Fitch Affirms One Class of Banc of America Funding 2012-R5 Ltd.
--$848,426,000 class A notes at 'BBBsf'; Outlook Stable.
On Aug. 22, 2012 (the Upsize Closing Date), BAFC 2012-R5 purchased an additional $241.2 million of class A-1A notes, A-1B2 notes and A-2BV certificate interest (together, the senior notes) of Triaxx Prime CDO 2006-2, Ltd./LLC (Triaxx 2006-2) and issued an additional $182.2 million of class A notes and $59 million of unrated M1, M2 and M3 subordinated notes. The combined share of notes underlying BAFC 2012-R5 is now approximately 71.9% of the $1,662.1 million face value of the senior notes of Triaxx 2006-2, or $1,195 million.
The upsized class A notes now comprise 71% of the $1,195 million face value of collateral deposited with the trust, which is identical to the original structure that closed on June 29, 2012. However, immediately prior to the amendment, the size of the class A notes was 69.9% of the collateral due to two payments since the June closing. The upsized class A notes are larger following the amendment and, correspondingly, its credit enhancement levels are lower than the original structure.
Fitch analyzed the upsized structure under the same framework used at the original closing date. The framework is described in the rating action commentary titled 'Fitch Rates One Class of Banc of America Funding 2012-R5 Ltd.' dated June 29, 2012, available at www.fitchratings.com, for more information on the framework. In addition, Fitch compared actual payments to the class A notes on the last two payments, in July and August, with its base and 'BBBsf' stress projected cash flows. The actual payments came in higher than the original projections from June.
Based on this analysis, Fitch affirms the rating of the class A notes in the upsized amount.
Additional information is available at www.fitchratings.com. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
In addition to the information sources identified in Fitch's criteria listed below, Fitch's analysis incorporated information from the LoanPerformance database including underlying loan level information and from Intex for the underlying bond structure. The re-REMIC structure was provided by Merrill Lynch, Pierce, Fenner & Smith Incorporated.
Applicable Criteria and Related Research: --'Rating Criteria for Repackaged Senior Structured Finance Notes' (Aug. 9, 2012); --'Global Structured Finance Rating Criteria' (June 6, 2012); --'Global Criteria for Cash Flow Analysis in CDOs' (Sept. 15, 2011); --'Criteria for Rating Caps in Global Structured Finance Transactions' (Aug. 2, 2012). --'Criteria for Interest Rate Stresses in Structured Finance Transactions' (March 20, 2012.)
RMBS: --'RMBS Rating Criteria' U.S. (July 20, 2012); --'U.S. Residential Mortgage Re-REMIC Criteria' (Aug. 10, 2012); --'U.S. RMBS Loan Loss Model Criteria' (Aug. 10, 2012); --'U.S. RMBS Cash Flow Analysis Criteria' (April 19, 2012); --'U.S. RMBS Surveillance Criteria' (Aug. 10, 2012).
Applicable Criteria and Related Research: U.S. RMBS Surveillance Criteria http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=685739 U.S. RMBS Cash Flow Analysis Criteria http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=675966 U.S. Residential Mortgage Re-REMIC Criteria http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=686005 U.S. RMBS Rating Criteria http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=684228 Criteria for Interest Rate Stresses in Structured Finance Transactions http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=673560 Global Criteria for Cash Flow Analysis in CDOs http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=650717 Global Structured Finance Rating Criteria http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923 Rating Criteria for Repackaged Senior Structured Finance Notes http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=686080
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|Comment:||Fitch Affirms One Class of Banc of America Funding 2012-R5 Ltd.|
|Date:||Aug 22, 2012|
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