Fitch Assigns Ratings To A Non-QM Offering – NMP Skip to main content

Fitch Assigns Ratings To A Non-QM Offering

Jun 06, 2022
Fitch Ratings

The OBX 2022-NQM5 Trust notes are supported by 747 loans totaling $390.8M.

Fitch Ratings recently announced it has assigned ratings to OBX 2022-NQM5 Trust notes. The notes are supported by 747 loans with a total unpaid principal balance of approximately $390.8 million as of the cutoff date.

The pool consists of fixed-rate mortgages and adjustable-rate mortgages (ARMs) acquired by Annaly Capital Management Inc. from various originators and aggregators.

Fitch assigned rates as follows:

  • A-1: AAAsf
  • A-2: AAsf
  • A-3: Asf
  • M-1: BBBsf
  • B-1: BBsf
  • B-2: Bsf
  • B-3, AIOS, XS, R: Not rated.

The collateral consists of 15-, 30-, and 40-year fixed-rate and adjustable-rate loans. ARMs constitute 7.6% of the pool; 22.3% are IO loans and the remaining 77.7% are fully amortizing loans. The pool is seasoned approximately six months in aggregate. 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 47.3%, and moderate leverage of 77% sustainable loan-to-value ratio (sLTV). Pool characteristics resemble recent non-prime collateral, Fitch said.

The pool contains a meaningful amount of investor properties (47%) and Non-QM loans (50%). Fitch's loss expectations reflect the higher default risk associated with these attributes, as well as loss severity (LS) adjustments for potential ability to repay (ATR) challenges. Higher LS assumptions are assumed for the investor property product to reflect potential risk of a distressed sale or disrepair.

For approximately 87% of the pool, alternative documentation was used to underwrite the loans. Of this, 33.1% were underwritten to a bank statement program to verify income, which is not consistent with Appendix Q standards or Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the probability of default (PD) by 1.5x on the bank statement loans. Besides loans underwritten to a bank statement program, 40.9% are a debt service coverage ratio (DSCR) product, 4.5% are a WVOE product, 5.2% are P&L loans and 0.4% comprise an asset depletion product.

The full report is available at www.fitchratings.com.

About the author
David Krechevsky was an editor at NMP.
Published
Jun 06, 2022
More from
Non-QM
Verus Moves Non-QM Operations To Vesta’s AI-Native LOS

The Non-QM investor says the platform’s AI agents can process documents, resolve workflow tasks, and work with proprietary lending guidelines

Jul 22, 2026
RiskSpan Launches Non-QM Credit Model Trained On $87B In Loans

Model separately analyzes bank-statement, DSCR, and full-documentation collateral using data from approximately 226,000 loans

Jul 22, 2026
Fairway Sees Two To Three More Monthly Closings In Non-QM

The retail lender is expanding its alternative-income products and originator training to capture borrowers outside agency guidelines

Jul 21, 2026
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