News Column

Fitch Affirms CSFB 1998-C2

May 14, 2014

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed three classes of Credit Suisse First Boston Mortgage Securities Corp. (CSFB) commercial mortgage pass-through certificates, series 1998-C2. 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 to offset increasing loan concentrations and adverse selection with only 29 non-defeased loans (51% of the pool) remaining. Credit enhancement has improved since Fitch's last rating action due to $12.9 million in principal paydown from scheduled amortization payments and $50.9 million from the full repayment of two loans.

Fitch modeled losses of 12.7% of the remaining pool; expected losses on the original pool balance total 3.6%, including $49.6 million (2.6% of the original pool balance) in realized losses to date. Fitch has designated five loans (31.3%) as Fitch Loans of Concern, which includes two specially serviced assets (25.1%).

As of the April 2014 distribution date, the pool's aggregate principal balance has been reduced by 91.9% to $155.4 million from $1.92 billion at issuance. There are 44 of the original 222 loans remaining in the transaction. Per the servicer reporting, 15 loans (48.7% of the pool) are fully defeased. Of the non-defeased loans 26 are fully amortizing (47.6% of pool), of which 15 loans (24%) are secured by credit tenant leases. Interest shortfalls are currently affecting classes H through J.

Given the pool's concentration, Fitch applied higher net operating income and capitalization rate stresses in the analysis. A high default probability scenario was also applied on the performing loans.

RATING SENSITIVITIES

The Rating Outlooks of the investment grade classes remain Stable due to the amount of defeasance and anticipated increases in credit enhancement from continued paydown.

The largest specially serviced loan, which is the largest loan in the pool (19.9%), is secured by two retail properties and one industrial property located in Irving and North Richland, TX. The loan had transferred to special servicing in December 2009 due to imminent default. The loan was modified in November 2010 with a reduced interest rate, and its maturity date has been twice extended to April 2013 and finally May 2014. The special servicer reported that the borrower has submitted a payoff proposal, but has not yet been able to lock up commitments from capital sources. The servicer will pursue foreclosure if the borrower is unable to deliver on the payoff.

Fitch affirms the following classes as indicated:

--$80.3 million class F at 'AAAsf', Outlook Stable;

--$19.2 million class G at 'A+sf', Outlook Stable;

--$8.1 million class I at 'Dsf', RE 0%.

The class A1, A2, B, C, D and E certificates have paid in full. Fitch does not rate the class H or J certificates. Fitch previously withdrew the rating on the interest-only class AX 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

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (May 24, 2013);

--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (Dec. 11, 2013).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661

U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=724961

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=830189

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.



Fitch Ratings

Primary Analyst

Benson Thomas

Director

+1-212-908-0645

Fitch Ratings, Inc.

33 Whitehall Street

New York, NY 10004

or

Committee Chairperson

Britt Johnson

Senior Director

+1-312-606-2341

or

Media Relations

Sandro Scenga, +1-212-908-0278

sandro.scenga@fitchratings.com

Source: Fitch Ratings


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