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Rating Action:

Moody's Affirms Six Classes of CSFB 2004-C3

30 Jun 2016

Approximately $82 Million of Structured Securities Affected

New York, June 30, 2016 -- Moody's Investors Service has affirmed the ratings on six classes in CSFB Mortgage Securities Corp. Commercial Mortage Pass-Through Certificates, Series 2004-C3 as follows:

Cl. C, Affirmed Ba3 (sf); previously on Jul 23, 2015 Affirmed Ba3 (sf)

Cl. D, Affirmed Caa2 (sf); previously on Jul 23, 2015 Affirmed Caa2 (sf)

Cl. E, Affirmed C (sf); previously on Jul 23, 2015 Affirmed C (sf)

Cl. F, Affirmed C (sf); previously on Jul 23, 2015 Affirmed C (sf)

Cl. G, Affirmed C (sf); previously on Jul 23, 2015 Affirmed C (sf)

Cl. A-X, Affirmed Caa3 (sf); previously on Jul 23, 2015 Affirmed Caa3 (sf)

RATINGS RATIONALE

The rating on 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.

The rating on the IO Class, Class A-X, 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 62.8% of the current certificate balance. Moody's base expected loss plus realized losses is now 8.7% of the original pooled balance, compared to 8.8% 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 RATINGS:

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, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls, an increase in certificate under-collateralization or suspension of interest or principal distribution.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Please see the Ratings Methodologies 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 remaining loans by balance are in special servicing and performing loans only represent 4% of the pooled loan balance. Additionally, the deal is under-collateralized by $21 million, which Moody's has assumed as an additional loss to the certificates. 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 and property type. 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 6 compared to 7 as at Moody's last review.

DEAL PERFORMANCE

As of the June 17, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 95% to $82.3 million from $1.64 billion at securitization. The certificates are collateralized by 13 mortgage loans with an aggregate principal balance of $61.2 million. The transaction is now under-collateralized as the aggregate certificate balance has become $21 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 under-collateralization as a delayed loss of principal to the trust. One loan, constituting less than 1% of the pool, has defeased and is secured by US government securities.

There are no loans 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-five loans have been liquidated from the pool, resulting in an aggregate realized loss of $91 million (for an average loss severity of 39%). Eleven loans, constituting 95% of the pooled loan balance, are currently in special servicing. The largest specially serviced loan is The Tower at Northwoods Loan ($17.2 million), which is secured by a 184,616 square foot (SF) office property located in Danvers, MA, 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.

The remaining 10 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $31 million loss for the specially serviced loans (53% expected loss on average). Moody's has assumed an additional $21 million loss due to the under-collateralization of the certificates.

The one performing non-defeased loan is The Groves at Wimauma Apartments Loan ($2.7 million), which is secured by a 108-unit multifamily apartment property located in Wimauma, Florida. The property was 100% leased as of December 2014. Moody's LTV and stressed DSCR are 74% and 1.29X, respectively, compared to 75% and 1.26X at the last review. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance.

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 credit rating action on the support provider and in relation to each particular credit 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 credit rating action, and whose ratings may change as a result of this credit 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.

Stephen L Renna
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

Matthew Halpern
AVP-Analyst/Manager
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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