OBX 2025-NQM11 Trust is issuing a series of non-prime residential mortgage-backed notes totaling $650.1 million. The note issuance is backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans (some with initial interest-only periods) to both prime and non-prime borrowers.
The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, and two- to four-family residential properties, S&P Global Ratings said.
According to KBRA, the underlying collateral, comprising 1,207 residential mortgages, is characterized by a notable concentration (86.5%) of alternative income documentation loans. Most of the loans are classified as non-qualified mortgages (47.6%) or exempt (45.1%) from the ability-to-repay/qualified mortgage rule due to being originated for non-consumer loans.
Fixed-rate mortgages and hybrid adjustable-rate mortgages comprise 91.5% and 8.5% of the pool, respectively.
According to KBRA, there were no originators comprising over 10% of the pool. The ratings agency considers the loans in the subject pool to be non-prime due to certain loan or borrower characteristics, which include borrowers with blemished credit history and the use of bank statements and other forms of alternative documentation to document income.
Onslow Bay Financial, the transaction's seller and sponsor, was formed in July 2013 and is a wholly owned subsidiary of Annaly Capital Management, the largest publicly traded U.S. mortgage REIT. Annaly purchases all residential whole loans through Onslow Bay and has sponsored over 80 RMBS 2.0 transactions to date. The company purchases a mix of agency-eligible, prime jumbo, expanded/non-prime, home equity line of credit (HELOC) and second lien mortgage collateral, KBRA said.
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According to the KBRA, the pool's weighted-average original FICO/credit score is 759. It said that the mortgages in OBX 2025-NQM11 exhibit meaningful borrower equity, as demonstrated by the pool's 67.9% weighted-average original loan-to-value ratio.
S&P said that each class of rated notes has subordination in the form of notes that are lower in payment priority and excess spread that preserves subordination.
S&P assigned a definitive rating of AAA to the Class A-1 notes totaling $514.85 million, the Class A-1A notes ($449.84 million) and the Class A-1B notes ($65.01 million). It assigned AA to the Class A-2 notes ($32.17 million), A to the Class A-3 notes ($53.95 million), and BBB- to the Class M-1 notes ($24.37 million).
S&P didn't rate the Class B-1 ($18.85 million); the Class B-2 ($4.87 million); the Class B-3 ($975,165); the notional Class XS and Class A-IO-S; and the Class R notes.
KBRA assigned an AAA final rating to the Class A-1, Class A-1A and Class A-1B notes. It assigned AA+ to the A-2 notes, A to the A-3 notes, BBB to the M-1 notes, BB- to the B-1 notes, and B to the B-2 notes.
S&P didn't rate the B-3, A-IO-S, XS or R notes.
