Approximately $155.9 Million of Structured Securities Affected
New York, January 22, 2014 -- Moody's Investors Service has affirmed the ratings on the following certificates
issued by CSMC Series 2009-RR1.:
Cl. A-3A, Affirmed Aaa (sf); previously on Feb
1, 2013 Affirmed Aaa (sf)
Cl. A-3B, Affirmed Aa2 (sf); previously on Feb
1, 2013 Affirmed Aa2 (sf)
Cl. A-3C, Affirmed B1 (sf); previously on Feb
1, 2013 Downgraded to B1 (sf)
RATINGS RATIONALE
Moody's has affirmed the ratings on the transaction because its
key transaction metrics are commensurate with existing ratings.
The affirmation is the result of Moody's on-going surveillance
of commercial real estate resecuritization CRE Non-Pooled ReRemic
transactions.
CSMC Series 2009-RR1 is a non-pooled Re-Remic pass
through Trust ("resecuritization") backed by one ring-fenced
commercial mortgage backed security (CMBS) certificate: one for
$155.9 million, or 21.1% of the Class
A-3 issued by Credit Suisse Commercial Mortgage Trust 2007-C1.
The certificate is backed by fixed-rate mortgage loans secured
by first liens on commercial and multifamily properties.
Moody's has affirmed the ratings on the underlying on December 13,
2013. The affirmation reflected a cumulative base expected loss
of 16.3% of the current balance.
Updates to key parameters, including the constant default rate (CDR),
the constant prepayment rate (CPR), the weighted average life (WAL),
and the weighted average recovery rate (WARR), did not materially
change the expected loss estimate of the resecuritized classes.
Methodology Underlying the Rating Action:
Moody's ran ratings-specific cash flow scenarios using different
loss timing, recovery and prepayment assumptions for the pool of
mortgages collateralizing the underlying CMBS transaction, using
Structured Finance Workstation® (SFW), the cash flow model developed
by Moody's Analytics. The analysis incorporates performance variances
across the different pools as well as the transaction's structural
features, including the priority of payments distribution for the
different tranches, the tranche's average life, the
current tranche balance and cash flows in both expected and stress scenarios.
In each scenario, Moody's analyzed the cash flows and any
losses on the collateral, applying different stresses at each rating
level. Moody's then used the resulting ratings-specific
stressed cash flows as inputs to determine the expected losses,
and compared the expected losses to the idealized expected loss,
for each class, to gauge the appropriateness of the existing rating.
The stress assumptions took into account the attributes of the transaction's
underlying collateral, past and current performance and Moody's
current negative performance outlook for commercial real estate,
among other factors.
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.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the notes is subject to uncertainty, because
it is sensitive to the performance of the underlying portfolio,
which in turn depends on economic and credit conditions that are subject
to change. The servicing decisions of the master and special servicer
and surveillance by the operating advisor with respect to the collateral
interests and oversight of the transaction will also affect the performance
of the rated notes.
The WAL of the Class A-3 is 2.9 years, assuming a
CDR of 0% and CPR of 0%. For delinquent loans (30-plus
days, REO, foreclosure, bankrupt), Moody's
assumes a fixed WARR of 40%, and for current loans,
50%. Moody's also ran a sensitivity analysis using
a fixed WARR of 40% for current loans. This resulted in
a zero, two, and four downward adjustment to the ratings on
Class A-3A, A-3B, and A-3C certificates.
Because the credit quality of the resecuritization depends on that of
the underlying CMBS certificate, whose credit quality in turn depends
on the performance of the underlying commercial mortgage pool, any
change to the ratings on the underlying certificates could lead to a review
of the ratings of the certificates.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given the weak
recovery and commercial real estate property markets. Commercial
real estate property values continue to improve modestly, 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, sustained growth will
not be possible until investment increases steadily for a significant
period, non-performing properties are cleared from the pipeline
and fears of a euro area recession abate.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions of the disclosure form.
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.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
As the section on loss and cash flow analysis describes, Moody's
quantitative analysis entails an evaluation of scenarios that stress factors
contributing to sensitivity of ratings and take into account the likelihood
of severe collateral losses or impaired cash flows. Moody's
weights the impact on the rated instruments based on its assumptions of
the likelihood of the events in such scenarios occurring.
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.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
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.
David Fackler
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
Deryk Meherik
VP - Sr Credit Officer/Manager
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 ratings of three classes of certificates issued by CSMC 2009-RR1
