NEW YORK--(BUSINESS WIRE)--Fitch Ratings has affirmed all classes of Credit Suisse First Boston Mortgage Securities Corp. (CSMC), series 2009-RR2. A detailed list of rating actions follows at the end of this release.
This transaction is a resecuritization of a pari passu ownership interest in two commercial mortgage-backed certificates from one transaction, which are not rated by Fitch: MSCI Trust 2007-IQ14 class A-4 and class A-5. As a resecuritization, the classes will receive their cashflows from the underlying bonds, which are backed by a pool of 324 multifamily and commercial mortgage loans and have 34.9% credit enhancement in the underlying transaction as of the September 2014 remittance date. The underlying transaction has a remaining principal balance of approximately $3 billion.
KEY RATING DRIVERS
The affirmations reflect sufficient credit enhancement relative to Fitch modeled losses on the underlying transaction. Overall expected losses for the underlying pool based on original pool balance are slightly above modeled losses from Fitch's prior rating action. The pool has experienced an additional 2.1% of realized losses since Fitch's previous rating action, offset by paydown of approximately 6% (of the original balance). Fitch modeled losses of 16.8% (18.8% cumulative transaction losses, which includes losses realized to date of 8.5%) based on expected losses on the specially serviced loans and loans that are not expected to refinance at maturity.
As of the September 2014 distribution date, the pool's aggregate principal balance has decreased 38.5% to $3 billion from $4.9 billion at issuance. As of September 2014, there are cumulative interest shortfalls in the amount of $74.9 million currently affecting classes A-J and A-JFX through S. The MSCI 2007-IQ14 pool includes 17 specially serviced loans (7.1%). The two largest loans in the pool, representing 18.2% of the current deal balance, have been modified and returned to the master servicer.
The Rating Outlooks are expected to remain Stable due to increasing credit enhancement of the underlying super senior certificates. Upgrades may be limited due to the high concentration of modified loans and loans with a high Fitch loan to value (LTV).
Three loans with significant modeled losses were the Beacon Seattle & DC Portfolio (11.2% of the pool balance), PDG Portfolio Roll-up (7% of the pool) and City View Center (2.7% of the pool).
The Beacon Seattle & DC Portfolio is the largest loan in the transaction. The pari passu loan transferred to special servicing in April 2010 for imminent default; however, the loan is currently performing under a modification agreement which included a maturity extension to 2017 and incentives for the borrower to sell the underlying properties to pay down the debt. The loan has paid down approximately 56.3% through asset sales and nine properties remain. Fitch expected losses are based on reported income and performance of the remaining collateral properties.
The PDG Portfolio Roll-up loan was modified in May 2012, and the loan has since been modified and returned to the master servicer. This loan is secured by 11 retail centers in Arizona with a total of 1.53 million square feet (sf) built between 1966 and 2007, and renovated between 1999 and 2007. The portfolio continues to underperform, with a servicer reported occupancy was 65.6%, compared with 99.7% underwritten.
City View Center is secured by a retail property located in Garfield Heights, OH, approximately eight miles from the Cleveland CBD. The asset transferred to special servicing in November 2008 for imminent default as the property lost several tenants, including a Wal-Mart, due to environmental issues. A receiver was appointed in 2009 and litigation surrounding the environmental issue continues. Fitch's analysis does not give credit to any potential repurchase claim.
Fitch has affirmed the following classes:
--$118,800,000* class IQ-A at 'AAAsf'; Outlook Stable;
--$95,100,000** class IQ-A-A at 'AAAsf'; Outlook Stable;
--$23,700,000** class IQ-A-B at 'AAAsf'; Outlook Stable;
--$47,200,000* class IQ-B at 'Asf'; Outlook Stable;
--$23,800,000** class IQ-B-A at 'AAAsf'; Outlook Stable;
--$23,400,000** class IQ-B-B at 'Asf'; Outlook Stable.
**Exchangeable REMIC certificates
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (Aug. 4, 2014);
--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (Dec. 11, 2013).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria