DBRS Confirms Ratings of CSMC Series 2010-RR7

DBRS has today confirmed the ratings of the following classes of CSMC, Series 2010-RR7.

-- Class 1-A at AAA (sf)
-- Class 1-A-A at AAA (sf)
-- Class 1-A-B at AAA (sf)
-- Class 1-B-A at AAA (sf)
-- Class 2-A at AAA (sf)
-- Class 2-A-3 at AAA (sf)
-- Class 2-A-A at AAA (sf)
-- Class 2-A-B at AAA (sf)
-- Class 2-B at AAA (sf)
-- Class 2-B-A at AAA (sf)
-- Class 2-B-B at AAA (sf)
-- Class 1-A-4 at AA (sf)
-- Class 1-B at AA (sf)
-- Class 1-B-B at AA (sf)

All trends are Stable.

The transaction is a resecuritization, collateralized by the beneficial interests in two super-senior commercial mortgage-backed pass-through certificates (CMBS) from two underlying transactions that were securitized between 2006 and 2007. The collateral is non-pooled and each of the certificates of the underlying transactions contribute to a Group 1 or Group 2, respectively. Each Group consists of a senior/subordinate pass-through sequential-pay structure intended to contain any potential transaction-specific losses within each respective B Class. The Exchangeable Certificates of Group 1 and Group 2 have combinations of Exchangeable REMIC Certificates that are also rated by DBRS.

The underlying CMBS transaction and class related to the Group 1 Certificates is ML-CFC Commercial Mortgage Trust Series 2007-5, Class A-4, and the underlying CMBS transaction and class related to the Group 2 Certificates is Credit Suisse Commercial Mortgage Trust Series 2006-C4, Class A-3. Although DBRS does not publicly rate the underlying transactions, a detailed level of analysis was performed to confirm the ratings assigned to the Group 1 and Group 2 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 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:
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.