Ellington Financial Completes First Non-QM Loan Securitization Of 2023

Ellington Financial Inc. said this week it has closed a $365 million securitization backed by a pool of non-qualified residential mortgage (Non-QM) loans. 

Old Greenwich, Conn.-based Ellington Financial said Tuesday it contributed approximately 85% of the loans included in the securitization, with the remainder contributed by a fund managed by Ellington Management Group L.L.C. 

The securitization was rated by both Fitch and KBRA, with the senior tranche receiving AAA ratings, the company said.

The securitization is the first for Ellington Financial in 2023. It follows a $345.7 million non-prime residential mortgage-backed securities (RMBS) transaction issued in July 2022.

That transaction, Ellington Financial Mortgage Trust 2022-3 (EFMT 2022-3), comprised 765 residential mortgages characterized by a notable concentration of alternative income documentation, with 74% of the loans underwritten using bank statements, asset depletion, and DSCR documentation types.

Approximately 58.1% of the loans were categorized as Non-QM. The remaining loans were categorized as exempt from the ATR/QM rule having been originated for a business purpose (i.e., investment properties).

Ellington Financial invests in a diverse array of financial assets, including residential and commercial mortgage loans, residential and commercial mortgage-backed securities, consumer loans and asset-backed securities backed by consumer loans, collateralized loan obligations, non-mortgage and mortgage-related derivatives, debt and equity investments in loan origination companies, and other strategic investments.