Oceanview Mortgage Loan Trust 2020-1 - S&P Global

Presale:

Oceanview Mortgage Loan Trust 2020-1August 4, 2020

Preliminary Ratings

Class Preliminary rating(i) Amount ($)Interest rate(%)(ii)

Credit enhancement(%)(iii) Class type

A1A AAA (sf) 123,323,000 Fixed 20.00 Senior

A1B AAA (sf) 9,635,000 Fixed 13.75 Senior

A2 AA (sf) 5,318,000 Fixed 10.30 Subordinate

A3 A (sf) 6,243,000 Fixed 6.25 Subordinate

M1 BBB (sf) 4,085,000 Fixed 3.60 Subordinate

B1 BB (sf) 2,467,000 Fixed 2.00 Subordinate

B2 B (sf) 1,618,000 Net WAC 0.95 Subordinate

B3 NR 1,465,246 Net WAC 0.00 Subordinate

X NR N/A (iv) N/A Monthly excess cashflow

Note: This presale report is based on information as of Aug. 4, 2020. The ratings shown are preliminary. Subsequent information may result inthe assignment of final ratings that differ from the preliminary ratings. Accordingly, the preliminary ratings should not be construed asevidence of final ratings. This report does not constitute a recommendation to buy, hold, or sell securities. (i)The preliminary ratings addressthe ultimate payment interest (including interest shortfalls with accrued interest thereon) and principal. They do not address payment of thenet WAC shortfall amounts. (ii)Interest can be deferred on the classes. Fixed coupons are subject to the pool's net WAC rate. (iii)This creditenhancement is solely from subordination, although excess spread also provides credit enhancement. (iv)Entitled to certain remainingamounts per the transaction documents after payments on the notes. WAC--Weighted average coupon. NR--Not rated. N/A--Not applicable.

Profile

Expected closing date Aug. 6, 2020.

Cutoff date July 1, 2020.

Distribution date The 28th of each month, or the next business day, beginning Aug. 28, 2020.

Final maturity date(i) May 28, 2069

Stated maturity date(i) May 28, 2050.

Maximum loan termextension date(i)

April 1, 2069.

Notes' amount,including unratedclasses

$154,154,246.

Presale:

Oceanview Mortgage Loan Trust 2020-1August 4, 2020

PRIMARY CREDIT ANALYST

Meghan Benegar

Centennial

(1) 303-721-4658

[email protected]

SECONDARY CONTACTS

Joseph J Mckeever

New York

+ 1 (212) 438 2260

[email protected]

Sujoy Saha

New York

(1) 212-438-3902

[email protected]

SURVEILLANCE CREDIT ANALYST

Truc T Bui

San Francisco

(1) 415-371-5065

[email protected]

ANALYTICAL MANAGER

Vanessa Purwin

New York

+ 1 (212) 438 0455

[email protected]

www.standardandpoors.com August 4, 2020 1

© S&P Global Ratings. All rights reserved. No reprint or dissemination without S&P Global Ratings' permission. See Terms of Use/Disclaimeron the last page.

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mailto: [email protected]










Profile (cont.)

Collateral type First-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some withinterest-only periods) generally secured by single-family residential properties, planned-unitdevelopments, condominiums, and two- to four-family residential properties to both prime andnonprime borrowers. The pool has 803 loans, which are primarily agency eligible mortgage loanswith some non-agency prime jumbo and non-qualified mortgage (non-QM) loans.

Credit enhancement For each class of rated notes, subordination of the notes that are lower in payment priority, as wellas excess spread that preserves subordination.

(i)The final maturity date for each class of notes will be the payment date in May 2069. Our ratings address the payments of principal as well asinterest including interest shortfalls with accrued interest thereon (but not net WAC shortfalls) by this final maturity date. The stated maturitydate is the payment date in May 2050. However, the servicer will be permitted to modify mortgage loans and extend the terms up to April 1, 2069(the maximum loan term extension date).

Participants

Issuer Oceanview Mortgage Loan Trust 2020-1.

Sponsor Oceanview Asset Selector LLC.

Seller Oceanview Acquisitions I LLC.

Depositor OA Depositor LLC.

Trustee, administrator, andpaying agent

U.S. Bank N.A.

Custodian Wells Fargo Bank N.A (78.72% mortgage loans) and U.S. Bank N.A. (21.28% mortgage loans).

Originators(i) loanDepot.com LLC, IMPAC Mortgage Corp. (doing business as Cashcall Mortgage, A Cali),Fairway Independent Mortgage Corp., each originating 5%-10% of the mortgage loans andothers each originating less than 5% of the mortgage loans.

Servicer Bayview Loan Servicing LLC.

Initial purchaser Wells Fargo Securities LLC.

(i)Approximately 69.97% of the mortgage loans are Lakeview Loan Servicing LLC originated loans primarily through its correspondents (underwhose name the loan closed) and 30.03% of the mortgage loans were originated by other lenders.

Originators

Entity By balance (%) Due diligence (%) Originator ranking

loanDepot.com LLC(i) 9.57 100(ii) N/A

IMPAC Mortgage Corp. (doing business as CashcallMortgage, A Cali)

7.51 100(ii) AVERAGE

Fairway Independent Mortgage Corp.(i) 5.12 100(ii) N/A

Other originators, each of which originated less than 5% ofthe mortgage loans

77.80 100(ii) N/A

(i)Lakeview correspondents. (ii)Compliance diligence review was conducted on all loans. In addition 100% credit and valuation diligence wasconducted on all non-seasoned loans and on 59 of the 95 seasoned loans originated prior to July 1, 2018. N/A--Not applicable.

Servicers

Entity By balance (%) S&P Global Ratings' select servicer Operation

Bayview Loan Servicing LLC 100 Yes Primary servicer



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Presale: Oceanview Mortgage Loan Trust 2020-1

Rationale

The preliminary ratings assigned to Oceanview Mortgage Loan Trust 2020-1's (OVMLT 2020-1)mortgage pass-through notes reflect our view of:

- The pool's collateral composition (see the Collateral Summary section below),

- The collateral's geographic concentration,

- The transaction's credit enhancement,

- The transaction's associated structural mechanics,

- The transaction's representation and warranty (R&W) framework,

- The transaction's mortgage originator/aggregator, and

- The impact that the economic stress brought on by the COVID-19 virus is likely to have on theperformance of the mortgage borrowers in the pool (for additional information see "EconomicResearch: The U.S. Faces A Longer And Slower Climb From The Bottom," published June 25,2020, and liquidity available in the transaction.

S&P Global Ratings acknowledges a high degree of uncertainty about the evolution of thecoronavirus pandemic. The consensus among health experts is that the pandemic may now be at,or near, its peak in some regions but will remain a threat until a vaccine or effective treatment iswidely available, which may not occur until the second half of 2021. We are using this assumptionin assessing the economic and credit implications associated with the pandemic (see our researchhere: www.spglobal.com/ratings). As the situation evolves, we will update our assumptions andestimates accordingly.

Overview

OVMLT 2020-1 is Oceanview's first RMBS transaction rated by S&P Global Ratings. The companyis a mortgage loan aggregator that aggregates loans originated mainly by an affiliated originatoron a correspondent basis focusing primarily on originating agency-eligible loans.

The weighted average FICO score (745) (as measured by the lower of the primary and co-borrowerscores, if applicable) and the original combined loan-to-value (LTV) ratio (72.8%) of the collateralpool is better than our archetypical pool.

Noteworthy Features

Loans in forbearance

On March 31, 2020, the Coronavirus Aid, Relief, and Economic Security (CARES) Act enactedCOVID-19 virus-related relief for borrowers with government-backed mortgage loans in the formof a temporary forbearance of up to 12 months of scheduled payments. While non-agency loansdo not fall under the CARES Act as it relates to this forbearance, servicers have been grantingforbearance plans to non-agency borrowers also, typically with some variations to those of theCARES Act (e.g., timeframe, approval requirements, etc.). The updates we made on April 17, 2020,to our mortgage outlook and corresponding archetypal foreclosure frequency levels (see"Guidance: Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later,"



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published April 17, 2020) account for a portion of borrowers entering COVID-19 virus-relatedtemporary forbearance plans and their impact to the overall credit quality of collateralized pools.To the extent a securitization pool exhibits growth levels in forbearance over time beyond thoseotherwise expected, additional adjustments may be applied.

To differentiate the credit quality of securitization pools with varying percentages of loans inactive (or recently completed) forbearance or deferment due to the outbreak of the COVID-19 atthe time of issuance, we increased loss coverage levels to account for the potential incrementalrisk. Given our current expectations for temporary forbearance or deferment plans and our marketoutlook, we view the credit quality of a mortgagor on a forbearance or deferment plan as weakerthan one with a current loan but potentially stronger than one with a 30-day delinquent loan thatexhibits payment issues in a normal macroeconomic environment. Our view considers the fact thatforbearance or deferment may have been utilized by some borrowers who could have otherwisemade the payment due, or the forbearance may be related to a temporary furlough or loss ofincome. The adjustment factors we apply to 30- and 60-day delinquent loans are 2.5x and 5.0x,respectively.

The servicer, Bayview Loan Servicing LLC's (BLS) procedures, are generally in line with those in theCARES Act regarding granting COVID-19-related forbearance relief. A borrower must initiallycontact BLS (through an agent, interactive voice response [IVR], or online portal) and attest thatthey have been impacted by a COVID-19 hardship and require payment assistance. BLS will offeran initial 180-day forbearance period in two 90-day increments. The forbearance period may beextended by another 180 days in two additional 90-day increments (not to exceed a total of 360days) if the borrower attests that they require additional payment assistance.

As of the cutoff date of July 1, 2020, 66 mortgage loans (approximately 10.8% of the pool balance)had borrowers who were granted forbearance due to the outbreak of the COVID-19 pandemic. Asof July 28, 2020 (which is after the cutoff date), 70 mortgage loans (approximately 11.2% of thepool balance) have borrowers who were granted forbearance due to the pandemic. Of these 70loans, the borrowers of 10 mortgage loans (1.5% by pool balance) have opted out of theirforbearance plans after the July 1 cutoff date and continued to make full monthly payments priorto opting out. For these 10 loans, we applied a forbearance-related adjustment factor of 1.00x to1.25x. For the remaining 60 loans (9.7% by pool balance), in an active forbearance plan, we applieda forbearance-related factor of 1.75x-2.50x. This resulted in an overall adjustment factor of 1.15xat the pool level.

When deriving these factors, we considered aspects such as the seasoning of the loans andforbearance plans, payment patterns of those loans before and throughout the forbearance plan,the various stages of forbearance or deferment (see table 1), and our general expectations ofadditional forbearance and deferment from now until securitization closing.

Table 1

Forbearance/deferment status Loan count (no.) % by balance

Never received forbearance or deferment 733 88.8

Opted out of forbearance plan (no missed payments) 10 1.5

Active forbearance - no deferment 60 9.7

We will continue to monitor the credit behavior related to temporary forbearance as the situationevolves and more performance information becomes available, and we may adjust our losscoverage levels accordingly, which could impact the ratings. For instance, if we were to change thepool-level adjustment related to the portion of the pool currently in forbearance to 1.30x (which ismore akin to our adjustment factors for a 60-day delinquent loan) from 1.15x, ratings, in some



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cases, could be approximately one to two notches lower. We will also continue to monitormacroeconomic and housing conditions and update our mortgage market outlook and associatedarchetypal foreclosure frequencies, as applicable.

Payment structure

OVMLT 2020-1 has a sequential payment structure with certain pro rata elements. Classes A1Aand A1B (together, the senior notes; each rated 'AAA') benefit from a credit support floor, in whichno principal is paid to the subordinate classes until the senior notes are retired. Additionally,principal is paid pro rata among the senior classes which switches to sequential pay when thesubordinate notes are reduced to zero because of losses, further protecting the most senior class.Subordinate classes are paid principal sequentially.

Servicer advancing and servicing fees

The servicer (BLS) is required to advance delinquent principal and interest (P&I) on any delinquentmortgage loan (including loans in active forbearance) until the earlier of the loan becoming greaterthan 180 days delinquent or when the P&I advance is deemed unrecoverable. If the servicer fails tomake a P&I advance on any mortgage loan that is deemed to be recoverable, the indenture trusteewill be obligated to make that P&I advance.

Due to the limited nature of P&I advancing and the potential length of offered forbearance periods,we applied a delinquency stress to test the liquidity of the structure, given the potentialforbearance as a result of COVID-19-related hardships. We assumed that 35.00% of the cutoffloan balance would be in forbearance (and noncash flowing) for the first six months of thetransaction, with any P&I payments related to this delinquent portion coming back to thetransaction after all defaults have been passed through to the transaction (approximately 144months).

The servicing fee for loans 0-59 days delinquent is 25 basis points (bps) and for loans 60 or moredays delinquent and on real estate owned (REO) properties is 100 bps. Although servicing feesreduce the net weighted average coupon (WAC), given that there is no excess servicing feetranches to absorb any increases to the servicing fee, we increased our WAC deterioration stressto stress the excess spread by compressing the WAC deterioration curve to be over a 60-monthperiod from our usual 120-month period.

Optional redemption

An optional redemption can occur at the earlier of the July 2023 distribution date or when theaggregate stated principal balance of the loans is less than or equal to 30.00% of the aggregatestated principal balance of the loans as of the cutoff date.

Final maturity date in May 2069

Although no loan has a maturity date later than April 1, 2050, the servicer may extend a loan'sterm (due to a term-extension modification) up to April 1, 2069 and therefore, per the transactiondocuments, the full principal payment of the notes will not be contractually due until the paymentdate in May 2069. Our assigned preliminary ratings address the payment of P&I (including anyinterest shortfalls with accrued interest thereon but not any net WAC shortfalls) by the finalmaturity date.



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Collateral Summary

OVMLT 2020-1's assets consist of fixed-, adjustable-rate, and interest-only agency eligiblemortgage loans (67.47% of the pool balance) and non-agency loans (32.43%) secured by first lienson residential properties (the mortgage loans). The mortgage pool consists of 803 mortgage loanswith a principal balance of approximately $154.15 million as of the July 1, 2020, cutoff date.

The collateral pool, from a credit perspective, is better than the S&P Global Ratings archetypalprime pool, in certain aspects, which is reflected in our loss coverages at different rating levels(see table 2). The 'AAA' loss coverage for the pool is 13.95% and the 'B' loss coverage is 1.45%. Inour analysis, the relatively high weighted average FICO score (745) and low weighted average usedcombined LTV (71.0%) made the pool stronger than the archetype. On the other hand, weconsidered the following mortgage loan characteristics to be weaker (also see the Strengths AndWeaknesses section):

- Loan purpose (cash-out refinances),

- Occupancy status (investor property),

- Property type (two-to-four family homes), and

- Loans that have been granted temporary forbearance due to the COVID-19 pandemic.

Table 2

Collateral Characteristics

OceanviewMLT 2020-1

JPMMT2020-2INV

CMLTI2020-EXP1

ARRW2020-1

S&P GlobalRatings'

archetypal primepool(i)

Closing pool balance (mil. $) 154 342 364 356 N/A

Closing loan count 803 1014 431 899 N/A

Avg. loan balance ($) 191,973 337,145 844,582 395,684 N/A

WA original CLTV (%) 72.8 67.0 75.0 66.9 75

WA current CLTV (%) 70.6 66.3 74.3 65.9 75

WA updated FICO 745 764 747 742 725

WA current rate (%) 5.4 4.5 4.8 5.4 N/A

WA seasoning (mos.) 20.2 6.0 8.0 8.0 0-6

WA debt-to-income (%) 35.2 36.0 34.4 37.2 36

Owner-occupied (%) 32.3 N/A 69.0 68.1 100

Single-family (including planned-unitdevelopment) (%)

79.9 62.1 78.2 81.2 100

Fixed-rate (%) 89.2 100 69.6 27.1 100

ARM (%) 10.8 N/A 30.4 72.9 N/A

Loans with IO payments (%) 4.8 0.2 11.8 3.1 0

Purchase loan (%) 56.5 40.6 55.2 71.2 100

Cash-out refinancing (%) 31.1 37.0 27.5 23.0 N/A

QM (%) 67.5 94.5 28.9 -



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Table 2

Collateral Characteristics (cont.)

OceanviewMLT 2020-1

JPMMT2020-2INV

CMLTI2020-EXP1

ARRW2020-1

S&P GlobalRatings'

archetypal primepool(i)

Full documentation (%) 26.8 5.2 98.8 58.1 100

Alternative documentation (%) 3.5 N/A 1.2 38.2 0

Other/asset depletion/DSCRdocumentation (%)

2.2 N/A 0.0 3.8 0

Loans with two or more borrowers 48.0 45.9 53.8 10.9 0

Self-employed borrowers 33.3 24.9 37.6 39.5 0

Loans to foreign borrowers (foreignnational and non-permanent residentaliens) (%)

1.4 1.0 2.2 5.1 0

Current (%) 100.0 100.0 100.0 99.4 100

Forbearance (including active andcompleted) (%)

10.8 0 0 10.1 N/A

Pool-level adjustments (multiplicative factors)

Geographic concentration 1.00 1.02 1.06 1.19 1.00

Mortgage operational assessment 1.00 0.95 1.00 1.03 1.00

Representations and warranties 1.08 1.00 1.05 1.10 1.00

Other (i.e. loan modification/PCE/duediligence)

1.00 1.00 1.00 1.00 1.00

Other (due to loans inforbearance/forbearance review)

1.15 1.00 1.00 1.15 1.00

Combined pool-level adjustments 1.25 0.97 1.11 1.55 1.00

Loss estimates(ii)

'AAA' loss coverage (%) 13.95 9.60 10.45 15.90 7.50

'AAA' foreclosure frequency (%) 26.49 18.13 23.44 32.54 15.00

'AAA' loss severity (%) 52.66 52.95 44.58 48.86 50.00

'BBB' loss coverage (%) 4.35 2.85 3.25 4.45 1.92

'BBB' foreclosure frequency (%) 13.70 8.93 11.98 17.11 6.41

'BBB' loss severity (%) 31.75 31.91 27.13 26.01 30.00

'B' loss coverage (%) 1.45 0.85 1.00 1.25 0.65

'B' foreclosure frequency (%) 5.99 3.94 5.07 7.17 3.25

'B' loss severity (%) 24.21 21.57 19.72 17.43 20.00

(i)As defined in our Feb. 22, 2018, criteria article. (ii)Loans in forbearance are treated as current and included in the model forbearanceadjustment (iii)The guidance document published April 17, 2020, reflects a revision to our 'B' (base case) projected foreclosure frequencyassumption for an archetypal loan to 3.25% from 2.50%. WA--Weighted average. LTV--Loan-to-value ratio. CLTV--Combined LTV ratio.ARM--Adjustable-rate mortgage. IO--Interest-only. N/A--Not applicable.

Most of the loans have 30-year original terms to maturity, and the pool's weighted averageseasoning is approximately 20 months. Fixed-rate mortgage (FRM) loans make up 89.15% of thepool by balance and fully amortizing ARM loans make up the remaining 10.85% of the pool by



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balance.

The mortgage pool has a weighted average current combined LTV ratio of 70.64%. The weightedaverage FICO score for the collateral pool is 745, which includes certain S&P Global Ratingsassumptions (see table 3 for a breakdown of the pool by borrower FICO score). In the pool, there isonly one loan to a borrower without a FICO score. We assessed this loan in our credit analysisusing a FICO score of 684, which is approximately the mortgage pool's average FICO score minusone standard deviation.

Table 3

Updated Credit Score Statistics

FICO score Current balance (%) No. of loans

750+ 59.46 70.62

725-749 11.51 71.89

700-724 8.49 70.20

675–699 8.57 70.49

650–674 4.88 67.72

625-649 3.36 70.28

600-624 1.46 67.09

575–599 0.21 63.67

550-574 1.18 74.90

Below 550 0.87 81.10

Total 59.46 70.62

CLTV--Combined loan to value.

Mortgage loans backed by investment properties constitute approximately 64.42% of the poolbalance. The mortgage loans are backed by single-family residences (54.63%, includingtownhouses), planned-unit development properties (25.25%), condominiums (7.74%), and two- tofour-family homes (12.21%).

Transaction Structure

The chart shows an overview of the transaction's structure.



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The transaction is structured as a true sale of the receivables from the seller (OceanviewAcquisitions I LLC) to the depositor (OA Depositor LLC) and a transfer from the depositor to theissuing trust (OVMLT 2020-1), which pledges the loans to the indenture trustee to secure thenotes. The issuing trust transfers the notes to the depositor. The depositor will sell the offerednotes to the initial purchasers, who will sell them to third-party investors. The depositor will sellthe non-offered notes and the notes required to be held to satisfy the risk retention rules to anaffiliate of the sponsor.

In rating this transaction, S&P Global Ratings will review the legal matters it believes are relevantto its analysis, as outlined in its criteria.

Strengths And Weaknesses

We believe the following characteristics strengthen the transaction:

- The mortgage pool generally consists of loans to borrowers of high credit quality (weightedaverage FICO of 745) with considerable home equity, as demonstrated by the pool's weightedaverage original combined LTV ratio of 72.83%.

- The third-party due diligence providers (AMC Diligence LLC and Recovco) are on our list of



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reviewed providers and performed due diligence on 100% of the pool's loans. Their reviewencompassed regulatory compliance and for the non-seasoned loans, their reviewsencompassed regulatory compliance, credit (underwriting), property valuations, and dataquality.

- Approximately 48.01% of the loans by balance have more than one borrower.

- The mortgage pool's weighted average seasoning is approximately 20 months with clean payhistories (other than loans in active forbearance).

- Principal is paid pro rata to the 'AAA' rated senior classes in the absence of a credit event andsequentially to the subordinate classes in order of priority, limiting the erosion of subordinationover time and mitigating tail risk issues arising from losses incurred later in the transaction'slife. Principal is paid sequentially among the senior classes when the subordinate notes arereduced to zero (a "credit event").

We believe the following factors weaken the transaction:

- As of July 28, 2020 (which is after the cutoff date), 70 mortgage loans (approximately 11.2% ofthe pool balance) have borrowers who were granted forbearance due to the COVID-19pandemic. Of these loans, 60 loans (9.7% by pool balance) are in an active forbearance plan,while the remaining 10 mortgage loans (1.5%) opted out of their forbearance plans after theJuly 1 cutoff date. We applied a 1.15x pool level adjustment to account for the risk associatedwith these loans.

- A portion of the mortgage loans (20.5% of the pool balance) were made to borrowers withcurrent FICO scores below 700 (including our assumption of a 684 FICO score for the borrowerwho lacked a FICO score). We increased the loss estimate of the mortgage pool to account forthe increased default risk of these loans.

- The loan purpose on 31.09% of the loans by balance is cash-out refinance, with an averagecash-out amount of $86,706; 18 loans have cash-out amounts greater than $200,000.

- Certain mortgage loans (2.23% by pool balance) used asset depletion to document income. Weincreased our loss coverages for these loans by applying the 3.0-6.0x "other" documentationtype adjustment to the foreclosure frequencies

- The seller (Oceanview Acquisitions LLC) makes R&Ws for this transaction that are generallyconsistent with the set of representations published in our criteria "Methodology AndAssumptions For Rating U.S. RMBS Issued 2009 And Later," published Feb. 22, 2018. The R&Wframework, in of itself, is stronger than those seen in the non-agency non-QM sector, but it isweaker than the framework prevalent in the prime jumbo sector. In this transaction, all loansthat have a realized loss upon liquidation are reviewed for breaches. Additionally, certainevents tied to the portion of non-COVID-19-related delinquent loans and the initial class M1credit enhancement can trigger reviews of any new 120-day delinquent loans. This is strongerthan the framework prevalent in the non-QM sector but weaker than what is common to theprime jumbo space, where loans that are more than 120 days delinquent are reviewed. Therepresenting party (seller) is an unrated entity and may be unable to cure R&W breaches.Although Oceanview U.S. Holdings Corp., a guarantor and the parent of the sponsor willbackstop the seller's repurchase/cure obligations, it too is an unrated entity. Considering therepresentations, the framework, and the capacity of the seller (and guarantor) to repurchasebreaches, we applied an overall R&W adjustment factor of 1.08x that increased our lossexpectations at all rating categories.



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Credit Analysis And Assumptions

Our analysis of the OVMLT 2020-1 collateral pool considered a number of factors, includingcertain loan-level characteristics. The details of our analysis are described below.

Documentation type

Origination guidelines generally allow income verification using paystubs, W-2s, tax returns,written verification of employment (WVOE) and bank statements. The sponsor also offers assetdepletion programs that consider borrower accumulated assets to qualify the borrower. Table 4shows the breakdown of the documentation type used in our analysis.

Table 4

Documentation Type (Income Verification Type/Length)

Loancount

(no.)Current

balance (%)

Alternative incomeverification length(WA no. of months)

Foreclosurefrequency

adjustment factors(x)

'AAA' foreclosurefrequency without

pool adjustmentfactors (%)

Full documentation

Appendix Q/qualifiedmortgage

661 67.47 - 1.00 25.5

Full (24+ months) 69 19.67 - 1.00 16.9

Full (24+ months) WVOEonly

- - - - -

Full (12-23 months) 18 5.02 - 1.25 11.1

Full (12-23 months)WVOE only

6 0.70 - 1.25 32.4

Full (1-11 months) 24 1.21 - 1.50 7.9

Full (1-11 months) WVOEonly

1 0.22 - 1.50 9.7

Alternativedocumentation(i)

24+ months

Business bankstatements

1 0.86 24.0 1.75 35.6

Personal bankstatements

1 0.42 24.0 1.75 13.8

Personal and/or businessbank statements(ii)

1 1.33 24.0 1.75 68.7

12-23 months


- - - - -


2 0.61 20.1 2.00 23.2


1 0.14 12.0 2.00 43.2



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Table 4

Documentation Type (Income Verification Type/Length) (cont.)

Loancount

(no.)Current

balance (%)

Alternative incomeverification length(WA no. of months)

Foreclosurefrequency

adjustment factors(x)

'AAA' foreclosurefrequency without

pool adjustmentfactors (%)

1-11 months


- - - - -


2 0.10 12.0 2.25 23.8


- - - - -

Other documentation

Other (DSCR) - - - -

Other (applied 0.00DSCR)

9 0.88 - 6.00 58.3

Other (asset depletion)(i) 7 1.35 - 3.00 14.8

(i)The documentation source may include other secondary documentation types, such as P&L statements. (ii)Combination of account type oraccount type not provided. WA--Weighted average. WVOE--Written Verification of Employment/Employer Letter. P&L--Profit and loss.

For loans that meet QM standards or for which income is otherwise underwritten in accordancewith Appendix-Q of the Consumer Financial Protection Bureau's (CFPB) Regulation Z, we generallyapply a documentation type adjustment factor of 1.00x; 661 loans (67.47% by pool balance) meetthese requirements.

For 118 loans (approximately 26.82% of the pool balance), traditional (full) documentation wasused for fully verifying and calculating the borrowers' qualifying income (e.g., written verificationof employment, pay stubs, W-2s, personal and business tax returns, IRS transcripts). We assumedan income verification of less than 12 months on 25 of these 118 loans where income verificationlength was not made available. We applied a documentation type adjustment factor ranging from1.00x to 1.50x, depending on the length of the income verification, for these 118 loans.

We classified all loans to borrowers that used nontraditional sources of income documentation,such as bank statements (business or personal), as alternative documentation loans. Alternativedocumentation was used on eight of the 803 mortgage loans (3.46% by pool balance), of which sixloans used either 12 or 24 months of income verification (three each) and two loans wereunderwritten using less than 12 months income verification. We view income verification usingalternative documentation to be a weaker standard than full documentation of income.Consequently, we increased our loss coverages for these loans by an adjustment factor rangingfrom 1.75x to 2.25x.

The pool's remaining loans (2.33% by pool balance) were underwritten using other documentationstandards, a few of which used asset depletion (the originator uses liquid assets and calculatesan income stream). We classified these loans as "other" documentation loans and applied anadjustment to the foreclosure frequencies ranging from 3.00x to 6.00x.

Prior credit event (PCE) classification and analysis



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The pool contains one recent PCE loan, as defined by our criteria. This was not material to ouranalysis, and we applied a rounded pool-level PCE-related loss coverage adjustment of 1.00x.

QM and ability-to-repay ATR standards

The Consumer Financial Protection Bureau issued final regulations for mortgage loans withapplications submitted on or after Jan. 10, 2014, specifying the standards for a qualified mortgage(QM). Based on the designation provided by the sponsor, the mortgage pool contains loans thatare categorized as QM/Non-HPML, QM/HPML, non-QM/compliant, or not covered/exempt (seetable 5 for a QM breakout).

Table 5

QM Breakout

QM status Pool balance ($) % by pool balance

QM/non-HPML 38,581,301 25.03

QM/HPML 5,115,451 2.67

Non-QM/ATR compliant 8,966,988 5.82

Not covered/ATR exempt 102,490,506 66.49

Total 154,154,246 100.00

QM--Qualified mortgage. HPML--Higher-priced mortgage loan. ATR--Ability to repay.

Under the ATR rule (see Appendix I of "Methodology And Assumptions For Rating U.S. RMBSIssued 2009 And Later," Feb. 22, 2018), the originator and any assignee are jointly and severallyliable for certain damages that may be incurred from noncompliance with the rule. For each of theloans in the pool with a status of QM/HPML or non-QM/ATR compliant, we increased our losscoverage estimates at each rating level consistent with our criteria. The data the issuer providedto S&P Global Ratings, including additional fields that validate the loan's QM designation, werereviewed by the due diligence firms under the third-party due diligence firms' scope to verify thatdocumentation exists to support the QM designation. Also, in conjunction with ourtransaction-specific originator/aggregator review, we concluded that their processes address theATR risks.

Servicer advancing obligations

The servicer advances delinquent P&I payments on any delinquent mortgage loan (including anyloan that may be delinquent due to COVID-19-related forbearance relief) until the earlier of theloan becoming greater than 180 days delinquent (limited P&I advancing/stop-advance loan) or theP&I advance is deemed unrecoverable. In the event that the servicer fails to advance P&I, theindenture trustee will make those advances.

Unlike P&I advances, the servicer must always advance delinquent taxes and insurance (and otherproperty preservation advances) until the related property is liquidated or the servicer deems theadvance to be unrecoverable. We adjusted the loss severities to account for this limited P&Iadvancing.



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Borrowers with multiple loans

Eighteen borrowers have more than one loan in the pool, which represents approximately 3.13% ofthe pool balance. The exposure to a single borrower does not exceed 2.31%. As a result, wedetermined that no additional adjustments to the loss coverage or our tail risk analysis wereneeded for these loans.

Structural Features

Although the collateral pool is prime-like in credit quality, OVMLT 2020-1 has a sequentialpayment structure with some pro rata elements using excess spread as enhancement that is morecommon to non-QM transactions. When a credit event (when all of the subordinate notes arereduced to zero because of losses) is not in effect, principal is paid pro rata to senior classes A1Aand A1B and then sequentially to the subordinate classes. When a credit event is in effect,principal is paid sequentially among the senior classes too. The transaction also uses monthlyexcess cash flow to cover current-period realized losses and reimburse any previously appliedrealized loss amounts.

The paying agent will make monthly distributions of interest from the interest remittance amount,and interest to the extent not covered by interest remittances as well as principal from theprincipal remittance amount (see tables 6-8).

The interest remittance amount includes:

- The interest collected from, or advanced on behalf of, borrowers, including interest paymentsthat accompany prepayments;

- Any compensating interest and interest portions of liquidation proceeds (minus expenses),subsequent recoveries, termination prices, and repurchase amounts; and

- Minus the servicing, administrator, trustee, and custodial fees, servicer advancereimbursements, reimbursable expenses and indemnification amounts, which are capped at$250,000 annually for certain transaction parties other than the servicer.

Although the extraordinary expenses are passed through as reduced contractual interest due tothe securities, we ran these expenses at their capped amounts below to stress excess spread (seethe Interest Stresses section below). We also considered the extraordinary expenses whenanalyzing projected interest reduction amounts, as described further in the Imputed PromisesAnalysis section.

The principal remittance amount includes the principal collected from, or advanced on behalf of,borrowers, including prepayments, principal portions of liquidation proceeds (minus expenses),subsequent recoveries, termination prices, and repurchase amounts, minus fees includingextraordinary trust expenses that could not be paid from interest collections.



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Table 6

Interest Payment Waterfall

Priority Payment

1 Interest and interest shortfall amounts(i) concurrently to the class A1A and A1B notes, pro rata, based ontheir respective entitlements(ii), and sequentially to the class A2, A3, M1, B1, B2, and B3 notes.

2 Any remaining amounts paid as part of monthly excess cash flow.

(i)The interest shortfall amounts are deferred interest payments that accrue interest at the lower of the respective fixed coupon and the netWAC rate or for the class B2 and B3 notes at the net WAC rate. Our preliminary ratings address the full payment of all interest and interestshortfall amounts by the final maturity date. WAC--Weighted average coupon.

Table 7

Principal Payment Waterfall

Priority Payment

If a credit event is not in effect

1 Unpaid interest and interest shortfall amounts pro rata to the class A1A and class A1B notes.

2 Unpaid interest and interest shortfall amounts to the class A2 notes.

3 Principal pro rata to the class A1A and A1B notes.

4 Principal to the class A2 notes.



7 Unpaid interest and interest shortfall amount to the class M1 notes.

8 Principal to the class M1 notes.

9 Unpaid interest and interest shortfall amounts to the class B1 notes.

10 Principal to the class B1 notes.





15 Any remaining amount paid as part of monthly excess cash flow.

If a credit event is in effect

1 Unpaid interest and interest shortfall amounts pro rata to the class A1A and class A1B notes.


3 Principal to the class A1A notes.

4 Principal to the class A1B notes.




8 Unpaid interest and interest shortfall amount to the class M1 notes.

9 Principal to the class M1 notes.




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Table 7

Principal Payment Waterfall (cont.)

Priority Payment






16 Any remaining amount paid as part of monthly excess cash flow.

Table 8

Monthly Excess Cash Flow Waterfall

Priority Payment

1 Pro rata up to the realized loss amount for the current period to the class A1A and A1B notes absent a creditevent, and sequentially to them when a credit event is in effect; and then payments sequentially to the classA2, A3, M1, B1, B2, and B3 notes until their class balances are reduced to zero.

2 Pro rata up to the cumulative realized losses to the class A1A and A1B notes absent a credit event andsequentially to them when a credit event is in effect; and then payments sequentially to the class A2, A3,M1, B1, B2, and B3 notes until their class balances are reduced to zero.

3 Net WAC shortfall payments concurrently pro rata to the class A1A and A1B notes, then net WAC shortfallpayments sequentially to the class A2, A3, M1 and B1 notes up to each class' respective entitlement.

4 Reimburse any expenses and indemnification amounts over any capped amounts to the relevanttransaction parties

5 To class X, any remaining amounts.

(i)The net WAC shortfall amount is the positive difference between the interest that would have accrued at the fixed coupon (without regard tothe net WAC rate) and what was actually due, based on the net WAC rate. Any prior unpaid net WAC shortfall amounts also accrue interest at thefixed coupon. Our preliminary ratings do not address the payment of net WAC shortfall amounts. WAC--Weighted average coupon.

The interest rate on each of the class A1A, A1B, A2, A3, M1, and B1 notes is the lower of the statedfixed coupon on the securities for that class and the net weighted average coupon (WAC) rate. Forclasses B2 and B3, the interest rate is equal to the net WAC rate. The net WAC rate is defined asthe weighted average of the loans' mortgage interest rates net of fees, and extraordinary trustexpenses weighted, based on the loans' principal balances. In line with our imputed promisescriteria, our preliminary ratings address the lower of these two rates (see "Principles For RatingDebt Issues Based On Imputed Promises," Dec. 19, 2014).

Under the transaction documents, the issuer can defer interest payments on these securities. Afailure to pay the interest amounts due on the securities will result in the interest being deferred.Deferred interest (interest shortfall amounts) accrues interest at the lower of the fixed rate andnet WAC rate for classes A1A, A1B, A2, A3, M1, and B1 and at the net WAC rate for classes B2 andB3. Our preliminary ratings on the classes address the receipt of the P&I payments (includinginterest shortfall amounts with accrued interest thereon) by the securities' final maturity date.

Our preliminary ratings, however, do not address the payment of the net WAC shortfall amounts(i.e., the difference between the fixed coupon and the net WAC rate where the fixed couponexceeds the net WAC rate). These amounts are subordinated in the payment priority. In our view,neither the initial coupons on the securities nor the initial net WAC rates are de minimis, andnonpayment of the net WAC shortfall amounts is not considered an event of default under the



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transaction documents. Therefore, in our cash flow analysis, and in line with our criteria forimputed promises, we do not need to consider whether these net WAC shortfall amounts are paid.

In OVMLT 2020-1, the senior notes are paid pro rata principal and the subordinate notes are paidprincipal sequentially in order of seniority. Unlike the credit enhancement seen in shifting-interestRMBS structures, which may be depleted due to scheduled and prepaid principal paid to thesubordinate classes, the credit enhancement in OVMLT 2020-1 is not depleted because principalpayments are not made to a subordinate class unless it is the most senior class outstanding.

If the aggregate class balance of the securities exceeds the pool balance, the resulting excess (thenote write-down amount) is applied in reverse sequential order to the class B3, B2, B1, M1, A3, A2,A1B and A1A securities until each class' principal balance has been reduced to zero.

If the pool balance exceeds the aggregate class balance of the securities (after the allocation ofprincipal payments and monthly excess cash flows to pay down the securities), the balances ofthe class A1A, A1B, A2, A3, M1, B1, B2, and B3 securities will be "written-up" to the aggregateamount of applied realized losses, in that order.

Geographic Concentration

S&P Global Ratings analyzes the pool's geographic concentration risk based on theconcentrations of loans in each of the core-based statistical areas (CBSAs) defined by the U.S.Office of Management and Budget (see Appendix II of "Methodology And Assumptions For RatingU.S. RMBS Issued 2009 And Later," Feb. 22, 2018). In this transaction, the loans aregeographically diversified with the top five CBSAs account for roughly 21.67% of the aggregatepool. California accounts for 29.82% of the pool balance. Because of the geographicdiversification, we applied a neutral Herfindahl-Hirschman Index adjustment factor (aconcentration measure based on the sum of the squared CBSA concentrations related to abenchmark concentration) of 1.00x to our base loss coverage estimate.

Table 9

Geographic Concentration

CBSA code(i) CBSA State % by balance

31084 Los Angeles-Long Beach-Glendale California 8.50

40140 Riverside-San Bernardino-Ontario California 5.40

19740 Denver-Aurora-Lakewood Colorado 2.69

41940 San Jose-Sunnyvale-Santa Clara California 2.55

38060 Phoenix-Mesa-Chandler Arizona 2.52

Top 5 -- -- 21.67

(i)CBSA code refers to the metropolitan division code, if available. CBSA--Core-based statistical area (includes metropolitan statistical areasand metropolitan divisions where defined, as well as micropolitan statistical areas).

Large Loans And Tail-Risk Considerations

As the number of loans in the transaction decreases, the effect of a single loan's losses becomesgreater. To mitigate this risk, this transaction provides for a sequential payment structure, whichprevents a depletion of credit support to a rated class. Due to the sequential payment mechanism,the preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', 'BB (sf)', and 'B (sf)' rated classes effectively



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have an initial floor of 13.75%, 10.30%, 6.25%, 3.60%, 2.00%, and 0.95%, respectively.

To analyze the appropriateness of the effective credit enhancement floor, we use an approachoutlined in "Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later,"published Feb. 22, 2018. Based on this approach, instead of focusing on the largest loans bybalance at issuance, we risk-weight the loans in the transaction by focusing on those with thelargest expected loss exposure assuming default.

After considering the credit enhancement provided in the transaction and the sequential paymentmechanism, we believe the preliminary-rated classes are sufficiently protected from tail risk asthe transaction seasons.

Mortgage Operational Assessment (MOA)

The affiliated originator, Lakeview Loan Servicing LLC, was formed in November 2010 and beganoriginating loans in February 2013 through its consumer direct, closed loan correspondent, andwholesale channels. Lakeview is an approved seller/servicer for Fannie Mae and Freddie Mac, aswell as an approved Ginnie Mae issuer. Lakeview is an affiliate of the seller, OceanviewAcquisitions I LLC (Oceanview).

Lakeview is wholly owned by Bayview MSR Opportunity Fund and managed by Bayview AssetManagement LLC (Bayview). Additionally, Lakeview benefits from its relationship with BLS. Theseentities are collectively referred to as the Bayview Family.

We conducted a transaction-specific MOA review on the originator Lakeview and the aggregator's(Oceanview) origination/aggregation platform, together the Bayview processes. We focused on thequalitative aspect of their loan originations/aggregations, which is based on our assessment ofthree primary focus areas for operational reviews: management and organization, originationprocess and underwriting, and internal controls. Performance data was limited as most loanswere sold to the GSEs and other third parties. As a result of our review, we determined atransaction-specific MOA loss coverage adjustment factor of 1.00x.

Key assessment factors

The ranking reflects our view of Bayview's following strengths:

- Its experienced senior management team, with over 20 years average industry experience;

- Its parent company's long operational track record;

- Its independent risk management, compliance, and internal audit functions;

- Its thorough review process for new brokers and correspondents, and its monitoring of existingbrokers and correspondents.

These strengths are partially offset by Bayview's following weaknesses:

- Its limited loan performance history, including no purchase and performance data during ahousing cycle downturn.

- Its pre-purchase due diligence is completed on a sampling, including a full review of credit andlimited compliance review.



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Mortgage originator concentration

Approximately 69.97% of the mortgage loans are Lakeview Loan Servicing LLC originated loansprimarily through its correspondents (under whose name the loan closed) and 30.03% of themortgage loans were originated by other lenders. LoanDepot is the largest originator of loans inthe pool and contributes only 9.57% by balance, followed by IMPAC (7.51%) and Fairway (5.12%).An additional 144 originators, each of which originated less than 5.00% of the mortgage loans,make up the remaining 77.80% of the pool by balance.

One of the originators in the pool, IMPAC has an MOA ranking of AVERAGE with a loss coverageadjustment factor of 1.0x. We applied the results of that analysis to the IMPAC originated loans inthis pool. We applied a neutral transaction-specific MOA loss coverage adjustment factor of 1.00xto the remaining portion of the aggregate pool.

Third-Party Due Diligence Review

The third-party due diligence providers (AMC Diligence LLC and Recovco) performed due diligenceon 100% of the pool's loans. Their review encompassed regulatory compliance on all the loans inthe pool, if applicable, and, for the non-seasoned loans (aged 24 months or less), 100% credit(underwriting) and property valuations as well. In addition, 59 of the 95 seasoned loans (originatedbefore July 1, 2018) had credit and valuation diligence conducted. For the remaining 36 seasonedloans, updated property valuations were received and used in our analysis. A data integrity reviewwas conducted on all loans. Additionally a payment string review and a tax, title and lien reviewwas conducted on the seasoned loans.

Some loans fell within the scope of the TRID rule. For these loans, the third-party firms followedthe Structured Finance Assn. (SFA) RMBS 3.0 TRID Compliance Review Scope in conducting theirfinal loan reviews RMBS 3.0 TRID Compliance Review Scope in conducting their final loan reviews(see "Standard & Poor's Comfortable With SFIG Draft Proposal Regarding TRID Due Diligence,"published April 25, 2016). In accordance with our criteria, we adjust our loss expectations basedon our view of the firms' findings (see Appendix III of "Methodology And Assumptions For RatingU.S. RMBS Issued 2009 And Later," published Feb. 22, 2018).

After reviewing the third-party due diligence results, we applied an adjustment of 1.01x to the losscoverage.

Compliance with underwriting guidelines (credit review)

- Most of the due diligence firms' initial findings were resolved by the receipt of missinginformation in the trailing documents.

- All reviewed loans (except 23 loans) received a final credit review risk grade of 'A' or 'B'.Twenty-two loans received a final credit grade of 'C' due to various reasons, and for one loan weapplied a credit valuation grade of 'C' based on our analysis.

- Most of the credit exceptions related to credit underwriting guidelines, which were adequatelyoffset by compensating factors (i.e., high FICO scores, low combined LTVs, low debt-to-incomeratios, and excess reserves).



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Property valuation review

- All but eight of the loans received a final property valuation review risk grade of 'A' or 'B'.

- Of the eight loans that received property valuation review risk grade 'C', we applied a propertyvaluation grade of 'C' on three loans as part of our analysis because they haven't had secondaryappraisals, and we used the secondary valuation for purposes of calculating LTV for theremaining five. In each of these cases, the more conservative secondary valuation was utilizedto calculate the LTV/combined LTV at origination.

Regulatory compliance review

- Most of the due diligence firms' initial findings were resolved by the receipt of missinginformation in the trailing documents.

- Many exceptions resulted from missing documents to complete the ATR/QM or TRID reviews.

- Nine loans had regulatory compliance grades of 'C' due to certain TRID rule violations. For theseloans, we adjusted the credit enhancement levels by adding $34,000 ($4,000 for maximumpotential statutory damages per the regulation and $30,000 for legal expenses, based on thelegal fees applied) to the dollar amount of loss for the given default (see Appendix III of"Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later," published Feb.22, 2018).

Data quality review

- A final tape was provided with updated/corrected data.

R&Ws

Our review of the R&Ws for OVMLT 2020-1 focused on whether the representations made by theseller were substantially consistent with the set of representations we published as part of ourcriteria (see Appendix IV of "Methodology And Assumptions For Rating U.S. RMBS Issued 2009 AndLater," published Feb. 22, 2018). We evaluated the strength of these R&Ws and consideredwhether any breach could have a materially adverse impact on the interests of the transaction'snoteholders. If the R&Ws in the transaction documents do not address the issues in our publishedR&W framework, we will determine whether we believe it is appropriate to assess additional creditenhancement. Lastly, we will consider the R&W providers' ability to fulfill their obligations in theevent of a breach.

The R&Ws related to Oceanview 2020-1 are made by the seller and the guarantor, who is anunrated entity and the parent entity of the sponsor, will backstop the seller's remedy obligations.Upon review of the applicable transaction documents, we have found the R&Ws related to theindividual mortgage loans are generally consistent with our published criteria with a few such asthe fraud representation having certain shortcomings that we factored into our analysis. Thetransaction also has a few knowledge-qualified representations, but the documents have curativelanguage addressing these knowledge qualifiers. The transaction also doesn't have an earlypayment default (EPD) covenant. However, this was not material to our analysis.



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Framework assessment

Any mortgage loan that experiences a realized loss upon liquidation will automatically be reviewedfor breaches by an independent reviewer. A loan is also reviewed if a review trigger occurs whenthat loan (excluding any loans that are delinquent as a result of COVID-19-related forbearancerelief) becomes 120-plus-days delinquent on any date after a threshold event. A threshold eventoccurs when the aggregate principal balance of the loans (excluding any loans that are delinquentas a result of COVID-19-related forbearance relief) that are 30 days or more delinquent but lessthan 120 days delinquent exceeds the initial class M1 credit enhancement (3.60%), calculated ona monthly basis.

The R&Ws are made as of the closing date and are in effect throughout the transaction's life. Thereis no sunset provision that limits the timeframe in which the representations are in effect.However, given that the statute of limitations under New York law for R&W claims is generallyexpected to be six years from the date a representation is made, there is effectively an expirationdate on the R&Ws.

The remedy provider (the seller) is required to remedy a breach if it materially and adverselyaffects the value of the mortgage loans and it is in remedial status. However, TRID-relatedbreaches must be remedied without consideration of materiality. The seller will have 60 days tocure loans with TRID violations, and if not cured will be required to repurchase the loan for therepurchase price. Documentation exception loans must also be remedied automatically byproviding missing documentation within certain timeframes, otherwise these need to be remediedby repurchasing. A remedial status loan must be cured, repurchased, or in the case of a liquidatedloan, an amount equal to the realized loss on such loan must be paid, within 60 days of notice.

Dispute resolutions are ultimately subject to arbitration proceedings, if necessary, to determine ifa breach has occurred. The cost of arbitration with respect to any loan in remedial status will bepaid by the seller, any loan in final status (no effective remedy required) will be paid by thecontrolling holder, and any arbitration expenses on loans that revert to an "review status" due to adefective review determination by the arbitrators will be paid by the issuer.

We applied a 1.08x adjustment to our loss coverage estimates to reflect:

- The fact that R&Ws are generally comparable to our benchmark with certain shortcomings,

- The lack of automatic reviews on severely delinquent loans,

- The automatic reviews on liquidated loans with realized losses and, upon a threshold trigger, on120 day delinquent loans, and

- The financial condition of the R&W provider (including the backstop provided by an affiliatedentity).

Cash Flow And Scenario Analysis

We reviewed the transaction structure (see chart above) and performed a cash flow analysis tosimulate various rating stress scenarios to determine the ratings for each class consistent withour criteria, accounting for the available credit enhancement (see table 10). We analyzed variousscenarios for each rating category/level, including combinations of:

- Standard and back-loaded default timing curves;

- Two-year recovery lag assumptions;



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- Fast and slow prepayment assumptions;

- High, low, and forward interest rate curve assumptions;

- Compressed WAC deterioration curve to stress excess spread for the increased servicing feesfor delinquent loans; and

- Delinquency assumptions to stress liquidity for potential forbearance.

For further detail on our cash flow stresses, please refer to our criteria "Methodology AndAssumptions For Rating U.S. RMBS Issued 2009 And Later," published Feb. 22, 2018.

Table 10

Cash Flow Assumptions

Scenario

AAA AA A BBB BB B

Recovery lag (mos.) 24 24 24 24 24 24

Prepayments (%)(i)

Low CPR 1 2 3 4 5 6

High CPR 20 20 20 20 20 20

Scenario 1: delinquent loans (%) 35(ii) 35(ii) 35(ii) 35(ii) 35(ii) 35(ii)

Scenario 2: delinquent loans (%) 0 0 0 0 0 0

Foreclosure frequency (%) 26.49 22.76 18.24 13.70 9.87 5.99

Loss severity (%) 52.66 47.23 37.55 31.75 27.36 24.21

Loss coverage (%) 13.95 10.75 6.85 4.35 2.70 1.45

(i)Using a standard prepayment convention. (ii)For the first six months. CPR--Conditional prepayment rate. N/A—Not applicable.

Notwithstanding the use of excess interest as credit enhancement within the transactionstructure, we applied front- and back-loaded rather than bulleted (e.g., semiannual or annuallump sum) default timing curves in our analysis. This reflects our view of the potential volatility ofcash flows, given that they are primarily newly originated loans by a transaction-specific reviewedoriginator, which are subject to third-party due diligence and include structural considerationssuch as sequential principal allocations among all classes and partial P&I advancing by theservicer.

We applied the foreclosure frequencies, loss severities, and combinations of the stresses notedabove in our cash flow runs, and observed some periodic missed interest due to the liquidity stressassociated with limited advancing. To pass our applicable rating-specific stresses, the interestdeferrals (or interest shortfall amounts) resulting from any missed interest payments on thesecurities have to be paid in full by the maturity date. All interest shortfall amounts were paidback with interest under the applicable rating-specific stresses in our cash flow projections. Theresults show that each preliminary-rated class in the transaction is enhanced to a degreeconsistent with the assigned preliminary ratings (see table 10).



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Table 11

Structural Assessment

Class RatingInitial class

size (%)Initial credit

enhancement (%)Loss coverage

(%)Percentage point difference between credit

enhancement and loss coverage

A1A AAA (sf) 80.00 20.00 13.95 6.05

A1B AAA (sf) 6.25 13.75 13.95 (0.20)

A2 AA (sf) 3.45 10.30 10.75 (0.45)

A3 A (sf) 4.05 6.25 6.85 (0.60)

M1 BBB(sf)

2.65 3.60 4.35 (0.75)

B1 BB (sf) 1.60 2.00 2.70 (0.70)

B2 B (sf) 1.05 0.95 1.45 (0.50)

B3 NR 0.95 0.00 N/A N/A

NR--Not rated. N/A--Not applicable.

Servicer stop advance stresses

Although the transaction documents provide for up to six months of P&I advance obligation, weassumed that no P&I advances were being made in our cash flow projections. This assumptionresults in no projected monthly cash flows on defaulted loans that have not yet been liquidated(we assume a 24-month lag between default and liquidation). Our cash flow projections considerthis additional liquidity stress and the transaction's ability to make monthly interest paymentsand, if necessary, deferred interest payments (interest shortfall amounts) by the final maturitydate on the preliminary rated classes.

To address the potential liquidity stress to cash flows due to loans entering forbearance in light ofthe current COVID-19 virus crisis for which the P&I advancing party is not obligated to advancemonthly P&I payments, we also applied an additional delinquency stress scenario. We assumed35.00% of the closing pool balance to be delinquent for the first six months with any P&I paymentsrelated to this delinquent portion coming back to the transaction after all defaults have beenpassed through to the transaction (approximately 144 months).

WAC deterioration stress

The transaction structure allows excess spread to provide some of the credit enhancement. Weapplied a WAC deterioration stress that steps up linearly from zero bps to 95 bps over five years,and remains at that level to address the potential for the pool's WAC to decline as higher couponloans prepay or default and thus stress the excess spread. We compressed our WAC deteriorationcurve from 10 years to five years for this transaction to stress the excess spread, given the step upservicing fee for delinquent loans that would come out of collections otherwise available to coverrealized losses in the absence of an excess servicing fee tranches to absorb any increases to theservicing fee. The servicing fee is 25 bps for loans 0-59 days delinquent and 100 bps for loans 60or more days delinquent and REO properties.



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Interest stresses

In this transaction, extraordinary trust expense payments reduce the net WAC rate, whicheffectively allocates the extraordinary trust expenses pro rata across all senior and subordinatenoteholders by reducing their interest payments by the amount of the extraordinary trustexpenses paid (subject to the annual cap). Although the extraordinary expenses are passedthrough as reduced contractual interest due to noteholders, we ran these expenses at theircapped amounts, multiplied by the relevant extraordinary expense factor from periods 13-60, asdetailed in our criteria. We did this to test any impact on the securities due to the dependence onexcess spread as a form of credit enhancement and the presence of certain structural features,such as limited P&I advancing, and because interest payments on the securities are deferrable.Furthermore, although the collateral as a whole is more prime-like, we used the nonprimeextraordinary expense factors due to the presence of nonprime collateral in the pool inconjunction with the relatively low extraordinary expense cap.

Imputed Promises Analysis

Per our criteria, "Principles For Rating Debt Issues Based on Imputed Promises," published Dec.19, 2014, and the associated guidance "Guidance: Principles For Rating Debt Issues Based OnImputed Promises," published July 26, 2019, when rating U.S. RMBS transactions wherecredit-related events can reduce interest owed to the tranches across the capital structure, ratherthan an allocation of such credit-related loss to the available credit support, we impute theinterest owed to the noteholders. WAC deterioration that occurs because of defaults is alreadyaccounted for. WAC deterioration that occurs because of repurchases or prepayments is notconsidered credit-related and therefore is not considered as part of this analysis.

Because this transaction provides for credit-related loan modifications and extraordinary trustexpenses to reduce the net WAC, at which the transaction's bond coupons are capped, we appliedthe approach outlined in the criteria to assess the maximum potential rating (MPR) that couldapply based on our projected interest reduction amount (PIRA). Because this is a new-issuetransaction, we did not account for any cumulative interest reduction amount.

Consistent with our criteria and the associated guidance, we assumed that 50.00% of the loansprojected to default would be modified, which, when added to the extraordinary trust expenses,resulted in a maximum PIRA on the rated securities that is significantly below the 4.50%threshold. We stressed extraordinary trust expenses by the relevant extraordinary expenseapplication factor for four years, from payment periods 13-60, as described in the InterestStresses section above. Based on the results of our analysis, there was no impact on the monthlypayment rate for the securities.

Historically, we have observed that extraordinary trust expenses have been minimal when theyoccur and have been extremely limited in pre-2009 RMBS transactions. We continue to expecttheir actual occurrence in post-2009 transactions to be rare.

Operational Risk Assessment

Our criteria "Global Framework For Assessing Operational Risk In Structured FinanceTransactions," Oct. 9, 2014, present our methodology and assumptions for assessing certainoperational risks (severity, portability, and disruption risks) associated with asset types and keytransaction parties (KTPs) that provide an essential service to a structured finance issuer.



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According to the criteria, we cap the ratings on a transaction if we believe operational risk couldlead to credit instability and affect the ratings.

As provided in the operational risk criteria, for severity risk and portability risk, there are threepossible rankings: high, moderate, or low. For disruption risk, there are four possible rankings:very high, high, moderate, or low. The rankings for each of the three risks determine the maximumpotential rating that can be assigned to a structured finance security for a given KTP before givingconsideration to any provisions for a backup KTP, such as a master servicer.

According to our criteria, if severity and portability risk are each assessed as being low, then themaximum potential rating typically would not be constrained and a disruption risk assessment isnot necessary. Since the collateral is primarily prime, we viewed the severity and portability risk ofthe pool as low and low, respectively. For this transaction, the servicer, Bayview Loan ServicingLLC, is the KTP. Given this risk assessment, our criteria does not cap the ratings on thetransaction.

Related Criteria

- Criteria | Structured Finance | General: Methodology To Derive Stressed Interest Rates InStructured Finance, Oct. 18, 2019

- Criteria | Structured Finance | Legal: U.S. Structured Finance Asset Isolation AndSpecial-Purpose Entity Criteria, May 15, 2019

- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating StructuredFinance Securities: Methodology And Assumptions, Jan. 30, 2019

- Criteria | Structured Finance | RMBS: U.S. Residential Mortgage Operational AssessmentRanking Criteria, Feb. 22, 2018

- Criteria | Structured Finance | RMBS: Methodology And Assumptions For Rating U.S. RMBSIssued 2009 And Later, Feb. 22, 2018

- Criteria | Structured Finance | RMBS: Assumptions Supplement For Methodology AndAssumptions For Rating U.S. RMBS Issued 2009 And Later, Feb. 22, 2018

- General Criteria: Methodology For Linking Long-Term And Short-Term Ratings, April 7, 2017

- Criteria | Structured Finance | General: Structured Finance Temporary Interest ShortfallMethodology, Dec. 15, 2015

- Criteria | Structured Finance | General: Methodology: Criteria For Global Structured FinanceTransactions Subject To A Change In Payment Priorities Or Sale Of Collateral Upon ANonmonetary EOD, March 2, 2015

- General Criteria: Principles For Rating Debt Issues Based On Imputed Promises, Dec. 19, 2014

- Criteria | Structured Finance | General: Global Framework For Cash Flow Analysis Of StructuredFinance Securities, Oct. 9, 2014

- Criteria | Structured Finance | General: Criteria Methodology Applied To Fees, Expenses, AndIndemnifications, July 12, 2012

- General Criteria: Global Investment Criteria For Temporary Investments In TransactionAccounts, May 31, 2012

- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28,2009



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Related Research

- Select Servicer List, July 2, 2020

- Economic Research: The U.S. Faces A Longer And Slower Climb From The Bottom, June 25,2020

- S&P Global Ratings Is Assessing The Impact Of COVID-19 On Mortgage Market Outlooks ForGlobal RMBS, April 17, 2020

- U.S. Residential Mortgage Input File Format For LEVELS, March 6, 2020

- S&P Global Ratings Definitions, Sept. 18, 2019

- S&P Global Ratings Publishes List Of Third-Party Due Diligence Firms Reviewed For U.S. RMBSAs Of Aug. 5, 2019, Aug. 5, 2020

- Credit Rating Model: LEVELS Model For U.S. Residential Mortgage Loans, Aug. 6, 2019

- Servicer Evaluation: Bayview Loan Servicing LLC--Residential And Small-Balance Commercial,June 10,2019

- Key Factors For Assessing U.S. Non-Qualified Mortgage Bank Statement Loans, April 10, 2019

- Credit Rating Model: Intex RMBS Cash Flow Model, April 7, 2017

- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top FiveMacroeconomic Factors, Dec. 16, 2016

Standard & Poor's Comfortable With SFIG Draft Proposal Regarding TRID Due Diligence, April 25,2016

Older RMBS Transactions Face Increased Tail Risk As Their Pools Shrink, Aug. 9, 2012

In addition to the criteria specific to this type of security (listed above), the following criteriaarticles, which are generally applicable to all ratings, may have affected this rating action:"Counterparty Risk Framework: Methodology And Assumptions," March 8, 2019Post-DefaultRatings Methodology: When Does Standard & Poor's Raise A Rating From 'D' Or 'SD'?," March 23,2015; "Global Framework For Assessing Operational Risk In Structured Finance Transactions,"Oct. 9, 2014; "Methodology: Timeliness of Payments: Grace Periods, Guarantees, And Use of 'D'And 'SD' Ratings," Oct. 24, 2013;; "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings,"Oct. 1, 2012; "Methodology: Credit Stability Criteria," May 3, 2010; and "Use of CreditWatch AndOutlooks," Sept. 14, 2009.



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Oceanview Mortgage Loan Trust 2020-1 - S&P Global

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