DBRS Confirms Ratings on BCAP LLC 2013-RR4 Trust

DBRS, Inc. (DBRS) has today confirmed ratings of the following classes of Resecuritization Trust Securities (the Certificates) issued by BCAP LLC 2013-RR4 Trust. The trends are Stable.

-- Class A-4 at BBB (sf)
-- Class A4A1 at AAA (sf)
-- Class A4B1 at BBB (sf)
-- Class X1 at AAA (sf)
-- Class A4A2 at AAA (sf)
-- Class A4B2 at BBB (sf)
-- Class X2 at AAA (sf)
-- Class BX1 at BBB (sf)
-- Class BX2 at BBB (sf)
-- Class A4A at AAA (sf)
-- Class A4B at AAA (sf)

The Class X1 and Class X2 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 certificates’ position within the transaction payment waterfall when determining the appropriate rating. Class A4 may be exchanged for the other classes in ten different combinations.

This transaction is a resecuritization, collateralized by the beneficial interests in one senior commercial mortgage pass-through certificate (CMBS) from the J.P. Morgan Chase Commercial Mortgage Securities Corp. 2008-C2 transaction.

DBRS modeled the underlying transaction applying various stresses, including 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. Larger loans were reviewed in detail, including delinquent and specially serviced loans, as well as loans on the servicer’s watchlist. DBRS also utilized liquidation scenarios to analyze the specially serviced loans.

The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance.

The ratings assigned to Classes A4, A4B1, A4B2, BX1 and BX2 materially deviate from the higher ratings implied by the quantitative model. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative model that is a substantial component of a rating methodology; in this case, the assigned ratings reflect uncertain loan-level event risk.

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 (October 2016), 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.