OBX 2023-NQM6 Trust is raising $400.5 million in a securitization transaction backed by a pool of 842 non-prime residential mortgages. The collateral is characterized by a high concentration of alternative income documentation (91.9%), said Kroll Bond Rating Agency (KBRA).
The seller, sponsor, and principal and interest (P&I) advancing party is
The pool comprises fixed-rate mortgages and adjustable-rate mortgages acquired by
The current pool balance is $400.53 million, up from $390.27 million in OBX 2023-NQM5, which comprised 830 loans, Fitch Ratings said. The average loan balance is $475,689 compared to the previous transaction's $470,207.
The transaction has a stop-advance feature where the P&I advancing party will advance delinquent P&I for up to 120 days, Fitch says. Of the loans, approximately 58.7% are designated as non-qualified mortgages (non-QM), and 41% are investment properties not subject to the Ability to Repay (ATR) Rule.
Fitch views the pool's home price values as 6.8% above a long-term sustainable level.
The pool's borrowers have a moderate credit profile with a Fitch-calculated weighted average FICO score of 747, debt-to-income ratio of 43.8%, and moderate leverage of 74.4% sustainable loan-to-value ratio.
Fitch considers approximately 93.2% of the pool as having less than full documentation, because alternative documentation was used to underwrite the loans. Of these, 45.3% used a bank statement program to verify income. Fitch increased the probability of default by 1.9x on the bank statement loans.
KBRA said that OBX 2023-NQM6 exhibits modest core-based statistical area (CBSA) geographic concentration relative to recent KBRA-rated non-agency RMBS transactions. California represents 34.6% of the pool and the top three CBSAs account for 39.6% of the loan population.
Fitch expects to assign AAA to the A-1 notes, AA to the A-2 notes, A to the A-3 notes, and BBB to the M-1 notes. KBRA has provisionally assigned AAA to the A-1 notes, 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.
