Fitch Reviews 2015 Towd Point U.S. RMBS RPL Transactions

NEW YORK--()--Fitch Ratings has reviewed 121 classes from four U.S. RMBS transactions (across five groups) issued by the Towd Point Mortgage Trust (TPMT) program in 2015 that are backed by re-performing loans (RPL) collateral: TPMT Trusts 2015-1, 2015-2 (groups 1 and 2), 2015-3, and 2015-6.

Rating Action Summary:

--111 classes affirmed;

--10 classes upgraded;

--27 classes with rating Outlook revised to Positive from Stable.

A spreadsheet detailing Fitch's rating actions can be found at 'www.fitchratings.com' by performing a title search for 'U.S. RMBS RPL Rating Actions for October 19th, 2016', or by using the link provided.

KEY RATING DRIVERS

The upgrades and Positive Outlooks reflect strong collateral performance to date. Serious delinquencies for the mortgage pools under review range from 1.2% to 6.4% of the outstanding unpaid principal balance (UPB), while the credit enhancement (CE) of upgraded classes and those with a Positive Outlook has increased since issuance by between 2.0% and 6.6%.

The upgrades reflect a variation from Fitch's 'U.S. RMBS Surveillance and Re-REMIC Criteria', which limits upgrades above 'BBsf' for U.S. RMBS classes that are projected to be outstanding for more than five years. While the upgraded classes are expected to take longer than five years to be paid in full, upgrades constraints were not applied in this review due to the improved relationship between CE and expected loss, and the structural strength of the transactions. The variation from criteria resulted in the one-category upgrade of 10 classes that otherwise would have been affirmed due to the upgrade cap.

A detailed list of Fitch's updated probability of default, loss severity, and loss expectations can be found by performing a title search for 'U.S. RMBS Loss Metrics' at www.fitchratings.com. The report provides a summary of base-case and stressed scenario projections.

RATING SENSITIVITIES

Fitch's analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less likely to occur. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home-price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home-price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario.

In addition to increasing mortgage pool losses at each rating category to reflect increasingly stressful economic scenarios, Fitch analyzes various loss-timing, prepayment, loan modification, servicer advancing, and interest rate scenarios as part of the cash flow analysis. Each class is analyzed with 43 different combinations of loss, prepayment and interest rate projections.

Classes currently rated below 'Bsf' are at-risk to default at some point in the future. As default becomes more imminent, bonds currently rated 'CCCsf' and 'CCsf' will migrate towards 'Csf' and eventually 'Dsf'.

The ratings of bonds currently rated 'Bsf' or higher will be sensitive to future mortgage borrower behavior, which historically has been strongly correlated with home price movements. Despite recent positive trends, Fitch currently expects home prices to decline in some regions before reaching a sustainable level. While Fitch's ratings reflect this home price view, the ratings of outstanding classes may be subject to revision to the extent actual home price and mortgage performance trends differ from those currently projected by Fitch.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10

No third-party due diligence was provided or reviewed in relation to this rating action.

Additional information is available at www.fitchratings.com.

Sources of Information:

As identified in Fitch's report 'US RMBS Surveillance and Re-REMIC Criteria', the sources of information used to assess these ratings include data provided by trustees, servicers, CoreLogic LoanPerformance and Intex Solutions, Inc.

Applicable Criteria

Criteria for Country Risk in Global Structured Finance and Covered Bonds (pub. 26 Sep 2016)

https://www.fitchratings.com/site/re/881269

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016)

https://www.fitchratings.com/site/re/879815

Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 16 Jun 2016)

https://www.fitchratings.com/site/re/882401

Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes (pub. 08 Mar 2016)

https://www.fitchratings.com/site/re/878513

Global Structured Finance Rating Criteria (pub. 27 Jun 2016)

https://www.fitchratings.com/site/re/883130

Rating Criteria for U.S. Residential and Small Balance Commercial Mortgage Servicers (pub. 23 Apr 2015)

https://www.fitchratings.com/site/re/864368

U.S. RMBS Cash Flow Analysis Criteria (pub. 15 Apr 2016)

https://www.fitchratings.com/site/re/880006

U.S. RMBS Loan Loss Model Criteria (pub. 12 May 2016)

https://www.fitchratings.com/site/re/880673

U.S. RMBS Master Rating Criteria (pub. 27 Jun 2016)

https://www.fitchratings.com/site/re/882350

U.S. RMBS Seasoned and Re-Performing Loan Criteria (pub. 12 May 2016)

https://www.fitchratings.com/site/re/880720

U.S. RMBS Surveillance and Re-REMIC Criteria (pub. 17 Jun 2016)

https://www.fitchratings.com/site/re/881806

Related Research

U.S. RMBS RPL Rating Actions for October 19th, 2016

https://www.fitchratings.com/site/re/889375

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1013377

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1013377

Endorsement Policy

https://www.fitchratings.com/regulatory

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Contacts

Fitch Ratings
Surveillance Analyst:
Rachel Nooonan, +1-212-908-0224
Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson:
Suzanne Mistretta, +1-212-908-0639
Senior Director
or
Media Relations:
Sandro Scenga, New York, +1-212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Surveillance Analyst:
Rachel Nooonan, +1-212-908-0224
Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson:
Suzanne Mistretta, +1-212-908-0639
Senior Director
or
Media Relations:
Sandro Scenga, New York, +1-212-908-0278
sandro.scenga@fitchratings.com