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

DBRS Limited (DBRS Morningstar) upgraded the rating on one class of Pass-Through Certificates, Series RR 2012-1 issued by Series RR 2012-1 Trust, Series 2012-1 as follows:

-- Class 2-A to AAA (sf) from AA (low) (sf)

The trend is Stable.

Series RR 2012-1 is a resecuritization collateralized by the beneficial interest in two commercial mortgage-backed pass-through certificates from two underlying DBRS Morningstar-rated transactions: FREMF 2012-K17 Mortgage Trust, Series 2012-K17 (FREMF 2012-K17) and FREMF 2012-K19 Mortgage Trust, Series 2012-K19 (FREMF 2012-K19). The ReREMIC ratings depend on the performance of these underlying transactions.

The rating upgrade for the Class 2-A certificates reflects the increased credit support for the underlying transactions and the generally strong performance of each underlying deal. As of the February 2021 remittance, the FREMF 2012-K17 transaction has experienced a collateral reduction of 20.8% since issuance and benefits from defeasance collateral totalling 42.3% of the current pool balance, with all of the remaining loans scheduled to mature by December 2021. In addition, as of the February 2021 remittance, the FREMF 2012-K19 transaction has experienced a collateral reduction of 18.7% since issuance and also benefits from defeasance collateral totalling 53.2% of the current pool balance, with all of the remaining loans scheduled to mature by May 2022. The weighted average (WA) debt service coverage ratios of these underlying transactions are 1.87 times (x) and 1.54x, respectively, with the WA debt yields at 12.6% and 10.8%, respectively, as of February 2021.

As of February 2021, two underlying transactions contribute to the Re-REMIC structure. Both of the remaining underlying commercial mortgage-backed security transactions contribute the most junior certificates to the rated Class 2-A and unrated Class 2-B Re-REMIC structure.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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

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

The principal methodology is North American CMBS Surveillance Methodology (March 6, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. For a list of the structured-finance-related methodologies that may be used during the rating process, please see the DBRS Morningstar Global Structured Finance Related Methodologies document, which can be found on dbrsmorningstar.com in the Commentary tab under Regulatory Affairs. 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.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

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 under Related Documents or by contacting us at [email protected].

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process. Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The DBRS Morningstar long-term rating scale definition indicates that ratings of CCC or lower are assigned when the bond is highly likely to default or default is imminent, thereby prevailing over a sensitivity analysis.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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