Fitch Affirms CSMC Series 2010-RR5

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings affirms Credit Suisse First Boston Mortgage Securities Corp., CSMC series 2010-RR5. A detailed list of rating actions follows at the end of this press release.

KEY RATING DRIVERS

The affirmations of the re-REMIC transaction are the result of the affirmations of the underlying bonds, both rated by Fitch.

This transaction is a resecuritization of the ownership interest in two commercial mortgage-backed certificates which total $147.2 million. The transaction consists of two non-pooled re-REMIC bond groups, each backed by one underlying super-senior bond. Each re-REMIC 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.

RATING SENSITIVITIES

The Rating Outlook on the bonds remains Stable as no rating actions are expected. Credit enhancement is approximately 73% for class 1-A-A and 60% for class 2-A-A; 60% for classes 1-A, 1-A-B, 2-A and 2-A-B; 46% for class 1-B-A and 52% for class 2-B-A; and 33% for class 1-B and 1-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 issued re-REMIC securities rated by Fitch:

Credit Suisse Commercial Mortgage Trust, Series 2006-C4

--4.2% interest in class A-3, in the amount of $55,184,117.

The underlying class A-3 is rated 'AAA' with a Stable Outlook and has approximately 33.4% credit enhancement. This transaction serves as collateral for the classes 1-A, 1-A-A, 1-A-B, 1-B, 1-B-A and 1-B-B re-REMIC bonds. The class sizes below 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 $55,184,117. The underlying class A-3 was affirmed by Fitch on Dec. 16, 2015.

Wachovia Bank Commercial Mortgage Trust, series 2007-C30

--4.9% interest in class A-5, in the amount of $92,042,000.

The underlying class A-5 is rated 'AAA' with a Stable Outlook and has approximately 43.8% 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 $92,042,000. The underlying class A-5 was affirmed by Fitch on Jan. 28, 2016.

The trustee fee has been paid upfront by the issuer. Any extraordinary trust fund expenses incurred by the Trustee will be paid out of available interest on a monthly basis. If available interest is insufficient, reimbursements will roll to the next distribution date.

Fitch reviewed the underlying collateral and performed loan-level stressed analysis under the criteria described in ' U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria ', Nov. 13, 2015.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relation to this rating action.

Fitch has affirmed the following ratings:

--$33,684,117* class 1-A at 'AAA'; Outlook Stable;

--$22,754,117** class 1-A-A at 'AAA'; Outlook Stable;

--$10,930,000** class 1-A-B at 'AAA'; Outlook Stable;

--$21,500,000* class 1-B at 'AAA'; Outlook Stable;

--$10,935,000** class 1-B-A at 'AAA'; Outlook Stable;

--$10,565,000** class 1-B-B at 'AAA'; Outlook Stable;

--$65,757,000* class 2-A at 'AAA'; Outlook Stable;

--$52,605,000** class 2-A-A at 'AAA'; Outlook Stable;

--$13,152,000** class 2-A-B at 'AAA'; Outlook Stable;

--$13,150,000** class 2-B-A at 'AAA'; Outlook Stable.

*Exchangeable certificates

**Exchangeable REMIC certificates

Fitch does not rate classes 2-B and 2-B-B.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria (pub. 13 Nov 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=873395

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1000356

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1000356

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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.

View source version on businesswire.com: http://www.businesswire.com/news/home/20160302006518/en/

Fitch Ratings
Primary Analyst
Darren Liss
Director
+1-212-908-0753
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 10004
or
Committee Chairperson
Mary MacNeill
Managing Director
+1-212-908-0785
or
Media Relations
Sandro Scenga, New York, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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