KBRA Assigns Preliminary Ratings to OBX 2019-EXP2 Trust (OBX 2019-EXP2)

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 25 classes of mortgage notes from OBX 2019-EXP2 Trust (OBX 2019-EXP2).

OBX 2019-EXP2 Trust is the eighth residential mortgage-backed securities (RMBS) 2.0 transaction issued by the Seller Onslow Bay Financial LLC, (Onslow Bay) and the fourth which includes a significant concentration of collateral that KBRA considers to be “expanded prime”. The collateral pool contains a majority (63.7%) of non-qualified mortgages (non-QM) and a small remaining population of qualified mortgages (QM). In addition, the pool contains loans secured by investor properties exempt from Ability-to-Repay (ATR) rules. The $463.4 million RMBS transaction is collateralized by a pool of 737 residential mortgages.

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.

For complete details on the analysis, please see our pre-sale report, OBX 2019-EXP2 Trust, which was published on www.kbra.com. A tear sheet summarizing certain items of the transaction can be found here.

To access ratings, reports and disclosures, click here.

Related Publications: (available at www.kbra.com)

• OBX 2019-EXP2 Trust Pre-Sale Report
• OBX 2019-EXP2 Trust Tear Sheet
• 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

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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.

Contacts

Analytical:

Sharif Mahdavian, Senior Director

(646) 731-2301

smahdavian@kbra.com

Patrick Gervais, Senior Director

(646) 731-2426

pgervais@kbra.com

Jack Kahan, Senior Managing Director

(646) 731-2486

jkahan@kbra.com

Tom Reilly, Analyst

(646) 731-2317

treilly@kbra.com