DBRS Confirms Ratings of BAMLL Re-REMIC Trust 2011-07C1

DBRS, Inc. (DBRS) has today confirmed the ratings of the following classes of BAMLL Re-REMIC Trust 2011-07C1. The trends are Stable.

-- Class A-3A at AAA (sf)
-- Class A-3B at A (sf)

This transaction is a resecuritization, collateralized by the beneficial interests in one super-senior commercial mortgage-backed pass-through certificate (CMBS) from an underlying transaction that was securitized in 2007. The BAMLL Re-REMIC Trust 2011-07C1 resecuritization consists of a senior/subordinate pass-through sequential-pay structure intended to contain any potential transaction-specific losses within the A-3B Class.

The underlying CMBS transaction is CSMC 2007-C1. Although DBRS does not publicly rate the underlying transaction, 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 transaction 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 pool, at each respective rating category, were then compared to the actual credit enhancement provided to the contributed certificates within the underlying CMBS structure. Based on that comparison, the rating confirmations were appropriate.

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

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

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

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

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.

The applicable methodologies are CMBS Rating Methodology (March 2015) and North American CMBS Surveillance Methodology (January 2015), which can be found on our website under Methodologies.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com