Fitch Downgrades 5 Classes of Credit Suisse First Boston, Ser 1999-C1; 2 Off Watch Negative

CHICAGO--(BUSINESS WIRE)-- Fitch Ratings removes from Rating Watch Negative where applicable, downgrades, revises Rating Outlooks and assigns Loss Severity (LS) ratings or Recovery Ratings (RR) to Credit Suisse First Boston (CSFB), series 1999-C1 as follows:

--$20.5 million class F to 'Asf/LS4' from 'AAAsf'; Outlook to Negative from Stable;
--$32.2 million class G to 'CCCsf/RR3' from 'A+sf';
--$23.4 million class H to 'Csf/RR6' from 'BBB-sf';
--$11.7 million class J to 'Csf/RR6' from 'CCCsf/RR3';
--$11.7 million class K to 'Csf/RR6' from 'CCsf/RR6'.

In addition, Fitch affirms and assigns LS ratings as indicated:

--$6.3 million class E at 'AAAsf/LS3'; Outlook Stable.

Prior to today's rating actions, classes G and H were on Rating Watch Negative. Fitch does not rate the $5.9 million class L. Classes A-1, A-2, B, C and D have been paid in full. Classes M, N and O have been reduced to zero due to losses. Fitch withdraws the rating of the interest only class A-X. (For additional information, see 'Fitch Revises Practice for Rating IO & Pre-Payment Related Structured Finance Securities', dated June 23, 2010)

The rating downgrades are due to an increase in expected losses on specially serviced assets coupled with expected losses following Fitch's prospective analysis which is similar to its recent vintage fixed-rate commercial mortgage backed security (CMBS) analysis. Fitch expects losses of 46.4% of the remaining pool balance, approximately $51.8 million, from loans in special servicing and the loans that are not expected to refinance at maturity based on Fitch's refinance test. The majority of the Fitch total expected losses (77%) are associated with the specially serviced asset, Tallahassee Mall. Expected loss as a percentage of the original deal balance is 7.7%. Rating Outlooks reflect the likely direction of any rating changes over the next one to two years.

As of the August 2010 distribution date, the pool's collateral balance has paid down 90.5% to $111.7 million from $1.2 billion at issuance. Fitch has identified nine Loans of Concern (87.2%), of which, four (42.8%) are in special servicing.

The largest (38.4%) specially serviced asset is collateralized Tallahassee Mall; a regional mall located in Tallahassee, FL, which transferred to the special servicer in August 2008 for imminent default. The special servicer is pursuing foreclosure. The special servicer has is no updated value at this time, however, an October 2008 appraisal value was $14.5 million.

Fitch stressed the cash flow of the remaining non-specially serviced and non-defeased loans by applying a 10% reduction to 2008 fiscal year end net operating income or adjusted 2009 cash flow and applying an adjusted market cap rate between 7.25% and 10.5% to determine value.

Similar to Fitch's prospective analysis of recent vintage CMBS, each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Loans that could refinance to a debt service coverage ratio of 1.25 times or higher were considered to pay off at maturity. Under this scenario, four loans are not expected to pay off at maturity with three loans incurring a loss when compared to Fitch's stressed value.

Additional information on Fitch's amended criteria for analyzing recent vintage U.S. CMBS is available in the July 7, 2009 report, 'Surveillance Methodology for Recent Vintage U.S. CMBS', available on Fitch's website at www.fitchratings.com.

Additional information is available at www.fitchratings.com.

Related Research:
--'Global Structured Finance Rating Criteria' (Aug. 13, 2010);
--'Special-Purpose Vehicles in Structured Finance Transactions' (Sept. 17, 2009);
--'Surveillance Methodology for Recent Vintage U.S. CMBS' (July 7, 2009);
--'U.S. CMBS Surveillance Criteria' (Oct. 7, 2008);
--'Rating Criteria for Fitch's U.S. CMBS Multiborrower Rating Model' (Jan. 4, 2008);
--'Credit Suisse First Boston Mortgage Securities Corp., Series 1999-C1' (Nov. 22, 1999).

Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=547326
Special-Purpose Vehicles in Structured Finance Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=466618
Surveillance Methodology for Recent Vintage U.S. CMBS
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=457782
U.S. CMBS Surveillance Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=408326
Rating Criteria for Fitch's U.S. CMBS Multiborrower Rating Model
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=367170

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