DBRS Confirms Ratings of RBSCF Trust 2010-RR3 Pass-Through Certificates, Series 2010-RR3

DBRS has today confirmed the ratings of the following classes of RBSCF Trust 2010-RR3 Pass-Through Certificates, Series 2010-RR3.

All trends are Stable.

-- 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-B at AAA (sf)
-- Class CSMC-B1 at AAA (sf)
-- Class CSMC-B2 at AAA (sf)
-- Class JPMCC-A at AAA (sf)
-- Class JPMCC-A1 at AAA (sf)
-- Class JPMCC- A2 at AAA (sf)
-- Class JPMCC-A2 at AAA (sf)
-- Class JPMCC-A3 at AAA (sf)
-- Class JPMCC-A4 at AAA (sf)
-- Class JPMC- A5 at AAA (sf)
-- Class JPMCC-B at AA (sf)
-- Class JPMCC-B1 at AAA (sf)
-- Class JPMCC-B2 at AA (sf)
-- Class MSCI04-A at AAA (sf)
-- Class MSCI04-A1 at AAA (sf)
-- Class MSCI04-A2 at AAA (sf)
-- Class MSCI04-A3 at AAA (sf)
-- Class MSCI04-A4 at AAA (sf)
-- Class MSCI04-A5 at AAA (sf)
-- Class MSCI04-A6 at AAA (sf)
-- Class MSCI04-A7 at AAA (sf)
-- Class MSCI04-A8 at AAA (sf)
-- Class MSCI07-A at AAA (sf)
-- Class MSCI07-A1 at AAA (sf)
-- Class MSCI07-A2 at AAA (sf)
-- Class MSCI07-A3 at AAA (sf)
-- Class MSCI07-A4 at AAA (sf)
-- Class MSCI07-A5 at AAA (sf)
-- Class MSCI07-B at AAA (sf)
-- Class MSCI07-B1 at AAA (sf)
-- Class MSCI07-B2 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 WBCMT-B at AA (low) (sf)
-- Class WBCMT-B1 at AAA (sf)
-- Class WBCMT-B2 at AA (low) (sf)

The transaction is a resecuritization, collateralized by the beneficial interests in four super-senior commercial mortgage-backed pass-through certificates from four underlying transactions that were securitized between 2006 and 2007 and one senior commercial mortgage-backed pass-through certificate that was securitized in 2004. 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 each respective B or C Class.

The A and B Exchangeable REMIC Classes of each underlying transaction each have several combinations of Exchangeable Certificates which are also rated by DBRS.

The five underlying transactions and classes within the resecuritization are as follows:
-- Credit Suisse Commercial Mortgage Trust, Series 2006-C4, Class A-3
-- J.P. Morgan Chase Commercial Mortgage Securities Trust 2007-LDP10, Class A-3
-- Morgan Stanley Capital I Trust 2004-HQ4, Class A-7
-- Morgan Stanley Capital I Trust 2007-IQ15, Class A-4
-- Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, 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 structure. DBRS modeled the transaction 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 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 pool, at each respective rating category, were then compared to the actual credit enhancement provided to the contributed certificate within the underlying CMBS structure. Based on that comparison, the rating 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.