NEW YORK–(COMMERCIAL THREAD) – Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 44 categories of Bayview MSR Opportunity Master Fund Trust 2021-INV4 (BVINV 2021-4) Mortgage Transfer Certificates. The transaction is mortgage-backed for qualifying investment purposes by leading agencies. The BVINV 2021-4 pool comprises 2,463 fixed rate first residential mortgages with a total principal balance of $ 761.2 million as of the September 1, 2021 deadline. The pool is characterized by significant equity of the borrower in each mortgaged property, as evidenced by the initial WA LTV of 63.6% and the initial WA CLTV of 63.7%. The initial weighted average credit score is 771, which is well within the range for prime mortgages.
KBRA’s scoring approach included a loan-level analysis of the mortgage pool through its RMBS credit model, a review of the results of due diligence of third-party loan files, a cash flow modeling analysis of the payment structure of the transaction, reviews of key parties to the transaction, and an assessment of the legal structure and documentation of the transaction. This analysis is described in more detail in our US RMBS rating methodology.
Further information on key credit considerations, sensitivity analyzes that examine the factors that may affect these credit ratings and how they might lead to an upgrade or downgrade, and ESG factors (where they are a key factor in changing the credit rating or rating outlook) can be viewed in the full rating report mentioned above.
A description of all substantially significant sources that were used to prepare the credit rating and information about the method (s) (including significant models and sensitivity analyzes of the relevant key rating assumptions, if any) used to determine the credit rating is available in the information disclosure form (s) located here.
Information on the meaning of each rating category can be located here.
Further information relating to this rating measure is available in the information disclosure form (s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures can be found 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 NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a credit rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a credit rating agency with the UK Financial Conduct Authority under the temporary registration regime. In addition, KBRA is appointed as the designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.