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KBRA Assigns Preliminary Ratings To EBO-Backed Notes

David Krechevsky
Oct 14, 2021
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The $370.7M transaction is the first publicly rated non-agency securitization of non-performing EBOs to be introduced to the market in over a decade.

Kroll Bond Rating Agency has assigned preliminary ratings to five classes of asset-backed notes from CFMT 2021-EBO1, LLC ASSET-BACKED NOTES, SERIES 2021-1 (CFMT 2021-EBO1), collateralized by Federal Housing Administration-insured Ginnie Mae early buyout (EBOs) loans and REO assets. 

As of the July 31, 2021, cut-off date, the subject pool includes 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 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 said EBO strategies are expected to become more prevalent as a function of the size of the overall GNMA market, with GNMA outstanding MBS at approximately $2.1 trillion in 2021 compared with approximately $400 billion in 2007.

KBRA analyzed the underlying mortgage pool using the 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 amounts.

All of the loans backing the CFMT 2021-EBO1 transaction are insured by the FHA, which insures 100% of the outstanding loan principal balance. In addition, interest, at the HUD mortgage debenture rate, and a portion of eligible foreclosure-related expenses are insured, provided the servicer(s) meet prescribed performance metrics and timelines.

You can read the full report at

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