DBRS Upgrades Two Classes and Confirms Remaining Classes of RBSCF Trust 2010-RR4

DBRS, Inc. (DBRS) has today upgraded the ratings on the following classes of Re-REMIC Pass-Through Certificates (the Certificates) issued by RBSCF Trust 2010-RR4:

-- Class CSMC-B to AAA (sf) from A (high) (sf)
-- Class CSMC-B2 to AAA (sf) from A (high) (sf)

In addition, DBRS has confirmed the following Certificates:

-- Class CMLT-A at AAA (sf)
-- Class CMLT-A2 at AAA (sf)
-- Class CMLT-A3 at AAA (sf)
-- Class CMLT-A4 at AAA (sf)
-- Class CMLT-A5 at AAA (sf)
-- Class CMLT-B at AAA (sf)
-- Class CMLT-B1 at AAA (sf)
-- Class CMLT-B2 at AAA (sf)
-- Class CSMC-A at AAA (sf)
-- Class CSMC-A3 at AAA (sf)
-- Class CSMC-A5 at AAA (sf)
-- Class CSMC-B1 at AAA (sf)

All trends are Stable.

DBRS has also discontinued the ratings on the following Certificates, as these classes have been repaid in full:

-- Class CMLT-A1
-- Class CSMC-A1
-- Class CSMC-A2
-- Class CSMC-A4
-- Class MSC-B
-- Class MSC-B1
-- Class MSC-B2

The rating upgrades reflect the improved credit characteristics of the underlying commercial mortgage-backed securities (CMBS) bonds as a result of scheduled loan amortization, successful loan repayment, proceeds recovered from specially serviced loans and stabilizing cash flows on performing loans. The transaction is a resecuritization, collateralized by the beneficial interests in four super-senior CMBS pass-through certificates from four underlying transactions that were securitized between 2007 and 2008. 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 the respective B Classes.

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:

-- Commercial Mortgage Loan Trust, Series 2008-LS1, Class A-4B
-- Credit Suisse Commercial Mortgage Trust, Series 2007-C5, 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 structures. 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 upgrades 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.

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

The principal methodologies are North American CMBS Rating Methodology (January 2017) and CMBS North American Surveillance (December 2016), which can be found on dbrs.com under Methodologies.

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