Fitch Assigns Expected Ratings To OBX 2023-NQM2 Trust

Fitch Ratings said recently it expects to rate the residential mortgage-backed notes issued by the OBX 2023-NQM2 Trust. The transaction is scheduled to close on or about March 3, 2023.

The notes are supported by 910 loans with an unpaid principal balance (UPB) of approximately $420.7 million as of the cut-off date. The pool consists of fixed-rate mortgages (FRMs) and adjustable-rate mortgages (ARMs) acquired by Annaly Capital Management Inc. from various originators and aggregators that were not disclosed.

This is Annaly Capital’s second Non-QM securitization of 2023, after completing nine last year.

Of the loans, approximately 60.3% are designated as non-qualified mortgages (Non-QM); 1.2% are safe-harbor QM (SHQM); 0.6% are higher-priced QM (HPQM); and the remaining 37.9% are investment properties not subject to the Ability to Repay (ATR) Rule.

Fitch said it expects to assign the ratings as follows:

• A-1: AAA (sf)
• A-2: AA (sf)
• A-3: A (sf)
• M-1: BBB (sf)
• B-1: BB (sf)
• B-2: B (sf0
• B-3, A-IO-S, R, XS: Not rated.

The collateral consists of 30- and 40-year fixed-rate and adjustable-rate mortgages (ARM). ARMs constitute 10.9% of the pool as calculated by Fitch, which includes 4.2% DSCR loans with a default interest rate feature; 17.7% are interest-only (IO) loans; the remaining 82.3% are fully amortizing loans.

The pool is seasoned approximately eight months in aggregate, as calculated by Fitch (five months per the transaction documents). Borrowers in this pool have a moderate credit profile with a Fitch-calculated weighted average (WA) FICO score of 742, debt-to-income ratio (DTI) of 43.7%, and moderate leverage of 76.8% sustainable loan to value ratio (sLTV).

To read the full report, visit www.fitchratings.com.