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Rating Action:

Moody's Affirms Six Classes of CSFB 2004-C3

23 Jul 2015

Approximately $85 million of structured securities affected

New York, July 23, 2015 -- Moody's Investors Service has affirmed the ratings on six classes in CSFB Mortgage Securities Corp. Commercial Mortgage Pass-Through Certificates, Series 2004-C3 as follows:

Cl. C, Affirmed Ba3 (sf); previously on Aug 7, 2014 Affirmed Ba3 (sf)

Cl. D, Affirmed Caa2 (sf); previously on Aug 7, 2014 Downgraded to Caa2 (sf)

Cl. E, Affirmed C (sf); previously on Aug 7, 2014 Downgraded to C (sf)

Cl. F, Affirmed C (sf); previously on Aug 7, 2014 Affirmed C (sf)

Cl. G, Affirmed C (sf); previously on Aug 7, 2014 Affirmed C (sf)

Cl. A-X, Affirmed Caa3 (sf); previously on Aug 7, 2014 Downgraded to Caa3 (sf)

RATINGS RATIONALE

The rating on the P&I class C was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges..

The ratings on the P&I classes D through G were affirmed because the ratings are consistent with Moody's expected loss from specially serviced loans and certificate undercollateralization.

The rating on the IO Class was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes.

Moody's rating action reflects a base expected loss of 83.4% of the current balance, compared to 52.4% at Moody's last review. Moody's base expected loss plus realized losses is now 8.8% of the original pooled balance, the same as at Moody's last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at:

http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:

The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance.

Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 95% of the pool is in special servicing and performing loans only represent 5% of the pool. In this approach, Moody's determines a probability of default for each specially serviced loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es).

DESCRIPTION OF MODELS USED

Moody's review used the excel-based Large Loan Model. 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 deal has a Herf of 7 compared to 8 as at Moody's last review.

DEAL PERFORMANCE

As of the July 17, 2015 distribution date, the transaction's aggregate certificate balance has decreased by 95% to $85 million from $1.64 billion at securitization. The certificates are collateralized by 14 mortgage loans ranging in size from less than 1% to 27% of the pooled loan balance (excluding defeasance), with the top ten loans constituting 94% of the pooled loan balance.

The transaction is now undercollateralized as the aggregate certificate balance has become $20 million greater than the pooled loan balance. This disparity of principal balances is due to the servicer recovering Workout-Delayed Reimbursement Amounts (WODRAs) from the transaction's principal collections and the subordinate certificates are not written down. Moody's is currently treating this certificate undercollateralization as a delayed loss of principal to the trust (100% expected loss).

One loan, constituting 1% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance.

Twenty-four loans have been liquidated from the pool, resulting in an aggregate realized loss of $90 million (for an average loss severity of 53%). Twelve loans, constituting 95% of the pooled loan balance, are currently in special servicing. The largest specially serviced loan is the Tower at Northwoods Loan (for $17 million -- 26.5% of the pooled loan balance), which is secured by a 184,616 square foot (SF) office property located in Danvers, Massachusetts, 15 miles north of Boston. The loan was transferred to the special servicer in February 2009 and the lender took title via foreclosure in May 2013. The loan has been deemed non-recoverable. Occupancy for this property was 93% at year-end 2014, compared to 92% at year-end 2013. A March 2015 appraisal valued the property at $16.7 million.

The remaining 11 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $34 million loss for the specially serviced loans (55% expected loss on average), not including the expected $20 loss associated with the WODRAs.

Moody's received full year 2013 and full year 2014 operating results for 100% of the pool. Moody's weighted average pool LTV is 76%, compared to 95% at Moody's last review. Moody's pool statistics exclude loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 10% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9%.

Moody's actual and stressed conduit DSCRs are 1.19X and 1.24X, respectively, compared to 1.12X and 1.09X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance.

The two performing loans represent 5% of the pool balance. The larger one is the Groves at Wimauma Apartments Loan ($2.8 million -- 4% of the pool), which is secured by a 108-unit multifamily apartment property located in Wimauma, Florida. The property was 100% occupied as of December 2014. Moody's LTV and stressed DSCR are 75% and 1.26X, respectively, compared to 79% and 1.21X at the last review.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

The analysis includes an assessment of collateral characteristics and performance to determine the expected collateral loss or a range of expected collateral losses or cash flows to the rated instruments. As a second step, Moody's estimates expected collateral losses or cash flows using a quantitative tool that takes into account credit enhancement, loss allocation and other structural features, to derive the expected loss for each rated instrument.

Moody's did not use any stress scenario simulations in its analysis.

For ratings issued on a program, series or category/class of debt, this announcement provides certain 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 certain 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 certain 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.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

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.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Kevin Li
Associate 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

Sandra Ruffin
VP - Senior Credit Officer
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 Six Classes of CSFB 2004-C3
No Related Data.
© 2022 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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