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May 1 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings has affirmed five classes of Credit Suisse First Boston Mortgage Securities Corp.'s (CSFB) commercial mortgage pass-through certificates, series 2003-CK2. A detailed list of rating actions follows at the end of this press release.
KEY RATING DRIVERS
The affirmations are due to sufficient credit enhancement relative to expected losses; despite high credit enhancement, the pool is very concentrated. Fitch modeled losses of 34.9% of the remaining pool; expected losses on the original pool balance total 3.9%, including $30.6 million (3.1% of the original pool balance) in realized losses to date.
There are five assets remaining in the pool, three are specially serviced (74.3% of the pool), no loans are defeased. As of the April 2014 distribution date, the pool's aggregate principal balance has been reduced by 97.8% to $22.5 million from $1.01 billion at issuance. Interest shortfalls are currently affecting classes M through P.
The largest contributor to expected losses is a specially-serviced asset (40.4% of the pool), 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. The lease for anchor tenant Publix (51% NRA) expires in February 2015 and the special servicer expects to begin discussions regarding renewal within the next few months.
Occupancy was at 85% as of December 2013. The servicer's current strategy is to stabilize the asset and then market the property for sale.
The next largest contributor to expected losses is a specially-serviced asset (14.8% of the pool), a 70,305 sf industrial property located in Taunton, MA approximately 30 miles south of Boston. In 2012, the borrower indicated that they could no longer pay the mortgage due to the loss of a major tenant. The loan transferred to special servicing in September 2012 and became REO in March 2013. Per the special servicer, the property is currently 50% occupied and the current strategy is to continue leasing efforts.
Although credit enhancement is high for class K, should losses on the specially serviced assets be higher than expectations, downgrades are possible.
Fitch affirms the following classes as indicated:
--$6.2 million class K at 'BBsf'; Outlook Negative;
--$4.9 million class L at 'CCCsf', RE 100%;
--$11.4 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 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.
Additional information on Fitch's criteria for analyzing U.S. CMBS transactions is available in the Dec. 11, 2013 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