Mortgage

KBRA Assigns Preliminary Ratings to Ellington Financial Mortgage Trust 2022-1 (EFMT 2022-1)

KBRA Assigns Preliminary Ratings to RCKT Mortgage Trust 2022-1 (RCKT 2022-1)
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New York–(work wire) — KBRA assigns initial ratings to six classes of mortgage-backed securities from the Ellington Financial Mortgage Trust 2022-1 (EFMT 2022-1), a $417.2 million non-core RMBS transaction. The underlying collateral, consisting of 817 residential mortgage loans, has a notable concentration of alternative income documentation, with 69.0% of loans underwritten using bank statements, asset depletion, and DSCR document types.

About 64.2% of the loans were classified as non-qualified mortgages. The remaining loans are classified as exempt from the ATR/QM rule created for a business purpose (ie investment properties). EFMT 2022-1 is not backed by any loans in effect as of the closing date, however, 0.2% of the pool contains loans that were subject to deductible plans but exited and had been operating for several months.

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Disclosures

More information on key credit considerations, sensitivity analyzes that consider factors that can affect these credit ratings and how they might lead to a rating upgrade or downgrade, and ESG factors (where they are a major driver behind change in credit rating or rating expectations) can be found in the full rating report referenced above.

A description of all material sources that were used to prepare the credit rating and information on the methodology(s) (including any physical models and sensitivity analyzes of relevant key rating assumptions, as applicable) used in determining the credit rating is provided. In the information disclosure form(s) found here.

Information about the meaning of each taxonomy category can be found here.

Other disclosures relating to this classification procedure are available in the Information Disclosure Form(s) referred to above. Additional information regarding KBRA’s policies, methodologies, rating metrics, and disclosures is available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the US Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Ltd is registered as a CRA with the Financial Conduct Authority in the UK under a provisional registration scheme. In addition, the KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to offer a short prospectus or an off-the-shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.

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