KBRA assigns preliminary ratings to 31 classes of asset-backed securities from Towd Point Mortgage Trust 2024-CES1 (TPMT 2024-CES1), a $455.6 million RMBS transaction, as of November 30, 2023 (the Statistical Calculation Date), sponsored by FirstKey Mortgage, LLC (FirstKey). The underlying pool consisted of 6,096 closed-end second lien mortgages (CES; 100%) originated by PennyMac Corp. (PennyMac; 38.3%), Rocket Mortgage, LLC (Rocket; 30.6%), Spring EQ, LLC (Spring EQ; 22.0%), and Nationstar Mortgage LLC d/b/a Mr. Cooper (Mr. Cooper; 9.1%). The CES collateral is characterized by fully amortizing, fixed-rate mortgages (FRMs) with a non-zero weighted average original credit score of 739 and an average original term of 257 months, and is seasoned approximately three months. The TPMT 2024-CES1 deal structure incorporates excess spread along with a sequential payment waterfall of interest and principal.

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Related Publications

• TPMT 2024-CES1 Tear Sheet
• RMBS KBRA Comparative Analytic Tool (KCAT)

Methodologies

RMBS: U.S. RMBS Rating Methodology

Structured Finance: 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. 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.

Doc ID: 1002968

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