Approximately $106.5 Million of Structured Securities Affected
New York, February 03, 2011 -- Moody's Investors Service (Moody's) affirmed the ratings of six classes
and downgraded two classes of Credit Suisse First Boston Commercial Mortgage
Corp., Commercial Mortgage Pass-Through Certificates,
Series 2002-CKP1 as follows:
Cl. E Certificate, Affirmed at Aa3 (sf); previously
on Mar 18, 2010 Downgraded to Aa3 (sf).
Cl. F Certificate, Affirmed at A3 (sf); previously on
Mar 18, 2010 Downgraded to A3 (sf)
Cl. G Certificate, Affirmed at Baa2 (sf); previously
on Mar 18, 2010 Downgraded to Baa2 (sf)
Cl. H Certificate, Affirmed at Ba2 (sf); previously
on Mar 18, 2010 Downgraded to Ba2 (sf)
Cl. K-Z Certificate, Downgraded to Caa2 (sf);
previously on Mar 18, 2010 Downgraded to B3 (sf)
Cl. L Certificate, Downgraded to Ca (sf); previously
on Mar 18, 2010 Downgraded to Caa3 (sf)
Cl. M Certificate, Affirmed at C (sf); previously on
Mar 18, 2010 Downgraded to C (sf)
Cl. N Certificate, Affirmed at C (sf); previously on
Mar 18, 2010 Downgraded to C (sf)
RATINGS RATIONALE
Moody's rating action did not address the ratings of Classes A3,
B, C, D, and AX, which are all currently rated
Aaa or Aa1, on review for possible downgrade. These classes
were placed on review on January 19, 2011. KeyCorp Real Estate
Capital Markets, Inc. (KRECM) is a primary 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 downgrades are due to higher expected losses for the pool resulting
from realized and anticipated losses from specially serviced and troubled
loans.
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
their current ratings.
Moody's rating action reflects a cumulative base expected loss of
4.5% of the current balance. At last review,
Moody's cumulative base expected loss was 5.5%.
Moody's stressed scenario loss is 7.7% 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 stressed macroeconomic
environment and continuing weakness in the commercial real estate and
lending markets. Moody's currently views the commercial real
estate market as stressed with further performance declines expected in
the industrial, office, and retail sectors. Hotel performance
has begun to rebound, albeit off a very weak base. Multifamily
has also begun to rebound reflecting an improved supply / demand relationship.
The availability of debt capital is improving with terms returning towards
market norms. Job growth and housing price stability will be necessary
precursors to commercial real estate recovery. Overall, Moody's
central global scenario remains "hook-shaped" for 2011;
we expect overall a sluggish recovery in most of the world's largest
economies, returning to trend growth rate with elevated fiscal deficits
and persistent unemployment levels.
The principal methodology used in this rating was "CMBS: Moody's
Approach to Rating Conduit Transactions" published in September 2000.
In addition to methodologies and research available on moodys.com,
Moody's publishes a weekly summary of structured finance credit,
ratings and methodologies, available to all registered users of
our website, at www.moodys.com/SFQuickCheck.
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 paydown 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
credit estimates 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 credit estimate 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 27
compared to 29 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 March 22, 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 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 December 17, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 23% to $768
million from $992.9 million at securitization. The
Certificates are collateralized by 134 mortgage loans ranging in size
from less than 1% to 8% of the pool, with the top
ten non-defeased loans representing 40% of the pool.
Twenty-six loans, representing 23% of the pool,
have defeased and are secured by U.S. Government securities.
Defeasance at last review represented 22% of the pool.
Thirty-six loans, representing 30% 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.
Twenty-one loans have been liquidated from the pool, resulting
in an aggregate realized loss of $38.7 million (49%
loss severity on average). The pool had experienced an aggregate
loss of $23.5 million at last review. Four loans,
representing 4% of the pool, are currently in special servicing.
The largest specially serviced loan is the Chaparral Apartments Loan ($15.5
million -- 2.0% of the pool), which is secured
by a 444-unit apartment complex located in Largo, Florida.
The loan was transferred to special servicing in October 2010 for payment
default and is now 90+ days delinquent. The remaining three
specially serviced loans are secured by a mix of multifamily and retail
properties. Moody's has estimated a $16.1 million
aggregate loss for the four specially serviced loans (47% loss
severity on average).
Moody's has assumed a high default probability on nine troubled loans,
representing 3% of the pool. These loans mature within the
next 36 months and have a Moody's stressed DSCR less than 1.0X.
Moody's has estimated a $3.8 million aggregate loss on these
loans (15% loss severity on average).
Moody's was provided with year-end 2009 for 97% of the pool.
Moody's weighted average LTV for the conduit pool, excluding specially
serviced and troubled loans, is 73% compared to 79%
at the prior full review. Moody's net cash flow reflects
a weighted average haircut of 11% to the most recently available
net operating income. Moody's value reflects a weighted average
capitalization rate of 9.6%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.45X and 1.51X, respectively,
compared to 1.30X and 1.33X 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 loans represent 20% of the pool. The largest
loan is the Metroplex West Loan ($58.5 million --
7.6% of the pool), which is secured by the borrower's
interest in a 477,000 square foot retail center located in Plymouth
Meeting, Pennsylvania. The center is anchored by Target and
Lowe's, both of which own their respective buildings and are not
part of the collateral. As of October 2010, the property
was 100% leased, the same last review and securitization.
Property performance has increased since the last review due to rent steps
on existing long term tenants. Moody's LTV and stressed DSCR are
69% and 1.48X, respectively, compared to 77%
and 1.33X at last review.
The second largest loan is the 300 M Street Office Building Loan ($47.3
million -- 6.2% of the pool), which is secured
by a 280,000 square foot Class A office building located in Washington,
D.C. As of June 2010 the property was 100% leased,
the same as last review. The largest tenants are Northrop Grumman,
URS Federal Technical Services, and Allon Science and Technology
(total of 68% of the NRA). All of these tenants leases are
scheduled to expire in 2011 but early indications are that the tenants
will renew. Moody's analysis reflects a stressed cash flow due
to our concerns about the property's significant lease rollover in 2011.
Moody's LTV and stressed DSCR are 75% and 1.40X, respectively,
compared to 77% and 1.37X at last review.
The third largest loan is The Shops at Deerfield Square Loan ($44.8
million -- 5.8% of the pool), which
is secured by a mixed-use property that includes 170,000
square feet of retail and 67,000 square feet of office space located
in Deerfield, Illinois. The property was 100% leased
as of October 2010, the same as last review. Moody's LTV
and stressed DSCR are 85% and 1.15X, respectively,
compared to 90% and 1.08X 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.
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
Amit Rustgi
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 Six and Downgrades Two CMBS Classes of CSFB 2002-CKP1
