DBRS Changes Trend on One Class in Series RR 2012-1 Trust from Stable to Positive, Confirms Both Classes

DBRS, Inc. (DBRS) has today confirmed the ratings on the following classes of Pass-Through Certificates, Series RR 2012-1 issued by Series RR 2012-1 Trust.

-- Class 1-A at BBB (low) (sf)
-- Class 2-A at BBB (low) (sf)

The trend of Class 1-A has been changed to Positive from Stable. The trend on Class 2-A remains Stable.

This transaction is a securitization collateralized by the beneficial interest in seven CMBS pass-through certificates from six Federal Home Loan Mortgage Corporation deals issued from 2010 through 2012.
DBRS publicly rates four of the six underlying transactions. The trend change on Class 1-A to Positive from Stable is a result of the improvement in credit metrics of four of the underlying CMBS transactions contributing to the Re-REMIC structure. Excluding defeasance collateral, the weighted average (WA) debt service coverage ratios for these transactions range from 1.63 times (x) to 1.70x and the WA debt yields range from 9.7% to 12.2%. Additionally, WA net cash flow growth since issuance is significant, ranging from 16.9% to 30.4%.

DBRS modeled each underlying CMBS transaction separately, applying various stresses, including cash flow haircuts to all loans in each pool. This stressed cash flow was then used to determine the DBRS probability of default, based on the debt service coverage ratio, and loss given default, based on the debt yield for each loan.

The ratings are dependent on the performance of the underlying transactions.

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

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

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

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