CHICAGO--(BUSINESS WIRE)--Fitch Ratings has downgraded one class, upgraded seven classes, and affirmed two classes of Credit Suisse First Boston Mortgage Securities Corp., commercial mortgage pass-through certificates series 2004-C2. A detailed list of rating actions follows at the end of this press release.
KEY RATING DRIVERS
The upgrades reflect the defeasance of two loans accounting for 84.1% of the pool. The downgrade to class N is due to the thin subordinate classes and the probability of losses from the specially serviced assets.
The pool has become increasingly concentrated with only seven assets remaining; Fitch has designated four assets (14%) as Fitch Loans of Concern, all of which are specially serviced.
Fitch modeled losses of 5.9% of the remaining pool; expected losses on the original pool balance total 1.7%, including $11.6 million (1.2% of the original pool balance) in realized losses to date..
As of the January 2015 distribution date, the pool's aggregate principal balance has been reduced by 92.3% to $74.8 million from $966.8 million at issuance. Interest shortfalls are currently affecting classes K through P.
The largest contributor to expected losses is a specially-serviced loan (6.2% of the pool), which is secured by a 119,061 square foot (sf) suburban medical office building located in Evergreen Park, IL, roughly 15 miles from Chicago. The loan was transferred to the special servicer in February 2014 due to maturity default. Foreclosure was filed in August 2014 and a receiver was appointed in November 2014. The property is adjacent to a mostly vacant 1.2M-sf shopping mall, which is also in foreclosure. As of October 2014, occupancy was reported to be 69%.
The next largest contributor to expected losses is a specially-serviced loan (2.7%), which is secured by a 64-unit multi-family property located in Wayne, MI, roughly 20 miles from Detroit. The loan was transferred to the special servicer in September 2014 for imminent default and foreclosure has been filed. The property was 83% occupied according to the September 2014 rent roll.
The third largest contributor to expected losses is a specially-serviced asset (3.4%), which is secured by a 16,800-sf retail property located in Puyallup, WA, approximately 36 miles south of Seattle. The loan was transferred to special servicing in February 2013 due to payment default. The loan had previously been in special servicing in 2009 for payment default, but was brought current in early 2011 and returned to the master servicer in mid-2012. A forbearance agreement could not be reached with the borrower and foreclosure was completed in May 2014. The property is now REO, but there are no immediate disposition plans. Per the servicer, the asset is currently in a value-add strategy as tenants are sought to lease the vacant space. As of September 2014, the property was reported to be 70.5% occupied.
Rating Outlooks on classes D through K remain Stable due to increasing credit enhancement and continued paydown. Although the balance of classes D through L are covered by the defeased collateral, upgrades to classes F through L were limited as interest shortfalls have been a concern in the past, or are possible in the future. The Rating Outlook on class K has been revised to Positive to reflect the potential for a future upgrade upon the resolution of the specially serviced assets and the recovery of its interest shortfalls.
Fitch downgrades the following class:
--$2.4 million class N to 'Csf' from 'CCsf', RE 0%.
Fitch upgrades the following classes and revises Rating Outlooks as indicated:
--$11.4 million class D to 'AAAsf' from 'Asf', Outlook Stable;
--$9.7 million class E to 'AAAsf' from 'A-sf', Outlook Stable;
--$9.7 million class F to 'Asf' from 'BBB+sf', Outlook Stable;
--$9.7 million class G to 'Asf' from 'BBBsf', Outlook Stable;
--$10.9 million class H to 'Asf' from 'BBsf', Outlook Stable;
--$6 million class J to 'Asf' from 'Bsf', Outlook Stable;
--$3.6 million class K to 'BBsf' from 'Bsf', Outlook to Positive from Stable.
Fitch affirms the following classes:
--$3.6 million class L at 'CCCsf', RE 100%;
--$1.2 million class O at 'Csf', RE 0%.
The class A-1, A-1-A, A-2, B and C certificates have paid in full. Fitch does not rate the class M and P certificates. Fitch previously withdrew the ratings on the interest-only class A-X and A-SP certificates.
Additional information on Fitch's criteria for analyzing U.S. CMBS transactions is available in the Dec. 10, 2014 report, 'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria', which is available at 'www.fitchratings.com' under the following headers:
Structured Finance >> CMBS >> Criteria Reports
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. 10, 2014);
-- 'Criteria for Rating Caps and Limitations in Global Structured Finance Transactions' (May 28, 2014).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria
Criteria for Rating Caps and Limitations in Global Structured Finance Transactions