Skip to main content

KBRA Assigns Preliminary Ratings To Onslow Bay Non-QM Securitization

David Krechevsky
Jan 10, 2023
KBRA New Logo

OBX 2023-NQM1 is a $405.2 million non-prime RMBS transaction.

Kroll Bond Rating Agency (KBRA) said recently it has assigned preliminary ratings to six classes of mortgage pass-through notes from OBX 2023-NQM1 Trust (OBX 2023-NQM1), a $405.2 million non-prime residential mortgage-backed securities (RMBS) transaction. 

OBX 2023-NQM1 Trust was issued by Onslow Bay Financial LLC as seller/sponsor. Onslow Bay operates as a wholly owned subsidiary of Hatteras Financial Corp., which is owned by Annaly Capital Management Inc. Annaly purchases all residential whole loans through Onslow Bay.

The loans in the OBX 2023-NQM1 collateral pool were originated by relatively small, unrated entities and underwritten to non-traditional income documentation, KBRA said. With the exception of AmWest Funding Corp., the largest originator comprising 27.8% of the pool, each other originator contributed less than 15% of the mortgage loans.

The underlying collateral, comprising 842 residential mortgages, is characterized by a notable concentration of alternative income documentation (92%). Most of the loans (62.9%) are either classified as non-qualified mortgages (Non-QM) or exempt from the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule due to being originated for non-consumer loan purposes (36.8%).

KBRA assigned the preliminary 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, XS, R: Not rated.

KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its KBRA RMBS Credit Model, an examination of the results from third-party loan file due diligence, cash flow modeling analysis of the transaction’s payment structure, reviews of key transaction parties, and an assessment of the transaction’s legal structure and documentation. 

The full KBRA report is available here (registration required).

Published
Jan 10, 2023
More from
Non-QM
Fitch Rates Mostly Non-QM Offering Backed By A&D Mortgage Loans

Imperial Fund Mortgage Trust 2023-NQM1 is backed by 974 loans valued at $364.84 million, with 93.8% originated by A&D.

Non-QM
Jan 27, 2023
Fitch Assigns Expected Ratings To AOMT 2023-1 Non-QM Securitization

The securitization worth $580.47 million is Angel Oak Mortgage Trust's first of 2023.

Non-QM
Jan 25, 2023
DBRS Morningstar Rates Velocity Commercial Capital Loan Trust 2023-1

VCC 2023-1 is backed by 695 mortgage loans with a total principal balance of $240,308,194.

Investor Loans
Jan 24, 2023
Fitch Expects To Rate BRAVO Residential Funding Trust 2023-NQM1

Loans in the pool were originated primarily by Acra Lending and LoanStream Mortgage.

Non-QM
Jan 20, 2023
AAMC Hiring New COO For Its Alternative Lending Group

Industry veteran Danya Sawyer will begin in her new role on Feb. 1.

People On The Move
Jan 20, 2023
Defy Mortgage Announces National Launch Of Non-QM Lending

Nashville-based lender to focus on lending to borrowers with non-traditional income streams.

Non-QM
Jan 11, 2023