Fitch Affirms RBSCF Trust 2010-RR4
KEY RATING DRIVERS
The affirmations are based on the high implied credit enhancement provided by the underlying transaction as well as the subordinate certificates in the re-securitization. The Fitch-rated portion of this transaction is a re-securitization of a 7.1% ownership interest in a single commercial mortgage-backed certificate, Credit Suisse Commercial Mortgage Trust, series 2007-C5 (CSMC 2007-C5) class A-4. The underlying class is currently rated 'Asf'/Outlook Stable by Fitch and was last affirmed on Feb. 4, 2016. Current credit enhancement to CSMC 2007-C5 class A-4 is 32.0%. The senior class in the re-securitization, class CSMC-A, has approximately 58.6% credit enhancement from the underlying transaction and the subordinate class CSMC-B, which is not rated by Fitch.
Principal and interest from the underlying commercial mortgage-backed certificate passes through to the respective senior and junior re-REMIC bonds in sequential order, while losses are applied in reverse sequential order. As a re-securitization, the class will receive cash flows from the underlying class A-4.
CSMC 2007-C5 is backed by a pool of 129 commercial and multifamily loans, the majority of which are scheduled to mature in 2017. There are currently nine loans in special servicing, representing 7.9% of the pool balance, and 39 loans on the servicer's watchlist, representing 34.2% of the pool balance. Fitch last modelled 17.7% losses on the pool's outstanding balance (23.0% of the original balance). The pool has amortized 53.7% since issuance, and 37.8% of the pool is interest only (IO) for the full term. For additional information on the underlying class A-4 security, please see the release 'Fitch Affirms 17, Downgrades 2 Distressed Classes in CSMC 2007-C5' (Feb. 4, 2016) available at 'www. fitchratings. com'.
The ratings maintain Stable Outlooks due to sufficient credit enhancement provided by the underlying transaction and the respective subordinate classes. Should the underlying bond be downgraded, the junior certificates would likely continue to contribute enough support to the senior certificates in order to maintain the current ratings. A downgrade could be possible if losses were realized in the underlying transaction at levels significantly higher than Fitch currently anticipates.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation to this rating action.
Fitch has affirmed the ratings as follows:
--$30,977,058* class CSMC-A at 'AAAsf', Outlook Stable;
--$14,724,177** class CSMC-A1 at 'AAAsf', Outlook Stable;
--$8,126,441** class CSMC-A2 at 'AAAsf', Outlook Stable;
--$8,126,441** class CSMC-A3 at 'AAAsf', Outlook Stable;
--$22,850,617** class CSMC-A4 at 'AAAsf', Outlook Stable;
--$16,252,882** class CSMC-A5 at 'AAAsf', Outlook Stable.
*Exchangeable REMIC Certificate
Fitch does not rate classes CSMC-B, CSMC-B1 or CSMC-B2. There are four different combinations of exchangeable certificates for each respective senior bond. The holders of the A certificates may exchange for A1, A2 and A3. Holders of class A1 and A2 certificates can exchange for A4. Holders of class A2 and A3 can exchange for A5. Holders of the subordinate class B certificates can exchange for B1 and B2. The reverse exchanges are also permitted.