According to the company’s Press release, underlying collateral comprised 661 residential mortgages and was characterized by a notable concentration of alternative income documentation – 70.2% of which were underwritten using bank statements, asset depletion, and DSCR documentation types.
The securitization is not backed by any loans in forbearance as of the cut-off date. However, 4.3% of the pool includes loans subject to forbearance plans.
The senior tranche of EFMT 2021-2 received AAA ratings from Fitch and Kroll Bond Rating Agency. Ellington retained certain tranches of the securitization to comply with credit risk retention rules and retained the option to call the securitization at any time after the optional redemption date.