Approximately $39.0 Million of Structured Securities Affected
New York, October 15, 2015 -- Moody's Investors Service has affirmed the ratings on two classes,
upgraded the ratings on three classes and downgraded the rating on one
class in CSFB Mortgage Securities Corp., Commercial Mortgage
Pass-Through Certificates, Series 2004-C4 as follows:
Cl. D, Upgraded to Aaa (sf); previously on Oct 23,
2014 Upgraded to A1 (sf)
Cl. E, Upgraded to Aa3 (sf); previously on Oct 23,
2014 Affirmed Ba2 (sf)
Cl. F, Upgraded to B1 (sf); previously on Oct 23,
2014 Affirmed Caa3 (sf)
Cl. G, Affirmed C (sf); previously on Oct 23,
2014 Affirmed C (sf)
Cl. A-X, Downgraded to Caa3 (sf); previously
on Oct 23, 2014 Downgraded to Caa2 (sf)
Cl. A-Y, Affirmed Aaa (sf); previously on Oct
23, 2014 Affirmed Aaa (sf)
RATINGS RATIONALE
The ratings on the P&I classes, D, E and F were upgraded
based primarily on an increase in credit support resulting from loan paydowns
and amortization. The deal has paid down 24% since Moody's
last review. Additionally, defeasance has significantly increased
since prior review. Defeasance now comprises 40% of the
current pool balance, compared to 5% at the last review.
The rating on class G was affirmed because the ratings are consistent
with Moody's expected loss.
The rating on the IO class A-Y, was affirmed because the
credit performance (or the weighted average rating factor) of the referenced
loans are consistent with Moody's expectations.
The rating on the IO Class (Class A-X) was downgraded due to the
decline in the credit performance of its reference classes (or the weighted
average rating factor) resulting from principal paydowns of higher quality
reference classes.
Moody's rating action reflects a base expected loss of 3.6%
of the current balance, compared to 8.3% at Moody's
last review. Moody's base expected loss plus realized losses is
now 4.0% of the original pooled balance, compared
to 4.1% 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 RATING:
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 CMBS Large Loan/Single Borrower Transactions"
published in July 2000. Please see the Credit Policy page on www.moodys.com
for a copy of this methodology.
The Credit Rating for Credit Suisse First Boston Securities Corp.,
Commercial Pass-Through Certificates, Series 2004-C4
was assigned in accordance with Moody's existing Credit Rating Methodology
entitled "Moody's Approach to Rating CMBS Large Loan/Single
Borrower Transactions" published in July 2000. Please note
that on August 6, 2015, Moody's released a Request for
Comment, in which it has requested market feedback on potential
revisions to its Credit Rating Methodology for the Large Loan and Singe
Asset/Single Borrowers CMBS. If the revised Credit Rating Methodology
is implemented as proposed, the Credit Rating on Credit Suisse First
Boston Securities Corp., Commercial Pass-Through Certificates,
Series 2004-C4 may be positively affected. Please refer
to Moody's Request for Comment, titled "Proposed Enhancements
to Our Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" for further details regarding the implications of the proposed
Credit Rating Methodology revisions on certain Credit Ratings.
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 three,
the same as at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based
Large Loan Model and then reconciles and weights the results from the
conduit and large loan 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. 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 September 17, 2015 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $39.0
million from $1.14 billion at securitization. The
certificates are collateralized by 18 mortgage loans ranging in size from
3% to 36% of the pool, with the top ten loans constituting
60% of the pool. Eleven residential cooperative (co-op)
loans, representing 34% of the pool, have aaa (sca.pd)
structured credit assessments. Ten loans are located in New York
and one in New Jersey. Of these ten loans, one is interest-only,
three have balloon payments, and seven are fully amortizing.
Three loans, constituting 40% of the pool, have defeased
and are secured by US government securities.
Two loans, constituting 14% 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.
Fourteen loans have been liquidated from the pool, resulting in
an aggregate realized loss of $44 million (for an average loss
severity of 26%). No loans are currently in special servicing.
Moody's has assumed a high default probability for one poorly performing
loan, constituting 13% of the pool, and has estimated
an aggregate loss of $1.4 million (28% expected loss
based on a 75% probability default) from this troubled loan.
Moody's received full year 2014 operating results for 72% of the
pool. Moody's weighted average conduit LTV is 47%,
compared to 59% 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 25% to the most recently available net operating income (NOI).
Moody's value reflects a weighted average capitalization rate of
9.1%.
Moody's actual and stressed conduit DSCRs are 1.42X and 3.02X,
respectively, compared to 1.43X and 2.17X 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 top three conduit loans represent 23% of the pool balance.
The largest loan is the Marina Gate Shopping Center Loan ($5.1
million -- 13.2% of the pool), which is secured
by an 81,250 SF unanchored retail shopping center located in Webster,
Texas. As of March 2015, the property was 54% leased,
the same as at last review. The loan transferred to special servicing
in June 2014 due to imminent monetary default. The loan was subsequently
modified and returned to the master servicer in May 2015. The modification
extended the maturity to October 2015, with a one-time extension
option to extend to April 2016. Moody's has identified this
loan as troubled.
The second largest loan is the ATYS Industrial Building Loan ($2.8
million -- 7.3% of the pool), which is secured
by 98,150 SF industrial building located in Centerville, Tennessee.
The property is 100% leased to Agrana Fruit US, Inc.,
through a triple net lease, which expires in February 2019.
Due to the single tenant exposure, Moody's stressed the value
of this property utilizing a lit/dark analysis. Moody's LTV and
stressed DSCR are 67% and 1.45X, respectively,
compared to 70% and 1.39X at the last review.
The third largest loan is the Diamond Bar Plaza Loan ($1.1
million -- 2.9% of the pool), which is secured
by a 36,450 SF retail center located in Diamond Bar, California.
As of December 2013, the property was 87% occupied,
compared to 82% the prior year. This loan is fully amortizing.
Moody's LTV and stressed DSCR are 26% and 3.95X, respectively,
compared to 31% and 3.29X 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 rating action on the support provider and in relation to each particular
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 rating action, and
whose ratings may change as a result of this 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.
Benjamin Abrams
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
Keith Banhazl
Senior Vice President/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
Moody's Upgrades Three, Affirms Two and Downgrades One Class of CSFB 2004-C4
