Fitch Upgrades 2 Classes from BAFC 2012-R4 and BAFC 2012-R5

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has upgraded 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 upgrade of the class A notes of BAFC 2012-R4 and the upgrade of the class A notes of BAFC 2012-R5 are attributed to the improved credit enhancement (CE) available to the notes as a result of significant deleveraging of the capital structure since the transactions last review in June 2015 and the likelihood that these classes will be paid in full within the next few months.

The class A notes of BAFC 2012-R4 received $90.4 million in principal redemptions and excess spread over the last 12 months, leaving only $14.2 million or 2.8% of the original balance outstanding. The average of the monthly payments to the class A notes over the last year was $7.5 million. Assuming this rate of amortization, Fitch expects the notes to be paid in full within the next two to three months.

The class A notes of BAFC 2012-R5 received $166.0 million in principal redemptions over the last 12 months, leaving only $53.2 million or 7.6% of the original balance outstanding. The average of the monthly payments to the class A notes over the last year was $13.9 million. Assuming this rate of amortization, Fitch expects the notes to be paid in full within the next four to five months.

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 $443.6 million. The underlying portfolio of Triaxx 2006-1 is predominantly non-prime RMBS from 2005, 2006, and 2007 vintages.

BAFC 2012-R5 is a re-securitization of 96.2% of the class A-1A notes and 70.1% of the A-B2 notes issued by Triaxx Prime CDO 2006-2, Ltd (Triaxx 2006-2). The classes' current outstanding balances are $185.3 million and $370.6 million respectively. The underlying portfolio of Triaxx 2006-2 is predominantly non-prime RMBS from 2006 and 2007 vintages.

RATING SENSITIVITIES

The ratings of the BAFC 2012-R4 and BAFC 2012-R5 class A notes are sensitive to significantly lower recoveries in the underlying portfolio, but given the expected payoff in the next few months, that sensitivity is limited.

DUE DILIGENCE USAGE

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

Assessments of both transaction's representations and warranties were completed at close and were found to be consistent with the ratings assigned to the notes. For further information, see 'Banc of America Funding 2012-R4 Trust Representations and Warranties Appendix', dated Aug. 2, 2012 and 'Banc of America Funding 2012-R5 Ltd Representations and Warranties Appendix', dated June 29, 2012.

Fitch has upgraded the following ratings:

Banc of America Funding 2012-R4

--$20,072,171 class A notes to 'AAAsf' from 'Asf', Outlook Stable.

Banc of America Funding 2012-R5 Ltd.

--$65,557,282 class A notes to 'AAAsf' from '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.

Sources of Information:

The information used to assess these ratings was sourced from periodic servicer reports, note valuation reports and the public domain.

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

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Global Surveillance Criteria for Structured Finance CDOs (pub. 13 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867800

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1007750

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1007750

Endorsement Policy

https://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/20160620006338/en/

Fitch Ratings
Primary Analyst:
Felix Chen, +1-212-908-9154
Associate Director
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 10004
or
Committee Chairperson:
Alina Pak, +1-312-368-3184
Senior Director
or
Media Relations:
Sandro Scenga, New York, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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