Fitch Downgrades Two Classes Of CSMC 2010-RR1

CHICAGO--(BUSINESS WIRE)-- Fitch Ratings has removed from Rating Watch Negative and downgraded two classes and affirmed 10 classes of Credit Suisse First Boston Mortgage Securities Corp., CSMC series 2010-RR1. A detailed list of rating actions follows at the end of this press release.

KEY RATING DRIVERS

The downgrades reflect Fitch's downgrade of the underlying CSMC 2007-C5 class A4 to 'A' with a Stable Outlook from 'AAA' on Rating Watch Negative. This transaction is a resecuritization of the ownership interest in three commercial mortgage-backed certificates which total $250,994,000. The transaction consists of three non-pooled re-REMIC bond groups each backed by one underlying super-senior A-4 bond. Each bond group is split into one senior and one support class of certificates. Principal and interest from the underlying commercial mortgage-backed certificates is applied to its respective bond group sequentially while losses from the underlying commercial mortgage-backed certificates are applied to their respective bond group in reverse sequential order.

Credit enhancement is approximately 60% for classes 2-A-A and 3-A-A; 50% for classes 2-A, 2-A-B, 3-A and 3-A-B; 40% for classes 2-B-A and 3-B-A; and 30% for classes 2-B, 2-B-B, 3-B and 3-B-B. Credit enhancement for each class is provided by the structural support of the underlying transaction and the respective subordinate classes in the resecuritization.

The following commercial mortgage-backed securities are collateral for the re-REMIC securities rated by Fitch:

Credit Suisse Commercial Mortgage Trust Series 2007-C5

--8.8% interest in class A-4, in the amount of $86,086,000.

Fitch downgraded class A-4 to 'A' with a Stable Outlook from from 'AAA' on Rating Watch Negative by Fitch on April 9, 2015. The underlying class A-4 has approximately 29.9% credit enhancement. This transaction serves as collateral for the classes 2-A, 2-A-A, 2-A-B, 2-B, 2-B-A and 2-B-B re-REMIC bonds. The class sizes above reflect the potential maximum certificate balance for each class given the exchangeable nature of the certificates. In aggregate, the total principal balance of this securitization cannot exceed $86,086,000.

Banc of America Commercial Mortgage Inc. Series 2007-3

--7.9% interest in class A-4, in the amount of $79,915,000.

Class A-4 is rated 'AAA' with a Stable Outlook and was last affirmed by Fitch on Sept. 19, 2014. The underlying class A-4 has approximately 34.6% credit enhancement. This transaction serves as collateral for the classes 3-A, 3-A-A, 3-A-B, 3-B, 3-B-A and 3-B-B re-REMIC bonds. The class sizes above reflect the potential maximum certificate balance for each class given the exchangeable nature of the certificates. In aggregate, the total principal balance of this securitization cannot exceed $79,915,000.

Any extraordinary trust fund expenses incurred by the Trustee up to the first $200,000 will be reimbursed to the Trustee by an affiliate of the depositor. In the event extraordinary trust fund expenses exceed $200,000, they will be paid from available interest.

RATING SENSITIVITIES

The underlying security for classes 3-A, 3-A-A, 3-A-B, 3-B, 3-B-A and 3-B-B re-REMIC bonds remains at 'AAA' with a Stable Outlook. Fitch does not foresee positive or negative ratings migration for these classes unless a material economic or asset level event changes the underlying transactions' portfolio-level metrics. For more information, please see 'Fitch Upgrades 4 Classes of BACM 2007-3', dated Sept. 19, 2014.

The 2-B-A class remains vulnerable to downgrade should losses exceed current expected levels or should additional loans transfer to the special servicer.

Classes 2-B and 2-B-B currently have Stable Outlooks. Fitch does not foresee positive or negative ratings migration for these classes unless a material economic or asset level event changes the underlying transactions' portfolio-level metrics. Classes 2-A-A, 2-A-B and 2-A are likely to remain stable with no rating changes due to the credit support in excess of 49% provided by the underlying re-REMIC transaction. For more information, please see 'Fitch Downgrades 2 Classes of CSMC 2007-C5; Removed from Rating Watch Negative ', dated April 9, 2015.

Fitch downgrades and removes from Rating Watch Negative the following two classes:

--$24,500,000 class 2-B to 'A' from 'AAAsf'; Outlook Stable assigned;

--$12,175,000** class 2-B-B 'A' from 'AAAsf'; Outlook Stable assigned.

Fitch affirms the following classes:

--$61,586,000* class 2-A at 'AAAsf'; Outlook Stable;

--$49,261,000** class 2-A-A at 'AAAsf'; Outlook Stable;

--$12,325,000** class 2-A-B at 'AAAsf'; Outlook Stable;

--$12,325,000** class 2-B-A at 'AAAsf'; Outlook Negative;

--$57,115,000* class 3-A at 'AAAsf'; Outlook Stable;

--$45,665,000** class 3-A-A at 'AAAsf'; Outlook Stable;

--$11,450,000** class 3-A-B at 'AAAsf'; Outlook Stable;

--$22,800,000* class 3-B at 'AAAsf'; Outlook Stable;

--$11,425,000** class 3-B-A at'AAAsf'; Outlook Stable;

--$11,375,000** class 3-B-B at 'AAAsf'; Outlook Stable.

*Exchangeable certificates

**Exchangeable REMIC certificates

Fitch does not rate classes 1-A, 1-A-A, 1-A-B, 1-B, 1-B-A and 1-B-B, which are secured by class A-4 in MS 2007-IQ14 (not rated by Fitch).

Additional information on Fitch's criteria for analyzing U.S. CMBS transactions is available in the December 2014 report, 'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria', which is available at 'www.fitchratings.com' under the following headers:

Structured Finance >> CMBS >> Criteria Reports

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (March 2015);

--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (December 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268

U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=812608

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=982685

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Fitch Ratings
Primary Analyst
R. Brook Sutherland
Senior Director
+1-312-606-2346
Fitch Ratings, Inc.
70 W. Madison Street
Chicago, IL 60602
or
Committee Chairperson
Mary MacNeill
Managing Director
+1-212-908-0785
or
Media Relations:
Sandro Scenga, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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