First Post-Crisis Fitch-Rated RMBS Class Has Been Paid

The first post-crisis, Fitch-rated RMBS class backed in part by non-performing loans has been paid in full, according to a recent report from Fitch Ratings.

The report states that the Class A-1 from Mortgage Fund IVc Trust 2015-RN1 received the remainder of its unpaid principal balance with the August 2016 distribution. Fitch Ratings states that the transaction closed in October 2015, with a $35 million class A-1 rated 'Asf' by Fitch. At issuance, Fitch Ratings shares that approximately one-third of the mortgage loan pool was 90 or more days delinquent or in foreclosure, with an additional 14 percent of the mortgage loan pool 30-60 days delinquent. The report says that it was the first post-crisis RMBS transaction rated by Fitch that contained a significant percentage of non-performing loans.

Additionally, the report notes that the percentage of the pool that is 90 or more days delinquent, including foreclosure and REO, has declined since issuance from roughly one-third to one-quarter of the remaining pool. They also share that loss severities on liquidated loans to date have averaged approximately 37 percent. This outperformed Fitch Ratings' base-case lifetime severity assumption at issuance of 55 percent.

Fitch Ratings also reports that the transaction has a sequential principal payment waterfall, in which class A-1 received all scheduled and unscheduled principal payments before class A-2 received any principal payments. In addition, in the year since it was issued, Fitch Ratings says that class A-1 received monthly principal payments averaging roughly $3.4 million. They also note that the mortgage pool has incurred roughly $20.8 million of realized losses since issuance, comprising $14.4 million of loss from liquidations and $6.4 million of loss from deferred principal modifications.

Finally, Fitch Ratings says that Class A-1 was well protected against realized pool losses to date. In addition to the $205 million of credit enhancement provided by the unrated class A-2, they stats that classes A-1 and A-2 also had roughly $111 million of overcollateralization at issuance to absorb collateral losses. Additionally, the initial credit enhancement was significantly above the amount needed to support the initial credit rating of 'Asf.'