DBRS Confirms Ratings of Banc of America Re-REMIC Trust 2010-UBER4

DBRS has today confirmed the ratings of the following classes of Banc of America Re-REMIC Trust 2010-UBER4 (the Trust).

– Class A-4A at AAA (sf)
– Class A-4B at AA (high) (sf)

The trends are Stable.

The transaction was originally collateralized by the beneficial interests in eight super-senior commercial mortgage-backed pass-through certificates from eight underlying transactions that were securitized in 2004. As of August 2014, the remaining contributing CMBS certificates are as follows:

-- COMM 2004-LNB4, Class A-5
-- JPMCC 2004-LN2, Class A-2
-- CSFB 2004-C5, Class A-4
-- GMACC 2004-C3, Class A-5
-- WBCMT 2004-C15, Class A-4

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-UBER4 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 analyzed each of the remaining seven underlying transactions separately and rated Class A-4B to a first dollar loss scenario reflective of the lowest rating of the underlying contributed classes. Although DBRS only publicly rates one 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 commercial mortgage-backed security (CMBS) structures. Based on that comparison, the ratings 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:
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.