DBRS Assigns Ratings to Banc of America Funding 2014-R6 Trust

DBRS has today assigned the following ratings to the Resecuritization Trust Securities issued by Banc of America Funding 2014-R6 Trust (the Trust):

-- $23.1 million Class 2A1 at BBB (sf)
-- $19.2 million Class 2A3 at BBB (sf)
-- $3.8 million Class 2A4 at BBB (sf)
-- $15.4 million Class 2A5 at BBB (sf)
-- $7.7 million Class 2A6 at BBB (sf)
-- $11.5 million Class 2A7 at BBB (sf)
-- $11.5 million Class 2A8 at BBB (sf)

Class 2A1 notes are Initial Exchangeable Securities. Class 2A3, Class 2A4, Class 2A5, Class 2A6, Class 2A7 and Class 2A8 notes are Subsequent Exchangeable Securities. The Initial Exchangeable Securities can be exchanged for the Subsequent Exchangeable Securities and vice versa, subject to the conditions and procedures described in further detail in the offering memorandum.

There are three groups in this resecuritization trust. DBRS rates notes from Group 2, consisting of one seasoned senior residential mortgage-backed security (RMBS). The ratings on the notes reflect the credit enhancement provided by subordination and the quality of the underlying assets.

Other than the specified securities above, DBRS does not rate any other securities in this transaction.

Interest and principal payments will be made on the business day following the related underlying distribution date, commencing in November 2014. Within this DBRS-rated group, interest payments will be distributed on a pro rata basis to the securities, and principal will be distributed on a sequential basis, until the class principal balances thereof are reduced to zero.

The underlying securities do not provide for a reduction of the principal balance of such securities if there are any losses on the underlying mortgage loans. However, an implied realized loss amount is calculated and will be allocated as an implied writedown amount to the securities in inverse order of priority of principal distributions.

The DBRS-rated group is a resecuritization consisting of one seasoned senior RMBS represented by one real estate mortgage investment conduit (REMIC). The REMIC is backed by a pool of subprime, fixed- or adjustable-rate, first lien, and one- to four-family residential mortgages.

The ratings assigned to the offered notes address (i) the likelihood of the receipt by security holders of all principal distributions to which such security holders are entitled and (ii) the likelihood of the receipt by security holders of the amount of interest actually received by the trust to the extent payable to each class in accordance with the priorities described in the operative documents (as such interest received by the trust may have been reduced as a result of any interest shortfalls allocated to the underlying notes, and as such interest entitlement may be further reduced by the allocation of extraordinary trust expenses).

DBRS ReREMIC Methodology Excerpt:
Since a ReREMIC is a pass-through of interest, principal and losses from the underlying certificates, its interest entitlement is usually capped at the actual interest amount collected on the underlying securities. In other words, a ReREMIC trust cannot pay out more interest than it receives from its collateral, and what is collected on the underlying securities can sometimes be as low as zero.

When rating ReREMICs, DBRS is assessing the ability of the trust making the full principal payment by the legal final maturity date of the transaction. These transactions typically define interest rate as the lesser of the bond coupon and the available interest funds. Hence, the DBRS rating does not provide an opinion on the timeliness or amount of interest payments the investor may receive. The trust’s only obligation is to pass through the interest proceeds net of fees from the underlying securities.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodology is RMBS Insight 1.2: U.S. Residential Mortgage-Backed Notes Model and Rating Methodology, which can be found on our website under Methodologies.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at info@dbrs.com.

These ratings are endorsed by DBRS Ratings Limited for use in the European Union.

DBRS’s rating definitions and the terms of use of such ratings are available at www.dbrs.com.