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
A&D Mortgage Updates Non-QM Loan Programs

The changes are designed to expand loan accessibility and simplify the application process.

Apr 12, 2024
Change Lending Approved For Membership In Federal Home Loan Bank Of San Francisco

Change Lending, a CDFI, obtains membership approval from FHLB-SF after meeting all statutory requirements.

Mar 13, 2024
Verus Mortgage Capital Leads Non-Agency MBS Issuance In 2023

Specialist in Non-QM and investor rental programs emerges as dominant player.

Mar 12, 2024
Angel Oak Mortgage REIT, Inc. Weathered Financial Headwinds In 2023

Despite missing non-GAAP EPS forecasts, Angel Oak grows loan portfolio, enhances liquidity, and optimizes operations.

Mar 06, 2024
dv01 Analysis Reveals Shift In Non-QM Loan Modifications

Despite decrease in loan modifications, more borrowers opt for permanent payment reductions.

Mar 06, 2024
dv01 and Fitch Ratings Collaborate On Non-Agency RMBS Benchmarks

Strategic collaboration between dv01 and Fitch Ratings introduces benchmarks aiming to enhance transparency and redefine market analysis in Non-QM and Prime Jumbo markets.

Feb 21, 2024