NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to six classes of mortgage-backed notes from Ellington Financial Mortgage Trust 2021-1 (EFMT 2021-1), a $251.7 million non-prime RMBS transaction. The underlying collateral, comprising 487 residential mortgages, is characterized by a notable concentration of alternative income documentation, with 49.6% of the loans underwritten using <12-month, 12 month, or 24-month bank statements.

Approximately 78.6% of the loans were categorized as non-qualified mortgages (Non-QM). The remaining loans were categorized as exempt from the ATR/QM rule having been originated for a business purpose (i.e., investment properties). EFMT 2021-1 is not backed by any loans in forbearance as of the cut-off date, however, the pool contains five loans (1.1%) that were subject to forbearance plans but exited them and

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