NEW YORK--(BUSINESS WIRE)--Fitch Ratings affirms the RBSCF Trust 2010-RR3 resecuritization pass-through certificates, series 2010-RR3, as follows:
--$120,895,551* class CSMC-A at 'AAAsf'; Outlook Stable;
--$40,106,551** class CSMC-A1 at 'AAAsf; Outlook Stable;
--$40,395,000** class CSMC-A2 at 'AAAsf'; Outlook Stable;
--$40,394,000** class CSMC-A3 at 'AAAsf'; Outlook Stable;
--$80,501,551** class CSMC-A4 at 'AAAsf'; Outlook Stable;
--$80,789,000** class CSMC-A5 at 'AAAsf'; Outlook Stable;
--$63,641,000* class CSMC-B at 'AAAsf'; Outlook Stable;
--$32,316,000** class CSMC-B1 at 'AAAsf'; Outlook Stable;
--$31,325,000** class CSMC-B2 at 'AAAsf'; Outlook Stable;
--$54,409,723* class JPMCC-A at 'AAAsf'; Outlook Stable;
--$24,457,723** class JPMCC-A1 at 'AAAsf'; Outlook Stable;
--$14,976,000** class JPMCC-A2 at 'AAAsf'; Outlook Stable;
--$14,976,000** class JPMCC-A3 at 'AAAsf'; Outlook Stable;
--$39,433,723** class JPMCC-A4 at 'AAAsf'; Outlook Stable;
--$29,952,000** class JPMCC-A5 at 'AAAsf'; Outlook Stable;
--$11,980,000** class JPMCC-B1 at 'AAAsf'; Outlook Stable;
--$70,320,070* class MSCI07-A at 'AAAsf'; Outlook Stable;
--$32,703,070** class MSCI07-A1 at 'AAAsf'; Outlook Stable;
--$18,808,000** class MSCI07-A2 at 'AAAsf'; Outlook Stable;
--$18,809,000** class MSCI07-A3 at 'AAAsf; Outlook Stable;
--$51,511,070** class MSCI07-A4 at 'AAAsf'; Outlook Stable;
--$37,617,000** class MSCI07-A5 at 'AAAsf'; Outlook Stable;
--$29,656,000* class MSCI07-B at 'AAAsf'; Outlook to Stable from Negative;
--$15,046,000** class MSCI07-B1 at 'AAAsf'; Outlook Stable;
--$14,610,000** class MSCI07-B2 at 'AAAsf'; Outlook to Stable from Negative;
--$87,762,560* class WBCMT-A at 'AAAsf'; Outlook Stable;
--$43,410,560** class WBCMT-A1 at 'AAAsf'; Outlook Stable;
--$22,176,000** class WBCMT-A2 at 'AAAsf'; Outlook Stable;
--$22,176,000** class WBCMT-A3 at 'AAAsf'; Outlook Stable;
--$65,586,560** class WBCMT-A4 at 'AAAsf'; Outlook Stable;
--$44,352,000** class WBCMT-A5 at 'AAAsf'; Outlook Stable;
--$17,741,000** class WBCMT-B1 at 'AAAsf'; Outlook Stable.
Fitch does not rate the following:
--$23,821,000* class JPMCC-B;
--$11,841,000** class JPMCC-B2;
--$0** class MSCI04-C;
--$35,372,000* class WBCMT-B;
--$17,631,000** class WBCMT-B2.
* Exchangeable REMIC Certificates
** Exchangeable Certificates
The classes MSCI04-A, MSCI04-A1 through MSCI04-A8, and MSCI04-B have paid in full.
KEY RATING DRIVERS
The affirmations are the result of the affirmations of the ratings or shadow ratings of the underlying bonds. The transaction is a resecuritization of the ownership interest in four commercial mortgage-backed certificates which total $485,877,904. The transaction currently consists of four re-REMIC bond groups (originally five) backed by four underlying bonds, three of which are rated by Fitch. Principal and interest from the underlying commercial mortgage-backed certificates pass through to the respective senior and junior re-REMIC bonds in sequential order. Losses are applied in reverse sequential order.
Fitch reviewed the underlying collateral and performed loan level stressed analysis, reflecting cash flow and value declines under the criteria described in ' U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' dated Dec. 10, 2014.
The following commercial mortgage-backed securities are collateral for the re-REMIC securities:
Credit Suisse Commercial Mortgage Trust 2006-C4 class A-3: Approximately 12% interest in the class A-3, in the amount of $184,536,551. The class A-3 is rated 'AAAsf'/Outlook Stable by Fitch. The underlying class A-3 has approximately 31.3% credit enhancement. The underlying transaction was reviewed by Fitch in January 2015, and the class was affirmed.
J.P. Morgan Chase Commercial Mortgage Securities Trust 2007-LDP10 Class A-3: Approximately 5% interest in the class A-3, in the amount of $78,230,723. The class A-3 is rated 'AAAsf'/ Outlook Stable by Fitch. The underlying class A-3 has approximately 30.3% credit enhancement. The underlying transaction was reviewed by Fitch in July 2014; the class was affirmed and the Outlook revised to Stable.
Morgan Stanley Capital I Trust 2007-IQ15 Class A-4: Approximately 13% interest in the class A-4, in the amount of $99,976,070. The class A-4 is rated 'AAAsf'/Outlook Stable by Fitch. The underlying class A-4 has approximately 31.3% credit enhancement. The underlying transaction was reviewed by Fitch in December 2014; the class was affirmed and the Outlook revised to Stable.
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33 Class A-4: Approximately 12% interest in the class A-4, in the amount of $123,134,560. The underlying class A-4 has approximately 41.50% credit enhancement. The underlying transaction is backed by a pool of 134 commercial and multifamily loans. This transaction is not rated by Fitch; Fitch reviewed the underlying collateral and performed loan level stressed analysis, reflected in the criteria described in 'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (Dec. 10, 2014) to determine the shadow rating for Class A-4.
RATING SENSITIVITIES
Fitch revised the Outlooks on classes MSCI07-B and MSCI07-B2, each of which is a direct pass-through to the underlying bond (MSCI 2007-IQ15, A-4) to Stable, which reflects the increasing credit enhancement and continued expected paydown to the class. The Outlooks for the remaining rated bonds in the re-REMIC transaction remain Stable.
Additional information is available on 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. 10, 2014).
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=984223
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