Fitch Ratings has downgraded and assigned Rating Outlooks to several classes of Credit Suisse First Boston (CSFB) Mortgage Securities Corp.'s commercial mortgage pass-through certificates, series 2000-C1. Fitch has also assigned Loss Severity (LS) ratings and Recovery Ratings (RRs) to numerous classes. A detailed list of rating actions follows the end of the release.
The downgrades are due to an increase in expected losses on specially serviced assets coupled with expected losses following Fitch's prospective review of potential stresses to the transaction. The majority of the total expected losses are associated with loans currently in special servicing. Fitch expects losses of 20.7% of the remaining transaction balance, or $23.3 million, from loans in special servicing and loans that cannot refinance at maturity based on Fitch's refinance test.
As of the June 2010 distribution date, the pool's certificate balance has paid down 92% to $89 million from $1,112 million at issuance. One loan is defeased (0.57% of the current transaction balance).
There are six specially serviced loans in the pool (48%), including three of the five largest loans in the pool. One loans is delinquent, one are in foreclosure, one is real estate owned (REO), and three are current.
The largest specially serviced asset (23.5%) is a 190,908 square foot (sf) office property located in Seattle, WA. The loan transferred to special servicing in February 2010. The building is solely occupied by Amazon.com who is in place until May 2011 but will vacate the building to move to its new headquarters. A loan modification is being discussed with the borrower.
The second largest specially serviced asset is a 529,073 sf industrial building located in Fresno, CA. The loan transferred to special servicing in April 2010 due to maturity default. The loan matured May 11, 2010, but the borrower has been unable to secure refinancing to pay off the loan. The property is current, and as of year end 2010 (YE 2010), net operating income (NOI) debt service coverage ratio (DSCR) and occupancy were 1.57 times (x) and 100%, respectively.
Fitch stressed the cash flow of the remaining non-defeased loans by applying a 10% reduction to 2008 fiscal year end NOI and applying an adjusted market cap rate between 7.25% and 10% to determine value.
Similar to Fitch's prospective analysis of recent vintage commercial mortgage backed securities (CMBS), each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Loans that could refinance to a DSCR of 1.25x or higher were considered to pay off at maturity. Of the non-defeased or non-specially serviced loans, two (2.1% of the pool) incurred a loss when compared to Fitch's stressed value.
Fitch has downgraded and assigned Outlooks, LS ratings and RRs as indicated:
--$30.6 million class H to 'B-/LS5' from 'A+'; Outlook Negative; removed from Rating Watch Negative;
--$9.8 million class J to 'CC/RR3' from 'BBB'; removed from Rating Watch Negative;
--$11.1 million class K to 'C/RR5' from 'BB-';
--$9.7 million class L to 'C/RR6' from 'B'.
Fitch has affirmed and revised the following class:
--$2.1 million class M to 'D/RR6' from 'D/DR4'.
In addition, Fitch has affirmed, maintained or revised the Outlook and assigned LS ratings as indicated:
--$13.3 million class F at 'AAA/LS4'; Outlook Stable;
--$30.6 million class G at 'AA/LS4'; Outlook Negative; removed from Rating Watch Negative.
Classes A1, A2, B, C, D, and E have paid in full. Class NR has been liquidated. Fitch withdraws the rating on the interest-only class A-X. (For additional information, see Fitch Revises Practice for Rating IO & Pre-Payment Related Structured Finance Securities, June 23, 2010.)
Additional information on Fitch's amended criteria for analyzing recent vintage U.S. CMBS is available in the July 7, 2009 report, 'Surveillance Methodology for Recent Vintage U.S. CMBS,' which is available at 'www.fitchratings.com' under the following headers:
Structured Finance >> CMBS >> Criteria Reports
Additional information is available at 'www.fitchratings.com'
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