DBRS Confirms Ratings on Morgan Stanley Re-REMIC Trust 2010-GG10

DBRS, Inc. (DBRS) has today confirmed the ratings on the following classes of Re-REMIC Pass-Through Certificates, Series 2010-GG10 (the Certificates) issued by Morgan Stanley Re-REMIC Trust 2010-GG10 (MSRR 2010-GG10):

-- Class A4A at AAA (sf)
-- Class A4B-1 at AAA (sf)
-- Class A4B-2 at BBB (high) (sf)
-- Class A4 at BBB (high) (sf)
-- Class A4B at BBB (high) (sf)

All trends are Stable.

This transaction is a resecuritization, collateralized by the beneficial interests in one super-senior commercial mortgage-backed securities (CMBS) pass-through certificate from an underlying transaction that was securitized in 2007, in addition to the beneficial interests in two CMBS resecuritization certificates issued in 2009, which are also collateralized by the same underlying 2007 vintage CMBS transaction. The MSRR 2010-GG10 resecuritization consists of a senior/subordinate pass-through sequential-pay structure intended to contain any potential transaction-specific losses within the A4B Classes. DBRS has assigned ratings to the exchangeable certificates as highlighted above.

The underlying CMBS certificate is GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2007-GG10, Class A-4. 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 rating 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:
All figures are in U.S. dollars unless otherwise noted.

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

The applicable methodologies are North American CMBS Rating Methodology (March 2016) and CMBS North American Surveillance (December 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.