DBRS Places Three Classes of MSAT 2005-RR4 on Under Review Negative; Four Classes Remain on Trend Positive

DBRS today has placed Classes M, N and O of Multi Security Asset Trust LP, Series 2005-RR4 (MSAT) on Under Review Negative because of projected losses to the contributing classes from FULBA 1998-C2 and GECMC 2001-1. Combined, the collateral from these two transactions represents approximately 46% of the MSAT 2005-RR4 ReRemic. To date, no losses have been incurred by any contributing classes, but DBRS estimates losses from these two transactions will ultimately reduce the credit enhancement levels for Classes M, N and O.

While there are concerns related to the three lowest rated classes, the performance of the overall transaction has been strong, as Class A-1 has been repaid and Classes B, C, D and E remain on trend Positive to reflect the positive credit migration of the underlying CMBS transactions and increased subordination within the transaction. The positive credit migration of the underlying CMBS transactions can be attributed to increased defeasance, loan seasoning, amortization and increased credit enhancement as a result of successful loan repayments and recoveries of liquidated loans. Since issuance, three transactions (JPMC 1996-C3, JPMC 1996-C2 and CMMCC 1998-1, originally 11.6% of the MSAT transaction) that were contributing to the MSAT have paid off in full. As of June 2010, 795 of the original 3,533 loans remain in the underlying CMBS transactions. Of the remaining contributing classes from the 13 underlying CMBS transactions, five are currently experiencing principal repayment.

DBRS will continue to track the performance of the MSAT and publish a Surveillance Report providing additional analytical detail following a full review of all the underlying deals.

Note:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodologies are CMBS Rating Methodology and CMBS Surveillance, which can be found on our website under Methodologies.

This is a Structured Finance CMBS rating.

This rating is based on public information.