New York, April 11, 2013 -- Moody's Investors Service has downgraded 75 tranches and affirmed the
ratings on 42 tranches from eight RMBS transactions issued by Banc of
America. The collateral backing these deals primarily consists
of first-lien, fixed and adjustable-rate prime Jumbo
residential mortgages. The actions impact approximately $995
million of RMBS issued from 2005 to 2007.
Complete rating actions are as follows:
Issuer: Banc of America Funding 2006-6 Trust, Mortgage
Pass-Through Certificates, 2006-6
Cl. 1-A-1, Downgraded to Caa1 (sf); previously
on Apr 30, 2010 Downgraded to B2 (sf)
Cl. 1-A-2, Downgraded to Caa1 (sf); previously
on Apr 30, 2010 Downgraded to B2 (sf)
Cl. 1-A-3, Downgraded to Caa1 (sf); previously
on Apr 30, 2010 Downgraded to B2 (sf)
Cl. 1-A-4, Downgraded to Caa1 (sf); previously
on Apr 30, 2010 Downgraded to B2 (sf)
Cl. 1-A-5, Downgraded to Caa1 (sf); previously
on Apr 30, 2010 Downgraded to B2 (sf)
Cl. 1-A-6, Downgraded to Caa1 (sf); previously
on Apr 30, 2010 Downgraded to B2 (sf)
Cl. 1-A-7, Affirmed Caa1 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-8, Affirmed Caa1 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-9, Affirmed Ca (sf); previously
on Apr 30, 2010 Downgraded to Ca (sf)
Cl. 1-A-10, Downgraded to B3 (sf); previously
on Apr 30, 2010 Downgraded to B1 (sf)
Cl. 1-A-11, Downgraded to Caa1 (sf); previously
on Feb 22, 2012 Downgraded to B3 (sf)
Cl. 1-A-14, Affirmed Caa1 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-15, Downgraded to Caa1 (sf); previously
on Apr 30, 2010 Downgraded to B3 (sf)
Cl. 1-A-16, Affirmed Caa1 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-24, Downgraded to Caa1 (sf); previously
on Apr 30, 2010 Downgraded to B3 (sf)
Cl. 2-A-1, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 2-A-2, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 2-A-3, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 2-A-4, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 3-A-1, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to B3 (sf)
Cl. 3-A-2, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to B3 (sf)
Cl. 3-A-3, Affirmed C (sf); previously
on Apr 30, 2010 Downgraded to C (sf)
Cl. 3-A-4, Downgraded to Caa1 (sf); previously
on Apr 30, 2010 Downgraded to B3 (sf)
Cl. 30-IO, Downgraded to B3 (sf); previously
on Feb 22, 2012 Downgraded to Ba3 (sf)
Cl. 30-PO, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. M, Affirmed C (sf); previously on Apr 30,
2010 Downgraded to C (sf)
Issuer: Banc of America Mortgage 2005-D Trust
Cl. 1-A-1, Affirmed Caa2 (sf); previously
on Apr 30, 2010 Downgraded to Caa2 (sf)
Cl. 1-A-2, Affirmed Ca (sf); previously
on Apr 30, 2010 Downgraded to Ca (sf)
Cl. 2-A-1, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 2-A-6, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 2-A-7, Affirmed Caa2 (sf); previously
on Apr 30, 2010 Downgraded to Caa2 (sf)
Cl. 3-A-1, Downgraded to B1 (sf); previously
on Apr 30, 2010 Downgraded to Ba2 (sf)
Issuer: Banc of America Mortgage 2006-1 Trust
Cl. A-1, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa1 (sf)
Cl. A-2, Affirmed C (sf); previously on Apr 21,
2010 Downgraded to C (sf)
Cl. A-3, Affirmed Caa2 (sf); previously on Apr
21, 2010 Downgraded to Caa2 (sf)
Cl. A-4, Affirmed C (sf); previously on Apr 21,
2010 Downgraded to C (sf)
Cl. A-5, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa1 (sf)
Cl. A-6, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa1 (sf)
Cl. A-7, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa1 (sf)
Cl. A-9, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa1 (sf)
Cl. A-10, Affirmed Caa2 (sf); previously on Apr
21, 2010 Downgraded to Caa2 (sf)
Cl. 30-IO, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa1 (sf)
Cl. 30-PO, Affirmed Caa2 (sf); previously on
Apr 21, 2010 Downgraded to Caa2 (sf)
Issuer: Banc of America Mortgage 2006-3 Trust
Cl. 1-A-1, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-2, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-3, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-4, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-5, Affirmed Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa2 (sf)
Cl. 1-A-6, Affirmed Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa2 (sf)
Cl. 1-A-7, Affirmed Caa2 (sf); previously
on Feb 22, 2012 Downgraded to Caa2 (sf)
Cl. 1-A-9, Affirmed Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa2 (sf)
Cl. 1-A-10, Affirmed Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa2 (sf)
Cl. 1-A-11, Affirmed Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa2 (sf)
Cl. 1-A-12, Affirmed Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa2 (sf)
Cl. 1-A-13, Affirmed Caa2 (sf); previously
on Feb 22, 2012 Downgraded to Caa2 (sf)
Cl. 1-A-14, Affirmed C (sf); previously
on Apr 21, 2010 Downgraded to C (sf)
Cl. 1-A-15, Affirmed Caa1 (sf); previously
on Apr 21, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-16, Affirmed Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa2 (sf)
Cl. 30-IO, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa1 (sf)
Cl. 30-PO, Affirmed Caa2 (sf); previously on
Apr 21, 2010 Downgraded to Caa2 (sf)
Issuer: Banc of America Mortgage 2007-1 Trust
Cl. 1-A-1, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-2, Affirmed C (sf); previously
on Apr 30, 2010 Downgraded to C (sf)
Cl. 1-A-3, Downgraded to Caa3 (sf); previously
on Feb 22, 2012 Downgraded to Caa2 (sf)
Cl. 1-A-4, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to B3 (sf)
Cl. 1-A-5, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-9, Downgraded to Caa1 (sf); previously
on Apr 30, 2010 Downgraded to B3 (sf)
Cl. 1-A-10, Affirmed C (sf); previously
on Apr 30, 2010 Downgraded to C (sf)
Cl. 1-A-11, Downgraded to Caa2 (sf); previously
on Feb 22, 2012 Downgraded to Caa1 (sf)
Cl. 1-A-12, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-13, Affirmed C (sf); previously
on Apr 30, 2010 Downgraded to C (sf)
Cl. 1-A-14, Downgraded to Caa3 (sf); previously
on Feb 22, 2012 Downgraded to Caa2 (sf)
Cl. 1-A-16, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-17, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-18, Downgraded to B3 (sf); previously
on Apr 30, 2010 Downgraded to B1 (sf)
Cl. 1-A-19, Downgraded to C (sf); previously
on Apr 30, 2010 Downgraded to Ca (sf)
Cl. 1-A-20, Downgraded to B3 (sf); previously
on Apr 30, 2010 Downgraded to B1 (sf)
Cl. 1-A-21, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-23, Downgraded to Caa3 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-24, Downgraded to Caa3 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-25, Affirmed C (sf); previously
on Apr 30, 2010 Downgraded to C (sf)
Cl. 1-A-26, Downgraded to Caa3 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-27, Downgraded to Caa3 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-28, Downgraded to Caa3 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-29, Affirmed C (sf); previously
on Apr 30, 2010 Downgraded to C (sf)
Cl. 1-A-30, Downgraded to Caa3 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-31, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-A-32, Affirmed Ca (sf); previously
on Apr 30, 2010 Downgraded to Ca (sf)
Cl. 1-IO, Downgraded to B3 (sf); previously on
Feb 22, 2012 Downgraded to B1 (sf)
Cl. 1-PO, Downgraded to Caa2 (sf); previously
on Apr 30, 2010 Downgraded to Caa1 (sf)
Cl. 1-M, Affirmed C (sf); previously on Apr 30,
2010 Downgraded to C (sf)
Issuer: Banc of America Mortgage 2007-2 Trust
Cl. A-3, Affirmed Caa3 (sf); previously on Apr
21, 2010 Confirmed at Caa3 (sf)
Cl. A-5, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to Caa1 (sf)
Cl. A-6, Downgraded to Caa3 (sf); previously
on Apr 21, 2010 Downgraded to Caa2 (sf)
Cl. A-7, Affirmed Caa2 (sf); previously on Apr
21, 2010 Downgraded to Caa2 (sf)
Cl. A-11, Affirmed Caa3 (sf); previously on Apr
21, 2010 Confirmed at Caa3 (sf)
Issuer: Banc of America Mortgage Securities, Inc.,
Mortgage Pass-Through Certificates, Series 2005-12
Cl. A-1, Affirmed A3 (sf); previously on Jan
18, 2013 Downgraded to A3 (sf)
Underlying Rating: Affirmed Caa1 (sf); previously on Apr 21,
2010 Downgraded to Caa1 (sf)
Financial Guarantor: Assured Guaranty Corp (Downgraded to A3,
Outlook Stable on Jan 17, 2013)
Cl. A-2, Downgraded to Caa1 (sf); previously
on Apr 21, 2010 Downgraded to B2 (sf)
Cl. A-3, Downgraded to Caa1 (sf); previously
on Apr 21, 2010 Downgraded to B2 (sf)
Cl. A-4, Downgraded to Caa1 (sf); previously
on Apr 21, 2010 Downgraded to B1 (sf)
Cl. A-5, Affirmed Caa1 (sf); previously on Apr
21, 2010 Downgraded to Caa1 (sf)
Cl. A-6, Affirmed Caa1 (sf); previously on Apr
21, 2010 Downgraded to Caa1 (sf)
Cl. A-7, Downgraded to B2 (sf); previously on
Apr 21, 2010 Downgraded to Ba3 (sf)
Cl. A-8, Affirmed Ca (sf); previously on Apr
21, 2010 Downgraded to Ca (sf)
Cl. 30-IO, Downgraded to B2 (sf); previously
on Apr 21, 2010 Downgraded to Ba3 (sf)
Cl. 30-PO, Downgraded to Caa1 (sf); previously
on Apr 21, 2010 Downgraded to B3 (sf)
Issuer: Banc of America Mortgage Securities, Inc.,
Mortgage Pass-Through Certificates, Series 2005-8
Cl. A-1, Downgraded to B3 (sf); previously on
Apr 21, 2010 Downgraded to Ba3 (sf)
Cl. A-4, Downgraded to B2 (sf); previously on
Apr 21, 2010 Downgraded to B1 (sf)
Cl. A-6, Downgraded to Caa1 (sf); previously
on Apr 21, 2010 Downgraded to B2 (sf)
Cl. A-8, Affirmed B1 (sf); previously on Apr
21, 2010 Downgraded to B1 (sf)
Cl. A-9, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to B3 (sf)
Cl. A-10, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to B3 (sf)
Cl. A-11, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to B3 (sf)
Cl. A-12, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to B3 (sf)
Cl. A-13, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to B3 (sf)
Cl. A-14, Downgraded to C (sf); previously on
Apr 21, 2010 Downgraded to Ca (sf)
Cl. 30-IO, Downgraded to B1 (sf); previously
on Feb 22, 2012 Downgraded to Ba3 (sf)
Cl. 30-PO, Downgraded to Caa2 (sf); previously
on Apr 21, 2010 Downgraded to B2 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of prime jumbo pools
originated from 2005 to 2007 and reflect Moody's updated loss expectations
on these pools. The downgrades are a result of deteriorating performance
and structural features resulting in higher expected losses for certain
bonds than previously anticipated. The majority of the downgrades
are a result of change in principal payments and loss allocation to the
senior bonds subsequent to subordination depletion.
The methodologies used in these ratings were "Moody's Approach to Rating
US Residential Mortgage-Backed Securities" published in December
2008, "2005?2008 US RMBS Surveillance Methodology" published
in July 2011, and "Rating Transactions Based on the Credit
Substitution Approach: Letter of Credit-backed, Insured
and Guaranteed Debts" published in March 2013. The methodology
used in rating Interest-Only Securities was "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012. Please see the Credit Policy page on www.moodys.com
for a copy of these methodologies.
Moody's adjusts the methodologies noted above for 1) Moody's
current view on loan modifications 2) small pool volatility and 3) bonds
that financial guarantors insure.
Loan Modifications
As a result of an extension of the Home Affordable Modification Program
(HAMP) to 2013 and an increased use of private modifications, Moody's
is extending its previous view that loan modifications will only occur
through the end of 2012. It is now assuming that the loan modifications
will continue at current levels until 2014.
Small Pool Volatility
For pools with loans less than 100, Moody's adjusts its projections
of loss to account for the higher loss volatility of such pools.
For small pools, a few loans becoming delinquent would greatly increase
the pools' delinquency rate
To project losses on prime jumbo pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on vintage,
number of loans remaining in the pool and the level of current delinquencies
in the pool. For prime jumbo pools, Moody's first applies
a baseline delinquency rate of 3.5% for 2005, 6.5%
for 2006 and 7.5% for 2007. Once the loan count in
a pool falls below 76, this rate of delinquency is increased by
1% for every loan fewer than 76. For example, for
a 2005 pool with 75 loans, the adjusted rate of new delinquency
is 3.54%. Further, to account for the actual
rate of delinquencies in a small pool, Moody's multiplies the rate
calculated above by a factor ranging from 0.20 to 2.0 for
current delinquencies that range from less than 2.5% to
greater than 50% respectively. Moody's then uses this final
adjusted rate of new delinquency to project delinquencies and losses for
the remaining life of the pool under the approach described in the methodology
publication.
When assigning the final ratings to bonds, in addition to the approach
described above, Moody's considered the volatility of the projected
losses and timeline of the expected defaults.
Bonds insured by financial guarantors
The credit quality of RMBS that a financial guarantor insures reflect
the higher of the credit quality of the guarantor or the RMBS without
the benefit of the guarantee. As a results, the rating on
the security is the higher of 1) the guarantor's financial strength rating
and 2) the current underlying rating, which is what the rating of
the security would be absent consideration of the guaranty. The
principal methodology Moody's uses in determining the underlying
rating is the same methodology for rating securities that do not have
financial guaranty, described earlier.
The primary source of assumption uncertainty is the uncertainty in our
central macroeconomic forecast and performance volatility due to servicer-related
issues. The unemployment rate fell from 9.0% in September
2011 to 7.7% in February 2013. Moody's forecasts
a further drop to 7.5% by 2014. Moody's expects house
prices to drop another 1% from their 4Q2011 levels before gradually
rising towards the end of 2013. Performance of RMBS continues to
remain highly dependent on servicer procedures. Any change resulting
from servicing transfers or other policy or regulatory change can impact
the performance of these transactions.
A list of the review actions associated with this announcement may be
found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF322958
A list of updated estimated pool losses, sensitivity analysis,
and tranche recovery details is being posted on an ongoing basis for the
duration of this review period and may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF196023
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
Moody's received and took into account one or more third party assessments
on the due diligence performed regarding the underlying assets or financial
instruments in these transactions and the assessments had a neutral impact
on the rating.
In conducting surveillance of these credits, Moody's considered
performance data contained in servicer and remittance reports.
Moody's obtains servicer reports on these transactions on a periodic basis,
at least annually.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides certain regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Ilana Fried
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Deepika Kothari
Vice President - Senior Analyst/Manager
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on $995 million of Prime Jumbo RMBS issued by Banc of America from 2005 to 2007
