Fitch Upgrades 1 Class of CSFB 1998-C2

NEW YORK--()--Fitch Ratings has upgraded one and affirmed two 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 upgrade reflects the high credit enhancement (CE) and continued expected paydown, defeasance and low leverage of the remaining loans. CE has improved since Fitch's last rating action due to approximately $15 million in principal paydown from scheduled amortization payments.

Fitch modeled losses of 6.4% of the remaining pool; expected losses on the original pool balance total 3.4%, including $56.4 million (2.9% of the original pool balance) in realized losses to date. Fitch has designated seven loans (28.2%) as Fitch Loans of Concern, which includes one specially serviced asset (23.3%).

As of the April 2015 distribution date, the pool's aggregate principal balance has been reduced by 93% to $131.1 million from $1.92 billion at issuance. There are 48 of the original 227 loans remaining in the transaction. Per the servicer reporting, 18 loans (53.8% of the pool) are fully defeased. Of the non-defeased loans 28 are fully amortizing (45.6%), of which 28 loans (21%) 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 CE from continued paydown. The rating for class I will remain at 'Dsf' due to incurred losses.

The specially serviced loan, which is the largest loan in the pool (23.3%), 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 had been twice extended to April 2013 and finally May 2014. The borrower was unable to repay the loan at the extended maturity date and the asset became REO in July 2014. The servicer reported that the industrial property and one of the retail properties were sold in an April 2015 auction, with closings expected in May. The servicer is working to stabilize the remaining asset, a 242,000 square foot retail property located in Irving, TX.

Fitch upgrades the following class:

--$19.2 million class G to 'AAAsf' from 'A+sf'; Outlook Stable.

Fitch affirms the following classes:

--$62.7 million class F at 'AAAsf'; Outlook Stable;

--$1.3 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. 10, 2014 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' (Mar 31, 2015);

--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (Dec. 10, 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=984302

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Contacts

Fitch Ratings
Primary Analyst:
Benson Thomas, +1-212-908-0645
Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson:
Mary MacNeill, +1-212-908-0785
Managing Director
or
Sandro Scenga, +1-212-908-0278
Media Relations, New York
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst:
Benson Thomas, +1-212-908-0645
Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson:
Mary MacNeill, +1-212-908-0785
Managing Director
or
Sandro Scenga, +1-212-908-0278
Media Relations, New York
sandro.scenga@fitchratings.com