DBRS Confirms Ratings of DBRR 2012-EZ1

DBRS has today confirmed the ratings of the following classes of DBRR 2012-EZ1 Trust, CMBS ReREMIC Certificates, Series 2012-EZ1 (the Certificates). All trends are Stable.

-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class X-1 at AAA (sf)
-- Class X-2 at AAA (sf)
-- Class X-4 at AAA (sf)
-- Class X-5 at AAA (sf)

The Classes X-1, X-2, X-4 and X-5 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-backed pass-through certificates (CMBS) from underlying transactions that were issued in 2004. The DBRR 2012-EZ1 Trust resecuritization consists of a senior/subordinate pass-through sequential-pay structure. DBRS has confirmed ratings to the Certificates as highlighted above.

DBRS analyzed 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.

Class C currently shows a small interest shortfall that DBRS believes was passed through erroneously to this class based on pre-payment interest shortfalls within a few underlying CUSIPs. DBRS ratings took into consideration a reduced coupon payable in the event of pre-payment interest shortfalls and, as such, DBRS will follow up with the Issuer for further explanation.

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.