DBRS Confirms Ratings on RBSCF Trust 2009-RR2

DBRS, Inc. (DBRS) has today confirmed the ratings on the following Pass-Through Certificates, Series 2009-RR2 issued by RBSCF Trust 2009-RR2:

-- Class BSCMS-A at AAA (sf)
-- Class BSCMS-A1 at AAA (sf)
-- Class BSCMS-A2 at AAA (sf)
-- Class BSCMS-A3 at AAA (sf)
-- Class BSCMS-A4 at AAA (sf)
-- Class BSCMS-A5 at AAA (sf)
-- Class BSCMS-B at AAA (sf)
-- Class BSCMS-B1 at AAA (sf)
-- Class BSCMS-B2 at AAA (sf)
-- Class CWCI-A at AAA (sf)
-- Class CWCI-A2 at AAA (sf)
-- Class CWCI-A3 at AAA (sf)
-- Class CWCI-A4 at AAA (sf)
-- Class CWCI-A5 at AAA (sf)
-- Class CWCI-B at AAA (sf)
-- Class CWCI-B1 at AAA (sf)
-- Class CWCI-B2 at AAA (sf)
-- Class JPMCC-A at AAA (sf)
-- Class JPMCC-A1 at AAA (sf)
-- Class JPMCC-A2 at AAA (sf)
-- Class JPMCC-A3 at AAA (sf)
-- Class JPMCC-A4 at AAA (sf)
-- Class JPMCC-A5 at AAA (sf)
-- Class JPMCC-B at AAA (sf)
-- Class JPMCC-B1 at AAA (sf)
-- Class JPMCC-B2 at AAA (sf)
-- Class WBCMT-C33-A at AAA (sf)
-- Class WBCMT-C33-A1 at AAA (sf)
-- Class WBCMT-C33-A2 at AAA (sf)
-- Class WBCMT-C33-A3 at AAA (sf)
-- Class WBCMT-C33-A4 at AAA (sf)
-- Class WBCMT-C33-A5 at AAA (sf)
-- Class WBCMT-C33-B1 at AAA (sf)

All trends are Stable. In addition to the above rating actions, Class CWCI-AI was discontinued as the class was repaid in full.

The transaction is a resecuritization collateralized by the beneficial interests in four super-senior commercial mortgage-backed securities (CMBS) pass-through certificates from four underlying transactions that were securitized between 2006 and 2007. 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 Class. 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 four underlying transactions and classes within the resecuritization are as follows:
-- Class A-4 of COBALT CMBS Commercial Mortgage Trust 2006-C1 Commercial
Mortgage Pass-Through Certificates, Series 2006-C1
-- Class A-3 of J.P. Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 Commercial Mortgage Pass-Through Certificates, Series 2006-LDP9
-- Class A-4 of Wachovia Bank Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2007-C33
-- Class A-4 of Bear Stearns Commercial Mortgage Securities Trust 2007-PWR15, Series 2007- PWR15 Commercial Mortgage Pass-Through Certificates

Although DBRS does not publicly rate any of the underlying transactions, a detailed level of analysis on each transaction was performed by using the Commercial Real Estate Finance Council Investor Reporting Package files from the latest remittance period.

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 with the actual credit enhancement provided to the contributed certificates within the underlying CMBS structures. Based on that comparison, the rating confirmations were appropriate.

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

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.