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Moody's Downgrades Rating on Credit Suisse Commercial Mortgage Trust 2006-C4

Strategic Insights

— 1 min read

The rating on one interest-only class in the Credit Suisse Commercial Mortgage Trust 2006-C4 has been downgraded by Moody's Investors Service. The Cl. A-Y class, previously rated as Aaa (sf), was downgraded to Aa1 (sf) due to the credit quality of its reference loans. The class currently references only two outstanding loans, one of which is secured by US Treasury obligations and has been defeased.

Key Takeaways:

  • The rating on the IO class, Cl. A-Y, was downgraded based on the credit quality of its reference loans.
  • The Cl. A-Y class currently references only two outstanding loans, one of which is secured by US Treasury obligations and has been defeased.
  • The Cl. A-Y notional balance has declined over 99.5% since securitization due to paydowns from previously referenced loans.
  • Both of the outstanding referenced loans are current on their debt service payments and have amortized over 85% since securitization.
  • The rating agency does not anticipate losses from the remaining collateral in the current environment, and the base expected loss plus realized losses is now 9.6% of the original pooled balance.
  • The transaction's aggregate certificate balance has decreased over 99% to $333,405 from $4.3 billion at securitization.
  • The certificates are collateralized by three mortgage loans, with one loan representing 22% of the pool balance defeased and secured by US government securities.
  • The two other outstanding loans have both amortized more than 85% since securitization and have a Moody's LTV below 20%.
  • The pool has experienced a $464 million loss based on previously liquidated loans, resulting in a 66% realized loss for the sole outstanding principal and interest class, Class C.

Statistics:

  • The Cl. A-Y notional balance has declined over 99.5% since securitization.
  • The transaction's aggregate certificate balance has decreased over 99% to $333,405 from $4.3 billion at securitization.
  • Both of the outstanding referenced loans are current on their debt service payments and have amortized over 85% since securitization.
  • The base expected loss plus realized losses is now 9.6% of the original pooled balance.

Sources:

  • Moody's Ratings ("Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations", published in January 2025, available at https://ratings.moodys.com/rmc-documents/436529)
  • Moody's Ratings ("Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities", published in April 2024, available at https://ratings.moodys.com/rmc-documents/418262)

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