Ellington Financial is sponsoring its first non-qualified mortgage securitization since October, in another pool of large-sized loans its LendSure Mortgage Co. affiliate made to primarily wealthy and self-employed homebuyers.
Ellington Mortgage Trust 2021-1 is a $251.8 million transaction, which includes a Class A $188.7 million tranche with preliminary AAA ratings from Kroll Bond Rating Agency and S&P Global Ratings.
A “notable” concentration of loans were issued with alternative income documentation under qualified-mortgage rules of the Consumer Financial Protection Bureau, according to Kroll, with 66.1% of the loans made to self-employed borrowers, with 49.6% of the loans underwritten with bank statement income verification (including less than 24 months verified).
The average balance is $516,983 on original terms of 388 months and an average 5.74% coupon. Borrowers have an average FICO score of 733.
Obligors have significant equity in their homes (average loan-to-value ratios of 72.4%, according to Kroll) along with liquid reserves of $698,616 and monthly free cash flow of $6,535.
No loans are in active forbearance, although 1.1% of the loans had initial enrollment under COVID-19 relief programs from LendSure.
Like other non-QM deals, Ellington provides a “life-of-loan” representation and warranty framework behind the mortgages. But its R&W framework is considered relatively stronger than other peer sponsors, due to Ellington’s financial strength, with a guarantor partnership reporting $3.8 billion in assets and equity of $809 million.
