DBRS Assigns Rating to Bayview Opportunity Master Fund IVb Trust 2016-RN1

DBRS, Inc. (DBRS) has today assigned a rating of A (sf) to the $15.0 million Class A1S Asset-Backed Securities, Series 2016-RN1 Notes (the Notes) issued by Bayview Opportunity Master Fund IVb Trust (the Trust).

The A (sf) rating on the Notes reflects 94.36% of credit enhancement provided by subordinated notes and overcollateralization.

Other than the specified class above, DBRS does not rate any other classes in this transaction.

This transaction is a securitization of a portfolio containing either seasoned non-performing loans (NPLs) or loans that were previously non-performing, but have subsequently had periods of mortgage payments. For the purpose of this securitization, a loan is defined as performing if it is less than 60 days delinquent at the Cut-Off Date under the Mortgage Bankers Association method.

The re-performing loans (RPLs) and NPLs constitute 74.0% and 26.0% of the pool, respectively. For the RPLs, 82.3% have been modified and approximately 86.1% were current as of the Cut-Off Date, including 20 bankruptcy-performing loans. Additionally, 37.8% of the RPLs have been current for at least 12 months and 14.7% of the loans have been current for at least 24 months. Of the RPLs, 820 have non-interest-bearing deferred amounts, which equates to 4.1% of the total principal balance as of the Cut-Off Date.

The loans are approximately 113 months seasoned.

The loans in this transaction were originated by various originators and are currently serviced by Bayview Loan Servicing, LLC (the Servicer).

There will not be any advancing of delinquent principal or interest on any loans by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of taxes and insurance, reasonable costs and expenses incurred in the course of servicing and disposing of properties.

The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes.

DBRS notes the following strengths and challenges for this transaction:

Strengths:
-- Sufficient credit enhancement
-- Satisfactory third-party diligence review
-- Experienced special servicer
-- Strong structural features

Challenges:
-- Relatively worse quality of collateral
-- No servicer advances of delinquent principal and interest
-- Document exception for certain loans

The above strengths, challenges and their mitigating factors are discussed in more detail in the related rating report.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodologies are RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, Unified Interest Rate Model for Rating U.S. Structured Finance Transactions, Third-Party Due Diligence Criteria for U.S. RMBS Transactions, Representations and Warranties Criteria for U.S. RMBS Transactions and Legal Criteria for U.S. Structured Finance, which can be found on our website under Methodologies.

The full report providing additional analytical detail is available by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.