KBRA Assigns Preliminary Ratings to EFMT 2025-NQM2
10 Jun 2025 | New York
KBRA assigns preliminary ratings to seven classes of mortgage pass-through certificates from EFMT 2025-NQM2, a $282.8 million non-prime RMBS transaction. The underlying collateral, comprising 656 residential mortgages, is characterized by a notable concentration of alternative income documentation, with 83.9% of the loans underwritten using bank statements, DSCR, and asset underwriting documentation types. The majority of loans are either classified as non-qualified mortgages (56.9%) or exempt (40.1%) from the Ability-to-Repay/Qualified Mortgage rule due to being originated for non-consumer loan purposes. LendSure Mortgage Corp. (LendSure), an affiliated originator of Ellington Management Group (“Ellington”) originated 36.6% of the pool.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its Residential Asset Loss Model (REALM), an examination of the results from third-party loan file due diligence, cash flow modeling analysis of the transaction’s payment structure, reviews of key transaction parties and an assessment of the transaction’s legal structure and documentation. This analysis is further described in our U.S. RMBS Rating Methodology.
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