Fitch Ratings takes various actions on several classes of Credit Suisse First Boston Mortgage Securities Corp., series 2005-C1. A detailed list of rating actions follows at the end of this press release.
The downgrades are the result of loss expectations and reflect Fitch's prospective views regarding commercial real estate market value and cash flow declines. Fitch forecasts potential losses of 9% for this transaction, should market conditions not recover. Today's rating actions are based on losses of 9%, as a majority of the loans mature in the next five years. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized.
To determine potential defaults for each loan Fitch assumed cash flow would decline by 10% from year-end 2008, which is consistent with the analysis used in its review of recent vintage transactions whereby cash flow was assumed to decline 15% from year-end 2007 projected over a three-year period. If the stressed cash flow would cause the loan to fall below 0.95 times (x), Fitch assumed the loan would default during the term. To determine losses, Fitch used the above stressed cash flow, and applied a market cap rate, ranging between 7.5% and 9.5%, to derive a value. If the loan balance at default is less than Fitch's derived value, the loan would realize that amount of loss. These loss estimates were reviewed in more detail for loans representing 59% of the pool and, in certain cases, revised based on additional information and/or property characteristics. Loss expectations attributed to loans reviewed in detail represent approximately 85% of the recognized losses.
Approximately 86.5% of the mortgages mature within the next five years as follows: 3.9% in 2010, 12% in 2011, 3.8% in 2012, 42.1% in 2013, and 24.7% in 2014.
Fitch identified 46 Loans of Concern (35%) within the pool, 14 of which (14%) are specially serviced. Of the specially serviced loans, one (8.4%) is current.
Losses are expected on seven (16.1%) of the loans within the Top 15: five (10.7%) are expected to default during the term, while losses on two loans (5.4%) are expected at maturity. Loss severities associated with these loans range from 6% to 75%. The largest overall contributors to deal loss are as follows: BP Multifamily Portfolio (3.4%), Rachel Bridge Apartments (2.8%), and Shoppes at Plantation Acres (0.7%).
BP Multifamily Portfolio is comprised of four cross-collateralized and cross-defaulted loans, secured by four multifamily properties located in Addison, Mesquite (two properties), and Richardson, TX. The properties consist of a total of 1,178 units, which were 92% occupied at issuance. Performance has declined since issuance with the servicer reported debt-service coverage ratio (DSCR) for the portfolio as of year-end (YE) 2008 at 1.16x and occupancy down to 77%. The loans are sponsored by Chowdary Yalamanchili, the sponsor of several smaller multifamily loans in Fitch's rated transactions that have defaulted. Fitch modeled the loan with a higher probability of default during the loan term due to declining occupancy and ongoing concerns with the sponsor and potential for future defaults and deterioration in property conditions.
Rachel Bridge Apartments is a 960 unit rent stabilized apartment complex, built in 1962 and renovated in 1992, located within the Washington Heights neighborhood in Manhattan. Performance has declined since issuance due to increased operating expenses. The loan is also a Fitch Loan of Concern due to deferred maintenance at the property and outstanding real estate taxes. Fitch expects that the loan may default at maturity as cash flow is not expected to increase to a level that would meet Fitch's refinance criteria.
Shoppes at Plantation Acres is a 57,003 square foot anchored retail center consisting of three tenants and located in Plantation, FL. The loan transferred to special servicing in February 2009 due to imminent default as a result of the major tenant, Circuit City which occupied 78% of the net rentable area (NRA), filing bankruptcy and vacating their space. The special servicer has filed foreclosure and continues ongoing forbearance discussions with the borrower who continues to market the vacant space. As of May 2009, the servicer reported debt service coverage ratio (DSCR) was 0.18x, and the property was 23% occupied. Of the remaining tenants, one occupying 12% of NRA has an upcoming lease expiration in Feburary 2010. Fitch modeled the loan with a higher probability of default during the term due to weak market, the inability to lease up the vacant space, and future tenant rollover.
Fitch downgrades, removes from Rating Watch Negative, and assigns Outlooks and LS ratings as follows:
--$92.5 million class A-J to 'AA/LS4' from 'AAA'; Outlook Stable;
--$43.4 million class B to 'BBB-/LS5' from 'AA'; Outlook Stable;
--$13.2 million class C to 'BB/LS5' from 'AA-'; Outlook Stable;
--$24.5 million class D to 'BB/LS5' from 'A'; Outlook Stable;
--$18.9 million class E to 'B-/LS5' from 'A-'; Outlook Negative;
--$20.8 million class F to 'B-/LS5' from 'BBB+'; Outlook Negative;
--$15.1 million class G to 'B-/LS5' from 'BBB'; Outlook Negative;
--$18.9 million class H to 'B-/LS5' from 'BBB-'; Outlook Negative;
--$5.7 million class J to 'B-/LS5' from 'BB'; Outlook Negative;
--$5.7 million class K to 'B-/LS5' from 'BB-'; Outlook Negative;
--$5.7 million class L to 'B-/LS5' from 'B+'; Outlook Negative;
--$5.7 million class M to 'CCC/RR1' from 'B';
--$5.7 million class N to 'CCC/RR6' from 'B-'.
Fitch affirms and lowers the Recovery Rating of the following class:
--$3.8 million class O to 'CCC/RR6' from 'CCC/RR1'.
Fitch also affirms and assigns Rating Outlooks on the following classes:
--$71.2 million class A-2 at 'AAA/LS2'; Outlook Stable;
--$113.1 million class A-AB at 'AAA/LS2'; Outlook Stable;
--$181.6 million class A-3 at 'AAA/LS2'; Outlook Stable;
--$674.3 million class A-4 at 'AAA/LS2'; Outlook Stable;
--Interest-only class A-X at 'AAA'; Outlook; Stable;
--Interest-only class A-SP at 'AAA'; Outlook Stable.
Fitch does not rate the $22.6 million class P. Class A-1 is paid in full.
Additional information on Fitch's amended criteria for analyzing recent vintage U.S. CMBS is available in the July 8, 2009 report, 'Surveillance Methodology for Recent Vintage U.S. CMBS' is available at 'www.fitchratings.com' under the following headers:
Structured Finance then CMBS then Criteria Reports
Fitch will release a report titled 'Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C1' that will contain a graph of revised loss expectations for the transaction at 'www.fitchratings.com' under the following headers:
Structured Finance then CMBS then Special Reports
Additional information is available at 'www.fitchratings.com'.
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Contacts:
Fitch Ratings, New York
Lisa Cook, 212-908-0665
Adam Fox,
212-908-0869
or
Media Relations:
Sandro Scenga,
212-908-0278
Email: sandro.scenga@fitchratings.com
