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Rating Action:

Moody's Affirms Two and Downgrades One Class of CSMC Series 2009-RR1

01 Feb 2013

Approximately $160.0 Million of Structured Securities Affected

New York, February 01, 2013 -- Moody's has affirmed two classes and downgraded one class of Certificates issued by Credit Suisse First Boston Mortgage Securities Corp. CSMC Series 2009-RR1. The affirmations are due to key transaction parameters performing within levels commensurate with the existing ratings levels. The downgrade is due to negative credit migration of the underlying collateral and higher expected losses on the underlying pool of loans .The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE Non-Pooled ReREMIC) transactions.

Moody's rating action is as follows:

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

Cl. A-3B Certificate, Affirmed Aa2 (sf); previously on Jan 31, 2012 Downgraded to Aa2 (sf)

Cl. A-3C Certificate, Downgraded to B1 (sf); previously on Jan 31, 2012 Downgraded to Baa3 (sf)

RATINGS RATIONALE

Credit Suisse First Boston Mortgage Securities Corp., Series 2009-RR1 is a Re-Remic Pass Through Trust backed by $160.0 million, or 21.1% of the aggregate class principal balance, of the super senior Class A3 commercial mortgage backed securities (CMBS) certificates issued by Credit Suisse Commercial Mortgage Trust 2007-C1.

On January 25, 2013, Moody's downgraded the Class A-3 Certificates of Credit Suisse Commercial Mortgage Trust Series 2007-1 due to negative credit migration of the underlying collateral and higher expected losses for the pool. Moody's rating action on the Underlying Certificate reflected a cumulative base expected loss of 17.9% of the current balance.

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 estimates of Class A3-A and A3-B resulting in an affirmation. The downgrade of Class A3-C was due to deterioration in the credit quality of the underlying collateral.

Within the resecuritization, the weighted average life of the Underlying Security is 3.55 years assuming a 0%/0% CDR/CPR. For delinquent loans (30+ days, REO, foreclosure, bankrupt), Moody's assumes a fixed WARR of 40% while a fixed WARR of 50% for current loans. Moody's also ran a sensitivity analysis on the classes assuming a WARR of 40% for current loans. This impacts the modeled rating of the Certificates by 0 to 5 notches 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 extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated.

The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates.

Moody's central global macroeconomic scenario is for continued below-trend growth in US GDP over the near term, with consumer spending remaining soft in the US. Hurricane Sandy may skew near-term economic data but is unlikely to have any long-term macroeconomic effects. Primary downside risks include: a deeper than expected recession in the euro area accompanied by deeper credit contraction; the potential for a hard landing in major emerging markets, including China, India and Brazil; an oil supply shock; albeit abated in recent months; and given recent political gridlock, excessive fiscal tightening in the US in 2013 leading the US into recession. However, the Federal Reserve has shown signs of support for activity by continuing with quantitative easing.

Moody's review incorporated the cash flow model, Structured Finance Workstation® (SFW), developed by Moody's Wall Street Analytics.

Moody's analysis encompasses the assessment of stress scenarios.

The methodological approach used in these 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 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.

The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

REGULATORY DISCLOSURES

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Kumud Jha
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Michael Gerdes
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Releasing Office:
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 Two and Downgrades One Class of CSMC Series 2009-RR1
No Related Data.
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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 credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.

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