Bayview Asset Management plans to issue $185 million of bonds secured by a pool of non-conforming residential mortgage loans, according to a Standard & Poor’s presale report.
The mortgage loans included backing the deal, Bayview Opportunity Master Fund IIIa Trust 2014-9RPL, are seasoned fixed- and adjustable-rate residential mortgages that are secured by one-to-four family residences, condominiums and planned unit developments.
Almost all of the loans in the pool have been modified; 40% have delinquencies on their principal and interest (P&I) payments for the 24 months before the cut-off date, and 30.3% have delinquencies on their P&I payments for the 12 months before the cut-off date, according to the presale report.
S&P expects to rate the deal’s senior tranche, sized at $117.6 million ,AAA’.
Three mezzanine tranches are on offer: $16.34 million of AA’-rated M1 notes, $15.15 million of A’ rated class M2 notes and $8.7 million of BBB’ rated class M3 notes. Further down the credit curve the capital structure will offer three tranches of BB+’ rated securities.
The loans in the pool have a weighted average loan to value ratio (LTV) of 84.3. By comparison, Springleaf’s 2013-3 transaction, the last US subprime RMBS deal rated by S&P, had a weighted average LTV of 77.7%.The weighted average FICO of Bayview’s deal comes out on top at 648 compared to Springleaf’s 597.
The deal is expected to close on May 12. Bayview Loan Servicing is servicing the underlying loans.
Bayview Asset Management is minority-owned by affiliates of The Blackstone Group. The fund manager operates multiple funds as part of its asset management operations, using master-feeder structures.
It does not originate loans; its investment funds are invested across RMBS- and CMBS-related assets. “Bayview Asset Management uses a large portion of the investment portfolio for residential loan acquisitions, in bulk purchases, which have in recent years been monetized either through whole-loan trading, non-performing loans, or reperforming securitizations,” according to S&P.