CHICAGO--(BUSINESS WIRE)--Fitch Ratings has affirmed 10 classes and placed two classes of Credit Suisse First Boston Mortgage Securities Corp., CSMC series 2010-RR1 on Rating Watch Negative. A detailed list of rating actions follows at the end of this press release.
KEY RATING DRIVERS
The Rating Watch Negative placements are due to Fitch placing the underlying CSMC 2007-C5 class A4 on Rating Watch Negative.
This transaction is a resecuritization of the ownership interest in three commercial mortgage-backed certificates which total $250,994,000. The transaction consists of three non-pooled re-REMIC bond groups each backed by one underlying super-senior A-4 bond. Each newly-issued bond group is split into one senior and one support class of certificates. Principal and interest from the underlying commercial mortgage-backed certificates is applied to its respective bond group sequentially while losses from the underlying commercial mortgage-backed certificates are applied to their respective bond group in reverse sequential order.
Credit enhancement is approximately 60% for classes 2-A-A and 3-A-A; 50% for classes 2-A, 2-A-B, 3-A and 3-A-B; 40% for classes 2-B-A and 3-B-A; and 30% for classes 2-B, 2-B-B, 3-B and 3-B-B. Credit enhancement for each class is provided by the structural support of the underlying transaction and the respective subordinate classes in the resecuritization.
The following commercial mortgage-backed securities are collateral for the re-REMIC securities rated by Fitch:
Credit Suisse Commercial Mortgage Trust series 2007-C5
--8.8% interest in class A-4, in the amount of $86,086,000.
Class A-4, rated 'AAA,' was placed on Rating Watch Negative by Fitch on Nov. 25, 2014. The underlying class A-4 has approximately 29.9% credit enhancement. This transaction serves as collateral for the classes 2-A, 2-A-A, 2-A-B, 2-B, 2-B-A and 2-B-B re-REMIC bonds. The class sizes above reflect the potential maximum certificate balance for each class given the exchangeable nature of the certificates. In aggregate, the total principal balance of this securitization can not exceed $86,086,000.
Banc of America Commercial Mortgage Inc. series 2007-3
--7.9% interest in class A-4, in the amount of $79,915,000.
Class A-4 is rated 'AAA' with a Stable Outlook and was affirmed by Fitch on Sept. 19, 2014. The underlying class A-4 has approximately 34.6% credit enhancement. This transaction serves as collateral for the classes 3-A, 3-A-A, 3-A-B, 3-B, 3-B-A and 3-B-B re-REMIC bonds. The class sizes above reflect the potential maximum certificate balance for each class given the exchangeable nature of the certificates. In aggregate, the total principal balance of this securitization cannot exceed $79,915,000.
Any extraordinary trust fund expenses incurred by the Trustee up to the first $200,000 will be reimbursed to the Trustee by an affiliate of the depositor. In the event extraordinary trust fund expenses exceed $200,000, they will be paid from available interest.
RATING SENSITIVITIES
The class 2-B and exchangeable Class 2-B-A and 2-B-B certificates are subordinate within the Class 2 group. Fitch will review the underlying CSMS 2007-C5 as updated valuations become available on the specially serviced loans. For more information, please see 'Fitch Takes Various Actions on CSMC 2007-C5; Places Two Classes on Rating Watch Negative', dated November 25, 2014. Ratings on the Class 3 certificates are expected to remain stable due to sufficient credit enhancement of the underlying classes.
Fitch places the following classes on Rating Watch Negative:
--$24,500,000 class 2-B 'AAAsf';
--$12,175,000** class 2-B-B 'AAAsf';
Fitch affirms the following class but revises the Rating Outlook as follows:
--$12,325,000** class 2-B-A at 'AAAsf'; Outlook to Negative from Stable.
Fitch affirms the following classes:
--$61,586,000* class 2-A at 'AAAsf'; Outlook Stable;
--$49,261,000** class 2-A-A at 'AAAsf'; Outlook Stable;
--$12,325,000** class 2-A-B at 'AAAsf'; Outlook Stable;
--$57,115,000* class 3-A at 'AAAsf'; Outlook Stable;
--$45,665,000** class 3-A-A at 'AAAsf'; Outlook Stable;
--$11,450,000** class 3-A-B at 'AAAsf'; Outlook Stable;
--$22,800,000* class 3-B at 'AAAsf'; Outlook Stable;
--$11,425,000** class 3-B-A at 'AAAsf'; Outlook Stable;
--$11,375,000** class 3-B-B at 'AAAsf'; Outlook Stable.
*Exchangeable certificates
**Exchangeable REMIC certificates
Fitch does not rate classes 1-A, 1-A-A, 1-A-B, 1-B, 1-B-A and 1-B-B, which are secured by class A-4 in MS 2007-IQ14 which is not rated by Fitch.
Additional information on Fitch's criteria for analyzing U.S. CMBS transactions is available in the Dec. 11, 2013 report, 'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria', which is available at 'www.fitchratings.com' under the following headers:
Structured Finance >> CMBS >> Criteria Reports
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (Aug 4, 2014);
--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (Dec. 11, 2013).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=724961
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=934415
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