Fitch Assigns Expected Ratings To OBX 2023-NQM2 Trust – NMP Skip to main content

Fitch Assigns Expected Ratings To OBX 2023-NQM2 Trust

Feb 23, 2023
Fitch Ratings

The notes are supported by 910 loans with a UPB of approximately $420.7 million acquired by Annaly Capital Management.

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.

About the author
David Krechevsky was an editor at NMP.
Published
Feb 23, 2023
More from
Non-QM
Brokers First Funding Launches First- And Second-Lien Non-QM HELOC

Wholesale lender targets self-employed borrowers and investors with alternative-documentation options and lines of credit up to $1 million

Jul 17, 2026
AD Mortgage Closes Fifth Non-QM Securitization Of 2026, Betting Big On Geographic Diversification

A $432.4 million deal backed by over 1,000 loans shows investors are still hungry for Non-QM paper — but the real story is where the loans are coming from

Jul 15, 2026
ResiCentral Expands Non-QM Lineup With Same-Day Income Qualification

New Apex and Optimum programs combine multiple documentation options with faster income analysis for self-employed, investor, and other non-W-2 borrowers

Jul 10, 2026
Finance Of America Sees Growing Demand For Second-Lien Reverse Mortgages

HomeSafe Second expands into four additional markets, giving loan officers another option for equity-rich homeowners who want to preserve low-rate first mortgages

Jul 08, 2026
Figure’s Prefunded Deal Shifts Rate Risk From Originators To Bond Investors

Originators get a locked exit in a private-credit market hungry for funding certainty

Jul 03, 2026
How To Qualify Self-Employed Borrowers When Tax Returns Fall Short

A practical guide to using bank statement loans for borrowers whose cash flow isn't reflected on their tax returns

Jul 01, 2026