KBRA Preliminary Rating of OBX 2022-NQM1 Trust (OBX 2022-NQM1) – QNT Press Release


KBRA has assigned a preliminary rating to the OBX 2022-NQM1 Trust’s (OBX 2022-NQM1) Class Six Secured Transfer Note, a $556.7 million non-prime RMBS transaction. The underlying collateral included 786 residential mortgages, which were characterized by a significant concentration of alternative income documents (73.8%). Regarding the ability to repay/qualified mortgage (ATR/QM) rules, approximately 64.4% of loans are classified as non-qualified mortgages (Non-QM). The remaining loans (35.6%) were classified as QM: Safe Harbor (0.1%) or exempt from ATR/QM rules (35.5%) due to commercial purposes (ie investment properties).

KBRA’s rating methodology includes loan level analysis of mortgage pools through its US RMBS mortgage default and loss model, review of third-party loan document due diligence findings, cash flow modeling analysis of transaction payment structures, review of key transaction parties and an evaluation of the legal structure and documentation of the transaction. Our US RMBS rating methodology further describes this analysis.

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The full story is available on Benzinga.com



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