DBRS Upgrades the Rating of Banc of America Re-REMIC Trust 2010-UBER4 to AAA (sf)

DBRS, Inc. (DBRS) has today upgraded the rating of the following Commercial Mortgage Pass-Through Certificates (the Certificates) issued by Banc of America Re-REMIC Trust 2010-UBER4 (the Trust):

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

The trend is Stable.

The rating upgrade reflects the improved credit characteristics of the underlying CMBS bond as a result of scheduled loan amortization, successful loan repayment, proceeds recovered from specially serviced loans and stabilizing cash flows on performing loans. 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 the April 2016 remittance, the remaining contributing CMBS certificates are as follows:

-- JPMCC 2004-LN2, Class A-2

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 the remaining underlying transaction and rated Class A-4B to a first-dollar-loss scenario reflective of the lowest rating of the underlying contributed classes. Although DBRS does not publicly rate this underlying transaction, a detailed level of analysis was performed.

DBRS analyzed the underlying certificate based on the performance of the underlying loans and the transaction structure. DBRS modeled the transaction 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 commercial mortgage-backed security (CMBS) structure. Based on that comparison, the rating upgrade was appropriate.

The rating is dependent on the continued performance of the underlying transaction.

The rating does 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 applicable methodologies are North American CMBS Rating Methodology (March 2016) and CMBS North American Surveillance (December 2015), which can be found on our website under Methodologies.