Bayview Opportunity Master Fund VI Trust 2022-INV4 -- Moody's assigns definitive ratings to Bayview Opportunity Master Fund VI Trust 2022-INV4

Rating Action: Moody's assigns definitive ratings to Bayview Opportunity Master Fund VI Trust 2022-INV4Global Credit Research - 27 Mar 2022New York, March 27, 2022 -- Moody's Investors Service ("Moody's") has assigned definitive ratings to fifty-seven (57) classes of residential mortgage-backed securities (RMBS) issued by Bayview Opportunity Master Fund VI Trust 2022-INV4 (BVINV 2022-4). The ratings range from Aaa (sf) to Baa3 (sf).Bayview Asset Selector VI, LLC is the sponsor of Bayview Opportunity Master Fund VI Trust 2022-INV4, a securitization backed by 1,253 fixed rate, non-owner occupied mortgage loans (designated for investment purposes by the borrower), almost entirely agency-eligible, with an aggregate unpaid principal balance (UPB) of approximately $400,967,837.The transaction benefits from a collateral pool that is of high credit quality and a shifting interest structure that incorporates a subordination floor. As of the cut-off date, no borrower under any mortgage loan has entered into a COVID-19-related forbearance plan with the servicer.The representations and warranties (R&W) remedy provider, Bayview Opportunity Master Fund VI, L.P., acquired the mortgage loans from various third-party sellers or from its subsidiaries or affiliates. Community Loan Servicing, LLC (f/k/a Bayview Loan Servicing, LLC) will service 100% of the mortgage loans.As of the closing date, the sponsor or a majority-owned affiliate of the sponsor will retain a vertical and a horizontal residual interest with a fair value of at least 5% of the aggregate fair value of the certificates issued by the trust, which is expected to satisfy U.S. risk retention rules.The complete rating action are as follows.Issuer: Bayview Opportunity Master Fund VI Trust 2022-INV4Cl. A-1, Definitive Rating Assigned Aaa (sf)Cl. A-2, Definitive Rating Assigned Aaa (sf)Cl. A-3, Definitive Rating Assigned Aaa (sf)Cl. A-4, Definitive Rating Assigned Aaa (sf)Cl. A-5, Definitive Rating Assigned Aaa (sf)Cl. A-6, Definitive Rating Assigned Aaa (sf)Cl. A-7, Definitive Rating Assigned Aaa (sf)Cl. A-8, Definitive Rating Assigned Aaa (sf)Cl. A-9, Definitive Rating Assigned Aaa (sf)Cl. A-10, Definitive Rating Assigned Aaa (sf)Cl. A-11, Definitive Rating Assigned Aaa (sf)Cl. A-12, Definitive Rating Assigned Aaa (sf)Cl. A-13, Definitive Rating Assigned Aaa (sf)Cl. A-14, Definitive Rating Assigned Aaa (sf)Cl. A-15, Definitive Rating Assigned Aaa (sf)Cl. A-16, Definitive Rating Assigned Aaa (sf)Cl. A-17, Definitive Rating Assigned Aaa (sf)Cl. A-18, Definitive Rating Assigned Aaa (sf)Cl. A-19, Definitive Rating Assigned Aa1 (sf)Cl. A-20, Definitive Rating Assigned Aa1 (sf)Cl. A-21, Definitive Rating Assigned Aa1 (sf)Cl. A-22, Definitive Rating Assigned Aaa (sf)Cl. A-23, Definitive Rating Assigned Aaa (sf)Cl. A-24, Definitive Rating Assigned Aaa (sf)Cl. A-25, Definitive Rating Assigned Aaa (sf)Cl. A-F, Definitive Rating Assigned Aaa (sf)Cl. A-X*, Definitive Rating Assigned Aaa (sf)Cl. A-IO1*, Definitive Rating Assigned Aaa (sf)Cl. A-IO2*, Definitive Rating Assigned Aaa (sf)Cl. A-IO3*, Definitive Rating Assigned Aaa (sf)Cl. A-IO4*, Definitive Rating Assigned Aaa (sf)Cl. A-IO5*, Definitive Rating Assigned Aaa (sf)Cl. A-IO6*, Definitive Rating Assigned Aaa (sf)Cl. A-IO7*, Definitive Rating Assigned Aaa (sf)Cl. A-IO8*, Definitive Rating Assigned Aaa (sf)Cl. A-IO9*, Definitive Rating Assigned Aaa (sf)Cl. A-IO10*, Definitive Rating Assigned Aaa (sf)Cl. A-IO11*, Definitive Rating Assigned Aaa (sf)Cl. A-IO12*, Definitive Rating Assigned Aaa (sf)Cl. A-IO13*, Definitive Rating Assigned Aaa (sf)Cl. A-IO14*, Definitive Rating Assigned Aaa (sf)Cl. A-IO15*, Definitive Rating Assigned Aaa (sf)Cl. A-IO16*, Definitive Rating Assigned Aaa (sf)Cl. A-IO17*, Definitive Rating Assigned Aaa (sf)Cl. A-IO18*, Definitive Rating Assigned Aaa (sf)Cl. A-IO19*, Definitive Rating Assigned Aaa (sf)Cl. A-IO20*, Definitive Rating Assigned Aa1 (sf)Cl. A-IO21*, Definitive Rating Assigned Aa1 (sf)Cl. A-IO22*, Definitive Rating Assigned Aa1 (sf)Cl. A-IO23*, Definitive Rating Assigned Aa1 (sf)Cl. A-IO24*, Definitive Rating Assigned Aa1 (sf)Cl. A-IO25*, Definitive Rating Assigned Aaa (sf)Cl. A-IO26*, Definitive Rating Assigned Aaa (sf)Cl. A-IO27*, Definitive Rating Assigned Aaa (sf)Cl. B-1, Definitive Rating Assigned Aa3 (sf)Cl. B-2, Definitive Rating Assigned A3 (sf)Cl. B-3A, Definitive Rating Assigned Baa3 (sf)*Reflects Interest Only ClassesRATINGS RATIONALESummary Credit Analysis and Rating RationaleMoody's expected loss for this pool in a baseline scenario-mean is 1.31%, in a baseline scenario-median is 1.02% and reaches 7.01% at stress level consistent with our Aaa rating. We base our ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, our assessments of the origination quality and servicing arrangement, the strength of the TPR and the R&W framework of the transaction.Collateral DescriptionThe pool characteristics are based on the March 1, 2022 cut-off tape. This transaction consists of 1,253 fixed rate, business purpose, non-owner occupied mortgage loans secured by first liens on (i) one-to-four family residential properties, (ii) planned unit developments, (iii) condominiums and (iv) townhouse units, with an aggregate unpaid principal balance of approximately $400,967,837. The mortgage loans are approximately five months seasoned and are backed by full documentation.All but 15 of the mortgage loans conformed to either or both guidelines of Fannie Mae and Freddie Mac at the time of origination and were eligible to be purchased by Fannie Mae or Freddie Mac. 15 mortgage loans, representing approximately 1.0% of the pool by UPB, are not eligible for purchase by the GSEs because these loans fail certain tolerance levels permitted by Fannie Mae and Freddie Mac. The pool is geographically concentrated with the three largest states in the transaction, California, Texas and Colorado accounting for 33.2%, 11.3%, and 6.3%, by UPB, respectively. Overall, the credit quality of the mortgage loans backing this transaction is similar to that of other agency INV issuers. The WA original FICO for the pool is 771 (for primary borrowers) and the WA CLTV is approximately 67.1%.As of the cut-off date, all of the mortgage loans were contractually current under the MBA method with respect to payments of P&I and none of the borrowers of the mortgage loans are currently subject to a forbearance plan or are in the process of being subject to a forbearance plan, including as a result of COVID-19. In the event a borrower enters into a forbearance plan, including as a result of COVID-19, after the cut-off date, but prior to the closing date, such mortgage loan will be removed from the pool.Appraisal Waiver (AW) loans, which constitute approximately 4.3% of the mortgage loans by UPB, may present a greater risk as the value of the related mortgaged properties may be less than the value ascribed to such mortgaged properties. We made an adjustment in our analysis to account for the increased risk associated with such loans. However, we have tempered this adjustment by taking into account the GSEs' robust risk modeling, which helps minimize collateral valuation risk, as well as the GSEs' conservative eligibility requirements for AW loans which helps to support deal collateral quality.Origination QualityBayview Opportunity Master Fund VI, L.P. acquired the mortgage loans from various third-party sellers or from its subsidiaries or affiliates. Bayview Opportunity Master Fund VI, L.P. is managed by Bayview Asset Management, LLC ("BAM" and together with its related companies, "Bayview"). BAM is an investment platform focused on investments in mortgage and consumer related credit. BAM operates loan servicing and robust mortgage origination businesses, with approximately 1,900 employees across business units, of which nearly 25% are dedicated to the origination business.Since the first quarter of 2013, Bayview affiliates have originated over $170 billion in UPB of primarily agency loans and have sold approximately $69 billion to both Fannie Mae and Freddie Mac. Bayview has consumer direct, closed loan correspondent, and wholesale origination channels and is licensed to conduct business in 50 U.S. states, as well as the District of Columbia.With exception for loans originated by Home Point Financial Corporation (Home Point) (approximately 24.4% by UPB), Paramount Residential Mortgage Group, Inc (Paramount) (approximately 7.2% by UPB) and Stearns Lending, LLC (Stearns) (approximately 0.06% by UPB), we did not make any adjustments to our base case and Aaa stress loss assumptions, regardless of the originator, since the loans were nearly all underwritten in accordance with GSE guidelines. We did not apply an originator adjustment to the 15 loans originated with exceptions to the GSE guidelines since the origination was largely consistent with GSE guidelines and the loans represented a very small portion of the overall pool.We increased our loss assumption for the loans originated by Home Point due to (i) worse performance than average GSE investor loan despite average loans having better characteristics than GSE loans and (ii) lack of strong controls and uneven production quality (based on our analysis) to support recent rapid growth. We increased our loss assumption for the loans originated by Paramount primarily due to limited historical performance data coupled with lack of clear insight into the company's underwriting practices, quality control, and credit risk management practices. We increased our loss assumption for the one loan originated by Stearns Lending, LLC, recently out of bankruptcy, because sufficient time has not elapsed to assess whether the originator had corrected any origination issues that contributed to the bankruptcy filing.Servicing ArrangementCommunity Loan Servicing, LLC (CLS) will be the named primary servicer for this transaction. We assess the overall servicing arrangement for this pool as adequate, given the ability, scale and experience of CLS as a servicer. However, compared to other prime transactions which typically have a master servicer, servicer oversight for this transaction is relatively weaker. While third-party reviews of CLS' servicing operations will be conducted periodically by the GSEs, the Consumer Financial Protection Bureau (CFPB) and state regulators, such oversight may lack the depth and frequency that a master servicer would ordinarily provide. However, we did not adjust our expected losses for the weaker servicing arrangement due to the following: (1) CLS was established in 1999 and is an experienced primary and special servicer of residential mortgage loans, (2) CLS is an approved servicer for both Fannie Mae and Freddie Mac, (3) CLS had no instances of non-compliance for its 2020 Regulation AB or Uniformed Single Audit Program (USAP) independent servicer reviews, (4) CLS has an experienced management team and uses Black Knight's MSP servicing platform, the largest and most highly utilized mortgage servicing system, and (5) the R&W framework mandates reviews of poorly performing mortgage loans by a third-party if a threshold event occurs.The servicing administrator will generally be required to fund principal and interest (P&I) advances and servicing advances unless such advances are deemed non-recoverable. If the servicing administrator fails to make required advances, the paying agent, U.S. Bank Trust Company, National Association (long term issuer A1), will be obligated to make such P&I advances, if deemed recoverable.Third-Party ReviewOne independent TPR firm, Evolve Mortgage Services (Evolve), was engaged to conduct due diligence for the credit, regulatory compliance, property valuation and data accuracy for approximately 48% of loans in the final collateral pool by loan count. We did not make adjustments to our losses as the sample size that was reviewed met our credit neutral criteria.The due diligence results confirm compliance with the originator's underwriting guidelines for the vast majority of loans, no material underwriting and regulatory compliance issues, and no material property valuation issues. Approximately 4.3% of the mortgage loans by UPB are appraisal waiver (AW) loans, whereby the originator obtained an AW for each such mortgage loan from Fannie Mae or Freddie Mac through their respective programs. In each case, neither Fannie Mae nor Freddie Mac required an appraisal of the related mortgaged property as a condition of approving the related mortgage loan for purchase by Fannie Mae or Freddie Mac, as applicable.Credit quality: For the final population of 602 loans, Evolve graded 584 loans with level A and 18 loans with level B credit component grades.Compliance: For the final population of 602 loans, Evolve graded 594 loans with level A and 8 loans with level B grade.Property valuation: For the final population of 602 loans, Evolve graded 572 loans with a level A property valuation grade, 28 loans with a level B property valuation grade, and one loan each with a level C and level D property valuation grade. The level C property grade was due to the loan's property value not being supported within 10% with an automated valuation model (AVM) but valuation was within a 10% threshold with a broker price opinion (BPO) valuation. The level D property grade was due to the loan's property value not being supported within 10% neither with an AVM nor BPO valuation. The LTV of this loan was updated in the tape to match the valuation from the BPO report. A valuation review was also performed for the remaining loans in the pool. This review supported the valuations for these loans within a 10% threshold.Data integrity review: Evolve also sought to identify data discrepancies in comparing the collateral tape to the information utilized during their reviews. If the comparison revealed discrepancies, these were reconciled and reported as a data difference and the bid tape updated accordingly. The majority of the data integrity errors were due to missing sales prices and city information as well as incorrect DTIs and borrower last name. We did not make any adjustments to our credit enhancement for data integrity since we didn't view the identified data discrepancies in the TPR review as material.Representations & WarrantiesWe assessed the R&W framework based on three factors: (a) the financial strength of the remedy provider; (b) the strength of the R&Ws (including qualifiers and sunsets) and (c) the effectiveness of the enforcement mechanisms. We evaluated the impact of these factors collectively on the ratings in conjunction with the transaction's specific details and in some cases, the strengths of some of the factors can mitigate weaknesses in others. We also considered the R&W framework in conjunction with other transaction features, such as the independent due diligence, custodial receipt, and property valuations, as well as any sponsor alignment of interest, to evaluate the overall exposure to loan defects and inaccurate information.Overall, we assessed the R&W framework for this transaction as adequate, consistent with that of other agency non-owner occupied transactions for which the breach review process is thorough, transparent and objective, and the costs and manner of review are clearly outlined at issuance. However, we applied an adjustment to our losses to account for the risk that the R&W remedy provider (unrated) may be unable to repurchase defective loans in a stressed economic environment.Transaction StructureBVINV 2022-4 has one pool with a shifting interest structure that benefits from a subordination floor. Funds collected, including principal, are first used to make interest payments and then principal payments to the senior bonds, and then interest and principal payments to each subordinate bond. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bond for a specified period of time, and increasing amounts of prepayments to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests.Tail Risk & Subordination FloorThe transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility as a result. To mitigate this risk, the transaction provides for a senior subordination floor of 0.80% of the cut-off date pool balance, and as subordination lock-out amount of 0.80% of the cut-off date pool balance. The floors are consistent with the credit neutral floors for the assigned ratings according to our methodology.Factors that would lead to an upgrade or downgrade of the ratings:DownLevels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud.UpLevels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market.MethodologyThe principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in February 2022 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1305403. The methodologies used in rating interest-only classes were "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in February 2022 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1305403 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in February 2019 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1111179. Please see the list of ratings at the top of this announcement to identify which classes are interest-only (indicated by the *). Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of these methodologies. REGULATORY DISCLOSURESFor further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody's Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1322826.The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.These ratings are solicited. Please refer to Moody's Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.Moody's general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the EU and is endorsed by Moody's Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody's office that issued the credit rating is available on www.moodys.com.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the UK and is endorsed by Moody's Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the UK. Further information on the UK endorsement status and on the Moody's office that issued the credit rating is available on www.moodys.com.Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating. Siddharth Lal Asst Vice President - Analyst Structured Finance Group Moody's Investors Service, Inc. 250 Greenwich Street New York, NY 10007 U.S.A. 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