Fitch Rates Non-QM Offering OBX 2022-NQM7 – NMP Skip to main content

Fitch Rates Non-QM Offering OBX 2022-NQM7

Aug 24, 2022
Fitch Ratings

Notes are supported by 681 loans with a total unpaid principal balance of approximately $358.9M.

Fitch Ratings has assigned ratings to residential mortgage-backed notes issued by OBX 2022-NQM7 Trust (OBX 2022-NQM7). 

The notes are supported by 681 loans with a total unpaid principal balance of approximately $358.9 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.

The collateral consists of 30- and 40-year, fixed-rate and adjustable-rate loans. ARMs constitute 6.9% of the pool, 16.8% are IO loans, and the remaining 83.2% are fully amortizing loans. The pool is seasoned approximately seven months in aggregate, as calculated by Fitch. 

Of the loans, approximately 57.5% are designated as non-qualified mortgages (Non-QM), while 37% are investment properties not subject to the Ability-to-Repay (ATR) Rule.

Fitch assigned 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(sf)
  • B-3, A-IO-S, X-S: Not rated.

Borrowers in this pool have a moderate credit profile with a Fitch-calculated weighted average (WA) FICO score of 741, debt-to-income ratio (DTI) of 43.4%, and moderate leverage of 77.3% sustainable loan-to-value ratio (sLTV). Pool characteristics resemble recent non-prime collateral, Fitch said. 

Fitch viewed approximately 83.5% of the pool as less-than-full documentation, and alternative documentation was used to underwrite the loans. Of this, 48.1% 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 by 1.6x on the bank statement loans, it said. 

Besides loans underwritten to a bank statement program, 24.1% are a debt service coverage ratio (DSCR) product; 2.3% are a written verification of employment (WVOE) product; 4.4% are profit-and-loss (P&L) statement loans; and 3.5% constitute an asset depletion product.

You can read the full report at www.fitchratings.com.

About the author
David Krechevsky was an editor at NMP.
Published
Aug 24, 2022
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