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KBRA Assigns Preliminary Ratings To EFMT 2021-3

David Krechevsky
Oct 07, 2021
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Non-QM loans makes up 59% of the $257.6M non-prime RMBS transaction

Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to six classes of mortgage-backed notes from Ellington Financial Mortgage Trust 2021-3 (EFMT 2021-3), a $257.6 million non-prime RMBS transaction.

The underlying collateral, comprising 536 residential mortgages, is characterized by a notable concentration of alternative income documentation, with 73.2% of the loans underwritten using bank statements, asset depletion, and DSCR documentation types. Non-Qualified Mortgages (non-QM) make up 59% of the pool, with the remaining loans considered exempt from the ATR/QM rule due to having been originated for business purposes.

EFMT 2021-3 is not backed by any loans in forbearance as of the cut-off date. However, 1.9% of the pool contains loans that were subject to forbearance plans but exited them and have been performing for a number of months.

KBRA assigned the preliminary ratings as follows:

  • A-1: AAA
  • A-2: AA+
  • A-3: A+
  • M-1: A-
  • B-1: BBB
  • B-2: BB
  • B-3, A-IO-S, X, R: Not rated

Ellington purchased most of the EFMT 2021-3 mortgages (94.8%) from its affiliated originator, LendSure Mortgage Corp. This transaction utilizes a hybrid pro-rata/sequential payment structure which provides for pro-rata principal distribution among the Class A Certificates before any principal allocation to the Class M-1 or Class B Certificates, along with a performance trigger-based prioritization of Class A-1/A-2 principal and interest.

To read the full report, visit

Oct 07, 2021
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