KBRA Assigns Ratings to OBX 2024-NQM9 Trust
21 Jun 2024 | New York
KBRA assigns ratings to seven classes of mortgage-backed notes from OBX 2024-NQM9 Trust, a $532.1 million non-prime RMBS transaction. The underlying collateral, comprising 1,056 residential mortgages, is characterized by a notable concentration of alternative income documentation (91.3%) loans. Most of the loans are classified as non-qualified mortgages (Non-QM) (47.0%) or exempt (51.6%) from the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule due to being originated for non-consumer loan purposes.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its Residential Asset Loss Model (REALM), 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.
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