Ellington $509M+ EFMT 2026-NQM3 non-QM RMBS premarketing
TL;DR
KBRA has assigned preliminary ratings to a $509.6 million non-QM RMBS transaction by Ellington, backed by mortgages with alternative underwriting. The pool includes non-QM loans and those exempt from standard rules, reflecting Ellington's focus on non-traditional borrowers.
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Ellington $509M+ EFMT 2026-NQM3 non-QM RMBS premarketing
Kroll Bond Rating Agency (KBRA) has assigned preliminary ratings to 15 classes of mortgage pass-through certificates issued by EFMT 2026-NQM3, a $509.6 million non-prime residential mortgage-backed securities (RMBS) transaction. The collateral pool consists of 1,292 residential mortgages, with 81.8% underwritten using alternative income documentation methods, including debt service coverage ratios (DSCR), bank statements, and asset-based underwriting. Approximately 45.8% of loans are classified as non-qualified mortgages (non-QM), while 46.9% are exempt from the Ability-to-Repay/Qualified Mortgage rule due to non-consumer loan purposes. LendSure Mortgage Corp., an affiliate of Ellington Management Group, originated 30.6% of the pool.
KBRA's rating analysis utilized its Residential Asset Loss Model (REALM) for loan-level risk assessment, third-party loan file due diligence, cash flow modeling, and reviews of transaction structure and key parties. The transaction's legal and documentation framework was also evaluated. Further details on credit considerations, sensitivity analyses, and ESG factors are available in the full rating report.
Investors may access preliminary ratings and related documents via KBRA's platform. The transaction reflects Ellington's ongoing activity in the non-QM RMBS market, which targets borrowers who do not meet traditional qualified mortgage criteria. KBRA, a SEC-registered NRSRO, emphasizes transparency in its methodologies and disclosures.
(https://www.morningstar.com/news/business-wire/20260304315433/kbra-assigns-preliminary-ratings-to-efmt-2026-nqm3): Kroll Bond Rating Agency, LLC. (2026). KBRA Assigns Preliminary Ratings to EFMT 2026-NQM3. Business Wire.
