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.

-- 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-8 at AAA (sf)
-- Class X at AAA (sf)

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

The five underlying transactions and classes within the resecuritization are as follows:

-- GSMS 2004-GG2, Class A-5
-- GSMS 2006-GG8, Class A-3
-- WBCMT 2007-C34, Class A-2
-- LBUBS 2007-2, Class A-2
-- BACM 2007-2, Class A-2

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 rating confirmations were appropriate.

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

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

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

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

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