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02 Sep 2010
Approximately $24.4 million of Structured Securities Affected
New York, September 02, 2010 -- Moody's Investors Service (Moody's) downgraded the ratings of four classes
and affirmed one class of Credit Suisse First Boston Mortgage Securities
Corp. Commercial Mortgage Pass-Through Certificates,
Series 2001-FL2. Moody's rating action is as follows:
US$5.76M Cl. J Certificate, Downgraded to C
(sf); previously on Nov 22, 2004 Downgraded to B1 (sf)
US$5.88M Cl. K Certificate, Downgraded to C
(sf); previously on Jan 26, 2006 Downgraded to Caa1 (sf)
US$4.90M Cl. L Certificate, Downgraded to C
(sf); previously on Jan 26, 2006 Downgraded to Caa3 (sf)
US$5.88M Cl. M Certificate, Downgraded to C
(sf); previously on Jan 26, 2006 Downgraded to Ca (sf)
US$1.96M Cl. N Certificate, Affirmed at C (sf);
previously on Nov 22, 2004 Downgraded to C (sf)
The downgrades are due to the continued poor performance of the single
remaining asset in the trust (Hotel Royal Plaza) and higher expected losses.
The loan was transferred to special servicing in 2001 and has been REO
since 2005. A current appraisal report has valued the property
at $28.7 million and the trust amount is $35 million.
As of August, 17, 2010, the interest shortfalls and
servicer advances total $24.2 million. The affirmation
is due to the rating being in-line with loss expectations.
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 previous 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 2010
and 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 rating Credit Suisse First Boston,
Series 2001-FL2 is "Moody's Approach to Rating Large Loan/Single
Borrower Transactions" rating methodology published in July 2000.
Other methodologies and factors that may have been considered in the process
of rating this issuer can also be found on Moody's website.
Moody's review incorporated the use of the excel-based Large
Loan Model v 8.0. 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 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 3, 2009. The
previous review was part of Moody's first quarter 2009 ratings sweep
and incorporated assumptions for capitalization rates and stressed cash
flows that were outlined in "Rating Methodology Update: US
CMBS Conduit and Fusion Review Prompted by Declining Property Values and
Rising Delinquencies" dated February 5, 2009. 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 received and took into account one or
more third party due diligence reports on the underlying assets or financial
instruments in this transaction and the due diligence reports had a neutral
impact on the rating.
As of the August 17, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $35
million from $619 million at securitization as the result of the
payoff of 30 loans originally in the pool. The Certificates are
now collateralized by a single mortgage loan.
The pool has experienced $16.6 million of losses since securitization.
As of August 17, 2010, servicer advances total $12.0
The remaining loan in the pool is Hotel Royal Plaza, a 394 room
full service hotel located in Lake Buena Vista, Florida.
The property went into special servicing in November of 2001 and has been
Real Estate Owned (REO) since September 2005. The hotel has a negative
net cash flow for the first six months of 2010. The February 2010
appraisal has valued the asset at $28.7 million.
The special servicer's expected resolution date for the loan is December
Moody's weighted average pooled loan to value ("LTV") ratio is over 100%
similar to last review.
As of August 17, 2010, cumulative unpaid interest totaled
$12.2 million, resulting in interest shortfalls to
Classes J through non-rated Class O. In general, interest
shortfalls are caused by trust expenses associated with specially serviced
loans, including special servicing fees, legal expenses and
other expenses associated with the resolution of a loan. Interest
shortfalls can also result when the servicer only advances a portion of
the monthly principal and interest ("P&I") payment for a specially
serviced loan because of a decline in the value of the underlying property
(based on an appraisal reduction determination), or the servicer
recovers previous P&I over-advances prior to a loan being liquidated.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's
investors Service information.
Moody's considers the quality of information available on the issuer
or obligation satisfactory for the purposes of maintaining a credit rating.
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.
Moody's Investors Service adopts all necessary measures so that the information
it uses in assigning a credit rating is of sufficient quality and from
reliable sources; however, Moody's Investors Service does not
and cannot in every instance independently verify, audit 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.
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
Andrea M. Daniels
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's Downgrades Four CMBS Classes of CSFB 2001-FL2
250 Greenwich Street
New York, NY 10007
No Related Data.
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