Oceanview Mortgage Trust 2022-INV1 is preparing to issue approximately $ 393.4 million in Residential Mortgage Backed Securities (RMBS) from a pool of collateral comprised entirely of approximately 1,196 investment properties.
Goldman Sachs & Co. and Stifel Nicolaus & Co. are acting as initial buyers of the notes in the transaction, known as BVINV 2022-1. The notes, secured by first-rate, senior and agency-eligible mortgages, are structured according to a subordinated and changing interest structure.
Tickets will be issued from four super senior tickets. The three most senior classes are pegged to a fixed rate benchmark with 2.0% coupons, while the $ 25 million AF note class is expected to be valued at around 90 basis points against the rate. Guaranteed Overnight Funding (SOFR), according to Kroll Bond Rating. Agency.
All of the group’s senior bonds benefit from a 15% credit enhancement level, provided by subordination. Senior Notes are also protected by a specified lockout period that prevents unscheduled principal payments of the underlying loans from going to the subordinate categories.
KBRA plans to assign “AAA” ratings on classes from super senior sequential A-6 ratings to initial notional exchangeable ratings A-IO24. Moody’s Investors Service is also expected to assign ratings to the BVINV 2022-1 Trust Notes, and expects to assign maximum ratings ranging from “Aaa” to.
The trust will distribute the scheduled principal on a pro rata basis, according to KBRA.
Moody’s detailed the strong characteristics of the borrowers in the pool, including high Weighted Average (WA) FICO scores of 773, high WA monthly income of $ 17,434, and large WA liquid cash reserves of $ 112,684. Moody’s also noted that over 37% of the pool has cash reserves equal to more than 24 months. On a WA basis, the pools have a loan to value ratio of 65.6%.
The pool benefits from the diversification of borrowers, according to Moody’s, with the top 20 borrowers representing 4.9% of the pool.
Independent mortgage borrowers represent 24.3% of the guarantee pool. Moody’s usually assumes higher losses for these borrowers if the concentration is greater than the concentration observed in typical pools, which may already be reflected in historical data. It made no negative adjustments to BVINV 2022-1 losses, the rating agency said.
In terms of expected losses, Moody’s sets the benchmark average at 1.0%; a baseline median of 0.7%; and 5.7% at a stress level consistent with its “Aaa” rating.