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03 Sep 2010
Approximately $253.5 Million of Structured Securities Rated
New York, September 03, 2010 -- New York, September 1, 2010 -- Moody's Investors
Service has assigned definitive rating of Aaa (sf) each to Class A3A,
Class A3B, Class A3B-1, and Class A3B-2 Certificates,
issued by Morgan Stanley Re-REMIC Trust 2010-C30.
The pass-through certificates are collateralized by Class A-3
("Underlying Certificate") issued by Wachovia Bank Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
US$181.0385M Cl. A3A Certificate, Assigned
Cl. A3B Certificate, Assigned Aaa (sf)
US$36.2077M Cl. A3B-1 Certificate, Assigned
US$36.2077M Cl. A3B-2 Certificate, Assigned
The Certificates are backed by Class A-3 ("Underlying Certificate")
issued by Wachovia Bank Commercial Mortgage Trust Commercial Mortgage
Pass-Through Certificates, Series 2007-C30.
The Underlying Certificate is backed by fixed rate mortgage loans secured
by first liens on commercial and multifamily properties. The Class
A3A is senior to Class A3B and Class A3B absorbs realized losses prior
to A3A. Class A3B is exchangeable for Class A3B-1 and Class
A3B-2, and vice versa. Class A3B-1 is senior
to Class A3B-2 and Class A3B-2 absorbs realized losses prior
The methodology used in assigning 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 negative performance
outlook for commercial real estate.
Within the resecuritization, the WAL of the Class A-3 Certificates
of WBCMT 2007-C30 is 1.39 years assuming a 0%/0%
CDR/CPR. Expected recovery rates at the mortgage loan level ranged
from 40% to 60% with a WARR of 56.7%.
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 last monitoring action placed on the Underlying
Certificate was on December 3, 2009.
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 certificates are particularly sensitive to
changes in recovery rate assumptions. Holding all other key parameters
static, changing the recovery rate assumption from 50% to
27%would result in average rating movement on the junior most tranche
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 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 principal methodologies used in rating MSRR 2010-C30 was "U.S.
CMBS: Moody's Approach to Rating Static CDOs Backed by Commercial
Real Estate Securities" rating methodology published in June 2004.
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 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
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 MSRR 2010-C30
250 Greenwich Street
New York, NY 10007
No Related Data.
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