DBRS Assigns Provisional Ratings to DBRR 2013-EZ2 Trust

DBRS has today assigned provisional ratings to the following classes of CMBS Re-REMIC Certificates (the Certificates) to be issued by DBRR 2013-EZ2 Trust. The trends are Stable.

-- Class A at AAA (sf)
-- Class X-1 at AAA (sf)
-- Class X-2 at AAA (sf)

All classes have been privately placed pursuant to Rule 144a.

The Class X-1 and Class X-2 balances are notional. DBRS ratings on interest-only certificates address the likelihood of receiving interest based on the notional amount outstanding. DBRS considers the interest-only certificate’s position within the transaction payment waterfall when determining the appropriate rating.

This transaction is a resecuritization, collateralized by the beneficial interests in 32 senior commercial mortgage pass-through certificates (CMBS) from underlying transactions that were issued in 2004, 2005 and 2007.

DBRS assigned indicative ratings for each of the contributed certificates based on the performance of
the underlying loans, the deal structures and the various parties to the transactions. DBRS modeled each transaction separately, applying various stresses, including substantial haircuts to all net cash flow (NCF) figures. This stressed cash flow was then used to determine the DBRS probability of default based on the debt service coverage ratio (DSCR) and loss given default based on the debt yield for each loan. The DBRS DSCR and debt yields at each rating category are calculated using mean reverting credit metrics, thereby modeling the loans with substantial discounts to the top of the market financing terms and appraised values.

The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance.

Notes:
All figures are in U.S. dollars unless otherwise noted.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The applicable methodology is CMBS Rating Methodology, which can be found on our website under Methodologies.