NEW YORK--(BUSINESS WIRE)--The first post-crisis, Fitch-rated RMBS class backed in part by non-performing loans (NPL) has been paid in full, according to Fitch Ratings.
Class A-1 from Mortgage Fund IVc Trust 2015-RN1 received the remainder of its unpaid principal balance (UPB) with the August 2016 distribution. The transaction closed in October 2015, with a $35 million class A-1 rated 'Asf' by Fitch. At issuance, roughly one-third of the mortgage loan pool was 90 or more days delinquent or in foreclosure, with an additional 14% 30-60 days delinquent. It was the first post-crisis RMBS transaction rated by Fitch that contained a significant percentage of NPL.
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. Loss severities on liquidated loans to date have averaged approximately 37%, outperforming Fitch's base-case lifetime severity assumption at issuance of 55%.
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 the year since it was issued, class A-1 received monthly principal payments averaging roughly $3.4 million. 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.
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, classes A-1 and A-2 also had roughly $111 million of overcollateralization at issuance to absorb collateral losses. The initial credit enhancement was significantly above the amount needed to support the initial credit rating of 'Asf.'
Additional information is available at 'www.fitchratings.com'.