DBRS Assigns Ratings to BCAP LLC 2015-RR2 Trust Resecuritization Trust Securities

DBRS, Inc. (DBRS) has today assigned the following rating to the Resecuritization Trust Securities issued by BCAP LLC 2015-RR2 Trust (the Trust):

-- $12.5 million Class 22A1 rated BBB (sf)
-- $16.3 million Class 23A1 rated BBB (sf)
-- $26.5 million Class 24A1 rated BBB (sf)
-- $17.5 million Class 25A1 rated BBB (sf)
-- $30.7 million Class 26A1 rated BBB (sf)

There are 26 groups in this resecuritization trust. DBRS rates securities from Groups 22, 23, 24, 25 and 26, each consisting of one seasoned senior residential mortgage-backed security (RMBS). The ratings on the securities reflect the credit enhancement provided by subordination within the group and the quality of the underlying assets.

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

Interest and principal payments on the securities will be made on the business day following the latest underlying distribution date (generally the 25th day of the month), commencing in February 2015. Interest payments will be distributed on a pro rata basis to the securities and principal payments will be distributed on a sequential basis until the principal balances have been reduced to zero.

Any losses realized from the underlying security will be allocated in a reverse sequential order to the securities.

The group is a resecuritization of one seasoned senior RMBS represented by a real estate mortgage investment conduit (REMIC). The REMIC is backed by a pool of Scratch and Dent residential mortgages.

The rating assigned to the offered security addresses (i) the likelihood of the security holders receiving all principal distributions to which such security holders are entitled and (ii) the likelihood of the security holders receiving 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 related underlying security, and as such interest entitlement may be further reduced by the allocation of extraordinary trust expenses). For more details on the rating, please refer to the offering and transaction legal documents.

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 sometimes, what is collected on the underlying securities can be as low as zero.

When rating ReREMICs, DBRS is assessing the ability of the trust to make 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 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.

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

The applicable methodology is RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (December 2014), which can be found on our website under Methodologies.