NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 43 classes of mortgage notes from OBX 2020-EXP1 Trust (OBX 2020-EXP1), a $467.5 million expanded prime RMBS transaction collateralized by loans with both traditional and alternative borrower documentation.
The $467.5 million RMBS transaction is collateralized by a pool of 722 residential mortgages, with fixed-rate mortgages (FRMs) and hybrid adjustable-rate mortgages (ARMs) making up 52.1% and 47.9% of the pool, respectively. Approximately 64.8% of the loans are classified as non-qualified mortgages (Non-QM, 64.8%) and 8.7% are categorized as qualified mortgages (QM). The remaining 26.5% 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.
The OBX 2020-EXP1 mortgage is characterized by moderate borrower leverage and a combination of traditional and alternative income documentation, including full documentation (e.g. tax return, W-2), bank statements, written verification of employment and profit and loss statements. The borrowers in the pool have a non-zero weighted average (NZWA) original credit score of 756 and a NZWA debt-to-income (DTI) ratio of 37.7%. Borrowers in OBX 2020-EXP1 also exhibit considerable equity in each mortgaged property, as evidenced by the pool’s WA original loan-to-value (LTV) and combined LTV (CLTV) ratios of 67.8% and 68.1%, respectively. The pool has a WA loan age (WALA) of approximately seven months.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its Residential 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.
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- OBX 2020-EXP1 Trust Pre-Sale Report
- OBX 2020-EXP1 Trust Tear Sheet
- OBX 2020-EXP1 Representations and Warranties Disclosure
- U.S. RMBS Rating Methodology
- Residential Mortgage Default and Loss Model
- U.S. RMBS Rating Methodology for Assessing Non-QM Risk
- Global Structured Finance Counterparty Methodology
About KBRA and KBRA Europe
KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. 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, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.
Patrick Gervais, Senior Director
Jeremy Kugelman, Associate
Rebecca Lindenblatt, Analyst
Jack Kahan, Senior Managing Director
Michele Patterson, Managing Director