NEW YORK--(BUSINESS WIRE)--Fitch Ratings has downgraded two and affirmed 13 classes of Credit Suisse First Boston Mortgage Securities Corp., commercial mortgage pass-through certificates, series 2004-C2 (CSFB 2004-C2). A detailed list of rating actions follows at the end of this press release.
KEY RATING DRIVERS
Fitch modeled losses of 1.9% of the remaining pool; modeled losses of the original pool are 2.5%, including losses already incurred to date. Fitch has designated 30 loans (34.1%) as Fitch Loans of Concern, including one specially serviced asset (0.4%) classified as greater than 90 days delinquent. Approximately 24% of the pool is schedule to mature in 2013 and 65% in 2014.
As of the April 2013 distribution date, the pool's certificate balance has been reduced by 30.2% to $674.6 million from $966.8 million. The pool has experienced $11.5 million (1.2%) in realized losses and $280.7 million (29%) in paydowns since issuance. According to servicer reporting, 15 loans (29%) have been defeased. Interest shortfalls are currently affecting classes O and P.
RATING SENSITIVITIES
The ratings on the remaining investment-grade classes are expected to remain stable. The Negative Outlooks on classes H, J and K reflect the smaller-than-average class sizes, as well as the concentration of upcoming loan maturities over the next 12 to 18 months, which make these bonds susceptible to downgrade should loans not refinance or if losses exceed Fitch expectations. The distressed classes are subject to further rating actions as losses are realized.
The one specially serviced loan (0.4%) is secured by a 16,800 square foot retail property located in Puyallup, WA, which is 35 miles south of Seattle. The loan was transferred back 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. The borrower requested for a short-term forbearance due to cash flow problems, but has not been responsive to communication attempts by the special servicer. The special servicer is pursuing foreclosure at this time.
The largest contributor to Fitch modeled losses is a loan (0.9%) secured by 174-unit multifamily property located in Phoenix, AZ. Property cash flow has deteriorated since issuance due to a decrease in overall effective gross income and an increase in operating expenses. As of year-end 2012, the debt service coverage ratio, on a net operating income basis, was 1.01x compared to 1.25x at issuance.
Fitch has downgraded the following classes as indicated:
--$10.9 million class H to 'BBsf' from 'BB+sf'; Outlook Negative;
--$6 million class J to 'Bsf' from 'BB-sf'; Outlook Negative.
Fitch has affirmed the following classes and revised Rating Outlooks as indicated:
--$22.1 million class A-1 at 'AAAsf'; Outlook Stable;
--$138.3 million class A-1-A at 'AAAsf'; Outlook Stable;
--$392.8 million class A-2 at 'AAAsf'; Outlook Stable;
--$26.6 million class B at 'AAAsf'; Outlook Stable;
--$10.9 million class C at 'AAsf'; Outlook to Stable from Positive;
--$20.5 million class D at 'Asf'; Outlook to Stable from Positive;
--$9.7 million class E at 'A-sf'; Outlook Stable;
--$9.7 million class F at 'BBB+sf'; Outlook Stable;
--$9.7 million class G at 'BBBsf'; Outlook Stable;
--$3.6 million class K at 'Bsf'; Outlook Negative;
--$3.6 million class L at 'CCCsf'; RE 90%;
--$2.4 million class N at 'CCsf'; RE 0%;
--$1.2 million class O at 'Csf'; RE 0%.
Fitch does not rate the class M and P certificates. Fitch had previously withdrawn the rating 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. 18, 2012 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' (June 6, 2012);
--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (Dec. 18, 2012).
Applicable Criteria and Related Research
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=696969
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=790187
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