Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 5 classes of asset-backed notes from CFMT 2021-EBO1, LLC ASSET-BACKED NOTES, SERIES 2021-1 (CFMT 2021-EBO1), collateralized by FHA-insured Ginnie Mae early buyout (EBOs) loans and REO assets. As of the July 31, 2021 cut-off date the subject pool is comprised of 2,704 loans totaling $370.7 million, which were acquired by the Seller’s affiliates through transactions with third-party sellers in 2019 and 2020. 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 first publicly rated non-agency securitization of non-performing EBOs to be introduced to the market in over a decade.
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.
- U.S. Ginnie Mae Early Buyout Rating Methodology
- Global Structured Finance Counterparty Methodology
- ESG Global Rating Methodology
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.
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.
Sharif Mahdavian, Managing Director (Lead Analyst)
+1 (646) 731-2301
Ryon Aguirre, Director
+1 (646) 731-1239
Jack Kahan, Senior Managing Director (Rating Committee Chair)
+1 (646) 731-2486
Business Development Contact
Dan Stallone, Director
+1 (646) 731-1308