia.
The property is 100.0% leased, the same as at securitization.
The anchor tenant is the law firm of Oblon, Spivak, McClelland
& Neustadt (97.0% NRA; lease expiration December
2017). The loan has a five-year term and is interest only.
Moody's LTV is 91.1%, compared to 97.2%
at last review and compared to 97.2% at securitization.
The third largest conduit loan is the North Park Executive Center Loan
($38.6 million -- 4.1%), which
is secured by a 486,000 square foot office building located in Omaha,
Nebraska. As of June 2006, the property is 99.7%
occupied, compared to 94.5% at securitization.
The largest tenant is CSG Systems (44.1% NRA; lease
expirations August 2012 [49.0%], April 2009 [32.0%],
April, 2010 [19.0%]). Stable performance
combined with loan amortization has resulted in an improved LTV.
Moody's LTV is 90.2%, compared to 95.7%
at last review and compared to 95.4% at securitization.
The pool's collateral is a mix of office (40.9%),
retail (30.5%), U.S. Government securities
(16.3%), multifamily (9.0%) and industrial
and self storage (3.3%). The collateral properties
are located in 30 states and Washington, D.C. The
top five state concentrations are California (23.5%),
Michigan (16.9%), Virginia (11.7%),
Georgia (6.4%) and New Jersey (5.1%).
All of the loans are fixed rate.
New York
Tad Philipp
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Stewart Rubin
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653