Fitch Rates BCAP 2015-RR5

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has assigned the following ratings and Rating Outlooks to two groups in BCAP LLC 2015-RR5 Trust:

Group 1 Securities

--$19,836,000 class 1A1 'BBBsf'; Outlook Stable;

--$22,823,973 subsequent exchangeable class 1A2 not rated;

--$14,931,000 initial exchangeable class 1A3 not rated;

--$7,892,973 initial exchangeable class 1A4 not rated.

Group 2 Securities

--$22,246,000 class 2A1 'BBBsf'; Outlook Stable;

--$10,033,000 initial exchangeable class 2A2 'Bsf'; Outlook Stable;

--$11,341,912 subsequent exchangeable class 2A3 not rated;

--$15,704,000 subsequent exchangeable class 2A4 not rated;

--$21,374,912 subsequent exchangeable class 2A5 not rated;

--$5,671,000 initial exchangeable class 2A6 not rated;

--$5,670,912 initial exchangeable class 2A7 not rated.

BCAP 2015-RR5 is composed of two groups, and Fitch is rating three bonds from two of the groups. Each group is a resecuritization of an ownership interest in a residential mortgage-backed security. As a resecuritization, the securities will receive their cashflow from the underlying security. The Fitch-rated groups are collateralized with senior classes from Alt A transactions issued in 2006. Collateral performance has shown improvement over the past few years. The underlying pool has exhibited significant declines in the percentage of loans seriously delinquent. Also, the percentage of loans transitioning from current to delinquent has slowed as well.

For the Fitch rated group, interest is paid pro rata and principal is paid sequentially. Realized losses are applied reverse sequentially.

KEY RATINGS DRIVERS

Key rating drivers include the performance of the underlying pool as well as the collateral characteristics, such as sustainable loan-to-value ratio (sLTV), credit score and geographic concentration. For the Fitch rated groups, Fitch ran various prepayment speeds and loss timing scenarios in its analysis of the deal structure. This analysis was done to determine that the cash flow to the Fitch rated bonds would not be exposed to losses as a result of potential alternative cashflow timing stress scenarios.

Group 1 represents a 61.93% interest in the Structured Asset Mortgage Investments II Trust 2006-AR7 class A10. Based on the collateral composition of the Group 1 underlying pool, Fitch assumed a base-case scenario expected loss (XL) of 45.58%. In the rating stress scenarios, Fitch assumed a 'BBBsf' XL of 61.37%. Fitch increased the model-expected loss severity on liquidated loans by 10% at each rating scenario to better reflect recent loss severity trends. Fitch ran these loss assumptions through 12 different interest rate, prepayment and timing scenarios and used the most conservative value to determine the required credit enhancement (CE). The required CE to support a 'BBBsf' rating is 53.02%. The lower CE as compared to the projected pool collateral loss is due to the payment priority of the underlying bond. While the class A10 is currently sharing writedowns pro-rata, it is receiving all of the principal otherwise allocable to classes A10 and A11.

Group 2 represents a 97.18% interest in the WaMu Mortgage Pass-Through Certificates Series 2006-AR1 Trust class 2A1B. Based on the collateral composition of the Group 1 underlying pool, Fitch assumed a base-case scenario XL of 15.38%. This expected loss value includes an additional $1 million of loss to account for potential extraordinary expenses of the underlying deal. This adjustment is applied at each rating stress and was made as the underlying structure allows principal to be re-directed to pay interest and extraordinary expenses are paid out at the top of the waterfall. In the rating stress scenarios, Fitch assumed a 'BBBsf' XL of 27.46%. Fitch increased the model-expected loss severity on liquidated loans by 10% at each rating scenario to better reflect recent loss severity trends. Fitch ran these loss assumptions through 12 different interest rate, prepayment and timing scenarios and used the most conservative value to determine the required CE. The required CE to support a 'BBBsf' rating is 48.89%. The higher CE as compared to the projected pool collateral loss is due to the payment priority of the underlying bond. While the class 2A1B currently has existing CE, it also provides support to the class 2A1A.

Fitch is assigning the ratings based on underlying pool collateral composition, the results of its cashflow analysis, review of final structure and supporting deal documents.

RATING SENSITIVITIES

Fitch analyzes each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications.

The analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario.

For further information, see BCAP 2015-RR5 Representations and Warranties Appendix, dated April 29, 2015, available on www.fitchratings.com.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (March 2015);

--'U.S. RMBS Master Rating Criteria,' (July 2014);

--'U.S. RMBS Surveillance and Re-REMIC Criteria' (June 2014);

--'U.S. RMBS Loan Loss Model Criteria' (November 2014);

--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 2014);

--'U.S. RMBS Cash Flow Analysis Criteria' (April 2015);

--'Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds' (December 2014);

--'Rating Criteria for US Residential and Small Balance Commercial Mortgage Servicers' (April 2015).

Applicable Criteria and Related Research: BCAP 2015-RR5 -- Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=865419

Criteria for Interest Rate Stresses in Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=695535

Rating Criteria for U.S. Residential and Small Balance Commercial Mortgage Servicers

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864368

U.S. RMBS Cash Flow Analysis Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863973

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

U.S. RMBS Loan Loss Model Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=810788

U.S. RMBS Surveillance and Re-REMIC Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750110

EMEA RMBS Master Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864273

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=983874

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.

Fitch Ratings
Primary Analyst
Ryan O'Loughlin, +1-212-908-0387
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Sean Nelson, +1-212-908-0207
Director
or
Committee Chairperson
Roelof Slump, +1-212-908-0705
Managing Director
or
Media Relations, New York
Sandro Scenga, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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