DBRS Upgrades Five Classes of BCAP LLC 2013-RR4 Trust

DBRS, Inc. (DBRS) upgraded the ratings on the following classes of Resecuritization Trust Securities (the Certificates) issued by BCAP LLC 2013-RR4 Trust:

-- Class A-4 to A (low) (sf) from BBB (sf)
-- Class A4B1 to A (low) (sf) from BBB (sf)
-- Class A4B2 to A (low) (sf) from BBB (sf)
-- Class BX1 to A (low) (sf) from BBB (sf)
-- Class BX2 to A (low) (sf) from BBB (sf)

DBRS also confirmed the remaining classes in the transaction as follows:

-- Class A4A at AAA (sf)
-- Class A4B at AAA (sf)
-- Class A4A1 at AAA (sf)
-- Class A4A2 at AAA (sf)
-- Class X1 at AAA (sf)
-- Class X2 at AAA (sf)

All trends are Stable.

This transaction is a resecuritization, collateralized by the beneficial interests in the Class A-4 senior commercial mortgage pass-through certificate (CMBS) from the J.P. Morgan Chase Commercial Mortgage Securities Corp. 2008-C2 transaction.

The rating upgrades reflect the increased credit support to the contributing bond as a result of successful loan repayment, scheduled amortization and improved performance of the remaining loans in the underlying transaction. According to the November 2017 remittance, the underlying transaction has experienced a collateral reduction of 77.7% since issuance and the A-4 bond has been repaid by 66.5% to date. The transaction also benefits from defeasance collateral as 11 loans, representing 21.3% of the current pool balance, are fully defeased. Additionally, 16 non-defeased loans, representing 48.0% of the current pool balance, are scheduled to mature in the next year. Based on the most recent reporting available, these loans have a weighted-average exit debt yield of 11.0%; performance indicative of loans more likely to be able to secure refinancing capital. In total, maturing and defeased loans have a cumulative trust balance of $253.5 million, greater than then outstanding cumulative balance of the A-4 and A-4FL bonds of $167.3 million.

DBRS analyzed the underlying transaction applying various stresses, including haircuts to all net cash flow figures. These stressed cash flow figures were 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 analyzing 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 loan.

Classes X1 and X2 are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall.

All ratings will be subject to ongoing surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed or discontinued by DBRS.

The ratings assigned to Classes A4, A4B1, A4B2, BX1 and BX2 materially deviate from the higher ratings 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 are warranted given uncertain loan-level event risk.

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

The principal methodology is CMBS North American Surveillance, which can be found on dbrs.com under Methodologies. For a list of the Structured Finance related methodologies that may be used during the rating process, please see the DBRS Global Structured Finance Related Methodologies document on www.dbrs.com. Please note that not every related methodology listed under a principal Structured Finance asset class methodology may be used to rate or monitor an individual structured finance or debt obligation.

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

The rated entity or its related entities did participate initially in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.

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