Press Release

DBRS Confirms Rating of CSMC Series 2010-RR6

CMBS
June 12, 2015

DBRS, Inc. (DBRS) has today confirmed the rating of the following class of CSMC Series 2010-RR6 (the Certificates):

-- Class B at A (low) (sf)

The trend is Stable.

The transaction is a resecuritization collateralized by the beneficial interests in one super-senior commercial mortgage-backed pass-through certificate (CMBS) from one underlying transaction that was securitized in 2007. The collateral is non-pooled, and the certificate from the underlying transaction contributes to the remaining certificate above. The original certificates consisted of a senior/subordinate pass-through sequential-pay structure intended to contain any potential transaction-specific losses within the B Class. The Exchangeable Certificates of Group 1 had combinations of Exchangeable real estate mortgage investment conduit (REMIC) Certificates that are also rated by DBRS. Class B is the only remaining certificate with an outstanding principal balance that is rated by DBRS.

The underlying CMBS transaction and class related to the Certificates is Morgan Stanley Capital I Trust Series 2007-HQ12, Class A-2. Although DBRS does not publicly rate the underlying transaction, a detailed level of analysis was performed to confirm the ratings assigned to the Certificates.

DBRS analyzed the underlying certificate 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 with the actual credit enhancement provided to the contributed certificate within the underlying CMBS structure. Based on that comparison, the ratings confirmations were appropriate.

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

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

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

The applicable methodologies are North American CMBS Rating Methodology (March 2015) and North American CMBS Surveillance (January 2015), which can be found on our website under Methodologies.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com

Ratings

  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

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