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

Paying Money One BHThe 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.'

About Author: Kendall Baer

Kendall Baer is a Baylor University graduate with a degree in news editorial journalism and a minor in marketing. She is fluent in both English and Italian, and studied abroad in Florence, Italy. Apart from her work as a journalist, she has also managed professional associations such as Association of Corporate Counsel, Commercial Real Estate Women, American Immigration Lawyers Association, and Project Management Institute for Association Management Consultants in Houston, Texas. Born and raised in Texas, Baer now works as the online editor for DS News.

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