Ellington Financial Mortgage Trust raises $425.6 million in MBS

Ellington Financial Mortgage Trust, 2022-2, is preparing to come to market with a non-preferred residential mortgage-backed securities (RMBS) transaction, issuing approximately $425.6 million in notes to investors.

An Ellington Financial subsidiary, EF Holdco WRE Assets, is sponsoring the transaction, which will secure payments from a pool of 998 residential mortgages, according to a pre-sale report from ratings agency Kroll Bond, which notes that the pool presents noticeable concentration. of alternative income documentation and relatively low leverage for the borrower.

Credit Suisse is an original purchaser of notes under the agreement, along with Nomura Securities International and Robert W. Baird & Co., KBRA said. The Notes will be issued from a capital structure where the principal will be distributed on a pro rata, sequential hybrid structure.

The trust will pay principal on Class A certificates before any are paid to Class M-1 or Class B. In addition, the Notes will benefit from tiering based on the performance trigger of principal payments and class A-1/A-2 interests.

KBRA intends to assign ratings ranging from “AAA” on the $317.7 million Class A-1 notes to “B-” on the $12.1 million Class B-2 notes .

At the deadline of the agreement, all loans were outstanding.

Rushmore Loan Management Services will handle the certificates, while Nationstar Mortgage is the prime contractor for the deal, which is expected to close on April 19, according to KBRA.

The loans in the pool, which are all fixed rate and senior, have an average balance of $426,504, and the top five loan balances represent 3.4% of the pool. On a weighted average (WA) basis, the loans have an initial term of 387 months. While mortgage assets were not prime, borrowers had several positive attributes. On a WA basis, the borrowers had an initial credit score of 741, an initial loan-to-value (LTV) ratio of 71.2% and a debt-to-income (DTI) ratio of 33.5%.

Some 43.9% of borrowers in the pool were self-employed and had an annual New Zealand income of $475,688.

The majority of properties (73.4%) were single family homes or planned unit developments (PUD), while 14.1% were condominiums and multi-family properties made up 8.8% of the pool.