NEW YORK–(BUSINESS WIRE)–KBRA assigns preliminary ratings to 60 categories of Bayview Opportunity Master Fund VIa Trust Mortgage Transfer Certificates 2022-INV3 (BVINV 2022-3). The transaction is fully secured by prime mortgages for investment purposes. About 99.5% of the loans in this pool are eligible for agencies. The BVINV 2022-3 pool consists of 1,274 fixed rate first mortgage loans with a total principal balance of $452.7 million as of the February 1, 2022 deadline. The pool is characterized by a significant equity of the borrower in each mortgaged property, as evidenced by WA’s original LTV of 65.2%. The weighted average initial credit score is 767, which is well within the range of prime mortgages.
KBRA’s scoring approach incorporated loan-level analysis of the mortgage pool through its RMBS credit model, due diligence results review of third-party loan files, cash flow modeling analysis of the payment structure of the transaction, reviews of the principal parties to the transaction and an assessment of the legal structure and documentation of the transaction. This analysis is further described in our US RMBS Rating Methodology.
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Further information on key credit considerations, sensitivity analyzes which look at factors that may affect these credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (where they are a driver key to the change in credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially significant sources that were used to prepare the credit rating and information on the methodology(ies) (including all significant models and sensitivity analyzes of the main relevant rating assumptions, the where applicable) used to determine credit rating are available in the information disclosure form(s) located here.
Information on the meaning of each rating category can be found here.
Additional information relating to this rating metric is available in the information disclosure form(s) referenced above. Additional information regarding KBRA’s policies, methodologies, grading scales and disclosures is available at www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a rating agency with the UK Financial Conduct Authority under the temporary registration scheme. In addition, KBRA is designated as the Designated Rating Agency 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.