The Bayview MSR Opportunity Master Fund Trust is preparing to issue $714.9 million in mortgage-backed securities (MBS) from a collateral pool secured by investment-purpose mortgage loans, and an additional second home loan.
In addition to being almost entirely composed of investment-purpose mortgages, about 100% of the pool’s 2,175 mortgages are agency eligible, according to Kroll Bond Rating Agency, which plans to assign mostly ‘AAA’ ratings to the notes. Other ratings range from ‘AA+’ to ‘B-’.
The pool consists of predominantly fully amortizing loans with terms and types ranging from 12- to 30-year fixed-rate, KBRA said.
Morgan Stanley and Stifel Nicolaus are initial note purchasers for the deal, called the Bayview MSR Opportunity Master Fund Trust 2022-INV2, which is slated to close on Jan. 28, according to the rating agency. The issuing entity, Bayview MSR Opportunity Master Fund Trust, 2022-INV2, will issue the notes through a senior-subordinate and shifting interest structure.
On average, the loans have a balance of $328,712, with amounts ranging from $33,814 to $1.5 million, according to KBRA. On a weighted average (WA) basis, the loans have an original term of 358 months, and a WA coupon of 3.5%, the rating agency said.
The collateral for Bayview MSR Opportunity Trust, 2022-INV2, comes from a diverse group of originators. Home Point Financial Corp. accounts for the largest portion of loans, with 19.8% of the pool, while CMG Mortgage, Inc., accounts for 5.1% of the pool. Most of the loans, 42.1%, were originated for purchase, while 26.1% were intended for refinancings, and 31.8% of the loans were used for cash-out of the proceeds. As for servicers, Lakeview Loan Servicing will service the entire pool, KBRA said.
In terms of diversification by geography, California accounts for the largest state by percentage of pool balance, 34.7%. Texas follows, with 9.3%.
In a somewhat mixed credit consideration, appraisal waivers were granted on about 4.7% of the mortgage collateral. Property inspection waivers have made up an increasing percentage of agency loans, as standard appraisal processes have been hindered by the COVID-19 pandemic, KBRA said.
On a WA basis, borrowers had original FICO scores of 770. The median income was $156,300, and the WA liquidity reserves amounts to $227,596.
