NEW YORK--(BUSINESS WIRE)--Fitch Ratings has affirmed seven classes of Credit Suisse First Boston Mortgage Securities Corp. (CSFB) commercial mortgage pass-through certificates series 2001-CF2. A detailed list of rating actions follows at the end of this press release.
KEY RATING DRIVERS
The affirmation of class G reflects high credit enhancement and full repayment of the class supported by defeased collateral. The affirmation of class H reflects the high likelihood of losses to the class.
As of the March 2016 distribution date, the pool's aggregate principal balance has been reduced by 98.1% to $21.1 million from $1.1 billion at issuance. The transaction is concentrated with only seven loans remaining. The largest loan (58.3%) is in special servicing and the second largest loan is defeased (28.9%). Interest shortfalls are currently affecting classes H through O. Fitch modeled losses of 41.3% of the remaining pool; expected losses on the original pool balance total 9.6%, including $99.6 million (8.8% of the original pool balance) in realized losses to date.
The sole contributor to expected losses and the largest loan in the pool is a real estate owned (REO) a 172,640 square foot (sf) office property located in Jenkintown, PA. The loan transferred to the special servicer in May 2013 and has been REO since June 2014. As of year-end 2015, the property was 60.8% occupied with a servicer-reported debt service coverage ratio (DSCR) well below 1.0x. Per the special servicer, the sale of the property will be considered after further lease up is achieved. Based on the most recently reported appraised value, significant losses are anticipated which would impact class H.
The remaining pool consists of four retail properties (11.8%), all of which are leased to Rite Aid (rated 'B' as of October 28, 2016 by Fitch), and one multifamily property (1%), all in tertiary locations.
The Rating Outlook on class G remains Stable due to increasing credit enhancement from continued pay down and full repayment supported by defeased collateral. The rating of class H will be downgraded to 'Dsf' should losses be realized.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation to this rating action.
Fitch has affirmed the following classes:
--$334, 033 class G at 'AAAsf'; Outlook Stable;
--$3.4 million class H at 'Csf'; RE 20%;
--$5.4 million 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, A-3, A-4, A-CP, B, C, D, E and F certificates have paid in full. Fitch does not rate the class O, NM-1, NM-2 and RA certificates. Fitch previously withdrew the rating on the interest-only class A-X certificates.
Additional information is available at www.fitchratings.com.
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria (pub. 13 Nov 2015)
Dodd-Frank Rating Information Disclosure Form