Approximately $12 Million of Structured Securities Affected
New York, February 09, 2018 -- Moody's Investors Service, ("Moody's") has
upgraded the rating on one class and affirmed the ratings on two classes
in Credit Suisse First Boston Mortgage Securities Corp. Commercial
Mortgage Pass-Through Certificates, Series 2003-C4,
as follows:
Cl. K, Affirmed Aaa (sf); previously on Aug 3,
2017 Affirmed Aaa (sf)
Cl. L, Upgraded to Ba1 (sf); previously on Aug 3,
2017 Affirmed B3 (sf)
Cl. A-X, Affirmed C (sf); previously on Aug 3,
2017 Affirmed C (sf)
RATINGS RATIONALE
The rating on one P&I class was upgraded primarily due to an increase
in credit support since Moody's last review, resulting from
paydowns and amortization, as well as a significant increase in
defeasance. The pool has paid down by 26% since Moody's
last review. In addition, loans constituting 78% of
the pool have defeased, up from 62% at the last review.
The rating on one P&I class was affirmed because the transaction's
key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on one IO class was affirmed based on the credit quality of
the referenced classes.
Moody's rating action reflects a base expected loss of 0% of the
current pooled balance, the same as at Moody's last review.
Moody's base expected loss plus realized losses is now 2.8%
of the original pooled balance, compared to 2.7% 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.
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.
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 July 2017. The methodologies used in rating Cl.
A-X were "Moody's Approach to Rating Large Loan and
Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's
Approach to Rating Structured Finance Interest-Only (IO) Securities"
published in June 2017. Please see the Rating Methodologies page
on www.moodys.com for a copy of these methodologies.
DEAL PERFORMANCE
As of the January 18, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $14.4
million from $1.34 billion at securitization. The
certificates are collateralized by five mortgage loans ranging in size
from less than 1% to 53% of the pool. Four loans,
constituting 78% of the pool, have defeased and are secured
by US government securities.
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 one,
compared to a Herf of two at Moody's last review.
Thirty-two loans have been liquidated from the pool, resulting
in or contributing to an aggregate realized loss of $37.8
million (for an average loss severity of 25%).
Moody's received full year 2016 and partial year 2017 operating results
for the one non-defeased loan in the pool.
The conduit loan represents 21.5% of the pool balance.
The largest loan is the Pemstar, Inc. Headquarters Loan ($3.1
million -- 21.5% of the pool), which is secured
by a 260,000 square foot office/industrial property approximately
one hour south of Minneapolis in Rochester, Minnesota. In
2007, Benchmark Electronics acquired Pemstar, Inc.
and the property is now 100% occupied by Benchmark. The
loan is fully amortizing and performance has been stable. Due to
the single tenant nature of this loan, a lit/dark analysis was incorporated
in the analysis. Moody's LTV and stressed DSCR are 31% and
3.47X, respectively, compared to 30% and 3.65X
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.
Christopher Bergman
Associate Lead Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Gregory Reed
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
