The $896.1 million residential mortgage-backed transaction is backed by 1,729 loans, with most collateral consisting of fixed-rate mortgages and a large share classified as non-QM or ATR/QM-exempt.
KBRA assigned preliminary ratings to 13 classes of notes issued by OBX 2026-NQM11 Trust, a $896.1 million non-prime RMBS transaction backed by 1,729 residential mortgages. Fixed-rate mortgages make up 91.5% of the pool and hybrid adjustable-rate mortgages account for 8.5%. A majority of the loans are either classified as non-qualified mortgages, at 43.6%, or are exempt from the Ability-to-Repay/Qualified Mortgage rule, at 45.5%, because they were originated for non-consumer loan purposes. No single originator represents more than 10% of the pool. KBRA said its analysis used loan-level modeling through its Residential Asset Loss Model, results from third-party loan file due diligence, cash flow analysis of the transaction’s payment structure, reviews of key transaction parties, and an assessment of the legal structure and documentation under its U.S. RMBS rating methodology.