DBRS Confirms Eight Classes of DBRR 2011-C32

DBRS has today confirmed the ratings on the following classes of DBRR 2011-C32:

-- Class A-3A at AAA (sf)
-- Class A-3A-1 at AAA (sf)
-- Class A-3AX-1 at AAA (sf)
-- Class A-3A-2 at AAA (sf)
-- Class A-3AX-2 at AAA (sf)
-- Class A-3A-3 at AAA (sf)
-- Class A-3AX-3 at AAA (sf)
-- Class A-3B at BBB (high) (sf)

All trends are Stable.

This transaction is a resecuritization, collateralized by the beneficial interests in one super-senior commercial mortgage-backed pass-through certificate (CMBS) from an underlying transaction that was securitized in 2007. The DBRR 2011-C32 resecuritization consists of a senior/subordinate pass-through sequential-pay structure. DBRS also rates the exchangeable certificates as listed above.

The underlying CMBS transaction is WBCMT 2007-C32.

DBRS analyzed the underlying certificate based on the performance of the underlying loans and the transaction structure. DBRS modeled the transaction independently and, in its review, focused on the larger assets, the specially serviced loans and the loans on the servicer’s watchlist, in an effort to most appropriately model the pivotal loans within the transactions that carry a higher likelihood of default. To simulate realized losses expected on all delinquent loans including 30-day delinquencies, DBRS either modeled these loans with 100% probability of default and the corresponding loss severity, reflective of debt yield derived by using the most recent loan level cash flow, or ran a liquidation scenario using a haircut to the latest appraisal to account for additional expenses and/or potential future value decline.

The resulting weighted-average credit enhancement requirements for all the loans in the underlying pool, at each respective rating category, were then compared to the actual credit enhancement provided to the contributed certificates within the underlying CMBS structure. Based on that comparison, the ratings confirmations were appropriate.

The ratings are dependent on the continued performance of the underlying transaction.

The ratings do not address the likelihood of additional trust fund expenses.

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

The applicable methodologies are CMBS Rating Methodology and CMBS North American Surveillance Methodology, which can be found on our website under Methodologies

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