KBRA Assigns Preliminary Ratings to OBX 2021-NQM1 Trust (OBX 2021-NQM1)

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to six classes of mortgage pass-through notes from OBX 2021-NQM1 Trust (OBX 2021-NQM1), a $257.1 million non-prime RMBS transaction. The underlying collateral, comprising 428 residential mortgages, is characterized by a notable concentration of alternative income documentation, with approximately 72.4% of the loans underwritten using <12 month, 12-23-month, or 24-month bank statements, WVOE, DSCR, Asset Depletion, or P&L statements.

Approximately 76.1% of the loans are classified as non-qualified mortgages (Non-QM), and 0.7% of the loans are categorized as qualified mortgages (QM). The remaining 23.2% of the pool are exempt from the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule due to either being originated for non-consumer loan purposes or being originated prior to the rule’s effective date. Additionally, 1.6% of the ATR/QM exempt loans were originated by Community Development Financial Institutions (CDFI). KBRA notes that this transaction is being marketed during the global Coronavirus (COVID-19) pandemic and none of the loans are in active forbearance plans as of the March 1, 2021 cut-off date.

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.

Click here to view the report. To access ratings and relevant documents, click here.

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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.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.


Analytical Contacts

Edward DeVito, Managing Director (Lead Analyst)

+1 (646) 731-2319

[email protected]

Thomas Reilly, Senior Analyst

+1 (646) 731-2317

[email protected]

Jack Kahan, Senior Managing Director (Rating Committee Chair)

+1 (646) 731-2486

[email protected]

Business Development Contact

Michele Patterson, Managing Director

+1 (646) 731-2397

[email protected]

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