Feb 1 - Fitch Ratings has downgraded four classes and affirmed 17 classes of
Credit Suisse Commercial Mortgage Trust, series 2006-C4 (CSMC 2006-C4). A
detailed list of rating actions follows at the end of this release.
Fitch modeled losses of 14.6% of the remaining pool; expected losses on the
original pool balance total 15.8%, including losses already incurred. The pool
has experienced $136.7 million (3.2% of the original pool balance) in realized
losses to date. Fitch has designated 120 loans (60.9%) as Fitch Loans of
Concern, which includes 30 specially serviced assets (12.4%).
As of the January 2013 distribution date, the pool's aggregate principal balance
has been reduced by 12.5% to $3.74 billion from $4.22 billion at issuance. Three
loans (0.3% of the pool) are defeased. Interest shortfalls are currently
affecting classes E through S. The top four loans represent approximately 40% of
the pool, ranging in size from 21.6% and 4.8%.
The largest contributor to expected losses is the largest loan in the pool 11
Madison Avenue loan (21.6% of the pool), which is secured by a 2.2 million
square foot, 29-story office tower located in the Madison Square Park area of
Manhattan, NY. The property serves as the U.S. headquarters for Credit Suisse
(rated 'A/F1', Outlook Stable by Fitch), which leases 81% of the space. While
occupancy remains stable at the property, cash flow appreciation will be
constrained by lower asking rates in the market, relative to the rates
considered at origination. The loan was underwritten on an issuer basis to
relatively tight margins, and although the property continues to perform, Fitch
expects the loan may default at maturity as pro forma cash flow that was
considered at issuance will be difficult to achieve.
The next largest contributor to expected losses is the specially-serviced
Babcock & Brown FX 3 - Sonterra loan (5.2%), which is secured by 14 multifamily
properties totaling 3,720 units. The properties are located in Nevada, Texas,
Maryland, Florida, Virginia, and South Carolina. The loan transferred to special
servicing in February 2009 due to imminent default resulting from deteriorating
market conditions. In addition, the servicer indicated that property inspections
have revealed deferred maintenance at some of the locations. Fitch expects
losses upon liquidation of the assets.
In total, there are currently 30 loans (12.4%) in special servicing which
consists of four loans (0.3%) in foreclosure, three loans (0.5%) that are 60
days delinquent, eight loans (1.9%) that are REO, two loans (0.5%) that are
current and 13 loans (9.3%) that are 90 days delinquent.
Fitch downgrades the following classes and assigns Recovery Estimates (REs) as
--$427.3 million class A-M to 'BBB-sf' from 'Asf', Outlook Negative;
--$26.7 million class B to 'CCsf' from 'CCCsf', RE 0%;
--$64.1 million class C to 'CCsf' from 'CCCsf', RE 0%;
--$48.1 million class F to 'Csf' from 'CCsf', RE 0%;
Fitch affirms the following classes as indicated:
--$48.5 million class A-AB at 'AAAsf', Outlook Stable;
--$1.8 billion class A-3 at 'AAAsf', Outlook Stable;
--$150 million class A-4FL at 'AAAsf', Outlook Stable;
--$595.7 million class A-1-A at 'AAAsf', Outlook Stable;
--$341.8 million class A-J at 'CCCsf', RE 0%;
--$37.4 million class D at 'CCsf', RE 0%;
--$21.4 million class E at 'CCsf', RE 0%;
--$42.7 million class G at 'Csf', RE 0%;
--$48.1 million class H at 'Csf', RE 0%.
--$48.1 million class J at 'Csf', RE 0%;
--$27.9 million class K at 'Dsf', RE 0%;
--$0 class L at 'Dsf', RE 0%;
--$0 class M at 'Dsf', RE 0%;
--$0 class N at 'Dsf', RE 0%;
--$0 class O at 'Dsf', RE 0%;
--$0 class P at 'Dsf', RE 0%;
--$0 class Q at 'Dsf', RE 0%.
The class A-1 and A-2 certificates have paid in full. Fitch does not rate the
class S certificates. Fitch previously withdrew the ratings on the interest-only
class A-X, A-SP and A-Y 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'. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.
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.
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria