DBRS Confirms All Four Classes of Banc of America Re-Securitization Trust 2009-CAO Commercial Mortgage Certificate-Backed Certificates

DBRS has today confirmed all four classes of Banc of America Re-Securitization Trust 2009-CAO Commercial Mortgage Certificate-Backed Certificate with Stable trends as follows:

– Class A2 at AAA (sf)
– Class A2-IO at AAA (sf)
– Class B at AAA (sf)
– Class B-IO at AAA (sf)

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 has confirmed 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. The underlying transactions have experienced significant pay down, approximately 61% since the original issuance in 1998. The leverage on a outstanding loan per unit or per square foot basis is considered low. The credit enhancement has also increased substantially. The underlying CMBS transactions backing the CAO Class A2 and Class 3A-2 Certificates have a current credit enhancement of 76.99%, a number that is up substantially from the 37.0% credit enhancement at issuance. Similarly, the underlying CMBS transactions backing the Class B Certificates have a current credit enhancement of 50.11%, a number that is up from issuance at 26.5%.

Of concern is the 15.9% of the pool that is currently delinquent and/or in special servicing. DBRS modeled all of these loans with a 100% probability of default and net cash flow (NCF) of 0.80x. DBRS did not have access to updated cash flows on the remaining properties in the pool but was able to determined that the deal can sustain an approximate 75% and 44% performance decline, respectively, before hitting the CAO Class 3-A2 and Class B. The DBRS probability of default was based on the whole mortgage, as an update on additional debt and pari-passu participations was obtained. DBRS also increased the probability of default on all leasehold estates, as the specific terms of the underlying ground leases were not available.

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

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

This rating is based on public information.