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Kroll Bond Rating Agency assigned preliminary ratings to six classes of mortgage-backed notes from Ellington Financial Mortgage Trust 2021-2 (EFMT 2021-2), a $331.8 million non-prime RMBS transaction.
The underlying collateral, comprising 661 residential mortgages, is characterized by a notable concentration of alternative income documentation, with 70.2% of the loans underwritten using bank statements, asset depletion, and DSCR documentation types, according to a press release.
Approximately 70.8% of the loans were categorized as non-qualified mortgages. The remaining loans were categorized as exempt from the ATR/QM rule having been originated for a business purpose (i.e., investment properties).
According to the press release, EFMT 2021-2 is not backed by any loans in forbearance as of the cut-off date, however, 4.3% of the pool contains loans that were subject to forbearance plans but exited them and have been performing for a number of months.
Ellington Financial invests in a diverse array of financial assets, including residential and commercial mortgage-backed securities, residential and commercial mortgage loans, consumer loans and asset-backed securities backed by consumer loans, collateralized loan obligations, non-mortgage and mortgage-related derivatives, equity investments in loan origination companies, and other strategic investments.