A pool of some 4,345 second-lien mortgages, with seasoning of about six months, will support the sale of $404.6 million in residential mortgage-backed securities (RMBS), through Bayview Opportunity Master Fund VII Trust.
Bayview Asset Selector VII and Loan Funding Structure VII are sponsoring the deal, which will sell the notes through a series of A, mezzanine and B tranches. The super senior and senior support notes, rated AAA from the Kroll Bond Rating Agency.
The series 2026-CES2 has an expected closing date of August 12, with a final maturity date of May 2056. Notes are expected to pay coupons of 5.69% on the A1A notes and 5.89% on the A1B notes, according to KBRA. Beyond that, the A2 and A3 notes pay coupons of 5.92% and 5.97%, respectively, the rating agency said.
The M1, B1 and B2 tranches offer 6.22%, 7.42% and 8.41%, respectively, KBRA said.
In terms of note protection, credit enhancement levels include 20.00% on the A-1A notes; 16.75% on the A-1B notes; 12.55% on the A-2 notes and 8.15% on the A-3 notes, the rating agency said. As for the rest of the deal, the M1 through B3 classes will offer notes ranging from 4.05% through 0.00%.
Rocket Mortgage originated all the mortgages, following traditional full documentation rules, the rating agency said.
The deal will repay principal and interest noteholders sequentially, except for the class A-1A and A-1B notes, which will always pay principal on a pro rata basis, according to KBRA.
In addition to the subordination, excess spread of 3.14% provides additional credit enhancement.
BVCES 2026-2 prohibits the servicer, Rocket Mortgage, from advancing any interest and principal on any delinquent mortgages, which could create liquidity risks.
The loans have an average balance of $93,127 with a weighted average coupon (WAC) of 9.27%.
Borrowers have an original FICO score of 743, with a non-zero WA average income of $170,306, and $109,475.
Outside of the super senior and senior support notes, the A2, and A3 notes earned ratings of AA+ and A+, respectively; and the M1, B1 and B2 notes are expected to be rated BBB+, BB+ and B+, respectively.
