DBRS Confirms Ratings of Banc of America Re-REMIC Trust 2011-STRP

DBRS has today confirmed the ratings on the following classes of Banc of America Re-REMIC Trust 2011-STRP. All trends are Stable. In addition, DBRS has discontinued the rating for Class A-1 as the class has been repaid in full.

-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-7 at AAA (sf)
-- Class A-8 at AAA (sf)
-- Class A-9 at AAA (sf)
-- Class A-10 at AAA (sf)
-- Class X at AAA (sf)

This transaction is a resecuritization, collateralized by the beneficial interests in ten super-senior commercial mortgage-backed pass-through certificates (CMBS) from ten underlying transactions that were securitized between 2004 and 2007. Classes A-2 through A-10 in the resecuritization each correspond to a different underlying transaction. The balance of Class X is notional and is entitled to payments of interest only.

Although DBRS does not publicly rate the underlying transactions, a detailed level of analysis was performed by using the CREFC IRP files from the latest remittance period.

DBRS analyzed the underlying certificates based on the performance of the underlying loans and the transaction structure. DBRS modeled the transactions independently and, in its review, focused on the larger assets, the specially serviced loans and the loans on the servicer’s watchlist, in an effort to most appropriately model the pivotal loans within the transactions that carry a higher likelihood of default. To simulate realized losses expected on all delinquent loans including 30-day delinquencies, DBRS either modeled these loans with 100% probability of default and the corresponding loss severity, reflective of debt yield derived by using the most recent loan level cash flow, or ran a liquidation scenario using a haircut to the latest appraisal to account for additional expenses and/or potential future value decline.

The resulting weighted-average credit enhancement requirements for all the loans in the underlying pools, at each respective rating category, were then compared to the actual credit enhancement provided to the contributed certificates within the underlying CMBS structures. Based on that comparison, the ratings confirmations were appropriate.

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

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

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

These ratings are 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 (May 2011), which can be found on our website under Methodologies.

This rating is based on public information.