KBRA Assigns Preliminary Ratings To EFMT 2022-2

KBRA has assigned preliminary ratings to six classes of mortgage-backed notes from Ellington Financial Mortgage Trust 2022-2 (EFMT 2022-2), a $425.7 million non-prime residential mortgage-backed securities (RMBS) transaction. 

The underlying collateral, comprising 998 residential mortgages, is characterized by a notable concentration of alternative income documentation, with 83.2% of the loans underwritten using bank statements, asset depletion, and DSCR documentation types.

Approximately 52.5% of the loans were categorized as non-qualified mortgages (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). EFMT 2022-2 is not backed by any loans in forbearance as of the cut-off date.

KBRA assigned preliminary ratings as follows:

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

Ellington purchased most of the EFMT 2022-2 mortgages (84.5%) 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 www.kbra.com (registration required).