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Rating Action:

Moody's Confirms Three CMBS Classes, Affirms Seven Classes and Downgrades Seven Classes of CSFB 2003-CK2

25 Feb 2010

Approximately $678.4 Million of Structured Securities Affected

New York, February 25, 2010 -- Moody's Investors Service (Moody's) confirmed the ratings of three classes, affirmed seven classes and downgraded six pooled classes and one non-pooled class of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2003-CK2. The downgrades of the pooled classes are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and watchlisted loans and concerns about loans approaching maturity in an adverse environment. Sixty-one loans, representing 69% of the non-defeased pool, mature within the next 36 months. Thirteen of these loans, representing 11% of the non-defeased pool, have a Moody's stressed debt service coverage (DSCR) less than 1.0X.

Class GLC is a non-pooled, or rake, class supported by a B-note on Great Lakes Crossing, a 1.1 million square foot shopping center located in Auburn Hills, Michigan. This class was downgraded due to a decline in the center's performance.

The confirmations and affirmations are due to key rating parameters, including Moody's loan to value (LTV) ratio and stressed DSCR remaining within acceptable ranges. Although loan diversity, as measured by the Herfindahl Index (Herf) has declined since last review, this is offset by a significant increase in subordination from paydowns and loan amortization.

On February 17, 2010 Moody's placed ten classes of this transaction on review for possible downgrade due to potential losses from specially serviced and other poorly performing loans. This action concludes our review of this transaction. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions.

As of the January 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 31% to $678.4 million from $988.2 million at securitization. The Certificates are collateralized by 81 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten non-defeased loans representing 42% of the pool. Ten loans, representing 19% of the pool, have defeased and are secured by U.S. Government securities. At last review, the Great Lakes Crossing Loan had an investment grade underlying rating. Due to a decline in property performance this loan no longer has an underlying rating and is analyzed as part of the conduit pool.

Thirteen loans, representing 10% 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 Commercial Mortgage Securities Association's (CMSA) 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.

Six loans have been liquidated from the trust, resulting in an aggregate $8.1 million loss (40% severity on average). There are four loans, representing 10% of the pool, currently in special servicing. The largest specially serviced loan is the 2300 Imperial Building Loan ($26.5 million -- 3.9% of the pool), which is secured by a 157,225 square foot office building located in El Segundo, California. The loan was transferred to special servicing in November 2009 due to payment default. The property was 48% leased as of September 2009.

The second largest specially serviced loan is the Michigan Commercial Portfolio Loan ($25.5 million -- 3.7% of the pool), which is secured by a portfolio of 16 Class B office buildings and one retail building, all located in and around Lansing, Michigan. The loan was transferred to special servicing in May 2008 due to imminent monetary default and is now 90+ days delinquent. The property was 77% leased as of June 2009.

The remaining two specially serviced loans are secured by office and retail properties. Moody's estimates a $30.3 million aggregate loss for the specially serviced loans (47% loss severity on average).

In addition to recognizing losses from specially serviced loans, Moody's has assumed a high default probability on four loans (3.2% of the pool) that are currently on the servicer's watch list and one loan (3.5% of the pool) with significant refinance risk. Moody's estimates a $7.3 million loss for these troubled loans (15% loss severity on average). 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 2008 and partial 2009 operating results for 85% and 86% of the non-defeased portion of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 85% compared to 91% at Moody's prior review.

Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.44X and 1.25X, respectively, compared to 1.41X and 1.15X 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.

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 the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 21 compared to 40 at last review.

The loan that previously had an underlying rating is the Great Lakes Crossing Loan ($78.1 million -- 11.5% of the pool), which represents a 59% participation interest in a $132.3 million first mortgage loan. The loan is secured by the borrower's interest in a 1.1 million square foot value oriented shopping center located approximately 30 miles north of Detroit in Auburn Hills, Michigan. The center is anchored by Burlington Coat Factory, Sports Authority, Bed Bath & Beyond, T.J. Maxx and Marshalls. The center is also encumbered by a B-note which is the security for the non-pooled Class GLC. As of October 2009, the center was 82% leased compared to 86% at last review and 91% at securitization. Occupancy, tenant sales and property performance have all exhibited downward trends since last review and securitization. The decline in performance has resulted in increased leverage and the loan no longer has an underlying rating. Moody's LTV and stressed DSCR for the A-note are 82% and 1.23X, respectively, compared to 69% and 2.54X at last review.

The three largest performing conduit loans represent 23% of the pool. The largest conduit loan is the Museum Square Loan ($51.3 million -- 7.5% of the pool), which is secured by a 522,362 square foot office property located in Los Angeles, California. The property was 89% leased as of October 2009. Performance has improved since last review due to increased revenues, stable expenses and amortization. The loan has amortized by 5% since last review. Moody's LTV and stressed DSCR are 74% and 1.47X, respectively, compared to 88% and 1.20X at last review.

The second largest conduit loan is the Carl Zeiss Building Loan ($25 million -- 3.7% of the pool), which is secured by a 201,620 square foot office building located in Dublin, California. The building is 100% leased to Carl Zeiss Meditec, Inc. through September 2019. The borrower did not refinance the loan on the September 2009 anticipated repayment date (ARD). Although property performance has been stable, Moody's valuation incorporates a stressed cash flow to reflect the decline in the market conditions since last review. Based on Torto Wheaton fourth quarter 2009 report for the Dublin submarket, average asking rents and vacancy were $16.33 per square foot (PSF) and 23%, respectively, compared to $21.10 PSF and 22% at least review. Moody's LTV and stressed DSCR are 119% and 0.89X, respectively, compared to 94% and 1.12X at last review.

The third largest conduit loan is the BAE Systems Building Loan ($24 million -- 3.5% of the pool), which is secured by a 133,806 square foot office building located in Reston, Virginia. The building is 100% leased to BAE Systems (BAE) through October 2012. The loan also matures in October 2012. Although property performance has been stable, Moody's valuation incorporates a stressed cash flow to reflect the decline in the market conditions since last review. Based on Torto Wheaton fourth quarter 2009 market report for the Reston submarket, average asking rents and vacancy were $27.82 PSF and 17%, respectively, compared to $29.00 PSF and 11% at least review. BAE's rent is approximately 13% above current market rent. Moody's LTV and stressed DSCR are 118% and 0.87X, respectively, compared to 100% and 1.03X at last review.

Moody's rating action is as follows:

-Class A-3, $108,342,509, affirmed at Aaa; previously on April 11, 2003 assigned Aaa

-Class A-4, $364,293,000, affirmed at Aaa; previously on April 11, 2003 assigned Aaa

-Class A-X, Notional, affirmed at Aaa; previously on April 11, 2003 assigned Aaa

-Class A-SP, Notional, affirmed at Aaa; previously on April 11, 2003 assigned Aaa

-Class B, $32,118,000, affirmed at Aaa; previously on August 2, 2006 upgraded to Aaa

-Class C, $12,353,000, affirmed at Aaa; previously on August 2, 2006 upgraded to Aaa

-Class D, $29,647,000, affirmed at Aaa; previously on December 20, 2007 upgraded to Aaa

-Class E, $12,353,000, confirmed at Aaa; previously on February 17, 2010, placed on review for possible downgrade

-Class F, $12,353,000, confirmed at Aa2; previously on February 17, 2010, placed on review for possible downgrade

-Class G, $19,764,000, confirmed at A2; previously on February 17, 2010, placed on review for possible downgrade

-Class H, $14,824,000, downgraded to Baa3 from Baa2; previously on February 17, 2010, placed on review for possible downgrade

-Class J, $17,294,000, downgraded to B1 from Ba1; previously on February 17, 2010, placed on review for possible downgrade

-Class K, $17,294,000, downgraded to Caa3 from Ba2; previously on February 17, 2010, placed on review for possible downgrade

-Class L, $4,941,000, downgraded to Ca from Ba3; previously on February 17, 2010, placed on review for possible downgrade

-Class N, $6,176,000, downgraded to C from B2; previously on February 17, 2010, placed on review for possible downgrade

-Class O, $4,941,000, downgraded to C from B3; previously on February 17, 2010, placed on review for possible downgrade

-Class GLC, $3,230,863, downgraded to Ba3 from Baa3; previously on February 17, 2010, placed on review for possible downgrade

Moody's monitors transactions on both a monthly basis through two sets of quantitative tools -- MOST® (Moody's Surveillance Trends) and CMM on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior review is summarized in a press release dated September 25, 2008.

The principal methodology used in monitoring this transaction was "CMBS: Moody's Approach to Rating U.S. Conduit Transactions" published on September 15, 2000 and is available on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this transaction can also be found in the Rating Methodologies sub-directory on Moody's website. In addition, 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.

New York
Michael M. Gerdes
Senior Vice President
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 Confirms Three CMBS Classes, Affirms Seven Classes and Downgrades Seven Classes of CSFB 2003-CK2
No Related Data.
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