Fitch Affirms 17, Downgrades 2 Distressed Classes in CSMC 2007-C5

CHICAGO--(BUSINESS WIRE)-- Fitch Ratings has affirmed 17 and downgraded two distressed classes of Credit Suisse Commercial Mortgage Trust, series 2007-C5 commercial mortgage pass-through certificates. A detailed list of rating actions follows at the end of this press release.

KEY RATING DRIVERS

The affirmations of the most senior classes were due to sufficient credit enhancement and expectation of future paydown. The downgrades of classes A-M and A-1-AM, were due to the increased certainty of losses. Reductions to the principal balances of the class A-M and A-1AM certificates are made on a pro-rata basis, and the Fitch modelled loss (17.7% of the remaining pool) exceeds the credit support to the mezzanine-senior classes. Expected losses on the original pool balance total 23%, including $366.1 million (13.5% of the original pool balance) in realized losses to date. Fitch has designated 42 loans (51% of the pool) as Fitch Loans of Concern. This includes all 12 assets in special servicing (20.9% of the pool), five of which are real-estate owned (REO).

As of the January 2016 distribution, the pool has experienced only 45.8% of collateral reduction since issuance, mostly as a result of liquidations. Of the remaining 131 loans, 24 (45.5% of the pool) are interest-only. Since the last rating action, seven loans have been liquidated. There are no loans scheduled to mature in 2016; however, 126 loans representing 98.5% of the pool are scheduled to mature in 2017. Ten loans (4% of the pool) are fully defeased.

The largest contributor to expected losses is the TIAA Industrial Portfolio (12.2% of the pool). It is the second largest loan and has been on the servicer's watchlist since 2009. The loan is secured by 11 industrial properties comprising 5.3 million square feet (sf) located across nine states -- Kentucky, Tennessee, Georgia, California, Utah, Delaware, Illinois, Arizona and Texas. Approximately 58% of the total collateral is concentrated in the two largest properties located in Hebron, KY and Memphis, TN. The portfolio's performance has declined over the past several years due to weak local economies causing increased tenant turnover and vacancy. The loan began amortizing in August 2012, placing additional stress on the debt service coverage. The current debt equates to $33.90 psf.

The second largest contributor to expected loss is Gulf Coast Town Center Phases I & II (13% of the pool). It is the largest loan in the pool and is in special servicing. The collateral comprises nearly one million sf of an open-air anchored retail center in Fort Myers, FL. Anchor tenants include Bass Pro Shop, JC Penney, Belk, and Regal Cinema. The loan was transferred to special servicing in July 2013 for imminent default. Until August 2015, the loan had remained current through the use of a lender-controlled lockbox. The most recent appraisal is dated April 8, 2015 and indicates a significant loss to the loan, which has not amortized since issuance.

RATING SENSITIVITIES

The Outlook for class A-AB has been revised to Stable from Negative given the class is likely to be repaid by YE2016. The Outlook for classes A-4 and A-1-A remain Stable as Fitch's loss expectations for the pool remain largely unchanged since the last rating action. Upgrades, while unlikely, may be possible should a significant number of loans refinance or resolve with better than expected recoverability rates. Downgrades to the most junior classes would be expected as losses are realized, and further downgrades to the remaining classes are possible should realized losses or the rate of new defaults exceed current projections.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relation to this rating action.

Fitch has downgraded the following classes and assigned Recovery Estimates (RE) as indicated:

--$198 million class A-M to 'CCsf' from 'CCCsf'; RE 50%;

--$74.1 million class A-1-AM to 'CCsf' from 'CCCsf'; RE 50%.

Fitch affirms the following classes as indicated:

--$13.8 million class A-AB at 'AAAsf'; Outlook to Stable from Negative;

--$870.6 million class A-4 at 'Asf'; Outlook Stable;

--$140.8 class A-1-A at 'Asf'; Outlook Stable;

--$129.6 million class A-J at 'Dsf'; RE 0%;

--$48.5 million class A-1-AJ at 'Dsf'; RE 0%;

--$0 class B at 'Dsf'; RE 0%;

--$0 class C at 'Dsf'; RE 0%;

--$0 class D at 'Dsf'; RE 0%;

--$0 class E at 'Dsf'; RE 0%;

--$0 class F at 'Dsf'; RE 0%;

--$0 class G at 'Dsf'; RE 0%;

--$0 class H at 'Dsf'; RE 0%;

--$0 class J at 'Dsf'; RE 0%;

--$0 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%.

The class A-1, A-2 and A-3 certificates have paid in full. Fitch does not rate the class O, P, Q and S certificates. Fitch previously withdrew the ratings on the interest-only class A-SP and A-X certificates.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria (pub. 13 Nov 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=873395

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=999069

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=999069

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20160204006418/en/

Fitch Ratings
Primary Analyst
Roxanna Tangen
Associate Director
+1 312 368 3116
Fitch Ratings, Inc.
70 W. Madison
Chicago, IL 60602
or
Committee Chairperson
Mary MacNeill
Managing Director
+1 212 908 0785
or
Media Relations:
Sandro Scenga, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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