DBRS Confirms the Ratings of Banc of America Re-REMIC Trust 2009-UBER2 Commercial Mortgage Pass-Through Certificates

DBRS has today confirmed the ratings of the following classes of Banc of America Re-REMIC Trust 2009-UBER2 Commercial Mortgage Pass-Through Certificates.

– Class A-4A-A at AAA (sf)
– Class A-4A-B at AAA (sf)
– Class A-4A-C at AAA (sf)
– Class A-4B-1 at AAA (sf)
– Class A-4B-2 at A (sf)
– Class A-4B-3 at A (high) (sf)
– Class A-4B-4 at AA (low) (sf)
– Class A-4B-5 at AAA (sf)
– Class A-4B-6 at AA (sf)
– Class A-4B-7 at AAA (sf)
– Class A-4B-8 at AAA (sf)
– Class A-4B-9 at A (sf)

All trends are Stable.

The transaction is collateralized by the beneficial interests in nine super-senior commercial mortgage-backed pass-through certificates from nine underlying transactions that were securitized between 2007 and 2008. The transaction is a senior/subordinate pass-through providing a sequential pay structure intended to contain any deal specific potential losses within each respective Class A-4B (one through nine). Both Class A-4A-A and Class A-4A-B correspond to a different combination of the nine underlying deals, and Class A-4A-C corresponds to just one of the underlying transactions. If significant losses were to occur in one of the underlying transactions and its corresponding certificate, the losses would not be offset by the other mortgage pools or certificates within this trust. As such, DBRS rated Classes A-4B-1 through A-4B9 to a first dollar loss scenario and in so doing DBRS analyzed each of the nine underlying transactions separately to determine the ratings floor. Although DBRS does not publicly rate any of the underlying transactions, a detailed level of analysis on each transaction was performed.

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.