DBRS Assigns Finalized Ratings to Banc of America Re-REMIC Trust 2009-UBER1

DBRS has today assigned finalized ratings to the following classes of Banc of America Re-REMIC Trust 2009-UBER1 Commercial Mortgage Pass-Through Certificates. The trends are Stable.

– Class A-4A at AAA
– Class A-4B at A

The transaction is collateralized by the beneficial interests in nine super-senior commercial mortgage-backed pass-through certificates from nine underlying transactions that were securitized between 2006 and 2007. The transaction is a senior/subordinate pass-through providing a sequential pay structure intended to contain any potential losses within Class A-4B. In each instance, the super-senior underlying certificates have subordination in excess of 30%. However, if significant losses were to occur in one of the underlying transactions and its corresponding certificate, the losses would not be offset by the other mortgage pools or certificates within this trust. As such, DBRS rated Class A-4B to a first dollar loss scenario, and in so doing, DBRS analyzed each of the nine underlying transactions separately to determine the ratings floor. Although DBRS does not publicly rate any of the underlying transactions, a detailed level of analysis on each transaction was performed to derive an indicative rating for each contributed certificate.

DBRS assigned indicative ratings for each of the contributed certificates based on the performance of the underlying loans, the deal structures, and the various parties to the transactions. DBRS modeled each transaction separately and conducted a comprehensive review of the larger assets and the servicer’s watchlist to identify and properly model pivotal assets that carry a higher likelihood of default. DBRS reviewed the most recent servicer site inspections, rent rolls, operating statements, and any market data to further determine a loans’ risk profile. Additionally, all specially serviced assets were reviewed and a liquidation scenario was completed in order to determine a knowledgeable estimate of losses that were then artificially applied to each respective trust.

The remaining performing loans were modeled, and each contributed certificate was sized against its liquidation scenario to determine appropriate credit enhancement for the indicative ratings. DBRS sized each deal using current whole loan outstanding balances and updated net operating income (NOI). DBRS arrived at a stabilized net cash flow (NCF) for each loan and generally applied a further 10% negative adjustment to the NCF to capture additional cash flow volatility anticipated, given property markets are likely to continue to soften throughout the next year. This stressed cash flow was then used to determine DBRS probability of default based on DSCR and loss given default based on LTV for each loan. DBRS DSCR and LTV are calculated using mean reverting constants and capitalization rates respectively, thereby modeling the loans with substantial discounts to the top of the market financing terms and appraised values.

The review of the underlying collateral resulted in indicative investment grade ratings on each of the nine underlying certificates, the lowest of which was ‘A’.

The ratings are dependent on the performance of the underlying deals. DBRS will perform monthly analytics, surveying the underlying deals for losses, delinquencies, prepayments, cash flow migration, and corresponding DSCR volatility.

Note:
All figures are in US dollars unless otherwise noted.

The applicable methodology is CMBS Rating Methodology, which can be found on our website under Methodologies.

This is a Structured Finance CMBS rating.

This rating is based on public information.