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Rating Action:

Moody's Affirms 12 and Downgrades Five CMBS Classes of CSFB 2007-TFL2

28 Apr 2011

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
No Related Data.
© 2018 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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