DBRS Assigns Provisional Ratings to DBRR 2013-EZ3
CMBSDBRS has today assigned provisional ratings to the following classes of DBRR 2013-EZ3 Trust, CMBS ReREMIC Certificates, Series 2013-EZ3. All trends are Stable.
-- Class A at AAA (sf)
-- Class B at A (high) (sf)
-- Class C at A (sf)
-- Class X-1 at AAA (sf)
-- Class X-2 at AAA (sf)
The Class X-1 and 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 23 senior commercial mortgage-backed pass-through certificates (CMBS) from underlying transactions that were issued between 2004 and 2007. The DBRR 2013-EZ3 resecuritization consists of a senior/subordinate pass-through sequential-pay structure. DBRS has assigned ratings to the certificates as highlighted above.
DBRS assigned provisional 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 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 are dependent on the performance of the underlying transactions.
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.
The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link to the right under Other Research or by contacting us at info@dbrs.com.
Ratings
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