DBRS Confirms Ratings on RBSCF Trust 2010-RR4

DBRS has today confirmed the ratings of the following classes of RBSCF Trust 2010-RR4 Pass-Through Certificates, Series 2010-RR4.

-- Class CMLT-A at AAA (sf)
-- Class CMLT-A1 at AAA (sf)
-- Class CMLT-A2 at AAA (sf)
-- Class CMLT-A3 at AAA (sf)
-- Class CMLT-A4 at AAA (sf)
-- Class CMLT-A5 at AAA (sf)
-- Class CMLT-B at AAA (sf)
-- Class CMLT-B1 at AAA (sf)
-- Class CMLT-B2 at AAA (sf)
-- Class CSMC-A at AAA (sf)
-- Class CSMC-A1 at AAA (sf)
-- Class CSMC-A2 at AAA (sf)
-- Class CSMC-A3 at AAA (sf)
-- Class CSMC-A4 at AAA (sf)
-- Class CSMC-A5 at AAA (sf)
-- Class CSMC-B1 at AAA (sf)
-- Class JPM07-A at AAA (sf)
-- Class JPM07-A1 at AAA (sf)
-- Class JPM07-A2 at AAA (sf)
-- Class JPM07-A3 at AAA (sf)
-- Class JPM07-A4 at AAA (sf)
-- Class JPM07-A5 at AAA (sf)
-- Class JPM07-B1 at AAA (sf)
-- Class MSC-A at AAA (sf)
-- Class MSC-A1 at AAA (sf)
-- Class MSC-A2 at AAA (sf)
-- Class MSC-A3 at AAA (sf)
-- Class MSC-A4 at AAA (sf)
-- Class MSC-A5 at AAA (sf)
-- Class MSC-B1 at AAA (sf)
-- Class WBCMT-A at AAA (sf)
-- Class WBCMT-A1 at AAA (sf)
-- Class WBCMT-A2 at AAA (sf)
-- Class WBCMT-A3 at AAA (sf)
-- Class WBCMT-A4 at AAA (sf)
-- Class WBCMT-A5 at AAA (sf)
-- Class JPM07-B at AA (sf)
-- Class JPM07-B2 at AA (sf)
-- Class WBCMT-B1 at AA (sf)
-- Class CSMC-B at A (sf)
-- Class CSMC-B2 at A (sf)
-- Class MSC-B at A (sf)
-- Class MSC-B2 at A (sf)
-- Class WBCMT-B at BBB (sf)
-- Class WBCMT-B2 at BBB (sf)

All trends are Stable.

The transaction is a resecuritization, collateralized by the beneficial interests in five super-senior commercial mortgage-backed pass-through certificates from five underlying transactions that were securitized between 2007 and 2008. The collateral is non-pooled and each of the certificates of the underlying transactions consists of a senior/subordinate pass-through providing a sequential-pay structure intended to contain any deal-specific potential losses within the respective B Classes.
The A and B Exchangeable REMIC Classes of each underlying transaction each have several combinations of Exchangeable Certificates that are also rated by DBRS.

The five underlying transactions and classes within the resecuritization are as follows:
-- Commercial Mortgage Loan Trust, Series 2008-LS1, Class A-4B
-- Credit Suisse Commercial Mortgage Trust, Series 2007-C5, Class A-4
-- J.P. Morgan Chase Commercial Mortgage Securities Trust 2007-LDP10, Class A-2S
-- Morgan Stanley Capital I Trust 2007-IQ14, Class A-4
-- Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A-4

Although DBRS does not publicly rate any of the underlying transactions, a detailed level of analysis on each transaction was performed.

DBRS analyzed the underlying certificates based on the performance of the underlying loans and the transaction structures. 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 transactions that carry a higher likelihood of default. To simulate realized losses expected on all delinquent loans, including 30-day delinquencies, DBRS either modeled these loans with 100% probability of default and the corresponding loss severity, reflective of debt yield derived by using the most recent loan level cash flow, or ran a liquidation scenario using a haircut to the latest appraisal to account for additional expenses and/or potential future value decline.

The resulting weighted-average credit enhancement requirements for all the loans in the underlying pools, at each respective rating category, were then compared to the actual credit enhancement provided to the contributed certificates 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 transactions.

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

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

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

This rating is endorsed by DBRS Ratings Limited for use in the European Union.