KBRA issues preliminary ratings for Bayview MSR Opportunity Master Fund Trust 2021-INV2 (BVINV 2021-2)
NEW YORK–(BUSINESS WIRE) – Kroll Bond Rating Agency (KBRA) issues preliminary ratings for 56 classes of mortgage pass-through certificates from Bayview MSR Opportunity Master Fund Trust 2021-INV2 (BVINV 2021-2). The transaction is backed by high quality mortgage loans for investment purposes. The BVINV 2021-2 pool includes 1,249 senior fixed rate mortgage loans with a total principal balance of $ 401.1 million as of July 1, 2021. The pool is characterized by significant borrower equity in every mortgage asset, like the original Show WA-LTV of 63.1% and the original WA-CLTV of 63.3%. The weighted average initial credit score is 769, which is well in the range for prime mortgages.
KBRA’s rating approach included an analysis of the mortgage pool at the credit level through its RMBS credit model, a review of the results of the due diligence for third party loans, a cash flow modeling analysis of the payment structure of the transaction, a review of key transaction parties, and an assessment of the legal structure and documentation the transaction. This analysis is described in more detail in our US RMBS rating methodology.
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Learn more about key credit considerations, sensitivity studies that take into account what factors may affect these credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (if they are a significant factor in changing the credit rating or rating outlook) can be found in the full rating report listed above.
A description of all material material sources that were used to establish the rating and information about the methodology (s) (including any material models and sensitivity analyzes of the relevant material rating assumptions, if applicable) that were used in determining the rating is available on the information disclosure form (s) located here.
Information on the meaning of the individual assessment categories can be found here.
Further information on this rating measure can be found in the information disclosure forms mentioned above. For more information on KBRA guidelines, methods, rating scales and indications, visit www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered as an NRSRO with the Securities and Exchange Commission. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority under the temporary registration regime. In addition, KBRA has been named by the Ontario Securities Commission as the designated rating organization for issuers of asset-backed securities for the submission of a short prospectus or shelf prospectus. KBRA is also recognized as a credit rating provider by the National Association of Insurance Commissioners.