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Bayview tees up sixth reperforming RMBS of the year

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Bayview Asset Management is returning with a sixth securitization of reperforming and seasoned performing low-balance mortgages this year.

The deal, known as Bayview Opportunity Master Fund (BMFT) IVb Trust 2017-RT6, pools 2,745 current loans, of which nearly 58% have been clean for at least two years, and 55.2% have been modified.

The mortgages on the properties will secure the issuance of eight classes of senior and subordinate notes totaling $170.2 million, which equals the total principal balance of the loans with an average age more than 15 years.

The 2017-RT6 series will include a $112.1 million Class A tranche with a 34.15% credit enhancement feature slightly elevated from Bayview’s two most recent transactions (both at 33.8%). The Class A notes, which will include two interest-only series, netted preliminary triple-A ratings from Fitch Ratings and DBRS.

The Bayview master fund will retain a 5% eligible vertical interest in each class of notes to satisfy risk-retention requirements.

In addition to its five previous securitizations of re-performing loans this year, Bayview has also completed a $736.1 million securitization of performing loans.

The 2017-RT6 pool does not include any delinquent or bank-owned properties; a nominal amount (2.5%) of the pool involves bankruptcy-performing loans. The loans were issued to borrowers with a below-prime average FICO score of 634.

According to presale reports, the weighted average loan-to-value ratio of the portfolio is 66.9%, based on an average loan balance of $62,004 compared against home data index information as well as brokered price opinions of the properties. (The average original balance of the mortgages were $80,482.)

Most of the loans are fixed-rate (81.8%), but about 65.7% carry daily simple interest terms, which present the risk that some of the current loans may not amortize by their scheduled maturity dates to the extent borrowers make payments beyond their due dates. (Bayview would likely extend maturities then require a balloon payment, according to DBRS.)

More than 95% of the loans are not subject to the Consumer Financial Protection Bureau’s qualified mortgage or ability-to-repay rules, due to origination prior to January 2014. The ratings agencies note that 1,298 of the loans have non-interest-bearing deferred amounts based on applied principal forgiveness and HAMP (Home Affordable Modification Program) principal reductions. Those deferments amount to 3.6% of the collateral pool.

Most of the credit characteristics of the new deal are in line with Bayview’s previous securitizations this year. The new transaction, along with its most recent deals (Bayview Koitere Master Fund Trust 2017-RT4 and BMFT 2017-RT3), has pooled loans with higher interest rates (ranging from 7.2% to 7.5%) than in earlier 2017 deals.

Noteholders will not be granted servicer advances, the presale reports caution.

Bayview specializes in older, lower-value residential properties, and is the most active securitizer of U.S. seasoned performing and re-performing mortgages behind Credit Suisse, which has sponsored four unrated RPLs this year totaling $2.85 billion, according to regulatory filings. Since 2012, Bayview has issued 71 ABS deals of RPLs.

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RMBS Subprime lending Distressed Bayview Asset Management DBRS Fitch