KBRA rates $538 million OBX 2024-NQM16 mortgage trust

In the United States, KBRA has assigned preliminary ratings to seven classes of mortgage-backed notes from the OBX 2024-NQM16 Trust. This $538 million non-prime RMBS transaction is backed by a pool of 1,040 residential mortgages, predominantly characterized by alternative income documentation loans. A significant portion of these loans, approximately 51.4%, falls under the non-qualified mortgage category, with many loans exempt from the Ability-to-Repay/Qualified Mortgage rule as they were originated for non-consumer purposes. KBRA's rigorous rating methodology employed a loan-level analysis via its Residential Asset Loss Model (REALM) and comprehensive reviews of third-party due diligence to assess the creditworthiness of the collateral underlying these notes. The analysis also included cash flow modeling that evaluated the transaction’s payment structure, as well as reviews of key parties involved in the transaction and scrutiny of its legal framework. Furthermore, the rating report outlines key credit considerations and sensitivity analyses that could impact the ratings. It also discusses potential factors leading to an upgrade or downgrade of the ratings, thereby demonstrating the agency's commitment to transparent and thorough evaluations. As a registered credit rating agency in the U.S. and several other regions, KBRA follows strict regulatory standards to ensure the reliability and accuracy of their ratings, which play a critical role in the financial markets for investors and issuers alike.