Fitch Upgrades One Class of CSFB 2003-CK2
KEY RATING DRIVERS
The upgrade reflects sufficient credit enhancement relative to expected losses and anticipated paydown; despite increasing credit enhancement, the pool continues to become more concentrated, which limits further upgrades. Fitch modeled losses of 10.3% of the remaining pool; expected losses on the original pool balance total 3.6%, including \$34.1 million (3.4% of the original pool balance) in realized losses to date.
Two loans remain in the pool including one specially serviced asset (68.6% of the pool); no loans are defeased. As of the March 2015 distribution date, the pool's aggregate principal balance has been reduced by 98.7% to \$12.9 million from \$988 million at issuance. Interest shortfalls are currently affecting classes L through P.
The largest contributor to expected losses is a specially serviced asset (68.6% of the pool) comprising a 109,586 square foot (sf) retail property located in Alpharetta, GA (Atlanta MSA). The loan transferred to special servicing in August 2012 for maturity default and foreclosure occurred in early March 2013. As of the last review, anchor tenant Publix (51% NRA) had a pending February 2015 lease expiration and the special servicer's strategy was to stabilize and market the property for sale. Since then Publix has exercised their option to extend their lease five years and the property is currently under contract for sale. Occupancy has remained at 85%.
The collateral for the remaining loan (31.4% of the pool) is a 40,323 sf retail center located in Loveland, OH (Cincinnati MSA) and anchored by a CVS (January 2019 expiration; 25% net rentable area [NRA]). Previously, the borrower was unable to pay off the loan upon the March 2013 anticipated repayment date. However, the master servicer has recently received confirmation that the borrower will pay off the loan in the near term. The loan is current and occupancy was 90% as of April 2015.
RATING SENSITIVITIES
The rating for class L is expected to remain stable due to high credit enhancement and expected paydown from loan payoffs. In addition, class M, which has previously taken losses, should be sufficient to absorb future expected losses. Downgrades are not expected on class L, as performance of the remaining pool has improved with anticipated loan payoffs.
Fitch upgrades the following class as indicated:
--\$4.3 million class L to 'BBsf' from 'CCCsf', Assigns Stable Outlook.
Fitch affirms the following classes as indicated:
--\$8.6 million class M at 'Dsf', RE 30%;
--\$0 class N at 'Dsf', RE 0%;
--\$0 class O at 'Dsf', RE 0%.
The class A-1, A-2, A-3, A-4, B, C, D, E, F, G, H, J, K and GLC and interest-only class A-SP certificates have paid in full. Fitch does not rate the class P and RCKB certificates. Fitch previously withdrew the rating on the interest-only class A-X certificates.
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