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I AGREE
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.
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