Approximately $29.2 Million of Structured Securities Affected
New York, September 16, 2010 -- Moody's Investors Service (Moody's) upgraded one and affirmed three classes
of Credit Suisse First Boston Mortgage Securities Corp.,
Commercial Mortgage Pass-Through Certificates, Series 1999-C1
Cl. A-X, Affirmed at Aaa (sf); previously on
Nov 10, 1999 Definitive Rating Assigned Aaa (sf)
Cl. E, Upgraded to Aaa (sf); previously on Sep 25,
2008 Upgraded to Aa1 (sf)
Cl. F, Affirmed at A1 (sf); previously on Sep 25,
2008 Upgraded to A1 (sf)
Cl. L, Affirmed at C (sf); previously on May 4,
2006 Downgraded to C (sf)
The upgrade is due to increased credit enhancement due to loan payoffs
and amortization. The pool has paid down by 87% since Moody's
last full review. 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 and a significant increas in credit
enhancement. Based on our current base expected loss, the
credit enhancement levels for the affirmed classes are sufficient to maintain
the current ratings.
Moody's rating action reflects a cumulative base expected loss of
39.2% of the current balance. At last review,
Moody's cumulative base expected loss was 1.8%.
Moody's stressed scenario loss is 44.1% 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
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. The pool
has significant refinancing risk as seven loans, representing 65%
of the pool, have either passed their anticipated repayment dates
(ARD) or mature within the next six months.
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 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 methodologies used in rating Credit Suisse First Boston
Mortgage Securities Corp., Commercial Mortgage Pass-Through
Certificates, Series 1999-C1 were "CMBS: Moody's Approach
to Conduit Transactions" published in September 2000 and "Moody's Approach
to Rating Large Loan/Single Borrower Transactions" 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. 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
underlying ratings 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 underlying ratings in the same
In cases where the Herf falls below 20, Moody's also employs
the large loan/single borrower methodology. This methodology uses
the excel-based Large Loan Model v 8.0 and then reconciles
and weights the results from the two models in formulating a rating recommendation.
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.
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 October 3, 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 6 months.
As of the August 17, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 91% to $108.22
million from $1.17 billion at securitization. The
Certificates are collateralized by 12 mortgage loans ranging in size from
less than 1% to 40% of the pool, with the top three
loans representing 76% of the pool. The pool includes a
credit tenant lease (CTL) component which comprises 28% of the
pool. The pool does not contain any defeased loans or loans with
underlying ratings. Defeasance at last review full represented
33% of the pool.
Four loans, representing 37% 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
Twenty-eight loans have been liquidated from the pool, resulting
in an aggregate realized loss of $48.07 million (27%
loss severity). Two loans, representing 41% of the
pool, are currently in special servicing. The largest specially
serviced loan is the Tallahassee Mall Loan ($42.9 million
-- 39.7% of the pool), which is secured by a
leasehold interest in a 973,973 square foot mall located in Tallahassee,
Florida. The loan was transferred to special servicing in September
2008 due to imminent default and is currently in the process of foreclosure.
The second specially serviced loan is secured by a multifamily property
located in Memphis, Tennessee. Moody's has estimated
an aggregate $41.0 million loss (91% expected loss
on average) for the specially serviced loans. The master servicer
has recognized an aggregate $38.9 million appraisal reduction
for both specially serviced loans.
Based on the most recent remittance statement, Classes G through
O have experienced cumulative interest shortfalls totaling $8.2
million. Moody's anticipates that the pool will continue to experience
interest shortfalls because of the high exposure to specially serviced
loans. Interest shortfalls are caused by special servicing fees,
including workout and liquidation fees, appraisal subordinate entitlement
reductions (ASERs), extraordinary trust expenses and non-advancing
by the master servicer based on a determination of non-recoverability.
The master servicer has made a determination of non-recoverability
for the largest loan in special servicing and is no longing advancing
for this loan.
Moody's was provided with full year 2009 and partial year 2010 operating
results for 97% and 43% of the non-defeased performing
pool, respectively. Excluding specially serviced and troubled
loans, Moody's weighted average LTV is 85% compared
to 82% at Moody's prior review. Moody's net
cash flow reflects a weighted average haircut of 8.7% to
the most recently available net operating income. Moody's
value reflects a weighted average capitalization rate of 10.0%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.11X and 1.45X, respectively,
compared to 1.30X and 1.45X 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
risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. The pool has a Herf of 4 compared
to 36 at Moody's prior full review. The decline in Herf has
been partially offset by increased credit support due to loan payoffs
and amortization. The pool has paid down 87% since Moody's
last full review.
The top three performing conduit loans represent 20% of the pool
balance. The largest loan is the Easton Commons Plaza Shopping
Center Loan ($8.6 million -- 7.9% of
the pool), which is secured by a 168,922 square foot retail
property located in Houston, Texas. The loan has amortized
5% since last review. The loan has passed its September
2009 ARD and is current. Moody's LTV and stressed DSCR are
88% and 1.23X, respectively, compared to 84%
and 1.28X at last review.
The second largest loan is the 34 Maple Avenue Loan ($8.4
million -- 7.7% of the pool), which is secured
by a two-story 129,293 square foot office property located
in Parsippany, New Jersey. The loan has amortized 9%
since last review. The loan has passed its March 2009 ARD and is
current. Property performance has declined due to decreased rental
income. Moody's valuation is based on a stressed net cash
flow due to concerns with the property's near-term lease
rollover exposure and a soft local office market. Moody's
LTV and stressed DSCR are 96% and 1.13X, respectively,
compared to 81% and 1.33X at last review.
The third largest loan is the Park Glen West Business Ctr Loan ($4.8
million -- 4.4% of the pool), which is secured
by a 127,336 square foot industrial property located in St.
Louis Park, Minnesota. Property performance has declined
since last review due to increased vacancy. The loan has amortized
6% since last review. Moody's LTV and stressed DSCR
are 84% and 1.36X, respectively, compared to
77% and 1.45X at last review.
The CTL component ($30.3 million -- 28.0%)
consists of two cross-collateralized loans secured by a bondable
lease to Accor SA. The collateral consists of 11 Motel 6 hotels
totaling 1,224 rooms and located in five states. Property
performance has declined since last review as the hotel has been impacted
by the downturn in the tourism industry. On July 2, 2010,
Moody's withdrew Accor SA's Prime-3 commercial paper
rating due to business reasons. The last rating action on Accor
SA occurred in September 2009, when Moody's changed the outlook
on Accor's Prime-3 rating to negative from stable. For the
purpose of rating this component of the subject transaction, Moody's
developed an internal view of the credit quality of the company.
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
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.
Structured Finance Group
Moody's Investors Service
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's Upgrades One and Affirms Three CMBS Classes of CSFB 1999-C1
250 Greenwich Street
New York, NY 10007