Fitch Ratings rates Credit Suisse First Boston Mortgage Securities Corp., CSMC series 2009-RR4 as follows:
-$24,267,000* class A4-A 'AAA'; Outlook Stable;
-$19,400,000** class A4-A-A 'AAA'; Outlook Stable;
-$4,867,000** class A4-A-B 'AAA'; Outlook Stable;
-$9,660,000* class A4-B 'AAA'; Outlook Stable;
-$4,830,000** class A4-B-A 'AAA'; Outlook Stable;
-$4,830,000** class A4-B-B 'AAA'; Outlook Stable.
*Exchangeable certificates
**Exchangeable REMIC certificates
This transaction is a resecuritization of the ownership interest in a single commercial mortgage-backed certificate, CSMC 2007-C5 class A-4 (rated 'AAA'; Outlook Stable). Principal and interest from the underlying commercial mortgage-backed certificate is applied to the A4-A, A4-B certificates in sequential order, while losses are applied in reverse sequential order.
As a resecuritization, the classes will receive its cash-flows from CSMC 2007-C5, class A-4 certificate which is backed by a pool 196 multifamily and commercial mortgage loans with a principal balance of approximately $2.7 billion. Classes A4-A and A4-B have a total principal balance of $33,927,000 which represents approximately 3.5% of the total balance of the underlying class A4 certificate. 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 can not exceed $33,927,000.
Credit enhancement is approximately 60% for class A4-A-A, 50% for classes A4-A and A4-A-B, 40% for class A4-B-A, and 30% for classes A4-B and A4-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.
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.
Fitch reviewed the underlying collateral and performed loan level stressed analysis, reflecting cash flow and value declines under the criteria described in 'Surveillance Methodology for Recent Vintage US CMBS' dated July 7, 2009.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, '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.
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Fitch Ratings
Christopher Pilat, 312-606-2305, Chicago
Eric
Rothfeld, 212-908-0761, New York
or
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Sandro
Scenga, 212-908-0278, New York
Email: sandro.scenga@fitchratings.com