DBRS Assigns Finalized Ratings to Banc of America Re-Securitization Trust 2009-CAO Commercial Mortgage Certificate-Backed Certificates

DBRS assigned finalized ratings to the following classes of Banc of America Re-Securitization Trust 2009-CAO Commercial Mortgage Certificate-Backed Certificates on December 23, 2009. The trends are Stable.

– Class A2 at AAA
– Class A2-IO at AAA
– Class B at AAA
– Class B-IO at AAA

The transaction is collateralized by the beneficial ownership interests in two classes of commercial mortgage-backed bonds of the Commercial Capital Access One, Inc. Commercial Mortgage Bonds, Series 3 issuance (CAO). The underlying mortgage loans are secured by fee and/or leasehold interests in 73 commercial and multifamily mortgaged properties originated between 1996 and 1998.

DBRS assigned indicative ratings of ‘AAA’ for each of the contributed certificates based on the performance of the underlying loans, the deal structure, and the various parties to the transactions. Underlying transaction strengths include: 1)the significant pay down, approximately 54%, since the original issuance in 1998, 2) the leverage, on a loan per unit or per square foot basis, outstanding is considered very low and 3) credit enhancement has also increased substantially. The underlying CMBS collateral backing the Class A2 Certificates consists of the CAO Class 3A-2 certificate, has a current credit enhancement of 66.8%, up substantially from 37.0% at issuance. Similarly, the underlying CMBS collateral backing the Class B Certificates consists of the CAO Class 3B certificate, which has current credit enhancement of 43.9%, up from 26.5% at issuance.

The high delinquency rate of 8.6% is of concern. DBRS modeled all delinquent loans with a 100% probability of default. Given this is a seasoned transaction, DBRS did not have access to updated cash flows on the remaining properties in the pool but determined that the deal can sustain a decline in cash flow of approximately 65% and 35% before hitting the Class 3-A2 and Class B, respectively. The DBRS probability of default was based on the whole mortgage, as an update on additional debt and pari-passu participations was obtained. DBRS reviewed a sample of the servicer’s site inspections that varied in property quality, but stressed the entire pool with a below average quality adjustment. Furthermore, DBRS increased the probability of default on all leasehold estates, as the specific terms of the underlying ground leases were not available.

The ratings are dependent on the performance of the underlying deal. DBRS will perform monthly analytics, surveying the underlying deal 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.