DBRS Confirms Ratings of Banc of America Re-REMIC Trust 2011-STRP

DBRS, Inc. (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-8 at AAA (sf)
-- Class X at AAA (sf)

This transaction is a resecuritization, collateralized by the beneficial interest in one super-senior commercial mortgage-backed pass-through certificate (CMBS) from one underlying transaction that was securitized in 2007. Each of the individual classes in the resecuritization corresponds specifically to this underlying transaction. The balance of Class X is notional and is entitled to payments of interest only and originally had a pooled notional balance, but is now tied solely to the remaining underlying contributed certificate.

The underlying transaction and class within the resecuritization is as follows:

-- BACM 2007-2, Class A-2

DBRS analyzed the underlying certificate 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 certificate 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 transactions.

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