OREANDA-NEWS. Fitch Ratings has affirmed the ratings on 58 classes of two U. S. RMBS transactions issued in 2015 backed by re-performing loans (RPL) collateral: Towd Point Mortgage Trusts 2015-4 and 2015-5. The Rating Outlook on 40 classes was 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 September 29, 2016', or by using the link provided.

KEY RATING DRIVERS

The affirmations and Outlook revisions reflect positive trends in the performance to date. Serious delinquencies during the first year of the transactions under review range from 2.3% to 3.5% of the outstanding unpaid principal balance (UPB), while the credit enhancement (CE) of investment-grade rated classes under review has increased since issuance by between 1.2% to 4.9%.

A detailed list of Fitch's updated probability of default, loss severity, and expected loss 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.