Deal Scan: Bayview Preps Another CRT Repack

Bayview Asset Management is bundling bonds that Fannie Mae and Freddie Mac use to transfer the credit risk of mortgages into collateral for new bonds.

BOMFT 2017-CRT2 is collateralized by 16 underlying securities from GSE Credit Risk Transfer transactions, including M2 classes from various Fannie Mae Connecticut Avenue Securities (CAS) transactions and M3 classes from various Freddie Mac Structured Agency Credit Risk (STACR) transactions, according to Fitch Ratings.

Fitch expects to assign a BBB rating on the senior tranche to be issued, which benefits from sufficient credit enhancement to withstand projected losses on the underlying pool balances of approximately 1.45%. The presale report can be found here.

It’s Bayview’s second repackaged CRT of the year, and third ever.  Before the financial crisis, it was fairly common to resecuritize residential mortgage bonds in order to achieve higher ratings in transactions called “re-remics.”

Elsewhere, two PACE program administrators, Ygrene Energy and Renew Financial, picked the same day to launch their first securitizations of the year. Ygrene Energy’s $176 million deal, GoodGreen 2017-1, is backed by a mix of financing for energy efficiency improvements on residential and commercial properties in California and Florida; Renew Financial Group’s $217 million Renew 2017-1 is backed exclusively by financing for residential upgrades, primarily in California.  

In the collateralized loan obligation market, Benefit Street Parnters also priced its 11th collateralized obligation of the year; Allstate Investment Management priced its first, the $4105 million AIMCO CLO 20170A; and GSO / Blackstone Debt Funds Management priced the $919 million Catskill Park CLO.

Two existing CLOs were refinanced Hildene CLO II, manaeged by H-BSL Management's (an affiliate of Fortress Investment Group), and Fortress Credit BSLIII.