KBRA Assigns Preliminary Ratings to Ellington Financial Mortgage Trust 2021-2 (EFMT 2021-2)

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns 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.

Approximately 70.8% 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 2021-2 is not backed by any loans in forbearance as of the cut-off date, however, 4.3% the pool contains loans that were subject to forbearance plans but exited them and have been performing for a number of months.

Click here to view the report. To access ratings and relevant documents, click here.

Related Publications

• EFMT 2021-2 Tear Sheet
• RMBS KBRA Comparative Analytic Tool (KCAT)
• U.S. RMBS Mortgage Default and Loss Model Methodology
• U.S. RMBS Rating Methodology
• Global Structured Finance Counterparty Methodology

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

Contacts

Analytical Contacts

Armine Karajyan, Director (Lead Analyst)

+1 (646) 731-1210

armine.karajyan@kbra.com

Jeremy Kugelman, Associate

+1 (646) 731-1228

jeremy.kugelman@kbra.com

Jack Kahan, Senior Managing Director

+1 (646) 731-2486

jack.kahan@kbra.com

Sharif Mahdavian, Managing Director (Rating Committee Chair)

+1 (646) 731-2301

sharif.mahdavian@kbra.com

Business Development Contact

Michele Patterson, Managing Director

+1 (646) 731-2397

michele.patterson@kbra.com