DBRS Morningstar Confirms Rating on the Remaining Class of Multi Security Asset Trust LP, Series 2005-RR4

DBRS, Inc. (DBRS Morningstar) confirmed the Commercial Mortgage-Backed Securities Pass-Through Certificates, Series 2005-RR4, Class N issued by Multi Security Asset Trust LP, Series 2005-RR4 (MSAT 2005-RR4) at CCC (sf). There is no trend, as the Class N certificate has a rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) ratings.

The rating confirmation reflects DBRS Morningstar’s unchanged credit view for the only outstanding underlying bond. The Class H certificate of PMAC 1999-C1 (not rated by DBRS Morningstar) is the remaining bond that contributes to the MSAT 2005-RR4 structure. Since the last rating action, there have been minimal changes to the performance for the underlying assets left outstanding in the PMAC 1999-C1 transaction. The largest remaining asset in the transaction, Regal Cinemas, Inc. (93.2% of the current underlying pool balance), is secured by a single-tenant Regal Cinemas movie theater in Fredericksburg, Virginia, with a lease that runs through June 2023, co-terminous with the loan’s original maturity. Performance has typically hovered around breakeven, but with restrictions imposed after the onset of the Coronavirus Disease (COVID-19) pandemic, the tenant became delinquent on rental payments and transferred to special servicing. The asset is now real estate owned.

A November 2020 appraisal valued the property at $3.1 million, which is significantly below the issuance value of $8.2 million and suggests a loan-to-value (LTV) ratio of nearly 150% on the outstanding trust exposure of approximately $4.4 million. The high LTV and the erosion of credit support in the underlying capital structure suggests a realized loss to the rated certificate is possible.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929 (May 17, 2022).

All ratings are subject to surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by DBRS Morningstar.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is North American CMBS Surveillance Methodology (March 16, 2023; https://www.dbrsmorningstar.com/research/410912).

Other methodologies referenced in this transaction are listed at the end of this press release.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

This is a solicited credit rating.

Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The DBRS Morningstar long-term rating scale definition indicates that ratings of CCC or lower are assigned when the bond is highly likely to default or default is imminent, thereby prevailing over a sensitivity analysis.

DBRS, Inc.
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The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

North American CMBS Multi-Borrower Rating Methodology (March 16, 2023) https://www.dbrsmorningstar.com/research/410913

DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria (September 12, 2022) https://www.dbrsmorningstar.com/research/402646

North American Commercial Mortgage Servicer Rankings (September 8, 2022) https://www.dbrsmorningstar.com/research/402499

Interest Rate Stresses for U.S. Structured Finance Transactions (August 30, 2022) https://www.dbrsmorningstar.com/research/402153

Legal Criteria for U.S. Structured Finance (December 7, 2022) https://www.dbrsmorningstar.com/research/407008

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].