NEW YORK, January 14, 2022–(BUSINESS WIRE)–KBRA Assigns Preliminary Ratings to Six Classes of Ellington Financial Mortgage Trust Mortgage-Backed Notes 2022-1 (EFMT 2022-1), a $417.2 Million Non-Senior RMBS Transaction dollars. The underlying collateral, comprising 817 residential mortgage loans, is characterized by a notable concentration of alternative income documentation, with 69.0% of loans originated using bank statements, asset depletion and DSCR type.
Approximately 64.2% of loans were classified as non-qualified mortgages (Non-QM). The remaining loans were classified as exempt from the ATR/QM rule because they were issued for commercial purposes (ie, investment property). EFMT 2022-1 is not backed by any loans in forbearance at the cutoff date, however, 0.2% of the pool contains loans that were subject to forbearance plans but abandoned them and have been working for several months.
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Further information on key credit considerations, sensitivity analyzes which look at factors that may affect these credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (where they are a driver key to the change in credit rating or rating outlook) can be found in the full rating report referenced above.
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Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a rating agency with the UK Financial Conduct Authority under the temporary registration scheme. Additionally, KBRA is designated as the Designated Rating Agency 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.
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