KBRA Assigns Preliminary Ratings To OBX 2022-NQM2 Trust

OBX 2022-NQM2 Trust is a $439.4 million non-prime RMBS transaction. The underlying collateral, comprising 649 residential mortgages, is characterized by a notable concentration of alternative income documentation (72.3%). With respect to the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule, approximately 56.7% of the loans were categorized as non-qualified mortgages.

The remaining loans (43.3%) were categorized as QM: Safe Harbor (1.9%) or exempt from the ATR/QM rule (41.4%) due to being originated for business purposes (i.e., investment properties).

Of all of the originators contributing to OBX 2022-NQM2, AmWest Funding Corp is the only company to originate more than 20% of the loans (21.3%). Other top originators in the pool include Sprout (19.3%), and Change Lending (13.2%), with the remaining lenders each contributing less than 10% of the mortgage loans, according to KBRA. 

The KBRA report shows minimal compliance risk with approximately 77.6% of the pool’s loans meeting all of the requirements to be subject to the TRID rule. TRID permits assignee liability for certain violations of disclosure requirements.

Meanwhile, KBRA states that the RW&E framework available to investors in OBX 2022-NQM2 is consistent with industry standards for non-prime collateral; however, as compared to previous OBX Expanded Prime deals, those limitations are substantial.