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Rating Action:

Moody's Upgrades One and Affirms Three Classes of CSFB 2004-C1

Global Credit Research - 08 Dec 2016

Approximately $21.5 Million of Structured Securities Affected

New York, December 08, 2016 -- Moody's Investors Service has upgraded the rating on one class and affirmed the ratings on three classes of CSFB Mortgage Securities Corp. Commercial Mtge Pass-Through Ctfs. 2004-C1 as follows:

Cl. G, Upgraded to A1 (sf); previously on Aug 18, 2016 Upgraded to Baa1 (sf)

Cl. H, Affirmed Ca (sf); previously on Aug 18, 2016 Downgraded to Ca (sf)

Cl. A-X, Affirmed Caa3 (sf); previously on Aug 18, 2016 Downgraded to Caa3 (sf)

Cl. A-Y, Affirmed Aaa (sf); previously on Aug 18, 2016 Affirmed Aaa (sf)

RATINGS RATIONALE

The rating on Class G was upgraded due to an increase in defeasance, to 24% of the current pool balance from 17% at the last review. The deal has paid down 99% since securitization.

The rating on Class H was affirmed because the ratings are consistent with Moody's expected loss.

The rating on one IO class, Class A-X, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes.

The rating on one IO class, Class A-Y, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced loans.

Moody's rating action reflects a base expected loss of 0% of the current balance, compared to 22.7% at Moody's last review. Moody's base expected loss plus realized losses is now 4.3% of the original pooled balance, the same as at the last review. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Our ratings reflect the potential for future losses under varying levels of stress. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance.

Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.

DESCRIPTION OF MODELS USED

Moody's analysis used the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations.

Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 3, compared to 4 at Moody's last review.

DEAL PERFORMANCE

As of the November 18, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $21.5 million from $1.62 billion at securitization. The certificates are collateralized by ten mortgage loans ranging in size from 1% to 37% of the pool. Two loans, constituting 8.7% of the pool, have investment-grade structured credit assessments. Two loans, constituting 24.2% of the pool, have defeased and are secured by US government securities.

Two loans, constituting 38.6% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance.

Twenty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $70.4 million (for an average loss severity of 59%). No loans are currently in special servicing.

The structured credit assessments are associated with two residential cooperative loans which represent $1.9 million in total loan balance, or a 8.7% share of the overall pool balance. Moody's credit assessment for these loans is aaa (sca.pd), the same as at last review.

The top three performing loans represent 58% of the pool balance. The largest loan is the Irving Towne Center Loan ($8.1 million -- 37% of the pool), which is secured by a Target shadow-anchored retail center located in Irving, Texas. Major tenants include Tuesday Morning, Anna's Linens, Chili's and Anytime Fitness. The property was 77% leased as of September 2016, compared to 82% leased as of June 2015. The loan is fully amortizing and has amortized 31% since securitization. Moody's LTV and stressed DSCR are 70% and 1.51X, respectively, compared to 71% and 1.49X at the last review.

The second largest loan is the Chapel Ridge of Stillwater Phase I Loan ($2.8 million -- 13% of the pool), which is secured by a 120-unit multifamily property located approximately 70 miles north of Oklahoma City. The property was 98% leased as of December 2015, compared to 94% leased at last review. Moody's LTV and stressed DSCR are 65% and 1.50X, respectively, compared to 66% and 1.49X at the last review.

The third largest loan is the Amistad Apartments Loan ($1.6 million -- 7.5% of the pool), which is by a 76-unit multifamily property in Donna, Texas, about 250 miles south of San Antonio and less than ten miles north of the US-Mexico border. The property was 93% leased as of September 2016, compared to 96% at the prior review. Moody's LTV and stressed DSCR are 70% and 1.43X, respectively, compared to 71% and 1.42X at the last review.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

The analysis includes an assessment of collateral characteristics and performance to determine the expected collateral loss or a range of expected collateral losses or cash flows to the rated instruments. As a second step, Moody's estimates expected collateral losses or cash flows using a quantitative tool that takes into account credit enhancement, loss allocation and other structural features, to derive the expected loss for each rated instrument.

Moody's did not use any stress scenario simulations in its analysis.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Rhett Terrell
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Keith Banhazl
Associate Managing Director
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

No Related Data.
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