Onslow Bay Financial is coming to the market to sponsor a $618.4 million sale of residential mortgage-backed securities (RMBS).
Kroll Bond Rating Agency notes that 1,058 mortgages collateralize the deal, and a significant concentration of them are considered non-prime. The transaction is slated to close in mid-January and will issue fixed-rate notes that have a final maturity date of December 2064.
The deal has a hybrid repayment structure with the senior classes repaying investors on a pro-rata basis and the mezzanine and subordinate notes repaying them sequentially, KBRA said.
In one key change from the previous transaction, the OBX 2024-NQM-18 deal, alternative income documentation underwriting accounted for 61.9% of the collateral, compared with 55.2% of the underlying loans in the previous deal. This includes bank statements and profit and loss statements.
Among the deal's forms of credit enhancement, the notes benefit from excess spread to offset losses. There is also a 120-day stop advance, which prohibits OBX's advancing party from forwarding any interest and principal on delinquent mortgages that are overdue by more than 120 days, the rating agency said.
The senior classes, A1, A2 and A3 benefit from credit enhancement levels of 23.25%, 18.0% and 9.3%, respectively, KBRA said. The mezzanine through B-2 notes benefit from enhancement ranging from 5.3% to 1.2%, the company said.
KBRA assigns AAA to the A1 notes; AA+ to the A2 notes; and A+ to the A3 notes; BBB+ to the M1 class; BBB- to the B-1A class; BB- to the B-1B class; and B- to the B2 tranche, the rating agency said.
S&P Global Ratings also assessed the notes and assigns AAA, AA, and A to the A1, A2 and A3 notes, respectively; and BBB- to the M1 tranche.
All of the underlying loans in the pool are first-liens, KBRA said. Borrowers, half of whom are self-employed, have a median income of $225,153, with liquid reserves of $463,424 on a weighted average (WA) basis, KBRA said.
Most of the portfolio is comprised of primary residences, 64.2%, while investment properties accounted for 31.4% of the pool, a drop from 41.1% on the OBX 2024-NQM-18, KBRA said. Almost half of the mortgages in the pool, 49.5%, were originated in California, while New York and Florida accounts for 11.1% and 6.9% of the pool, respectively.
