Fitch Affirms CSMC Series 2009-RR2
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 298 multifamily and commercial mortgage loans and have 35.5% credit enhancement in the underlying transaction as of the August 2016 remittance date. The underlying transaction has a remaining principal balance of approximately $2.73 billion.
KEY RATING DRIVERS
The affirmations reflect sufficient credit enhancement relative to Fitch modeled losses on the underlying transaction. The pool has experienced an additional $56.2 million of realized losses since Fitch's previous rating action, offset by pay down of approximately $132.1 million, or 2.7% of the original balance. Of the remaining pool, Fitch modeled losses of approximately 22.7%, or approximately 22.9% cumulative transaction losses, which includes losses realized to date of $504.4 million.
As of the August 2016 distribution date, the underlying pool's aggregate principal balance has decreased 44.4% to $2.73 billion from $4.9 billion at issuance. As of August 2016, there are cumulative interest shortfalls in the amount of $98.8 million currently affecting up to the A-J classes. The MSCI 2007-IQ14 pool includes 12 specially serviced loans (7.7%). The two largest loans in the pool, representing 17.7% of the current deal balance, have been modified and returned to the master servicer.
Three loans with significant modeled losses were the Beacon Seattle & DC Portfolio (10.1% of the pool balance), PDG Portfolio Roll-up (7.6% of the pool) and City View Center (3% 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 is now backed by four 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 the most recent servicer reported occupancy of approximately 75%, 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.
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).
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation to this rating action.
Fitch has affirmed the following ratings:
--$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