KBRA Assigns Preliminary Ratings to OBX 2022-NQM8 Trust (OBX 2022-NQM8)
KBRA assigns preliminary ratings to six classes of mortgage pass-through notes from OBX 2022-NQM8 Trust (OBX 20220-NQM8), a $397.5 million non-prime RMBS transaction. The underlying collateral, comprising 765 residential mortgages, is characterized by a notable concentration of alternative income documentation (91.3%). Most loans are either classified as non-qualified mortgages (Non-QM) (59.6%) or exempt from the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule due to being originated for non-consumer loan purposes (38.8%).
KBRA's 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. This analysis is further described in our U.S. RMBS Rating Methodology.
Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.
Information on the meaning of each rating category can be located here.
Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.