A pool of 1,638 fixed- and adjustable-rate mortgages extended to non-prime and subprime borrowers will collateralize $847.2 million in residential mortgage-backed securities (RMBS), sponsored by Onslow Bay Financial.

Most credit aspects of the deal are neutral, said Fitch Ratings. This includes what Fitch Ratings calls a seasoned probability of default (PD) driver, which considers factors such as the loan account age, borrower performance and loan amortization.

With limited seasoning and the fact that almost the whole pool has a clean payment history, OBX 2026-NQM1 had a seasoned PD of 33.3% among the AAA stresses and 11.4% among the B stresses, Fitch said.

The deal is expected to close on January 14 and will issue notes through about 14 tranches of notes, all of which have an October 2065 final scheduled maturity date, according to Fitch.

In terms of OBX 2026-NQM1 deal's capital structure, the deal will repay noteholders through a hybrid pro-rata and subordinate sequential structure, for the class A and subordinate M and B classes, respectively, KBRA said.

J.P. Morgan Securities, Morgan Stanley, BTIG and Cantor Fitzgerald compose the group of initial note purchasers, KBRA said.

Asset Securitization Report's deal data base finds that expected coupons range from 5.06% on the A1FCF tranche to 5.95% on the B1A notes.

Most of the class A notes benefit from credit enhancement levels of 22.50%, while the A1A notes benefit from 32.50% in credit enhancement levels, KBRA said.

Analysts at Kroll Bond Rating Agency noted the collateral's moderate leverage. The pool's weighted average (WA) original loan-to-value ratio is 67.4%. Also on a WA basis, the borrowers' debt-to-income ratio was 36.5%.

On average, the loans have an average balance of $517,234. It is a diverse pool, as the aggregate top five balances account for only 1.8% of the pool, KBRA said.

Slightly more than one third of the borrowers in the pool, 32.6%, are self-employed, KBRA said. Overall, borrowers have a non-zero WA annual income of $632,543, and liquid reserves of $424,334, the rating agency said.

Fitch assigns ratings of AAA to the A1 notes; AA to the A2 notes; A to the A3 notes; and BBB- to the M1 notes. KBRA assigns AAA to the A1 notes; AA+ to the A2 notes; BBB+ to the M1 notes; BBB-to the B1A notes; BB- to the B1B notes and B- to the B2 notes.