DBRS Confirms Ratings of Banc of America Re-REMIC Trust 2010-UBER5

DBRS has today confirmed the ratings of the following classes of Banc of America Re-REMIC Trust 2010-UBER5 Commercial Mortgage Pass-Through Certificates.

– Class A-4A at AAA (sf)
– Class A-4B at BBB (sf)

The trends are Stable.

The rating on Class A-4B has been removed from Under Review with Negative Implications, where it was placed on March 21, 2012. The review was initiated as the most recent appraisal reduction amount (ARA) for The Promenade Shops at Dos Lagos, the largest loan in the J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2008-C2, Class A-4 transaction (the JPMCC 2008-C2 Transaction), implied that the ultimate loss severity could approach or exceed 100% as the loan was ultimately resolved. DBRS has conducted a thorough analysis of the JPMCC 2008-C2 Transaction and has determined that losses in a simulated liquidation scenario are not likely to hit the A-AB bond contributed to the Re-REMIC or affect the performance of the Re-REMIC structure through the near term. This supports the removal of the Under Review with Negative Implications designation.

The transaction is collateralized by the beneficial interests in six commercial mortgage-backed pass-through certificates from six underlying transactions that were securitized in 2007 and 2008. The transaction is a senior/subordinate pass-through, providing a sequential-pay structure intended to contain any potential losses within Class A-4B. The underlying certificates have been pooled together within the Banc of America Re-REMIC Trust 2010-UBER5 structure. If significant losses were to occur in one of the underlying transactions and its corresponding certificate, the losses would not be offset by the credit enhancement provided by the other underlying certificates within this trust. As such, DBRS rated Class A-4B to a first dollar loss scenario in order to determine the rating floor for Class A-4B. DBRS analyzed each of the six underlying transactions separately. Although DBRS does not publicly rate any of the underlying transactions, a detailed level of analysis on each transaction was performed.

The six underlying transactions and classes within the resecuritization are as follows:
-- Bear Stearns Commercial Mortgage Securities, Series 2007-PWR15, Class A-4
-- Credit Suisse Commercial Mortgage Trust, Series 2007-C4, Class A-4
-- J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2007-LDP10, Class A-3
-- J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2008-C2, Class A-4
-- ML-CFC Commercial Mortgage Trust, Series 2007-9, Class A-4
-- Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A-5

DBRS analyzed the underlying certificates based on the performance of the underlying loans and the transaction structures. 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.