Fitch Affirms CSMC Series 2010-RR5
OREANDA-NEWS. Fitch Ratings affirms Credit Suisse First Boston Mortgage Securities Corp., CSMC series 2010-RR5. A detailed list of rating actions follows at the end of this press release.
KEY RATING DRIVERS
The affirmations of the re-REMIC transaction are the result of the affirmations of the underlying bonds, both rated by Fitch.
This transaction is a resecuritization of the ownership interest in two commercial mortgage-backed certificates which total $147.2 million. The transaction consists of two non-pooled re-REMIC bond groups, each backed by one underlying super-senior bond. Each re-REMIC 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.
RATING SENSITIVITIES
The Rating Outlook on the bonds remains Stable as no rating actions are expected. Credit enhancement is approximately 73% for class 1-A-A and 60% for class 2-A-A; 60% for classes 1-A, 1-A-B, 2-A and 2-A-B; 46% for class 1-B-A and 52% for class 2-B-A; and 33% for class 1-B and 1-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 issued re-REMIC securities rated by Fitch:
Credit Suisse Commercial Mortgage Trust, Series 2006-C4
--4.2% interest in class A-3, in the amount of $55,184,117.
The underlying class A-3 is rated 'AAA' with a Stable Outlook and has approximately 33.4% credit enhancement. This transaction serves as collateral for the classes 1-A, 1-A-A, 1-A-B, 1-B, 1-B-A and 1-B-B re-REMIC bonds. The class sizes below 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 $55,184,117. The underlying class A-3 was affirmed by Fitch on Dec. 16, 2015.
Wachovia Bank Commercial Mortgage Trust, series 2007-C30
--4.9% interest in class A-5, in the amount of $92,042,000.
The underlying class A-5 is rated 'AAA' with a Stable Outlook and has approximately 43.8% 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 cannot exceed $92,042,000. The underlying class A-5 was affirmed by Fitch on Jan. 28, 2016.
The trustee fee has been paid upfront by the issuer. Any extraordinary trust fund expenses incurred by the Trustee will be paid out of available interest on a monthly basis. If available interest is insufficient, reimbursements will roll to the next distribution date.
Fitch reviewed the underlying collateral and performed loan-level stressed analysis under the criteria described in ' U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria ', Nov. 13, 2015.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation to this rating action.
Fitch has affirmed the following ratings:
--$33,684,117* class 1-A at 'AAA'; Outlook Stable;
--$22,754,117** class 1-A-A at 'AAA'; Outlook Stable;
--$10,930,000** class 1-A-B at 'AAA'; Outlook Stable;
--$21,500,000* class 1-B at 'AAA'; Outlook Stable;
--$10,935,000** class 1-B-A at 'AAA'; Outlook Stable;
--$10,565,000** class 1-B-B at 'AAA'; Outlook Stable;
--$65,757,000* class 2-A at 'AAA'; Outlook Stable;
--$52,605,000** class 2-A-A at 'AAA'; Outlook Stable;
--$13,152,000** class 2-A-B at 'AAA'; Outlook Stable;
--$13,150,000** class 2-B-A at 'AAA'; Outlook Stable.
*Exchangeable certificates
**Exchangeable REMIC certificates
Fitch does not rate classes 2-B and 2-B-B.
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