Fitch Ratings has downgraded two classes of Credit Suisse First Boston Mortgage Securities Corp., series 2001-CP4 (CSFB 2001-CP4). A detailed list of rating actions follows at the end of this release.
The downgrades are primarily due to an increase in Fitch expected losses on the specially serviced loans. Fitch modeled losses of 30.2% of the remaining pool; expected losses of the original pool are at 9.1%, including losses already incurred to date. Fitch has identified 10 loans (75.4%) as Fitch Loans of Concern, including nine specially serviced loans (72.6%).
As of the June 2011 distribution date, the pool's aggregate principal balance has reduced by 92.8% to $84.4 million from $1.18 billion at issuance. There are 17 loans remaining in the pool, including one (0.6%) that has fully defeased. Interest shortfalls totaling $8.6 million are currently affecting classes F through O.
The largest contributor to modeled losses (18.3%) is a 156,776 square feet (SF) office property located in Shelton, CT. The loan transferred to special servicing in June 2008 due to monetary default. The borrower filed bankruptcy protection in August 2009. The property became a real estate owned asset (REO) in June 2012 after the bankruptcy sale. Servicer reported occupancy rate as of Dec. 31, 2011 was 57.5%. Fitch expects significant losses upon liquidation of the asset based on recent property valuations.
The second largest contributor to modeled losses (15.9%) is a 166,594 SF office property located in Raleigh, NC. The loan transferred to special servicing in December 2009 due to monetary default. A foreclosure sale was originally scheduled for November 2010 until the borrower filed for bankruptcy which stayed the foreclosure sale. The court has postponed a confirmation of the borrower proposed reorganization plan until the value of the property is determined.
The third largest contributor to modeled losses (15.9%) consists of two multifamily properties. The first property, containing 200 units, is located in Kansas City, KS and the servicer reported occupancy rate as of July 2011 was 83.5%. The second property, containing 180 units, is located in Gladstone, MO and the servicer reported occupancy rate as of May 2011 was 86.7%. The loan transferred to the Special Servicer in May 2010 due to payment default. The loan matured in August 2011. A receiver was appointed on Dec. 13, 2010 for the Kansas property. The borrower of the Missouri property filed bankruptcy in February 2012 and a cash collateral order has been entered.
Fitch has downgraded and assigned Recovery Estimates (RE) as indicated:
--$16.2 million class F to 'CCCsf' from 'BBsf'; RE90%;
--$11.8 million class G to 'Csf' from 'B-sf'; RE0%.
Fitch has also affirmed the following classes and revised outlooks as indicated:
--$5.7 million class C at 'AAAsf'; Outlook Stable;
--$22.1 million class D at 'AAAsf'; Outlook to Negative from Stable;
--$16.2 million class E at 'Asf'; Outlook to Negative from Stable;
--$12.4 million class H at 'Dsf'; RE0%;
Classes J, K, L, M, and N remain at 'Dsf, RE 0%'. Fitch does not class O. Fitch has previously withdrawn the rating on the interest-only class A-X.
Additional information on Fitch's criteria for analyzing U.S. CMBS transactions is available in the Dec. 21, 2011 report, 'Surveillance Methodology for U.S. Fixed-Rate CMBS Transactions', 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' (Jun 6, 2012);
--'Surveillance Methodology for U.S. Fixed-Rate CMBS Transactions' (Dec. 21, 2011).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923
Surveillance Methodology for U.S. Fixed-Rate CMBS Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=662869
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