DBRS Upgrades One and Confirms One Class of Series RR 2012-1 Trust, Series 2012-1

DBRS Limited (DBRS) has today upgraded the rating on the following class of Pass-Through Certificates, Series RR 2012-1 issued by Series RR 2012-1 Trust, Series 2012-1:

-- Class 1-A to AA (sf) from A (sf)

In addition, DBRS has confirmed the rating of the remaining class as follows:

-- Class 2-A at BBB (sf)

All trends are Stable.

This transaction is a securitization collateralized by the beneficial interest in seven commercial mortgage-backed security (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 upgrade reflects the positive credit characteristics of the underlying CMBS transactions. Four of the underlying CMBS transactions contribute the most junior certificate to the rated Class 1-A and unrated Class 1-B Re-REMIC structure and two underlying CMBS transactions contribute the most junior 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 1.65 times (x) to 2.37x, and the WA debt yields range from 10.9% to 14.0%. Additionally, WA net cash flow growth since issuance is significant, ranging from 30.7% to 42.9%.

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.

The rating assigned to Class 2-A materially deviates from the higher rating implied by the quantitative results. 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 results that is a substantial component of a rating methodology. The deviations for Class 2-A are warranted, given sustainability of loan performance trends not demonstrated.

Notes:
The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.

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

The principal methodologies are North American CMBS Rating Methodology (January 2017) and CMBS North American Surveillance (December 2016), which can be found on dbrs.com under Methodologies.