NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency, Inc. (KBRA) assigns preliminary ratings to 49 classes of mortgage-backed notes from OBX 2020-INV1, a $374.6 million RMBS 2.0 transaction issued by Onslow Bay Financial, LLC.
The OBX 2020-INV1 pool comprises 1,055 first-lien, prime residential mortgage loans with an aggregate principal balance of $374,608,743 as of the January 1, 2020 cut-off date. The collateral is backed predominantly by agency-eligible investment purpose mortgage loans that are exempt from Ability-to-Repay (ATR) rules. All of the underlying loans are 30-year fully amortizing, fixed rate mortgages (FRMs). The pool is characterized by significant borrower equity in each mortgaged property, as evidenced by the WA original LTV of 67.3% and WA original CLTV of 67.4%. The weighted average original credit score of the pool is 764, which is well within the prime mortgage range.
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-INV1 Pre-Sale Report
- OBX 2020-INV1 Tear Sheet
- RMBS KBRA Comparative Analytic Tool (KCAT)
- 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.
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