NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned 'Asf' ratings with Stable Outlooks to three classes of BCAP LLC Trust, Resecuritization Trust Securities, series 2011-RR1. A full list of rating actions follows at the end of this release.
This transaction contains certain classes designated as Initial Exchangeable Certificates and others as Subsequent Exchangeable Certificates. For Group 3, classes 3A1, 3A4 and 3AI are Initial Exchangeable Certificates. Group 3 Subsequent Exchangeable Certificates include classes 3A2, 3A3, 3A5, 3A6, 3A7, 3A8, 3A9 and 3A10. For Group 3 both interest and principal will pay sequentially.
This transaction consists of eight non-crossed groups. Fitch did not rate groups 1, 2, 4, 5, 6, 7 and 8. Each group is a resecuritization of an ownership interest in one or more mortgage-backed certificates. As resecuritizations, the certificates will receive their cash-flow from the underlying classes of certificates. The Fitch-rated group is backed by conventional Prime, first-lien mortgage loans.
The group-to-bond association for the Fitch-rated group is as follows:
Group 3 represents a 66.0% interest in the Wells Fargo Mortgage Backed Securities, Series 2007-1 class A-5 certificate (WFMBS 2007-1). Fitch's rating for classes 3A1, 3A2, and 3A3 is based on the credit enhancement provided by the structural support on the underlying transactions and by the 32.00% class 3A4 bond. Fitch ran various prepayment speeds and loss timing scenarios in its analysis of the deal structure. This analysis was done in order to ensure that the cashflow to the senior bonds rated by Fitch would not be exposed to losses as a result of potential alternative stress scenarios. Other key rating drivers are the performance of the underlying pools as well as their collateral characteristics, such as product type and geographic concentration. The underlying collateral pool for WFMBS 2007-1, class A-5 consisted of 30-year fixed rate loans with a weighted average (WAVG) original FICO of 733 and a WAVG original combined loan to value ratio of 80.40%. The top three state concentrations are CA (27.0%), MD (7.2%) and NY (6.7%). The pool is 14.1% delinquent with an average net monthly roll of 0.85% as of Dec. 25, 2010.
Fitch has rated BCAP LLC Trust, Resecuritization Trust Securities, series 2011-RR1, as follows:
Group 3 Certificates
--$22,440,000 class 3A1 'Asf'; Outlook Stable;
--$13,200,000 class 3A2 'Asf'; Outlook Stable;
--$9,240,000 class 3A3 'Asf'; Outlook Stable;
--$10,560,000 class 3A4 not rated;
--$5,280,000 class 3A5 not rated;
--$5,280,000 class 3A6 not rated;
--$5,280,000 class 3A7 not rated;
--$10,560,000 class 3A8 not rated;
--$6,336,000 class 3A9 not rated;
--$4,224,000 class 3A10 not rated;
--$22,440,000 notional class 3AI not rated.
The ratings for Group 3 were limited to 'Asf' due to the high mark-to-market combined loan-to-value ratio (CLTV) of the underlying pool. The ratings of the Subsequent Exchangeable Certificates are dependent on the ratings of the related Initial Exchangeable Certificates.
Additional information is available at 'www.fitchratings.com'.
In addition to the information sources identified in the criteria listed below, Fitch's analysis incorporated information from the LoanPerformance database including underlying loan level information, and from Intex for the underlying bond structure. The re-REMIC structure was provided by Barclays Capital Inc.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria,' dated August 13, 2010;
--'U.S. RMBS Rating Criteria,' dated December 3, 2009;
--'U.S. Residential Mortgage Re-REMIC Criteria,' dated March 8, 2010;
--'ResiLogic: U.S. Residential Mortgage Loss Model,' dated August 11, 2009;
--'U.S. RMBS Cash Flow Analysis Criteria,' dated June 28, 2010.
Applicable Criteria and Related Research:
U.S. RMBS Cash Flow Analysis Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=535051
ResiLogic: U.S. Residential Mortgage Loss Model Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=461916
U.S. Residential Mortgage Re-REMIC Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=503106
U.S. RMBS Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=489970
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=547326
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