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Rating Action:

Moody's affirms ratings of three classes of certificates issued by CSMC 2009-RR1

17 Dec 2014

New York, December 17, 2014 -- Moody's Investors Service has affirmed the ratings on the following certificates issued by CSMC Series 2009-RR1 ("CSMC 2009-RR1"):

Cl. A-3A, Affirmed Aaa (sf); previously on Jan 22, 2014 Affirmed Aaa (sf)

Cl. A-3B, Affirmed Aa2 (sf); previously on Jan 22, 2014 Affirmed Aa2 (sf)

Cl. A-3C, Affirmed B1 (sf); previously on Jan 22, 2014 Affirmed 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 Re-Remic) transactions.

CSMC 2009-RR1 is a non-pooled Re-Remic pass through trust ("resecuritization") backed by one ring-fenced commercial mortgage backed security (CMBS) certificates; 21.1% of the Class A-3 issued by Credit Suisse Commercial Mortgage Trust 2007-C1 ("CSMC 2007-C1"). The certificates are backed by fixed-rate mortgage loans secured by first liens on commercial and multifamily properties.

Moody's has affirmed the ratings on the certificates. The affirmation reflected a cumulative base expected loss of 14.7% of CSMC 2007-C1.

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.

CSMC 2007-C1 has a WAL of 2.0 years; assuming a CDR of 0% and CPR of 0%. 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 3 notches downward.

Methodology Underlying the Rating Action:

The principal methodology used in this rating was "Moody's Approach to Rating Resecuritizations" published in February 2014. 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 certificates are subject to uncertainty, because they are 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 certificates.

Because the credit quality of the resecuritization depends on that of the underlying CMBS certificates, 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 certificate.

The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and certain 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.

Aaron Dresher
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
No Related Data.
© 2022 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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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.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

​
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