Fitch Affirms RBSCF Trust 2009-RR2

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed RBSCF Trust 2009-RR2, resecuritization pass-through certificates, series 2009-RR2. A full list of rating actions follows at the end of this ratings action commentary.

KEY RATING DRIVERS

RBSCF 2009-RR2 Re-REMIC Trust is a resecuritization of ownership interest in four commercial mortgage-backed certificates with a current total principal balance of $266.9 million. The underlying collateral consists of four bond groups backed by four underlying bonds from four CMBS transactions, two of which are rated by Fitch, two are not. All four underlying bonds are currently at the top of their respective transaction capital structure and are receiving principal payments. The Re-REMIC certificates are structured in one trust, but are not pooled among the four groups. Principal and interest from the underlying commercial mortgage-backed certificates pass through to the respective senior and junior re-REMIC bonds in sequential order. Losses will be applied in reverse sequential order.

The affirmations of the ratings on the Re-REMIC bonds are the result of the affirmations to the ratings or shadow ratings of the underlying bonds.

Fitch affirmed the underlying A-4 bond in the Cobalt Commercial Mortgage Trust 2006-C1 on July 21, 2016; Fitch affirmed the underlying A-3 bond in the JPMCC 2006-LDP9 on April 27, 2016.

Cobalt Commercial Mortgage Trust 2006-C1 class A-4: a 16.9% interest in the class A-4, in the amount of $55,490,112. Class A-4 is rated 'AAA'/Outlook Stable by Fitch and was affirmed on July 21, 2016. The underlying class A-4 has approximately 44.1% credit enhancement. The underlying transaction is backed by a pool of 84 commercial and multifamily loans.

J.P. Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 class A-3: a 6.9% interest in the class A-3, in the amount of $100,311,438. Class A-3 is rated 'A'/Outlook Stable by Fitch and was affirmed on April 27, 2016. The underlying class A-3 has approximately 37.4% credit enhancement. The underlying transaction is backed by a pool of 176 commercial and multifamily loans.

The Re-REMIC transaction's two other underlying bonds, Wachovia Bank Commercial Mortgage Trust, series 2007-C33 class A-4 and Bear Stearns Commercial Mortgage Securities Trust 2007-PWR15 class A-4, are not rated by Fitch. Fitch reviewed the underlying collateral and performed loan level stressed analysis, reflecting cash flow and value declines under the criteria described in 'U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' dated July 18, 2016.

Wachovia Bank Commercial Mortgage Trust, series 2007-C33 class A-4: a 10.1% interest in the class A-4, in the amount of $87,579,141. The underlying class A-4 has approximately 40.6% credit enhancement. The underlying transaction is backed by a pool of 122 commercial and multifamily loans.

Bear Stearns Commercial Mortgage Securities Trust 2007-PWR15 class A-4: a 3.2% interest in the class A-4, in the amount of $23,472,824. The underlying class A-4 has approximately 31.7% credit enhancement. The underlying transaction is backed by a pool of 146 commercial and multifamily loans.

RATING SENSITIVITIES

All the ratings maintain Stable Outlooks as the underlying bonds have Stable Outlooks. Should any of the underlying bonds be downgraded the 'B' or junior certificates (direct pass-through) would be downgraded. The senior or 'A' certificates would likely be affirmed due to high implied credit enhancement.

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 following classes as indicated:

--$21,621,112* class CWCI-A at 'AAAsf'; Outlook Stable;

--$21,621,112** class CWCI-A3 at 'AAAsf'; Outlook Stable;

--$21,621,112** class CWCI-A5 at 'AAAsf'; Outlook Stable;

--$33,869,000* class CWCI-B at 'AAAsf'; Outlook Stable;

--$17,720,000** class CWCI-B1 at 'AAAsf'; Outlook Stable;

--$16,147,046** class CWCI-B2 at 'AAAsf'; Outlook Stable;

--$67,864,438* class JPMCC-A at 'AAAsf'; Outlook Stable;

--$27,369,438** class JPMCC-A1 at 'AAAsf'; Outlook Stable;

--$20,248,000** class JPMCC-A2 at 'AAAsf'; Outlook Stable;

--$20,247,000** class JPMCC-A3 at 'AAAsf'; Outlook Stable;

--$47,617,438** class JPMCC-A4 at 'AAAsf'; Outlook Stable;

--$40,495,000** class JPMCC-A5 at 'AAAsf'; Outlook Stable;

--$32,447,000* class JPMCC-B at 'Asf'; Outlook Stable;

--$16,198,000** class JPMCC-B1 at 'Asf'; Outlook Stable;

--$16,249,000** class JPMCC-B2 at 'Asf'; Outlook Stable;

--$58,756,738* class WBCMT-C33-A at 'AAAsf'; Outlook Stable;

--$22,650,738** class WBCMT-C33-A1 at 'AAAsf'; Outlook Stable;

--$18,054,000** class WBCMT-C33-A2 at 'AAAsf'; Outlook Stable;

--$18,052,000** class WBCMT-C33-A3 at 'AAAsf'; Outlook Stable;

--$40,704,738** class WBCMT-C33-A4 at 'AAAsf'; Outlook Stable;

--$36,106,000** class WBCMT-C33-A5 at 'AAAsf'; Outlook Stable;

--$28,822,403* class WBCMT-C33-B at 'AAAsf'; Outlook Stable;

--$14,443,000** class WBCMT-C33-B1 at 'AAAsf'; Outlook Stable;

--$14,379,403** class WBCMT-C33-B2 at 'AAAsf'; Outlook Stable;

--$14,535,824* class BSCMS-A at 'AAAsf'; Outlook Stable;

--$3,198,824** class BSCMS-A1 at 'AAAsf'; Outlook Stable;

--$5,669,000** class BSCMS-A2 at 'AAAsf'; Outlook Stable;

--$5,668,000** class BSCMS-A3 at 'AAAsf'; Outlook Stable;

--$8,867,824** class BSCMS-A4 at 'AAAsf'; Outlook Stable;

--$11,337,000** class BSCMS-A5 at 'AAAsf'; Outlook Stable;

--$8,937,000* class BSCMS-B at 'AAAsf'; Outlook Stable;

--$4,535,000** class BSCMS-B1 at 'AAAsf'; Outlook Stable;

--$4,402,000** class BSCMS-B2 at 'AAAsf'; Outlook Stable.

* Exchangeable REMIC certificates

** Exchangeable certificates

The exchangeable certificates CWCI A1, CWCI-A2 and CWCI-A4 have paid in full.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 16 Jun 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=882401

Global Structured Finance Rating Criteria (pub. 27 Jun 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=883130

Global Surveillance Criteria for Structured Finance CDOs (pub. 05 Jul 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=883201

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=1010539

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1010539

Endorsement Policy

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

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View source version on businesswire.com: http://www.businesswire.com/news/home/20160818006150/en/

Fitch Ratings
Primary Analyst
Amy Gan
Director
+1-212-908-9143
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
R. Brook Sutherland
Senior Director
+1-312-606-2349
or
Media Relations
Sandro Scenga
+1-212-908-0278
New York
[email protected]

Source: Fitch Ratings

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