KBRA Assigns Preliminary Ratings To Non-QM Offering OBX 2022-NQM6
Summary
The underlying collateral, comprising 623 residential mortgages, is characterized by a notable concentration of alternative income documentation (87.7%). The remaining loans (39.9%) were exempt from the ATR/QM rule due to being originated by a Community Development Financial Institution (CDFI) or for business purposes (i.e., investment properties). KBRA said the transaction contains loans it generally considers to be non-prime due to certain loan or borrower characteristics, which include borrowers with blemished credit histories and the use of bank statements and other forms of alternative documentation for verifying income. The loans in the OBX 2022-NQM6 collateral pool were originated by relatively small, unrated entities and underwritten to non-traditional income documentation, KBRA said. KBRA said it assigned preliminary ratings as follows: KBRA said its rating approach incorporated loan-level analysis of the mortgage pool through its U.S. RMBS Mortgage Default and Loss 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.