Approximately $120.95 Million of Structured Securities Affected
New York, February 03, 2011 -- Moody's Investors Service (Moody's) downgraded the ratings of six classes
and affirmed five classes of Credit Suisse First Boston Mortgage Securities
Corp. Commercial Mortgage Pass-Through Certificates,
Series 2001-CK6 as follows:
Cl. E, Affirmed at Aa3 (sf); previously on Sep 12,
2007 Upgraded to Aa3 (sf)
Cl. F, Affirmed at A1 (sf); previously on Sep 12,
2007 Upgraded to A1 (sf)
Cl. G, Affirmed at A3 (sf); previously on Sep 12,
2007 Upgraded to A3 (sf)
Cl. H, Affirmed at Baa2 (sf); previously on Sep 12,
2007 Upgraded to Baa2 (sf)
Cl. J, Affirmed at Baa3 (sf); previously on Sep 12,
2007 Upgraded to Baa3 (sf)
Cl. K, Downgraded to Ba3 (sf); previously on Dec 21,
2001 Definitive Rating Assigned Ba2 (sf)
Cl. L, Downgraded to Caa1 (sf); previously on Dec 21,
2001 Definitive Rating Assigned Ba3 (sf)
Cl. M, Downgraded to Ca (sf); previously on Mar 11,
2009 Downgraded to B2 (sf)
Cl. N, Downgraded to C (sf); previously on Mar 11,
2009 Downgraded to B3 (sf)
Cl. O, Downgraded to C (sf); previously on Mar 11,
2009 Downgraded to Caa1 (sf)
Cl. P, Downgraded to C (sf); previously on Mar 11,
2009 Downgraded to Ca (sf)
RATINGS RATIONALE
Moody's rating action did not address the ratings of Classes A3,
B, C, D, and A-X, which are all currently
rated Aaa, 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 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 5.5%
of the current balance. At last full review, Moody's cumulative
base expected loss was 2.8%. Moody's stressed scenario
loss is 9.5% 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 rating CSFB 2001-CK6 was "CMBS:
Moody's Approach to Rating Conduit Transactions" published in September
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.
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 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 underlying rating 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 underlying rating 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 26
compared to 50 at Moody's prior full 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 September 12, 2007.
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 January 18, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 32% to $670
million from $986 million at securitization. The Certificates
are collateralized by 106 mortgage loans ranging in size from less than
1% to 9.6% of the pool, with the top ten loans
representing 38% of the pool. Twenty-two loans,
representing 24% of the pool, have defeased and are collateralized
with U.S. Government securities, compared to 26%
at last review.
Twenty-one loans, representing 25% 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 loans have been liquidated from the pool since securitization,
resulting in an aggregate $9 million loss (41% loss severity
on average). At last review the pool had realized an aggregate
$7.7 million loss. Currently eight loans, representing
6% of the pool, are in special servicing. The master
servicer has recognized an aggregate $20 million appraisal reduction
for the specially serviced loans. Moody's has estimated an aggregate
loss of $22.4 million (59% expected loss on average)
for all of the specially serviced loans.
Moody's has assumed a high default probability for nine poorly performing
loans representing 5% of the pool and has estimated a $6.9
million loss (21% expected loss based on a 61% probability
default) from these troubled loans.
Moody's was provided with full year 2009 and partial year 2010 operating
results for 99% and 37% of the performing pool, respectively.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 83% compared to 89% at last full review.
Moody's net cash flow reflects a weighted average haircut of 12%
to the most recently available net operating income. Moody's value
reflects a weighted average capitalization rate of 9.8%.
Excluding specially serviced and troubled loans, Moody's actual
DSCRs is 1.31X compared to 1.20X at last full 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 performing conduit loans represent 19.7% of
the pool balance. The largest loan is the Avalon Pavilions Loan
($64.1 million -- 9.6% of the pool),
which is secured by a 932-unit multifamily property located in
Manchester, Connecticut. The loan is amortizing on a 360-month
schedule maturing in August 2011. The loan has amortized 3%
since last full review. Property performance has been stable but
the loan is currently on the master servicer's watchlist due to low DSCR.
Moody's LTV and stressed DSCR are 96% and 1.04X, respectively,
compared to 96% and 1.05X at last full review.
The second largest loan is the Washington Design Center Loan ($43.4
million -- 6.5% of the pool), which is secured
by a 357,518 SF mixed use building located in Washington,
DC. The loan is amortizing on a 360-month schedule maturing
in November 2011. The loan has amortized 3% since last full
review. The property was 87% leased as of October 2010 compared
to 96% at last review. Moody's LTV and stressed DSCR are
75% and 1.52X, respectively, compared to 77%
and 1.44X at last full review.
The third largest loan is the Rockland Center Loan ($24.6
million -- 3.7% of the pool), which is secured
by a 259,244 SF retail community center located in Nanuet,
New York. Although property performance has been relatively stable,
the loan is on the master servicer's watchlist due to the uncertainty
around the status of Pathmark, the property's largest tenant.
Pathmark is a subsidiary of A&P which filed for bankruptcy on December
13, 2010. A&P has announced plans to close 25 stores.
The loan is amortizing on a 360-month schedule maturing in November
2011. The loan has amortized 3% since last full review.
Moody's LTV and stressed DSCR are 100% and 1.03X,
respectively, compared to 103% and 1X 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 purposes 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
Caroline Chan
Associate 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 Downgrades Six and Affirms Five CMBS Classes of CSFB 2001-CK6
