DBRS Confirms Ratings on DBRR 2013-EZ2 Trust

DBRS, Inc. (DBRS) has today confirmed the ratings on the following classes of CMBS Re-REMIC Certificates (the Certificates) issued by DBRR 2013-EZ2 Trust:

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

The trends are Stable.

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

This transaction is a resecuritization, originally 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. As of August 2015, only the beneficial interest in one underlying CMBS transaction serves as collateral for the loan as the other 31 contributing CUSIPs have been paid in full. As a result, the re-remic structure has experienced collateral reduction of 98.3% since issuance in February 2013.

DBRS analyzed the remaining certificate based on the performance of the underlying loans, the deal structure and the various parties to the transaction. DBRS analyzed the transaction in depth, 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 yield 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.

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

The applicable methodologies are North American CMBS Rating Methodology (June 2015) and CMBS North American Surveillance (January 2015), which can be found on our website under Methodologies.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.