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12 Sep 2005
MOODY'S DOWNGRADES FIVE CLASSES OF CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP., SERIES 2001-CF2
Approximately $987.3 Billion of Structured Securities Affected
New York, September 12, 2005 -- Moody's Investors Service downgraded the ratings of five classes
and affirmed the ratings of fourteen classes of Credit Suisse First Boston
Mortgage Securities Corp., Commercial Mortgage Pass-Through
Certificates, Series 2001-CF2 as follows:
-Class A-2, $78,117,743,
Fixed, affirmed at Aaa
-Class A-3, $129,750,000,
Fixed, affirmed at Aaa
-Class A-4, $523,158,000,
Fixed, affirmed at Aaa
-Class A-X, Notional, affirmed at Aaa
-Class A-CP, Notional, affirmed at Aaa
-Class B, $43,796,000, Fixed,
affirmed at Aa2
-Class C, $49,271,000, Fixed,
affirmed at A2
-Class D, $10,949,000, Fixed,
affirmed at A3
-Class E, $16,423,000, WAC,
affirmed at Baa1
-Class F, $18,887,000, Fixed,
affirmed at Baa2
-Class G, $13,960,000, Fixed,
affirmed at Baa3
-Class H, $16,423,000, Fixed,
affirmed at Ba1
-Class J, $21,898,000, Fixed,
downgraded to B2 from Ba3
-Class K, $8,211,000, WAC,
downgraded to B3 from B1
-Class L, $9,306,000, WAC,
downgraded to Caa1 from B2
-Class M, $9,854,000, WAC,
downgraded to Caa3 from Caa1
-Class N, $5,474,000, Fixed,
downgraded to Ca from Caa2
-Class NM-1, $14,760,000,
WAC, affirmed at A2
-Class NM-2, $17,050,000,
WAC, affirmed at Baa2
As of the August 17, 2005 distribution date, the transaction's
aggregate balance has decreased by approximately 11.8% to
$994.4 million from $1.2 billion at securitization.
The Certificates are collateralized by 156 mortgage loans secured by commercial
and multifamily properties. The loans range in size from less than
1.0% to 9.0% of the pool, with the top
10 loans representing 41.6% of the pool. Six loans,
including two of the top 10 loans, have defeased and are secured
by U. S. government securities. The defeased loans
represent 11.9% of the pool.
Six loans have been liquidated from the pool, resulting in aggregate
realized losses of approximately $10.3 million. Five
loans, representing 2.0% of the pool, are in
special servicing. Moody's has projected aggregate losses
of approximately $6.8 million for all of the specially serviced
loans. Forty-four loans, representing 20.3%
of the pool, are on the master servicer's watchlist.
Moody's was provided with full-year 2004 operating results
for approximately 93.9% of the performing loans.
Moody's loan to value ratio ("LTV") for the conduit
component is 88.2%, essentially the same as at Moody's
last full review in August 2004. At securitization, Moody's
LTV was 82.9%. The downgrade of Classes J,
K, L, M, and N is due to realized losses, anticipated
losses on the specially serviced loans and LTV dispersion. Based
on Moody's analysis, 18.8% of the pool has a
LTV greater than 100.0%, compared to 16.6%
at last review and compared to 0.0% at securitization.
Sixteen loans, representing 17.8% of the conduit pool,
have actual debt service coverage of 0.9x or less based on the
borrowers' most recent reported operating performance and the actual
The largest shadow rated loan is the 730 North Michigan Loan, which
consists of a pooled senior interest ($86.2 million -
9.0%) and a non-pooled subordinate interest ($31.8
million), which supports Classes NM-1 and NM-2.
The whole loan totals $118.0 million. The loan is
secured by a 202,000 square foot retail center located along the
"Magnificent Mile" in Chicago, Illinois. Major
tenants include CompUSA (21.0% of GLA; lease expiration
January 2013), American Girl Place (20.1%; lease
expiration December 2008; an affiliate of Mattel, Inc.
- Moody's senior unsecured rating Baa2; stable outlook),
Polo Ralph Lauren (18.6%; lease expiration November
2011; Moody's senior unsecured rating Baa2; negative outlook)
and Banana Republic (18.5%; lease expiration January
13, 2013; an affiliate of The Gap, Inc. -
Moody's senior unsecured rating Baa3; positive outlook).
The property has been 100.0% occupied since securitization.
The loan, which is interest only, matures in January 2006.
Moody's current shadow rating of the whole loan is Baa2, the
same as at last review.
The second shadow rated loan is the Glendale Center Loan ($35.9
million - 3.7%) which defeased and is secured by
U.S. Government securities.
The top three conduit loans represent 14.6% of the outstanding
pool balance. The largest conduit loan is the First Union Building
Loan ($51.1 million - 5.3%),
which is secured by a commercial condominium unit consisting of 627,000
square feet in two adjacent office buildings located in the CBD of Philadelphia,
Pennsylvania. The largest tenant is First Union National Bank ("First
Union"; merged with Wachovia Bank, N.A.
- Moody's senior unsecured rating Aa2; stable outlook),
which currently occupies approximately 41.8% of the property
on a lease expiring in July 2010. First Union exercised an early
termination option on approximately 95,000 square feet (15.0%)
at the end of 2004. The property is currently 82.8%
occupied, compared to 95.7% at last review.
Moody's LTV is 86.7%, compared to 79.4%
at last review.
The second largest conduit loan is the 8000 Marina Boulevard Office Building
Loan ($45.1 million - 4.7%) which is
secured by a 194,000 square foot Class A office building located
approximately 8 miles south of San Francisco, California.
Market conditions have weakened significantly since securitization.
The property was 100.0% leased at securitization with average
in-place rents of approximately $49.00 per square
foot. The property is currently 87.0% leased,
essentially the same as at last review; however, market rents
have declined approximately 8.0% since last review.
The loan is on the master servicer's watchlist due to low debt service
coverage. Moody's LTV is in excess of 100.0%,
the same as at last review.
The third largest conduit loan is the CNN Building Loan ($44.2
million - 4.6%), which is secured by a 292,000
square foot office building located in Washington, D.C.
The property is 90.9% occupied, compared to 100.0%
at last review. The building serves as the regional headquarters
of the CNN cable network (parent company Time Warner Inc. -
Moody's senior unsecured bank credit facility rating Baa1;
stable outlook), which occupies approximately 29.0%
on a lease that expires in December 2010. Moody's LTV is
73.0%, compared to 75.8% at last review.
The pool's collateral is a mix of office (42.4%),
retail (26.2%), U.S. government securities
(11.9%), multifamily (10.2%),
industrial (4.0%), lodging (3.6%),
CTL (1.0%) and healthcare (0.7%). The
collateral properties are located in 34 states and Washington, D.C.
The highest state concentrations are California (17.3%),
New York (9.9%), Pennsylvania (9.5%),
Illinois (7.6%) and Florida (6.7%).
All of the loans are fixed rate.
Structured Finance Group
Moody's Investors Service
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
No Related Data.
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