Mapping with entity framework "code first"

I'm trying to map my entities using Entity Framework "code first", but I have a problem with mapping a complex type. Here my simplified exampled:

Domain object looks like:

public class Customer
{
    public Address DeliveryAddress {get; set;}
}

public class Address
{
    public string StreetName {get; set;}
    public string StreetNumber {get; set;}
    public City City {get; set;}
}

public class City
{
    public int Id {get; set;}
    public string Name {get; set;}
}

and the mapping:

public class CustomerConfiguration : EntityConfiguration<Customer>
{
    public CustomerConfiguration()
    {
        this.HasKey(b => b.Id);
        this.Property(b => b.Id).IsIdentity();

        this.MapSingleType(x => new
        {
            Id = x.Id,
            DeliveryAddress_StreetName = x.DeliveryAddress.StreetName,
            DeliveryAddress_StreetNumber = x.DeliveryAddress.StreetNumber,
            DeliveryAddress_CityId = x.DeliveryAddress.City.Id, // this line causes an exception
        }).ToTable("Customer");
    }
}

public class AddressConfiguration : ComplexTypeConfiguration<Address>
{
    public AddressConfiguration()
    {           
        this.Property(b => b.StreetName).HasMaxLength(100).IsRequired().IsUnicode();
        this.Property(b => b.StreetNumber).HasMaxLength(6).IsRequired().IsUnicode();
}

public class CityConfiguration : EntityConfiguration<City>
{
    public CityConfiguration()
    {
        this.HasKey(b => b.Id);
        this.Property(b => b.Id).IsIdentity();
        this.Property(b => b.Name).IsRequired().HasMaxLength(200).IsUnicode();

        this.MapSingleType(x => new
        {
            Id = x.Id,
            Name = x.Name,
        }).ToTable("City");
    }
}

The exception that is being thrown is: 'The given key was not present in the dictionary.'

Can anyone help me?