KBRA Assigns Preliminary Ratings to Towd Point Mortgage Trust 2022-EBO1 ASSET-BACKED NOTES, SERIES 2022-EBO1 (TPMT 2022-EBO1)

KBRA assigns preliminary ratings to 5 classes of asset-backed notes from Towd Point Mortgage Trust 2022-EBO1 ASSET-BACKED NOTES, SERIES 2022-EBO1 (TPMT 2022-EBO1), collateralized by FHA-insured loans (substantially all of which were Ginnie Mae EBOs) and REO Properties, if any. As of the December 31, 2021 cut-off date, the subject pool comprised 2,177 loans totaling approximately $247.7 million, which were acquired by the Seller’s affiliate through a transaction with an unaffiliated third-party seller. At certain times in the past, nearly all of the underlying loans were pooled in GNMA MBS but have since been repurchased (or “bought out”) from those MBS at a time when the loans had become seriously delinquent.

The transaction is the third publicly rated non-agency securitization of EBOs to be introduced to the market in over a decade and the first on the TPMT shelf.

KBRA analyzed the underlying mortgage pool using the U.S. Ginnie Mae Early Buyout Rating Methodology. The analysis incorporates quantitative and qualitative analysis of servicing procedures and historical performance in projecting recovery amounts through the reperformance, non-conveyance, and conveyance paths, along with assuming a percentage of non-conveyable(uninsurable) amounts.

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Related Publications

• U.S. Ginnie Mae Early Buyout Rating Methodology
• Global Structured Finance Counterparty Methodology
• ESG Global Rating Methodology

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

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