Approximately $275.9 million of Structured Securities Rated
New York, October 28, 2010 -- Moody's Investors Service has assigned definitive ratings to Certificates
issued by CSMC Series 2010-UD1. The Certificates are collateralized
by a pool of CMBS certificates originated by various issuers.
Issuer: CSMC Series 2010-UD1
US$197,847,000 Cl. A Certificate, Assigned
US$158,262,000 Cl. A-A Certificate*,
Assigned Aaa (sf)
US$39,585,000 Cl. A-B Certificate*,
Assigned Aa1 (sf)
US$78,042,250 Cl. B Certificate, Assigned
US$39,573,000 Cl. B-A Certificate*,
Assigned A2 (sf)
US$38,469,250 Cl. B-B Certificate*,
Assigned Ba1 (sf)
The resecuritization transaction is comprised of 8 classes of super-senior
commercial mortgage backed securities ("CMBS") certificates
from 7 separate transactions (100% of the pool balance).
The CMBS collateral are from pools securitized in 2007 (85%) and
2008 (15%). The five largest CMBS exposures are CWCI 2007-C3
(30.2%), CSMC 2007-C3 (27.0%),
CMLT 2008-LS1 (10.5%), CSMC 2007-C4
(9.9%) and MSC 2007-IQ14 (9.9%).
Class A-A and Class A-B are exchangeable REMIC certificates
that can be exchanged for Class A exchangeable certificates and vice-versa.
Class B-A and Class B-B are exchangeable REMIC certificates
that can be exchanged for Class B exchangeable certificates and vice-versa.
Moody's has identified the following parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, weighted
average life (WAL), weighted average recovery rate (WARR),
and Moody's asset correlation (MAC). These parameters are typically
modeled as actual parameters for static deals and as covenants for managed
Moody's uses a weighted average rating factor (WARF) as an overall
indicator of the credit quality of a CRE CDO transaction. Based
on Moody's analysis, the current WARF is 22 with the rating distribution
as follows: Aaa-Aa3 (96% of the pool balance) and
A1-A3 (4% of the pool balance). Moody's reviewed
the ratings or performed credit estimates on all the collateral supporting
WAL acts to adjust the probability of default of the reference obligations
in the pool for time. Moody's modeled a WAL of 6.5 years.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed
WARR of 75%.
MAC is a single factor that describes the pair-wise asset correlation
to the default distribution among the instruments within the collateral
pool (i.e. the measure of diversity). Moody's
modeled a MAC of 71.2%.
The principal methodologies used in rating CSMC Series 2010-UD1
were "CMBS: Moody's Approach to Rating Static CDOs Backed by Commercial
Real Estate Interests" published in June 2004, and "Moody's
Approach to Rating SF CDOs" published in August 2009. Other
methodologies and factors that may have been considered in the process
of rating this issuer can also be found on Moody's website.
Moody's review incorporated CDOROM® v2.6, one of Moody's
CDO rating models, which was released on May 27, 2010.
The cash flow model, CDOEdge® v3.2, was used to
analyze the cash flow waterfall and its effect on the capital structure
of the deal.
Changes in any one or combination of key parameters may have had rating
implications on certain classes of rated notes. However,
in many instances, a change in assumptions of any one key parameter
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 75% to 60% or up to 90% would
result in average rating movement on the rated tranches of 0 to 2 notches
downward and 0 to 3 notches upward, respectively.
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 stressed macroeconomic environment
and continuing weakness in the commercial real estate and lending markets.
Moody's currently views the commercial real estate market as stressed
with further performance declines expected in a majority of property sectors.
The availability of debt capital is improving with terms returning towards
market norms. Job growth and housing price stability will be necessary
precursors to commercial real estate recovery. Overall, Moody's
central global scenario remains "hook-shaped" for 2010
and 2011; we expect overall a sluggish recovery in most of the world's
largest economies, returning to trend growth rate with elevated
fiscal deficits and persistent unemployment levels.
These ratings are based upon the quality of the underlying collateral
and the legal structure. Moody's ratings address only the credit
risks associated with the transaction. Other non-credit
risks, such as those associated with the timing of principal prepayments
have not been addressed and may have a significant effect on yield to
The V Score for this transaction is Medium, slightly lower than
the Medium/High V Score assigned for U.S. CRE Derivatives.
The V Score indicates a "Medium" uncertainty about critical
Moody's V Scores provide a relative assessment of the quality of available
credit information and the potential variability around the various inputs
to a rating determination. The V Score ranks transactions by the
potential for significant rating changes owing to uncertainty around the
assumptions due to data quality, historical performance, the
level of disclosure, transaction complexity, the modeling
and the transaction governance that underlie the ratings. V Scores
apply to the entire transaction (rather than individual tranches).
The special report, "V Scores and Parameter Sensitivities in the
U.S. CMBS Sector" dated March 27, 2009 is available
on www.moodys.com. Additional research, including
the pre-sale report for this transaction and reports for prior
transactions, are available at www.moodys.com.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments in this transaction.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, confidential and proprietary Moody's
Moody's considers the quality of information available on the issuer
or obligation satisfactory for the purposes of assigning a credit rating.
MOODY'S adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
MOODY'S considers to be reliable including, when appropriate,
independent third-party sources. However, MOODY'S
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's Assigns Ratings to CSMC Series 2010-UD1
250 Greenwich Street
New York, NY 10007