DBRS Places Class A-4B of Banc of America Re-REMIC Trust 2010-UBER5 Under Review with Negative Implications

DBRS has today placed the rating of Class A-4B of Banc of America Re-REMIC Trust 2010-UBER5 Commercial Mortgage Pass-Through Certificates Under Review with Negative Implications and removed the trend. DBRS has placed the Class Under Review as the result of a steep decline in performance of the loans in one of the underlying CMBS transactions, JPMCC 2008-C2.

As of the March 2012 remittance report, the largest loan in JPMCC 2008-C2, Prospectus ID#1 – The Promenade Shops at Dos Lagos, had an appraisal reduction amount (ARA) of approximately $123.0 million. This ARA represents approximately 98.2% of the loan’s outstanding principal balance. Based on this updated information, the implied loss severity on the loan could approach or exceed 100%, and given its position as the largest loan in the JPMCC 2008-C2 transaction, the impact to the underlying CMBS bonds will likely be significant.

Additionally, the third-largest loan in the JPMCC 2008-C2 transaction, Prospectus ID#3 – Westin Portfolio, has been with the special servicer since October 2008. This loan represents one portion of a two-piece pari passu loan, with the other piece in the JPMCC 2007-C1 transaction. As of the March 2012 remittance report, the current outstanding whole loan balance is approximately $296.6 million. The most recent appraisal valued the portfolio at $112.5 million, compared with $303.8 million at securitization. Given the steep decline in the appraised value since issuance, in addition to the large amount of fees that have accumulated during the loan’s time with the special servicer, the resolution of this loan is likely to result in a significant loss to the underlying CMBS transaction. Although the DBRS projected losses for these two loans would not hit the A-4 class contributed to the Re-REMIC, its credit profile would be significantly impaired; therefore, DBRS is in the process of completing a full review of the transaction.

As the JPMCC 2008-C2 transaction is the second-largest underlying CMBS contribution to the BALL 2010-UBER5 Re-REMIC, DBRS has placed the Class A-4B Under Review with Negative Implications. With the transaction Under Review, DBRS will more closely monitor and analyze the impact of the performance changes within the JPMCC 2008-C2 transaction on the BALL 2010-UBER5 ReREMIC, in addition to that of the other underlying CMBS transactions.

DBRS expects to complete a full review of this transaction and take ratings actions in the near term.

The ratings are dependent on the continued performance of the underlying deals.

The ratings do not address the likelihood of additional trust fund expenses.

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

The applicable methodologies are CMBS Rating Methodology and CMBS Global Surveillance, which can be found on our website under Methodologies.