Bayview Asset Management, a Coral Gables, Fla.-based property firm owned by Blackstone Group, is pursuing a$214.3 million securitization of performing and re-performing mortgage loans acquired from CitiFinancial.
Bayview Opportunity Master Fund Iva Trust 2016-SPL1 is a pool of 4,854 well-seasoned simple-interest mortgages, of which more than 95% are sourced from a single originator (CitiFinancial Credit Co.) and servicer and nearly all owner-occupied.
The transaction is split into eight note tranches, led by a $151.25 million Class A series with an expected structured finance rating of ‘AAA’ from Fitch Ratings with its 37.3% credit enhancement support.
The balance of the transaction is in seven tranches of ‘B’ series notes with fixed-rate tranches and ratings ranging from ‘AA’ to single ‘B’, along with the subordinate unrated B-7 tranche. The trust will acquire and retain a 5% vertical interest in each class.
More than 75% of the properties in the portfolio are performing loans, with more than 92% paying on time for the past three years (97% for the past two years). A total of 27.5% of the pool’s collateral has been modified due to performance issues, according to Fitch.
Fitch noted a concern of the low property values in the collateral. The average valuation is $92,000, compared to the $150,000 for other Fitch-rated re-performing loan transactions. Historical data shows that loss severities have been higher for low property values – which prompted Fitch to increase its loss expectation on its standard loan-loss model to the AAA-rated notes.
However, the homes have moderate loan-to-value ratios of 81.8%, with the average loan balance only $49,697 after 126 months of average seasoning. The weighted average interest rate of 8.9% for borrowers with an average model FICO score of 664.
The homes are geographically diverse, with the highest concentration in Pennsylvania (8% of the pool); but the homes are generally in non-urban areas outside major metropolitan statistical areas “that have not experienced significant growth,” Fitch noted.
