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

DBRS has today confirmed all four classes of Banc of America Re-Securitization Trust 2009-CAO (the Trust) Commercial Mortgage Backed Certificates 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 were originated between 1996 and 1998 and, as of the May 2012 remittance, are secured by fee and/or leasehold interests in 53 commercial and multifamily mortgaged properties.

DBRS has confirmed ratings of AAA (sf) for each of the contributed certificates, based on the performance of the underlying loans and the deal structure. Underlying transaction strengths include the significant paydown of approximately 68.6% since the original issuance in 1998. The most senior class at issuance has been repaid in full and the credit enhancement for the remaining senior certificates has increased substantially. The underlying CMBS backing the Class A2 Certificates CAO Class 3A-2 certificate, with current credit enhancement of 94.75%, is an increase from 37.0% at issuance. Similarly, the underlying CMBS backing the Class B Certificates consists of the CAO Class 3B certificate, with current credit enhancement of 61.31%, up from 26.5% at issuance.

As of the May 2012 remittance report, there were two delinquent loans in the CAO pool, comprising 7.63% of the pool. One of the delinquent loans, Prospectus ID #3 (Denver Merchandise Mart), represents 5.58% of the outstanding pool balance and is REO. There have been historical losses of $31.43 million to the Trust as of the May 2012 remittance. DBRS modeled both of the outstanding delinquent loans with a stress to the underwritten net cash flow (NCF) figure and a 100% probability of default. Given that this is a seasoned transaction, DBRS did not have access to updated cash flows for the remaining properties in the pool. Therefore, as a base case, DBRS modeled the remaining loans in the pool using the original property cash flows from 1998. DBRS is comfortable that this is a conservative approach, while commercial real estate cash flows have declined since their peak in 2007, the level of decline from the peak would not be lower than the cash flows of the 1998 vintage. The base case is further stressed to arrive at the ratings for the transaction. 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.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The applicable methodologies are CMBS Rating Methodology (January 2012) and CMBS North American Surveillance Methodology (May 2011), which can be found on our website under Methodologies.

This rating is based on public information.