DBRS Upgrades Two Classes of Series RR 2012-1 Trust

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

-- Class 1-A to A (sf) from BBB (low) (sf)
-- Class 2-A to BBB (sf) from BBB (low) (sf)

All trends are 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 to 2012. DBRS publicly rates four of the six underlying transactions. The rating upgrades reflect the positive credit characteristics of all six underlying CMBS transactions. Four of the underlying CMBS transactions contribute the junior most certificate to the rated Class 1-A and unrated Class 1-B Re-REMIC structure, and two underlying CMBS transactions contribute the junior most certificate to the rated Class 2-A and unrated Class 2-B Re-REMIC structure. Excluding defeasance collateral, the weighted average (WA) debt service coverage ratios (DSCRs) for these underlying transactions range from 1.61 times (x) to 2.25x, and the WA debt yields range from 9.7% to 12.9%. Additionally, WA net cash flow growth since issuance is significant, ranging from 18.3% to 39.4%.

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 DSCR, and the 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 North American CMBS Rating Methodology (March 2016) and CMBS North American Surveillance Methodology (December 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.