Approximately $21.9 Million of Structured Securities Affected
New York, August 18, 2016 -- Moody's Investors Service has upgraded the rating on one class,
affirmed the rating on one class, and downgraded the ratings on
two classes of Credit Suisse First Boston Mortgage Securities Corp.,
Commercial Mortgage Pass-Through Certificates, Series 2004-C1
as follows:
Cl. G, Upgraded to Baa1 (sf); previously on Oct 9,
2015 Affirmed Ba1 (sf)
Cl. H, Downgraded to Ca (sf); previously on Oct 9,
2015 Affirmed Caa2 (sf)
Cl. A-X, Downgraded to Caa3 (sf); previously
on Oct 9, 2015 Affirmed Caa2 (sf)
Cl. A-Y, Affirmed Aaa (sf); previously on Oct
9, 2015 Affirmed Aaa (sf)
RATINGS RATIONALE
The rating on Class G was upgraded based primarily on an increase in credit
support resulting from loan paydowns and amortization. The deal
has paid down 58% since Moody's last review.
The rating on Class H was downgraded due to an increase in realized losses.
Class H has already experienced a 53% realized loss as result of
previously liquidated loans.
The rating one IO class, Class A-X, was downgraded
due to the decline in the credit performance of its referenced classes
resulting from principal paydowns of higher quality referenced classes.
The rating one IO class, Class A-Y, was affirmed based
on the credit performance (or the weighted average rating factor or WARF)
of the referenced loans.
Moody's rating action reflects a base expected loss of 0% of the
current balance, compared to 22.7% at Moody's
last review. Moody's does not anticipate losses from the
remaining collateral in the current environment. However,
over the remaining life of the transaction, losses may emerge from
macro stresses to the environment and changes in collateral performance.
Our ratings reflect the potential for future losses under varying levels
of stress. Moody's base expected loss plus realized losses is now
4.3% of the original pooled balance, compared to 3.9%
at the 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, loan concentration, an increase
in realized and expected losses from specially serviced and troubled loans
or interest shortfalls.
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.
DESCRIPTION OF MODELS USED
Moody's uses a variation of Herf to measure the diversity of loan
sizes, 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 4,
compared to 3 at last review.
Moody's analysis 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. Moody's also further adjusts
these aggregated proceeds for any pooling benefits associated with loan
level diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the August 17, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $21.8
million from $1.62 billion at securitization. The
certificates are collateralized by 10 mortgage loans ranging in size from
less than 1% to 37% of the pool. Two loans,
constituting 8.8% of the pool, have investment-grade
structured credit assessments. One loan, constituting 17.4%
of the pool, has defeased and is secured by US government securities.
Three loans, constituting 41% of the pool, are 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-one loans have been liquidated from the pool, resulting
in an aggregate realized loss of $70.4 million (for an average
loss severity of 59%). No loans are currently in special
servicing.
Moody's received full year 2015 operating results for 88% of the
pool and full year 2014 operating results for 100% of the pool.
Moody's weighted average conduit LTV is 64%, compared to
63% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 11% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.42X and 1.99X,
respectively, compared to 1.45X and 1.93X at the last
review. Moody's actual DSCR is based on Moody's NCF and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's
NCF and a 9.25% stress rate the agency applied to the loan
balance.
The structured credit assessments are associated with two residential
cooperative loans which represent $1.9 million in total
loan balance, or a 8.8% share of the overall pool
balance. Moody's credit assessment for these loans is aaa (sca.pd).
The top three conduit loans represent 58% of the pool balance.
The largest loan is the Irving Towne Center Loan ($8.2 million
-- 37% of the pool), which is secured by a Target shadow-anchored
retail center located in Irving, Texas. Major tenants include
Tuesday Morning, Anna's Linens, and Chili's. The property
was 62% leased as of May 2016, compared to 82% leased
as of June 2015. The borrower is currently working to lease up
the vacant space. The loan fully amortizes over its term and has
amortized 30% since securitization. Moody's LTV and stressed
DSCR are 71% and 1.49X, respectively, compared
to 66% and 1.59X at the last review.
The second largest loan is the Chapel Ridge of Stillwater Phase I Loan
($2.8 million -- 13% of the pool), which
is secured by a 120-unit multifamily property located approximately
70 miles north of Oklahoma City. The property was 98% leased
as of December 2015, compared to 94% leased at last review.
Moody's LTV and stressed DSCR are 66% and 1.49X, respectively,
compared to 69% and 1.41X at the last review.
The third largest loan is the Amistad Apartments Loan ($1.6
million -- 7.4% of the pool), which is by a 76-unit
multifamily property in Donna, Texas, about 250 miles south
of San Antonio and less than ten miles north of the US-Mexico border.
The property was 96% leased as of July 2016, the same as
at the prior review. Moody's LTV and stressed DSCR are 71%
and 1.42X, respectively, compared to 74% and
1.35X at the last review.
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.
Michelle Chalker
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
