KBRA Assigns Preliminary Ratings To Non-QM Offering EFMT 2022-3

KBRA has assigned preliminary ratings to six classes of mortgage pass-through certificates from Ellington Financial Mortgage Trust 2022-3 (EFMT 2022-3).

EFMT 2022-3 is a nearly $346 million, non-prime residential mortgage-backed securities (RMBS) transaction. The underlying collateral comprises 765 residential mortgages that are characterized by a notable concentration of alternative-income documentation, with 74% of the loans underwritten using bank statements, asset depletion, and debt service coverage ratio (DSCR) documentation types. 

Approximately 58.1% 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).

KBRA assigned preliminary ratings as follows:

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

EFMT 2022-3 is sponsored by EF Holdco WRE Assets LLC, with an aggregate unpaid balance of $345.7 million as of the July 1, 2022 cut-off date. Ellington purchased most of the EFMT 2022-3 mortgages (79.4%) from its affiliated originator, LendSure Mortgage Corp. All loans are current as of the cutoff date.

You can read the full report at www.kbra.com (registration required).