Approximately $835 Million of Structured Securities Affected
New York, March 21, 2012 -- Moody's Investors Service (Moody's) affirmed nine 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, Affirmed at B1 (sf); previously on Apr
28, 2011 Downgraded to B1 (sf)
Cl. A-3, Affirmed at B2 (sf); previously on Apr
28, 2011 Downgraded to B2 (sf)
Cl. B, Affirmed at B3 (sf); previously on Apr 28,
2011 Downgraded to B3 (sf)
Cl. C, Affirmed at Caa1 (sf); previously on Apr 28,
2011 Downgraded to Caa1 (sf)
Cl. D, Affirmed at Caa3 (sf); previously on Apr 28,
2011 Downgraded to Caa3 (sf)
Cl. E, Affirmed at C (sf); previously on Sep 16,
2010 Downgraded to C (sf)
Cl. A-X-1, Affirmed at Caa1 (sf); previously
on Feb 22, 2012 Downgraded to Caa1 (sf)
Cl. A-X-2, Affirmed at B2 (sf); previously
on Feb 22, 2012 Downgraded to B2 (sf)
RATINGS RATIONALE
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.
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 extent of the slowdown
in growth in the current macroeconomic environment and commercial real
estate property markets. While commercial real estate property
values are beginning to move in a positive direction, a consistent
upward trend will not be evident until the volume of investment activity
increases, distressed properties are cleared from the pipeline,
and job creation rebounds. The hotel and multifamily sectors continue
to show positive signs and improvements in the office sector continue
with minimal additions to supply. However, office demand
is closely tied to employment, where unemployment remains above
long-term averages and business confidence remains below long-term
averages. Performance in the retail sector has been mixed with
lackluster Holiday sales driven by sales and promotions. Consumer
confidence remains low. Across all property sectors, the
availability of debt capital continues to improve with increased securitization
activity of commercial real estate loans supported by a monetary policy
of low interest rates. Moody's central global macroeconomic scenario
reflects: an overall downward revision of real growth forecasts
since last quarter, amidst ongoing and policy-induced banking
sector deleveraging leading to a tightening of bank lending standards
and credit contraction; financial market turmoil continuing to negatively
impact consumer and business confidence; persistently high unemployment
levels; and weak housing markets resulting in a further slowdown
in growth.
The methodologies used in this rating were "Moody's Approach to Rating
CMBS Large Loan/Single Borrower Transactions" published in July 2000,
and "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012. Please see the Credit Policy
page on www.moodys.com for a copy of these methodologies.
Moody's review incorporated the use of the excel-based CMBS Large
Loan Model v 8.2 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 review also used the CMBS IO calculator ver1.0 which uses
the following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and credit
estimates; original and current bond balances grossed up for losses
for all bonds the IO(s) reference(s) within the transaction; and
IO type corresponding to an IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a target
and mid-point . For example, a target rating basis
for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating
basis for a Baa3 (sf) rating is 775 (i.e. the simple average
of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940).
If the calculated IO rating factor is 700, the CMBS IO calculator
ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication
for consideration by the rating committee.
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 a review utilizing MOST®
(Moody's Surveillance Trends) Reports and Remittance Statements.
On a periodic basis, Moody's also performs a full transaction
review that involves a rating committee and a press release. Moody's
prior transaction review is summarized in a press release dated April
28, 2011. Please see the ratings tab on the issuer / entity
page on moodys.com for the last rating action and the ratings history.
DEAL PERFORMANCE
As of the March 17, 2012 distribution date, the transaction's
certificate balance decreased by approximately 45% to $835.1
million from $1.52 billion at securitization due to the
payoff of two loans, the liquidation of two loans, and partial
paydowns of the remaining four loans in the pool. The Certificates
are collateralized by four floating-rate loans ranging in size
from 6% to 51% of the pooled trust mortgage balance.
The largest three loans account for 94% of the pooled balance.
The pool composition includes casino properties (51% of the pooled
balance), office (43%), and hotel (6%).
Classes A-3 through L have experienced significant interest shortfalls
totaling $7.0 million as of the March 2012 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 $252.2 million in losses since
securitization due to losses from the liquidation of both the Resorts
Atlantic City loan and the Biscayne Landing loan. Classes F,
G, H, J, K, and L have been wiped out.
Moody's weighed average pooled loan to value (LTV) ratio is 95%,
compared to over 100% at last review and 63% at securitization.
Moody's pooled stressed debt service coverage (DSCR) is 1.24X compared
to 0.87X to last review and 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, the same
as last review.
There are currently two loans in special servicing, the Whitehall
Seattle Portfolio loan ($292.5 million, 36%
of the pooled balance) and the 100 West Putnam loan ($67.0
million, 8%). The Whitehall Seattle Portfolio loan
transferred to special servicing in December 2011 and is collateralized
by twelve office properties in Seattle, Washington. As of
September 2011, the occupancy was 64% compared to 92%
at securitization and the net cash flow has decreased. The borrower
is requesting a loan extension. There is subordinate debt in the
form of a $173.8 million B-Note and $430.2
million of mezzanine debt. Loan maturity is April 2012.
Moody's current pooled LTV is 100% and stressed DSCR is 1.02X.
Moody's current credit estimate is Caa1.
The 100 West Putnam loan ($67.0 million, 8%
of the pooled balance) transferred to special servicing in March 2012
and is collateralized by a 157,000 square foot office property in
Greenwich, Connecticut. At the time of securitization,
the single tenant had vacated which allowed the sponsor to renovate the
building. Occupancy was 94% as of January 2012. There
is subordinate debt in the form of a $48.9 million B-Note
and $30.0 million of mezzanine debt. The total amounts
to $930 per square foot. Loan maturity is March 2012.
Moody's current pooled LTV is 98% and stressed DSCR is 1.02X.
Moody's current credit estimate is Caa2.
The remaining two loans include the Planet Hollywood loan ($427.8
million, 51% of the pooled balance) and the Westin DFW loan
($50 million, 6%). The largest loan in the
pool, the Planet Hollywood loan is collateralized by a 2,516
guestroom hotel and casino located on Las Vegas Boulevard in Las Vegas,
Nevada. The net cash flow has fallen significantly since securitization.
However, the property was recapitalized in 2010 and performance
is increasing. Gaming revenue has increased 19% 2010 to
2011 year on year and the RevPAR is up 10% for the same period.
There is additional debt in the form of a subordinate $94.4
million B-Note. Loan maturity is December 2013. Moody's
current pooled LTV is 93% and stressed DSCR is 1.39X.
Moody's current credit estimate is B3.
The Westin DFW loan ($50 million, 6% of the pooled
balance) is collateralized a 506 room hotel near the Dallas-Fort
Worth airport. The hotel's RevPAR growth for 2011 was 5.7%
compared to the competitive set RevPAR growth of 7.8% according
to Smith Travel Research. There is additional debt in the form
of a subordinate $27 million B-Note. The loan matures
in April 2012. Moody's current pooled LTV is 81% and stressed
DSCR is 1.53X. Moody's current credit estimate is B1.
REGULATORY DISCLOSURES
Although this credit rating has been issued in a non-EU country
which has not been recognized as endorsable at this date, this credit
rating is deemed "EU qualified by extension" and may still
be used by financial institutions for regulatory purposes until 30 April
2012. Further information on the EU endorsement status and on the
Moody's office that has issued a particular Credit Rating is available
on www.moodys.com.
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides relevant regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides relevant regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
Moody's considers the quality of information available on the rated
entity, obligation or credit satisfactory for the purposes of issuing
a rating.
Moody's adopts all necessary measures so that the information it
uses in assigning a 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 Moody's Rating Symbols and Definitions on the Rating
Process page on www.moodys.com for further information on
the meaning of each rating category and the definition of default and
recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history. The date on
which some ratings were first released goes back to a time before Moody's
ratings were fully digitized and accurate data may not be available.
Consequently, Moody's 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 www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has
issued the rating.
Annelise Osborne
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Michael M. Gerdes
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Affirms Nine CMBS Classes of CSFB 2007-TFL2
