Approximately $1.0 Billion of Structured Securities Affected
New York, April 28, 2011 -- Moody's Investors Service (Moody's) affirmed 12 classes and downgraded
five classes of Credit Suisse First Boston Mortgage Securities Corp.
Commercial Mortgage Pass-Through Certificates, Series 2007-TFL2.
Moody's rating action is as follows:
Cl. A-1, Affirmed at A2 (sf); previously on Sep
16, 2010 Confirmed at A2 (sf)
Cl. A-2, Downgraded to B1 (sf); previously on
Sep 16, 2010 Downgraded to Ba1 (sf)
Cl. B, Downgraded to B3 (sf); previously on Apr 1,
2010 Downgraded to B1 (sf)
Cl. C, Downgraded to Caa1 (sf); previously on Apr 1,
2010 Downgraded to B2 (sf)
Cl. D, Downgraded to Caa3 (sf); previously on Sep 16,
2010 Downgraded to Caa1 (sf)
Cl. A-3, Downgraded to B2 (sf); previously on
Apr 1, 2010 Downgraded to Ba2 (sf)
Cl. A-X-1, Affirmed at A2 (sf); previously
on Sep 16, 2010 Confirmed at A2 (sf)
Cl. A-X-2, Affirmed at A2 (sf); previously
on Sep 16, 2010 Confirmed at A2 (sf)
Cl. E, Affirmed at C (sf); previously on Sep 16,
2010 Downgraded to C (sf)
Cl. F, Affirmed at C (sf); previously on Apr 1,
2010 Downgraded to C (sf)
Cl. G, Affirmed at C (sf); previously on Apr 1,
2010 Downgraded to C (sf)
Cl. BSL-A, Affirmed at C (sf); previously on
Dec 3, 2009 Downgraded to C (sf)
Cl. BSL-B, Affirmed at C (sf); previously on
Dec 3, 2009 Downgraded to C (sf)
Cl. BSL-C, Affirmed at C (sf); previously on
Mar 4, 2009 Downgraded to C (sf)
Cl. BSL-D, Affirmed at C (sf); previously on
Mar 4, 2009 Downgraded to C (sf)
Cl. BSL-E, Affirmed at C (sf); previously on
Mar 4, 2009 Downgraded to C (sf)
Cl. BSL-F, Affirmed at C (sf); previously on
Mar 4, 2009 Downgraded to C (sf)
RATINGS RATIONALE
The downgrades were due to the outstanding interest shortfalls that were
not recovered in the liquidation of the Resorts Atlantic City loan and
the anticipated outstanding interest shortfalls that are not expected
to be recovered from the Biscayne Landing loan. The affirmations
were due to key parameters, including Moody's loan to value (LTV)
ratio and Moody's stressed debt service coverage ratio (DSCR), remaining
within acceptable ranges. The rating action is the result of Moody's
on-going surveillance of commercial mortgage backed securities
(CMBS) transactions.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key parameters
may indicate that the collateral's credit quality is stronger or weaker
than Moody's had anticipated during the current review. Even so,
deviation from the expected range will not necessarily result in a rating
action. There may be mitigating or offsetting factors to an improvement
or decline in collateral performance, such as increased subordination
levels due to amortization and loan payoffs or a decline in subordination
due to realized losses.
Primary sources of assumption uncertainty are the current sluggish macroeconomic
environment and varying performance in the commercial real estate property
markets. However, Moody's expects to see increasing or stabilizing
property values, higher transaction volumes, a slowing in
the pace of loan delinquencies and greater liquidity for commercial real
estate in 2011 The hotel and multifamily sectors are continuing to show
signs of recovery, while recovery in the office and retail sectors
will be tied to recovery of the broader economy. The availability
of debt capital continues to improve with terms returning toward market
norms. Moody's central global macroeconomic scenario reflects an
overall sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
The principal methodology used in this rating was "CMBS: Moody's
Approach to Rating Large Loan/Single Borrower Transactions" rating methodology
published in July 2000.
Moody's review incorporated the use of the excel-based CMBS Large
Loan Model v 8.0 which is used for both large loan and single borrower
transactions. The large loan model derives credit enhancement levels
based on an aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, property type, and
sponsorship. These aggregated proceeds are then further adjusted
for any pooling benefits associated with loan level diversity, other
concentrations and correlations. The model also incorporates a
supplementary tool to allow for the testing of the credit support at various
rating levels. The scenario or "blow-up" analysis tests
the credit support for a rating assuming that all loans in the pool default
with an average loss severity that is commensurate with the rating level
being tested.
Moody's ratings are determined by a committee process that considers both
quantitative and qualitative factors. Therefore, the rating
outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance
of commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of quantitative
tools -- MOST® (Moody's Surveillance Trends) and CMM
(Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated September 16, 2010.
Please see the ratings tab on the issuer / entity page on moodys.com
for the last rating action and the ratings history.
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
As of the April 15, 2011 distribution date, the transaction's
certificate balance decreased by approximately 32% to $1.03
billion from $1.52 billion at securitization due to the
payoff of the Capital Source Portfolio Loan and the loss incurred on the
Resorts Atlantic City Loan as well as principal payments associated with
three loans (Planet Hollywood Loan, Whitehall Seattle Portfolio
Loan and Biscayne Landing Loan). The Certificates are collateralized
by seven floating-rate loans ranging in size from 5% to
45% of the pooled trust mortgage balance. The largest three
loans account for 83% of the pooled balance. The pool composition
includes casino properties (45% of the pooled balance), office
(37%), hotel (10%) and land (8%).
Classes A-2 through L have experienced significant interest shortfalls
totaling $6.6 million as of April 2011 distribution date.
Moody's expects the interests shortfalls associated the Resorts Atlantic
City loan and the Bicayne Landing loan to remain permanent. Interest
shortfalls are caused by special servicing fees, including workout
and liquidation fees, appraisal subordinate entitlement reductions
(ASERs) and extraordinary trust expenses.
The pool has experienced $176.7 million in losses since
securitization due to the Resorts Atlantic City loan which liquidated
at a 101% loss severity. There is currently one loan in
special servicing, the Biscayne Landing Loan ($77.2
million - 8% of the pooled trust balance and six rake classes).
The loan is secured by a 188-acre site located in North Miami,
Florida and was intended to fund pre-development of the parcel
to accommodate a mixed-use project. In March of 2008,
the loan was moved to special servicing. A 2010 appraisal was received
that valued the property at $15.5 million which is 3%
of the original appraised value at securitization and significantly below
the trust debt balance. In March 2010, outstanding reserves
were used to repay servicer advances, fees and interest shortfall
recovery associated with the loan and the remaining $29 million
was used to pay down the pooled principal balance. The loan collateral
is being marketed for sale and terms are being negotiated with a potential
buyer. Additional to the pooled balance, there are junior
trust loans secured by the asset including rake classes BSL-A,
BSL-B, BSL-C, BSL-D, BSL-E
and BSL-F. Moody's current credit estimate for the pooled
balance is C, the same as last review.
The remaining five loans include the Planet Hollywood loan ($439
million, 45% of the pooled balance); the Whitehall Seattle
Portfolio loan ($292.5 million, 30%);
the 100 West Putnam loan($67 million, 7%), the
Ritz-Carlton Half Moon Bay loan($51.5 million,
5%) and the Westin DFW loan ($50 million, 5%).
Moody's weighed average pooled loan to value (LTV) ratio is over 100%
similar to last review in April 2010, compared to 63.4%
at securitization. Moody's pooled stressed debt service coverage
(DSCR) is 0.87X similar to last review, compared to 1.31X
at securitization.
Moody's uses a variation of Herf to measure diversity of loan size,
where a higher number represents greater diversity. Loan concentration
has an important bearing on potential rating volatility, including
risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. Large loan transactions have
a Herf of less than 20. The pool has a Herf of 3, compared
to 4 last review.
Moody's Investors Service did not receive or take into account a third
party due diligence report on the underlying assets or financial instruments
related to the monitoring of this transaction in the past six months.
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's Investors
Service's information.
Moody's considers the quality of information available on the issuer or
obligation satisfactory for the purposes of maintaining a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Annelise Osborne
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Michael M. Gerdes
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Affirms 12 and Downgrades Five CMBS Classes of CSFB 2007-TFL2