Fitch Affirms 2 Classes of BAFC 2012-R4 and BAFC 2012-R5

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed two classes of notes from Banc of America Funding 2012-R4 Trust (BAFC 2012-R4) and Banc of America Funding 2012-R5 Ltd. (BAFC 2012-R5). The Rating Outlook is Stable.

KEY RATING DRIVERS

The affirmations are attributed to the stable performance of the underlying portfolios and the continued principal amortization of the notes since Fitch's last review in July 2014, which is in line with the projections at closing.

The class A notes of BAFC 2012-R4 have received approximately $90.9 million, or 46.5% of their previous balance, in principal redemptions over the last year. This is in line with Fitch's projections from the initial rating.

The class A notes of BAFC 2012-R5 have received approximately $162.6 million, or 42.6% of their previous balance, in principal redemptions over the last year. This is in line with Fitch's projections at the initial rating.

Future cash flows projected under the 'AAAsf' stresses indicate sufficient coverage for both notes. Despite this, the notes ratings are capped at 'Asf' given that the collateral in the underlying CDOs is predominantly distressed or defaulted and the rating framework focused on recovery projections that are prone to volatility.

BAFC 2012-R4 is a re-securitization of 82.6% of the class A-1 notes issued by Triaxx Prime CDO 2006-1, Ltd. (Triaxx 2006-1), with the current notional value of $543.8 million. The underlying portfolio of Triaxx 2006-1 is predominantly non-prime RMBS from 2005, 2006, and 2007 vintages.

BAFC 2012-R5 is collateralized by 96.2% of the class A-1A notes and 70.1% of the A-1B2 notes issued by Triaxx Prime CDO 2006-2, Ltd (Triaxx 2006-2). The classes' current outstanding balances are $268.9 million and $537.9 million, respectively. The underlying portfolio of Triaxx 2006-2 is predominantly non-prime RMBS from 2006 and 2007 vintages.

Fitch's rating analysis incorporated projected recoveries from the RMBS bonds held by the underlying SF CDOs and assessment of the structural features at the SF CDOs and repacks' level.

RATING SENSITIVITIES

The ratings of the BAFC 2012-R4 and BAFC 2012-R5 class A notes remain sensitive to any potential changes of Fitch's future recovery expectations for the underlying assets.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

Fitch has affirmed the following ratings:

Banc of America Funding 2012-R4

--$104,613,080 class A notes at 'Asf', Outlook Stable;

Banc of America Funding 2012-R5 Ltd.

--$219,131,708 class A notes at 'Asf', Outlook Stable.

Fitch does not rate the class M certificates of BAFC 2012-R4 or the class M, M1, M2, M3 and M4 certificates of BAFC 2012-R5.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum (pub. 14 May 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744175

Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 28 May 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748781

Global Rating Criteria for Structured Finance CDOs (pub. 16 Jul 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=751136

Global Structured Finance Rating Criteria (pub. 31 Mar 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268

U.S. RMBS Cash Flow Analysis Criteria (pub. 06 Apr 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863973

U.S. RMBS Loan Loss Model Criteria (pub. 17 Nov 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=810788

U.S. RMBS Master Rating Criteria (pub. 12 Jun 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=866607

U.S. RMBS Surveillance and Re-REMIC Criteria (pub. 01 Jun 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=866259

Additional Disclosures

Dodd-Frank Rating Information Disclosure Formhttps://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=987016

Solicitation Statushttps://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=987016

Endorsement Policyhttps://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20150625006410/en/

Fitch Ratings
Primary Analyst:
Emmett O'Brien, +1-212-908-0648
Analyst
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 10004
or
Committee Chairperson:
Alina Pak, CFA, +1-312-368-3184
Senior Director
or
Sandro Scenga, +1-212-908-0278
Media Relations, New York
[email protected]

Source: Fitch Ratings

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