Approximately $1.418 Billion of Structured Securities Affected
New York, February 24, 2011 -- Moody's Investors Service (Moody's) affirmed the ratings of 22 classes
of Suisse Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2007-C4 as follows:
Cl. A-4, Affirmed at Aa2 (sf); previously on
Nov 19, 2009 Downgraded to Aa2 (sf)
Cl. A-1-A, Affirmed at Aa2 (sf); previously
on Nov 19, 2009 Downgraded to Aa2 (sf)
Cl. A-M, Affirmed at A3 (sf); previously on Nov
19, 2009 Downgraded to A3 (sf)
Cl. A-1-AM, Affirmed at A3 (sf); previously
on Nov 19, 2009 Downgraded to A3 (sf)
Cl. A-J, Affirmed at Ba2 (sf); previously on
Nov 19, 2009 Downgraded to Ba2 (sf)
Cl. A-1-AJ, Affirmed at Ba2 (sf); previously
on Nov 19, 2009 Downgraded to Ba2 (sf)
Cl. B, Affirmed at B2 (sf); previously on Nov 19,
2009 Downgraded to B2 (sf)
Cl. C, Affirmed at Caa2 (sf); previously on Nov 19,
2009 Downgraded to Caa2 (sf)
Cl. D, Affirmed at Ca (sf); previously on Nov 19,
2009 Downgraded to Ca (sf)
Cl. E, Affirmed at Ca (sf); previously on Nov 19,
2009 Downgraded to Ca (sf)
Cl. F, Affirmed at Ca (sf); previously on Nov 19,
2009 Downgraded to Ca (sf)
Cl. G, Affirmed at Ca (sf); previously on Nov 19,
2009 Downgraded to Ca (sf)
Cl. H, Affirmed at C (sf); previously on Nov 19,
2009 Downgraded to C (sf)
Cl. J, Affirmed at C (sf); previously on Nov 19,
2009 Downgraded to C (sf)
Cl. K, Affirmed at C (sf); previously on Nov 19,
2009 Downgraded to C (sf)
Cl. L, Affirmed at C (sf); previously on Nov 19,
2009 Downgraded to C (sf)
Cl. M, Affirmed at C (sf); previously on Nov 19,
2009 Downgraded to C (sf)
Cl. N, Affirmed at C (sf); previously on Nov 19,
2009 Downgraded to C (sf)
Cl. O, Affirmed at C (sf); previously on Nov 19,
2009 Downgraded to C (sf)
Cl. P, Affirmed at C (sf); previously on Nov 19,
2009 Downgraded to C (sf)
Cl. Q, Affirmed at C (sf); previously on Nov 19,
2009 Downgraded to C (sf)
RATINGS RATIONALE
Moody's rating action did not address the ratings of Classes A-2,
A-3, A-AB and A-X, which are all currently
rated Aaa, on review for possible downgrade. These classes
were placed on review on January 19, 2011. KeyCorp Real Estate
Capital Markets, Inc. (KRECM) is the master servicer on this
transaction and deposits collection, escrow and other accounts in
KeyBank, National Association (KeyBank). KeyBank no longer
meets Moody's rating criteria for an eligible depository account
institution for Aaa and Aa1 rated securities. Moody's is
reviewing arrangements that KeyBank has proposed, and that it may
propose, to mitigate the incremental risk indicated by the lower
rating of the depository account institution, so as possibly to
allow the classes on review to maintain their current ratings.
The affirmations are due to key parameters, including Moody's
loan to value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable
ranges. Based on our current base expected loss, the credit
enhancement levels for the affirmed classes are sufficient to maintain
the existing ratings.
Moody's rating action reflects a cumulative base expected loss of
11.0% of the current balance. At last review,
Moody's cumulative base expected loss was 16.4%.
Moody's stressed scenario loss is 45.5% of the current
balance. Moody's provides a current list of base and stress
scenario losses for conduit and fusion CMBS transactions on moodys.com
at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
Depending on the timing of loan payoffs and the severity and timing of
losses from specially serviced loans, the credit enhancement level
for investment grade classes could decline below the current levels.
If future performance materially declines, the expected level of
credit enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
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 Conduit Transactions" published in September 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 level are driven
by property type, Moody's actual and stressed DSCR,
and Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit
model results at the B2 level are driven by a pay down analysis based
on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity,
is a primary determinant of pool level diversity and has a greater impact
on senior certificates. Other concentrations and correlations may
be considered in our analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or determined based
on a multiple or ratio of either of these two data points. For
fusion deals, the credit enhancement for loans with investment-grade
underlying ratings is melded with the conduit model credit enhancement
into an overall model result. Fusion loan credit enhancement is
based on the credit estimate of the loan which corresponds to a range
of credit enhancement levels. Actual fusion credit enhancement
levels are selected based on loan level diversity, pool leverage
and other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating level,
is incorporated for loans with similar credit estimates in the same transaction.
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. The pool has a Herf of 24
compared to 46 at Moody's prior review.
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 November 19, 2009.
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 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.
DEAL PERFORMANCE
As of the February 17, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 3% to $2.025
billion from $2.081 billion at securitization. The
Certificates are collateralized by 204 mortgage loans ranging in size
from less than 1% to 15% of the pool, with the top
ten loans representing 45% of the pool. There are no defeased
loans or loans that support investment grade credit estimates.
Sixty-two loans, representing 43% of the pool,
are on the master servicer's watchlist. The watchlist includes
loans which meet certain portfolio review guidelines established as part
of the CRE Finance Council (CREFC) monthly reporting package. As
part of our ongoing monitoring of a transaction, Moody's reviews
the watchlist to assess which loans have material issues that could impact
performance.
Eleven loans have been liquidated from the pool since securitization,
resulting in an aggregate $21.8 million loss (61%
loss severity on average). At last review the pool had experienced
less than $2,000 of losses. Twenty-one loans,
representing 19% of the pool, are currently in special servicing.
The largest specially serviced loan is the City Tower Loan ($115.0
million - 5.7% of the pool), which is secured
by a 411,000 square foot (SF) office building located in Orange
County, California. In addition to the first mortgage loan,
there is a $25.0 million mezzanine loan held outside the
trust. The loan sponsor is Maguire. The loan transferred
to special servicing in October 2010 due to monetary default. The
loan is cash managed and all property revenues are being deposited into
an account controlled by the lender. The borrower has indicated
they are not interested in a modification of the loan and foreclosure
is being pursued.
The second largest specially serviced loan is the 2600 Michelson Loan
($95.0 million --4.7% of the pool),
which is secured by a Class A office property located in Irvine,
California with 307,000 square feet (SF). In addition to
the first mortgage loan, there is a $15.0 million
mezzanine loan held outside the trust. The loan sponsor is Maguire
Properties (Maguire). The loan was transferred to special servicing
in August 2009 for imminent default. A receiver has been appointed
to the property and the property is currently being marketed for sale.
The loan is currently 90+ days delinquent. In December 2010,
the master servicer recognized an appraisal reduction of $48.9
million for the loan.
The third largest specially serviced loan is the Meyberry House Loan ($90.0
million --4.4% of the pool), which is secured
by a 179-unit apartment building located on the Upper East Side
of Manhattan in New York City. In addition to the first mortgage
loan, there is a $34.0 million mezzanine loan held
outside the trust. The loan has been in special servicing several
times since securitization and was most recently transferred to special
servicing in September 2009 due to imminent default. The borrower
has recently brought the loan current and it is expected to be returned
to the master servicer shortly. At this time Moody's is not expecting
a loss on this loan but has stressed the loan in the conduit model.
The remaining 18 specially serviced loans are secured by a mix of property
types. The master servicer has recognized an aggregate $113.7
million appraisal reduction for 14 of the specially serviced loans.
Moody's has estimated an aggregate $154.2 million
loss (51% expected loss on average) for 20 of the specially serviced
loans.
Moody's has assumed a high default probability for ten poorly performing
loans representing 4% of the pool and has estimated an aggregate
$17.6 million loss (25% expected loss based on a
50% probability default) from these troubled loans. Moody's
rating action recognizes potential uncertainty around the timing and magnitude
of loss from these troubled loans.
Moody's was provided with full year 2009 operating results for 94%
of the pool and partial year 2010 financials for 91% of the pool.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 134% compared to 133% at last review.
Moody's net cash flow reflects a weighted average haircut of 9.1%
to the most recently available net operating income. Moody's
value reflects a weighted average capitalization rate of 9.23%
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.17X and 0.81X, respectively,
compared to 1.02X and 0.72X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's
NCF and a 9.25% stressed rate applied to the loan balance.
The top three performing conduit loans represent 25% of the pool
balance. The largest loan is the Shutters on The Beach & Casa
Del Mar Portfolio Loan ($310.0 million -- 15.3%
of the pool), which is secured by two luxury hotel properties located
in Santa Monica, California. Shutters on the Beach is a 198-room
full service hotel and Casa Del Mar is a 129-room bed and breakfast
inn. In addition to the first mortgage loan, there is a $72.0
million mezzanine loan held outside the trust. Both properties
are performing better than anticipated at last review; however,
they are performing below Moody's original projections because of declines
in tourist and business travel due to the economic recession. The
loan is on the servicer's watchlist due to a decline in DSCR. Moody's
LTV and stressed DSCR are 188% and 0.58X, respectively,
compared to 258% and 0.42X at last review.
The second largest loan is 245 Fifth Avenue Loan ($131.5
million -- 6.9% of the pool), which is secured
by a 303,000 SF office building located in midtown Manhattan.
In addition to the first mortgage loan, there is a $53.0
million mezzanine loan held outside the trust. The property was
94% leased as of June 2010, essentially the same as at last
review. The largest tenants include Citibank (9% of the
Net Rentable Area (NRA); lease expiration December 2012) Data Monitor
LTD (5% of the NRA; lease expiration July 2012) and Beth Israel
Medical Center (5% of the NRA; lease expiration November 2021).
The loan is currently on the watchlist due to a decline in DSCR and matures
in May 2012. Moody's LTV and stressed DSCR are 148% and
0.66X, respectively, compared to 179% and 0.58X
at last review.
The third largest loan is the Hamburg Trust Portfolio Loan ($54.0
million -- 2.7% of the pool), which is secured
by five cross collateralized and cross defaulted multifamily properties.
The properties total 1,209 units and are located in Amarillo,
Texas. The property was 94% leased as of September 2010.
Property performance has improved since last review. Moody's LTV
and stressed DSCR are 99% and 0.92X respectively,
compared to 109% and 0.63X at last review.
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, confidential and proprietary Moody's investors
Service information and confidential and proprietary Moody's Analytics
information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purpose of maintaining
a credit rating.
New York
Lacey Morgan
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Sandra Ruffin
VP - Senior Credit Officer
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 21 CMBS Classes of CSMCT 2007-C4
