Fitch Upgrades CSFB 2001-CP4

Fitch Ratings has upgraded one and affirmed nine classes of Credit Suisse First Boston Mortgage Securities Corp. series 2001-CP4. A detailed list of rating actions follows at the end of this press release.

KEY RATING DRIVERS

The upgrade to class D reflects an increase in credit enhancement as a result of continued principal paydown. The rating for class D was capped at 'A' due to the class' vulnerability to interest shortfalls based on the high concentration of specially serviced loans (69.1%) in the remaining collateral pool. Fitch will not assign or maintain 'AAAsf' or 'AAsf' ratings for notes that it believes have a high level of vulnerability to interest shortfalls or deferrals, even if permitted under the terms of the documents (see 'Criteria for Rating Caps and Limitations in Global Structured Finance Transactions', dated May 28, 2014, for more details). Fitch modeled losses of 30.4% for the remaining pool; expected losses on the original pool balance total 9.8%, including losses already incurred. The pool has experienced $102.9 million (8.7% of the original pool balance) in realized losses to date.

The transaction has become highly concentrated with only seven loans remaining in the pool, including three specially serviced loans that are also considered as Fitch Loans of Concern. One loan (7.2%) is defeased. 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.

As of the February 2015 distribution date, the pool's aggregate principal balance has been reduced by 96.4% to $42 million from $1.18 billion at issuance. Interest shortfalls are currently affecting classes F through O.

RATING SENSITIVITIES

The rating on class D is expected to remain stable. Future upgrades to this class are unlikely due to Fitch's concern over increasing concentration, adverse selection, and interest shortfall risk. In addition, principal distributions to this class are expected to be limited as a result of fewer remaining performing loans. The distressed classes (rated below 'B') may be subject to further rating actions as losses are realized.

The largest and second largest contributors to expected losses are the Somerset Center & Somerset Place loan (30.8% of the pool), which is secured by a 166,594 square foot (sf) office property located in Raleigh, NC., as well as the Somerset Park loan (30.8%), which is secured by a 207,767 sf office property also located in Raleigh, NC. The two loans are cross collateralized and cross defaulted and share the same sponsor. Both loans were transferred to special servicing in December 2009 due to monetary default. The borrower subsequently filed for bankruptcy. In April 2013, the borrower signed a loan modification agreement and the maturity date for both loans has been extended to April 2018. However, the modification terms did not become effective until August 2014. The loans are currently performing under the modification terms and the current special servicer, C-III Asset Management, is working to distribute the January 2015 payment from both loans to the trust.

Since the last review, the occupancy rate at the both properties has improved, although it is still significantly lower than performance at issuance. As of July 2014, Somerset Center & Somerset Place was 40.6% occupied, compared to 33% at April 2013 and 91% at issuance. As of April 2014, Somerset Park was 81.7% occupied, compared to 68.9% a year ago and 100% at issuance.

Fitch upgrades the following class as indicated:

--$6.4 million class D to 'Asf' from 'BBBsf'; Outlook Stable;

Fitch affirms the following classes as indicated:

--$16.2 million class E at 'CCCsf'; RE 95%;

--$16.2 million class F at 'CCsf'; RE 0%.

--$3.1 million class G at 'Dsf'; RE 0%;

--$0 class H at 'Dsf'; RE 0%;

--$0 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%.

Classes A-1, A-2, A-3, A-4, B, C and A-CP have paid in full. Fitch does not rate the class O certificates. Fitch previously withdrew the rating on the interest-only class A-X 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' (Aug. 4, 2014);

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

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=980508

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