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Related Issuers
Announcement:

Moody's Affirms 23 CRE CDO Classes of GSMS Trust 2009-RR1

10 Mar 2011

Approximately $216.9 Million of Structured Securities Affected

New York, March 10, 2011 -- Moody's has affirmed 23 classes of Certificates issued by GSMS Trust 2009-RR1. The rating action is the result of the recent monitoring actions on the Underlying Certificates and Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions.

Moody's rating action is as follows:

Cl. CS-A, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. CS-B, Affirmed at Aa1 (sf); previously on Mar 5, 2010 Downgraded to Aa1 (sf)

Cl. GG-A, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. GG-A1, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. GG-A2, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. GG-A3, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. GG-A4, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. GG-A5, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. GG-B, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. JP-A, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. JP-A1, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. JP-A2, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. JP-A3, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. JP-A4, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. JP-A5, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. JP-B, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. ML-A, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. ML-A1, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. ML-A2, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. ML-A3, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. ML-A4, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. ML-A5, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

Cl. ML-B, Affirmed at Aaa (sf); previously on Aug 10, 2009 Assigned Aaa (sf)

GSMS Trust 2009-RR1 is a Re-REMIC Pass Through Trust backed by four commercial mortgage backed securities (CMBS) Certificates: The Group CS Certificates consist of the Class A-3 Certificate (the "Underlying CS Certificate") issued by Credit Suisse Commercial Mortgage Trust Series 2006-C5. The Group GG Certificates consist of the Class A-4 Certificate (the "Underlying GG Certificate") issued by Greenwich Capital Commercial Funding Corp., 2006-GG7. The Group JP Certificates consist of the Class A-4 Certificate (the "Underlying JP Certificate") issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8. The Group ML Certificates consist of the Class A-3 Certificate (the "Underlying ML Certificate") issued by ML-CFC Commercial Mortgage Trust 2006-4 (collectively the "Underlying Certificates").

Updates to key parameters, including the constant default rate (CDR), constant prepayment rate (CPR), weighted average life (WAL), and weighted average recovery rate (WARR), did not materially change the expected loss estimate of the Underlying Certificates.

When assigning and monitoring the ratings on the CRE CDO Certificates, Moody's applied ratings-specific cash flow scenarios assuming different loss timing, recovery and prepayment assumptions on the underlying pool of mortgages that are the collateral for the underlying CMBS transaction through Structured Finance Workstation® (SFW), the cash flow model developed by Moody's Wall Street Analytics. The analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, tranche average life, current tranche balance and future cash flows under expected and stressed scenarios. In each scenario, cash flows and losses from the underlying collateral were analyzed applying different stresses at each rating level. The resulting ratings specific stressed cash flows were then input into the structure of the resecuritization to determine expected losses for each class. The expected losses were then compared to the idealized expected loss for each class to gauge the appropriateness of the existing rating. The stressed assumptions considered, among other factors, the underlying transaction's collateral attributes, past and current performance, and Moody's current negative performance outlook for commercial real estate.

Within the resecuritization, the WAL of the Class A-3 Certificates of CSMC 2006-C5 is 5.57 years assuming a 0%/0% CDR/CPR. Expected recovery rates at the mortgage loan level ranged from 40% to 60% with a WARR of 53.6%. The WAL of the Class A-4 Certificates of GCCFC 2006-GG7 is 5.2 years assuming a 0%/0% CDR/CPR. Expected recovery rates at the mortgage loan level ranged from 40% to 60% with a WARR of 55.9%. The WAL of the Class A-4 Certificates of JPMCC 2006-LDP8 is 5.45 years assuming a 0%/0% CDR/CPR. Expected recovery rates at the mortgage loan level ranged from 40% to 60% with a WARR of 55.9%. The WAL of the Class A-3 Certificates of ML-CFC 2006-4 is 5.16 years assuming a 0%/0% CDR/CPR. Expected recovery rates at the mortgage loan level ranged from 40% to 60% with a WARR of 56.0%.

Since the ratings of the CRE CDO Certificates are linked to the rating of the underlying CMBS certificate which in turn are linked to the performance of the underlying commercial mortgage pool's performance, any rating action on the underlying certificate may trigger a review of the ratings of the certificates.

Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 50% to 35% results in average rating movement on the rated tranches of 1 notch downward.

The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics.

Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations.

The principal methodology used in these ratings was "U.S. CMBS: Moody's Approach to Rating Static CDOs Backed by Commercial Real Estate Securities" published in June 2004.

Further information on Moody's analysis of this transaction is available on www.moodys.com.

New York
Scott Epperson
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Deryk Meherik
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Affirms 23 CRE CDO Classes of GSMS Trust 2009-RR1
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

​​​​
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