DBRS Confirms 11, Downgrades Six of MSAT 2005-RR4

DBRS has today confirmed the ratings of Multiple Security Asset Trust LP, Series 2005-RR4 (MSAT) as follows:

-Class A-2 at AAA
-Class A-3 at AAA
-Class B at AA
-Class C at AA (low)
-Class D at A
-Class E at A (low)
-Class F at BBB (high)
-Class G at BBB
-Class H at BBB (low)
-Class X-1 at AAA
-Class X-2 at AAA

In addition, DBRS has downgraded the ratings of six classes as follows:

-Class J at BB
-Class K at B
-Class L at CCC
-Class M at CCC
-Class N at CCC
-Class O at C

All trends are Stable, except for Classes K, L, M, N and O, which are Negative.

The downgrades are a result of reduced credit enhancement levels following liquidations within the underlying transactions and greater interest shortfall volatility within the contributed classes. Going forward, DBRS projects future liquidations within the underlying transactions to continue to negatively impact the credit enhancement levels of these classes. Of the 30 remaining contributing classes, Class L in the FULBA 1998-C2 transaction is the only class that is currently experiencing a realized loss. FULBA 1998-C2 is MSAT’s largest collateral contributor, representing approximately 42.0% of the transaction’s current outstanding balance.

While there are concerns related to the six lowest rated classes, the performance of the overall transaction has been strong, with contributing classes from eight of the remaining 13 underlying CMBS transactions currently experiencing principal repayment. 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 December 2010, 728 of the original 3,533 loans remain in the underlying CMBS transactions.

Notes:
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 rating is based on public information.