The first residential mortgage-backed securities class rated by Fitch Ratings post-crisis has paid off, the ratings agency said Monday.
With its August 2016 distribution, Class A-1 from Mortgage Fund IVc Trust 2015-RN1 has received the remaining unpaid principal balance. The $35 million A-1 class of the transaction had received an "Asf" rating from Fitch when it closed last October.
When the RMBS was issued, a third of the loans in the underlying pool were 90 or more days delinquent, and another 14% were between 30 and 60 days delinquent, making it the first RMBS transaction since the crisis that Fitch rated to have a significant portion of nonperforming loans.
Since last October, the share of loans 90 or more days delinquent improved to roughly one-quarter. Additionally, loss severities averaged roughly 37%, better than Fitch's assumption of 55%. Since issuance, the pool has incurred $20.8 million of realized losses, including $14.4 million from liquidations and $6.4 million from deferred principal modifications.
Fitch noted that the class was protected from these realized losses to date, because of the $205 million in credit enhancement from the unrated A-2 class and $111 million of overcollateralization for both classes.
The unrated A-2 class did not receive any principal payments while the A-1 class was receiving all of its principal payments, due to the transaction's sequential principal payment waterfall structure.
