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Announcement:

Moody's Affirms Three CRE CDO Classes of CSMC Series 2009-RR1

28 Jun 2011

Approximately $160 Million of Structured Securities Affected

New York, June 28, 2011 -- Moody's Investors Service (Moody's) affirmed three classes of Certificates issued by CSMC Series 2009-1. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions.

Cl. A-3A, Affirmed at Aaa (sf); previously on Jul 17, 2009 Assigned Aaa (sf)

Cl. A-3B, Affirmed at Aaa (sf); previously on Jun 28, 2010 Confirmed at Aaa (sf)

Cl. A-3C, Affirmed at A3 (sf); previously on Jun 28, 2010 Downgraded to A3 (sf)

RATINGS RATIONALE

CSMC Series 2009-RR1 is a Re-REMIC Pass Through Trust backed by $160 million, or 21.1% of the aggregate class principal balance, of the super senior Class A-3 commercial mortgage backed securities (CMBS) Certificates issued by Credit Suisse Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2007-C1 (CSCMT 2007-1). Classes A-3A and A-3B were initially rated on July 17, 2009 and Class A-3C was subsequently rated on September 23, 2009.

The current performance of the CMBS is commensurate with the current ratings levels. Please see our ratings actions on March 9, 2011, when Moody's affirmed the Class A-3 Certificates of CSCMT 2007-1 at Aa3(sf).

The methodology used when assigning and monitoring the ratings is as follows: 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 performance outlook for commercial real estate.

Within the resecuritization, the WAL of the Class A-3 Certificates of CSCMT 2007-C1 is 5.3 years assuming a 0%/0% CDR/CPR. Expected recovery rates at the mortgage loan level ranged from 40% to 50% with a WARR of 46.2%.

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.

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.

Other methodologies used in these ratings were "Moody's Approach to Rating Repackaged Securities" published in April 2010.

New York
Edward Siegel
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service, Inc.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

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

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

Moody's Affirms Three CRE CDO Classes of CSMC Series 2009-RR1
No Related Data.
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