DBRS Assigns Ratings to Banc of America Funding 2015-R3 Trust

DBRS, Inc. (DBRS) has today assigned the following ratings to the Resecuritization Trust Securities issued by Banc of America Funding 2015-R3 Trust (the Trust):

-- $44.8 million Class 3A1 at A (sf)
-- $4.6 million Class 3A2 at BBB (sf)
-- $22.1 million Class 5A1 at BBB (sf)
-- $11.0 million Class 8A1 at BBB (sf)
-- $37.5 million Class 9A1 at BBB (sf)
-- $39.3 million Class 10A1 at BBB (sf)

There are ten groups in this resecuritization trust. DBRS rates securities from Groups 3, 5, 8, 9 and 10, each consisting of one or three seasoned senior residential mortgage-backed security (RMBS). The ratings on the security 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 second business day following the related underlying distribution date, commencing in April 2015. Interest payments will be distributed on a sequential basis to the securities, and principal will be distributed on a sequential basis until the class principal balances thereof are reduced to zero.

Within Groups 5, 8, 9 and 10, the underlying securities do not provide for reduction of the principal balance of such securities by the amount of any losses, thus taking implied writedowns; however, within Group 5, the Class Principal Balances will be reduced to the extent applicable by any implied writedown amounts, in inverse order of priority of distribution of the principal distribution until the Class Principal Balances thereof have been reduced to zero. Within Groups 8, 9 and 10, there will not be principal reduction to the offered securities because of implied writedowns to the underlying securities. Within Group 3, realized losses from the underlying security will be allocated in reverse sequential order, until class principal balances have been reduced to zero.

The DBRS-rated groups are resecuritizations, each consisting of one or three seasoned senior RMBS represented by one real estate mortgage investment conduit (REMIC). The REMICs are backed by pools of seasoned subprime or Option ARM residential mortgages.

The ratings assigned to the offered securities address (1) the likelihood of the receipt by securityholders of all principal distributions to which such securityholders are entitled and (2) the likelihood of the receipt by securityholders 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 security, 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 (December 2014), 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.