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Fitch Affirms $608MM & Downgrades $98MM from 7 CSFB 2004-2007 Scratch & Dent Transactions
NEW YORK-(Business Wire)-May 6, 2008 - Fitch Ratings has taken the following rating actions on CSFB mortgage pass-through certificates. Unless stated otherwise, any bonds that were previously placed on Rating Watch Negative are removed from Rating Watch Negative. Affirmations total $608.4 million and downgrades total $97.6 million.
CSFB 2004-CF2 Group 1
—$2.4 million class I-A-1 affirmed at 'AAA';
—$19.2 million class I-A-2 affirmed at 'AAA';
—$8.5 million class I-M-1 affirmed at 'AA+';
—$6.2 million class I-M-2 affirmed at 'A+';
—$4.3 million class I-B affirmed at 'BBB+';
CSFB 2004-CF2 Group 2
—$3.5 million class II-A-1 affirmed at 'AAA';
—$1.6 million class II-A-2 affirmed at 'AAA';
—$0.8 million class II-A-3 affirmed at 'AAA';
—$8.7 million class II-M-1 affirmed at 'AA+';
—$6.1 million class II-M-2 affirmed at 'A+';
—$5.3 million class II-B affirmed at 'BBB+';
CSFB 2005-CF1
—$5.8 million class A-2 affirmed at 'AAA';
—$28.3 million class A-3 affirmed at 'AAA';
—$22.6 million class M-1 affirmed at 'AA';
—$12.5 million class M-2 affirmed at 'A';
—$10.3 million class B affirmed at 'BBB';
CSMC 2006-CF1
—$75.3 million class A-1 affirmed at 'AAA';
—$14.6 million class M-1 affirmed at 'AA';
—$8.7 million class M-2 affirmed at 'A';
—$4.3 million class B-1 downgraded to 'BBB-' from 'BBB+';
—$1.3 million class B-2 downgraded to 'BB' from 'BBB';
—$2.6 million class B-3 downgraded to 'BB-' from 'BBB-';
CSMC 2006-CF2
—$54.0 million class A-1 affirmed at 'AAA';
—$12.5 million class M-1 affirmed at 'AA+';
—$3.8 million class M-2 affirmed at 'AA';
—$7.0 million class M-3 affirmed at 'AA-';
—$6.5 million class B-1 downgraded to 'A-' from 'A';
—$3.9 million class B-2 downgraded to 'BB' from 'BBB+';
—$3.5 million class B-3 downgraded to 'B' from 'BBB';
CSMC 2006-CF3
—$66.2 million class A-1 affirmed at 'AAA';
—$12.5 million class M-1 affirmed at 'AA';
—$3.8 million class M-2 affirmed at 'AA-';
—$6.4 million class M-3 affirmed at 'A';
—$5.6 million class M-4 affirmed at 'BBB+';
—$2.2 million class M-5 affirmed at 'BBB';
—$2.6 million class M-6 downgraded to 'BB-' from 'BBB-';
—$0.7 million class B-1 downgraded to 'B' from 'BB';
Credit Suisse Mortgage Corporation Trust 2007-CF1
—$189.8 million class A affirmed at 'AAA';
—$29.7 million class M-1 downgraded to 'AA-'from 'AA';
—$19.2 million class M-2 downgraded to 'BBB+' from 'A';
—$9.3 million class M-3 downgraded to 'BBB-'from 'BBB+';
—$4.3 million class M-4 downgraded to 'BB' from 'BBB';
—$3.4 million class M-5 downgraded to 'BB-' from 'BBB-';
Further information regarding current delinquency, loss, and credit enhancement statistics is also available at www.fitchratings.com.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.
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