Fitch Ratings has affirmed seven classes and downgraded one class of Credit Suisse First Boston Mortgage Securities, series 2002-CP3 commercial mortgage pass-through certificates. A detailed list of rating actions follows the end of the press release.
The affirmations are due to sufficient credit enhancement that offset expected losses of remaining pool. The downgrade is due to increased certainty of losses to the already distressed class.
Fitch modeled losses of 30.4% of the remaining pool; expected losses of the original pool are at 3.42%, including 0.59% in realized losses to date.
As of the September 2012 distribution date, the pool's certificate balance has paid down 90.1% to $83.1 million from $895.6 million. Of the 10 loans remaining in the pool, seven (97%) are Fitch Loans of Concern, of which six (92.3%) are specially serviced. There are no defeased loans. Current cumulative interest shortfalls totaling $4.5 million are affecting classes J through O.
The largest contributor to modeled losses is secured by a 266,825 square foot (sf) retail center (15.8%) located in Elyria, OH. The loan was transferred to the special servicer in April 2012 for maturity default after the borrower was unable to refinance the loan. The property's anchor tenant, Walmart, vacated the property prior to its lease expiration of August 2012, but continued to pay rent. The borrower was unable to re-lease the space. The special servicer reports that a receiver has been put in place and a deed-in-lieu is in process. The property is currently 38% occupied.
The second largest contributor to Fitch expected losses is an asset (13.7%) secured by a 91,917 sf office building located in Troy, MI. The loan transferred to special servicing in November 2010 and became real estate owned (REO) in October 2011. The special servicer is currently working on leasing up the property before marketing it for sale in 2013. The special servicer reports that the property's occupancy is currently at 23%.
The third largest contributor to Fitch expected losses is a loan (2.1%) secured by a 196-pad mobile home community located in San Antonio, TX. The loan transferred to special servicing when it matured in March 2012. The borrower has maintained the debt service payments after maturity. The special servicer reports that the borrower has a contract for sale of the property in which the net proceeds would be applied to a discounted payoff.
Fitch affirms the following classes and assigns Recovery Estimates as indicated:
--$2.2 million class F at 'AAAsf'; Outlook Stable;
--$15.6 million class G at 'Asf'; Outlook Stable;
--$11.1 million class H at 'BBBsf'; Outlook Stable;
--$17.9 billion class J at 'BBsf'; Outlook to Negative from Stable;
--$6.7 million class K at 'Bsf'; Outlook to Negative from Stable;
--$4.4 million class L at 'B-sf'; Outlook Negative;
--$4.4 million class N at 'Csf'; RE 0%.
Fitch downgrades the following class and assigns Recovery Estimates as indicated:
--$11.1 million class M to 'Csf' from 'CCsf'; RE 0%.
Classes A-1, A-2, A-3, B, C, D, E and A-SP have paid in full. Fitch has previously withdrawn the ratings on the interest-only class A-X.
Fitch does not rate class O.
Additional information on Fitch's criteria is available in the Dec. 21, 2011 report, 'Surveillance Methodology for U.S. Fixed-Rate CMBS Transactions', which is available at 'www.fitchratings.com' under the following headers:
Structured Finance >> CMBS >> Criteria Reports
Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (June, 6, 2012);
--'Surveillance Methodology for U.S. Fixed-Rate CMBS Transactions', (Dec. 21, 2011).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923
Surveillance Methodology for U.S. Fixed-Rate CMBS Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=662869
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Contacts:
Fitch Ratings
Primary Analyst
Sean Gibbs, +1-212-908-0311
Associate
Director
Fitch, Inc.
One State Street Plaza
New York, NY
10004
or
Committee Chairperson
Mary MacNeill,
+1-212-908-0785
Managing Director
or
Media Relations
Sandro
Scenga, New York, +1 212-908-0278
sandro.scenga@fitchratings.com