KBRA Assigns Preliminary Ratings To Non-Prime RMBS Offering
Summary
KBRA has assigned preliminary ratings to six classes of mortgage-backed notes from Ellington Financial Mortgage Trust 2022-1 (EFMT 2022-1), a $417.2 million non-prime RMBS transaction. The underlying collateral, comprising 817 residential mortgages, is characterized by a notable concentration of alternative income documentation, with 69% of the loans underwritten using bank statements, asset depletion, and DSCR documentation types. 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 the preliminary rates as follows: Unlike many recent non-prime securitizations that allow for pro-rata principal distributions to the Class A Notes (subject to performance triggers) prior to sequential allocations to the remainder of the capital structure, the EFMT 2022-1 payment waterfall provides for sequential principal distribution to all Notes at all times, starting with Class A-1. Furthermore, the principal remittance amount will be used to first pay any interest shortfalls for Classes A1 and A-2 Certificates, sequentially, prior to paying principal to Classes A-1 and A-2, sequentially, until fully repaid.