Oceanview Mortgage Trust 2022-INV1 is preparing to issue about $393.4 million in residential mortgage-backed securities (RMBS) from a collateral pool made up entirely of about 1,196 investment-purpose properties.
Goldman Sachs & Co. and Stifel Nicolaus & Co., are acting as initial note purchasers on the deal, called BVINV 2022-1. The notes, secured by prime, first-lien, agency-eligible mortgages, are structured on a senior-subordinate and shifting interest structure.
Notes will be issued from four super senior notes. The three most senior classes are pegged to a fixed-rate benchmark with 2.0% coupons, while the $25 million A-F class of notes is expected to price at around 90 basis points over the Secured Overnight Financing Rate (SOFR), according to Kroll Bond Rating Agency.
The entire group senior notes benefit from a credit enhancement level of 15%, provided by subordination. The senior notes are also protected by a specified lockout period that keeps unscheduled principal payments from the underlying loans from going to the subordinate classes.
KBRA expects to assign ‘AAA’ ratings on the classes from the A-6 super senior sequential notes to the A-IO24 notional, initial exchangeable notes. Moody’s Investors Service is also expected to assign ratings to the BVINV 2022-1 Trust notes, and expects to assign top ratings ranging from ‘Aaa’ to .
The trust will distribute scheduled principal on a pro rata basis, according to KBRA.
Moody’s detailed the pool’s strong borrower characteristics, including high weighted average (WA) FICO scores of 773, a high WA monthly income of $17,434, and significant WA liquid cash reserves of $112,684. Moody’s also noted that more than 37% of the pool has cash reserves equal to more than 24 months. On a WA basis, pools have a loan-to-value ratio of 65.6%.
The pool benefits from borrower diversification, according to Moody’s, as the top 20 borrowers make up 4.9% of the pool.
Self-employed mortgage borrowers comprise 24.3% of the collateral pool. Moody’s customarily assumes higher losses for such borrowers if the concentration is greater than the concentration observed in typical pools, which might already be reflected in the historical data. It did not make any negative adjustment to losses of BVINV 2022-1, the rating agency said.
In terms of expected losses, Moody’s sets the baseline scenario-mean of 1.0%; a baseline scenario-median of 0.7%; and 5.7% at a stress level consistent with its ‘Aaa’ rating.
