NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to eight classes of notes from Towd Point HE Trust 2019-HE1 (TPHT 2019-HE1), a $277.7 million residential mortgage-backed securities (RMBS) transaction collateralized entirely by home equity lines of credit (HELOCs).
TPHT 2019-HE1, sponsored FirstKey Mortgage, LLC, represents the first rated RMBS HELOC securitization since the financial crisis, to KBRA’s knowledge. The underlying pool, comprising 1,732 mortgages, includes both 1st lien and 2nd lien HELOCs. All of the loans are adjustable rate mortgages (ARMs), with 30-year maturities and 10-year interest-only periods. The borrowers have an aggregate maximum draw amount of $351.1 million as of the statistical cut-off date. The pool’s weighted average (WA) original credit score, loan-to-value (LTV) ratio and combined LTV (CLTV) ratio equal 764, 45.8% and 76.5%, respectively. The pool has a WA loan age of 65 months.
In addition to lien position, the 1st lien and 2nd lien HELOC loans are somewhat distinguished by characteristics such as CLTV, seasoning, and remaining draw period. The 1st lien pool consists of 462 loans with an aggregate current balance of $151.3 million and an aggregate maximum draw amount of $214.2 million, as of the statistical cut-off date. The WA original credit score and original CLTV equal 757 and 68.6%, respectively. As of the cut-off date, the 1st lien pool has a weighted average (WA) loan age of 100 months and a remaining draw period of 260 months, with a 70.6% current utilization rate.
The 2nd lien pool consists of 1,270 loans with an aggregate current balance of $126.5 million and an aggregate maximum draw amount of $136.8 million, as of the statistical cut-off date. The WA original credit score and original CLTV equal 772 and 85.8%, respectively. The second lien HELOCs were originated simultaneously with each borrower’s first lien mortgage. As of the cut-off date, the 2nd lien pool has a WA loan age (WALA) of 22 months and a remaining draw period of 98 months, with a 92.4% current utilization rate.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its Residential Mortgage Default and Loss Model, an examination of the results from third-party loan file due diligence, cash flow modeling, analysis of the transaction’s payment structure, reviews of key transaction parties and an assessment of the transaction’s legal structure and documentation. This analysis is further described in our U.S. RMBS Rating Methodology.
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- TPHT 2019-HE1 Pre-Sale Report
- TPHT 2019-HE1 Tear Sheet
- TPHT 2019-HE1 Representations and Warranties Disclosure Report
- U.S. RMBS Rating Methodology
- Residential Mortgage Default and Loss Model
- U.S. RMBS Rating Methodology for Assessing Non-QM Risk
- Global Structured Finance Counterparty Methodology
- KBRA RMBS KCAT
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KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. 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, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.
Patrick Gervais, Senior Director
Sharif Mahdavian, Senior Director
Edward DeVito, Managing Director
Jack Kahan, Senior Managing Director