DBRS Confirms the Ratings of CSMC, Series 2010-UD1

DBRS has today confirmed the ratings of the following classes of CSMC Series 2010-UD1 Commercial Mortgage Pass-Through Certificates.

-Class A at AAA (sf)
-Class A-A at AAA (sf)
-Class A-B at AAA(sf)
-Class B at BBB (sf)
-Class B-A at AA (sf)
-Class B-B at BBB (sf)

All trends are Stable.

The transaction is collateralized by the beneficial interests in eight commercial mortgage-backed pass-through certificates from seven underlying transactions that were securitized in 2007 and 2008. The transaction is a senior/subordinate pass-through, providing a sequential-pay structure intended to contain any potential losses within Class B. The underlying certificates have been pooled together within the CSMC Series 2010-UD1 structure. If significant losses were to occur in one of the underlying transactions and its corresponding certificate, the losses would not be offset by the credit enhancement provided by the other underlying certificates within this trust. As such, DBRS rated Class B to a first dollar loss scenario; in order to determine the rating floor for Class B DBRS analyzed each of the seven underlying transactions separately. Although DBRS does not publicly rate any of the underlying transactions, a detailed level of analysis on each transaction was performed to derive an indicative rating for each contributed certificate.

The underlying CMBS transaction and class related to the Group 1 Certificates is Credit Suisse Commercial Mortgage Trust Series 2007-C1, Class A-3. Although DBRS does not publicly rate the Credit Suisse Commercial Mortgage Trust Series 2007-C1 transaction, a detailed level of analysis was performed to confirm the ratings assigned to the Group 1 Certificates.

DBRS analyzed the underlying certificates based on the performance of the underlying loans and the transaction structure. DBRS modeled the transactions independently and, in its review, focused on the larger assets, the specially serviced loans and the loans on the servicer’s watchlist, in an effort to most appropriately model the pivotal loans within the transaction that carry a higher likelihood of default. To simulate realized losses expected on all delinquent loans, including 30-day delinquencies, DBRS modeled these with 100% probability of default and the corresponding loss severity, reflective of debt yield derived by using the most recent loan level cash flow.

The resulting weighted-average credit enhancement requirements for all the loans in the underlying pool, at each respective rating category, were then compared to the actual credit enhancement provided to the contributed certificate within the underlying CMBS structures. Based on that comparison, the ratings confirmations were appropriate.

The ratings are dependent on the continued performance of the underlying deals.

The ratings do not address the likelihood of additional trust fund expenses.

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

The applicable methodology is CMBS Rating Methodology, which can be found on our website under Methodologies.