Fitch Affirms RBSCF Trust 2010-RR3

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed the RBSCF Trust 2010-RR3 resecuritization pass-through certificates, series 2010-RR3, as follows:

--$35,123,737* class CSMC-A at 'AAAsf'; Outlook Stable;

--$35,123,737** class CSMC-A3 at 'AAAsf'; Outlook Stable;

--$35,123,737** class CSMC-A5 at 'AAAsf'; Outlook Stable;

--$63,641,000* class CSMC-B at 'AAAsf'; Outlook Stable;

--$32,316,000** class CSMC-B1 at 'AAAsf'; Outlook Stable;

--$31,325,000** class CSMC-B2 at 'AAAsf'; Outlook Stable;

--$51,568,108* class JPMCC-A at 'AAAsf'; Outlook Stable;

--$21,616,108** class JPMCC-A1 at 'AAAsf'; Outlook Stable;

--$14,976,000** class JPMCC-A2 at 'AAAsf'; Outlook Stable;

--$14,976,000** class JPMCC-A3 at 'AAAsf'; Outlook Stable;

--$36,592,108** class JPMCC-A4 at 'AAAsf'; Outlook Stable;

--$29,952,000** class JPMCC-A5 at 'AAAsf'; Outlook Stable;

--$11,980,000** class JPMCC-B1 at 'AAAsf'; Outlook Stable;

--$56,931,139* class MSCI07-A at 'AAAsf'; Outlook Stable;

--$19,314,139** class MSCI07-A1 at 'AAAsf'; Outlook Stable;

--$18,808,000** class MSCI07-A2 at 'AAAsf'; Outlook Stable;

--$18,809,000** class MSCI07-A3 at 'AAAsf; Outlook Stable;

--$38,122,139** class MSCI07-A4 at 'AAAsf'; Outlook Stable;

--$37,617,000** class MSCI07-A5 at 'AAAsf'; Outlook Stable;

--$29,656,000* class MSCI07-B at 'AAAsf'; Outlook Stable;

--$15,046,000** class MSCI07-B1 at 'AAAsf'; Outlook Stable;

--$14,610,000** class MSCI07-B2 at 'AAAsf'; Outlook Stable;

--$80,782,177* class WBCMT-A at 'AAAsf'; Outlook Stable;

--$36,430,177** class WBCMT-A1 at 'AAAsf'; Outlook Stable;

--$22,176,000** class WBCMT-A2 at 'AAAsf'; Outlook Stable;

--$22,176,000** class WBCMT-A3 at 'AAAsf'; Outlook Stable;

--$58,606,177** class WBCMT-A4 at 'AAAsf'; Outlook Stable;

--$44,352,000** class WBCMT-A5 at 'AAAsf'; Outlook Stable;

--$17,741,000** class WBCMT-B1 at 'AAAsf'; Outlook Stable.

Fitch does not rate the following:

--$23,821,000* class JPMCC-B;

--$11,841,000** class JPMCC-B2;

--$0** class MSCI04-C;

--$35,372,000* class WBCMT-B;

--$17,631,000** class WBCMT-B2.

* Exchangeable REMIC Certificates

** Exchangeable Certificates

The classes CSMC-A1, CSMC-A2, CSMC-A4, MSCI04-A, MSCI04-A1 through MSCI04-A8, and MSCI04-B have paid in full.

KEY RATING DRIVERS

The affirmations of the re-remic bonds are based on increased credit enhancements of the underlying bonds. The transaction is a resecuritization of the ownership interest in four commercial mortgage-backed certificates which total $376,895,161. The transaction currently consists of four re-REMIC bond groups (originally five) backed by four underlying bonds, three of which are rated by Fitch. 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 are applied in reverse sequential order.

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 U.S. Re-REMIC Criteria ' dated Nov. 13, 2015.

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

Credit Suisse Commercial Mortgage Trust 2006-C4 class A-3: Approximately 12% interest in the class A-3, in the amount of $98,764,737. The class A-3 is rated 'AAAsf'/Outlook Stable by Fitch. The underlying class A-3 has approximately 41.4% credit enhancement. The underlying transaction was reviewed by Fitch in December 2015 and was affirmed.

J.P. Morgan Chase Commercial Mortgage Securities Trust 2007-LDP10 Class A-3: Approximately 5% interest in the class A-3, in the amount of $75,839,108. The class A-3 is rated 'AAAsf'/ Outlook Stable. The underlying class A-3 has approximately 31.4% credit enhancement. The underlying transaction was reviewed by Fitch in June 2015 and was affirmed.

Morgan Stanley Capital I Trust 2007-IQ15 Class A-4: Approximately 13% interest in the class A-4, in the amount of $86,587,139. The class A-4 is rated 'AAAsf'/Outlook Stable. The underlying class A-4 has approximately 33.6% credit enhancement. The underlying transaction was reviewed by Fitch in November 2015 was affirmed.

Wachovia Bank Commercial Mortgage Trust, Series 2007-C33 Class A-4: Approximately 12% interest in the class A-4, in the amount of $116,154,177. The underlying class A-4 has approximately 42.2% credit enhancement. The underlying transaction is backed by a pool of 125 commercial and multifamily loans. This transaction is not rated by Fitch. Fitch reviewed the underlying collateral and performed loan level stressed analysis, reflected in the criteria described in 'U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria' (Nov. 13, 2015).

RATING SENSITIVITIES

The bonds in the Re-REMIC transaction maintain Stable Outlooks as the rated classes, which are direct pass-throughs to the underlying transactions also maintain Stable Outlooks. The Stable Outlooks reflect the increased credit enhancement from continued principal paydown and stable performance of the underlying collateral.

DUE DILIGENCE USAGE

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

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

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=1003547

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1003547

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/20160428006940/en/

Fitch Ratings, Inc.
Primary Analyst
Darren Liss
Director
+1-212-908-0753
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Mary MacNeill
Managing Director
+1-212-908-0785
or
Media Relations
Alyssa Castelli, +1-212-908-0540
[email protected]
Elizabeth Fogerty, +1-212-908-0526
[email protected]

Source: Fitch Ratings

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