Bayview Asset Selector is packaging more than 4,000 newly originated, closed-end second lien mortgages into $410.8 million in residential mortgage-backed securities.
The bonds will be sold through about nine notes of the Bayview Opportunity Master Fund VII Trust 2026-CES1, expected to close on July 14 with
All the notes—composed of initial exchangeable and linked initial exchangeable classes—have a legal final maturity of May 2056, according to Fitch Ratings. Expected coupons range from 5.66% on the AAA-rated A-1A tranche to 8.52% on the tranche rated B+, according to the rating agency.
In the initial classes the A-1A notes have a credit enhancement level of 20.00%, the rating agency said. Classes A-1B, A2 and A3 benefited from credit enhancement levels of 16.65%, 12.50%, and 8.10%, respectively.
The M1, B1 and B2 notes had credit enhancement levels representing 4.15%, 2.50% and 1.30% of the note balances, respectively.
Among the exchangeable classes, AAA-rated the A-1A and A-1B linked initial exchangeable classes offer a coupon of 5.67%, KBRA said. Their credit enhancement levels were 16.65% of the notes, KBRA said.
Analysts at Fitch Ratings say BVCES 2026-1 will repay investors sequentially. In addition to the subordination, the deal benefits from 300 basis points of excess spread.
BVCES 2026-1 repays noteholders on a monthly basis, and the senior note classes incorporate a step-up coupon of 1.00%, after its 48th payment date, to the extent that there are still outstandings, Fitch said.
The entire pool of 4,383 mortgages are fully amortizing and fixed-rate, financing primarily single-family homes and planned unit developments (98%). Just 2% of the properties financed are condominiums, KBRA said.
On average, the loans had a balance $93,730, with a weighted average coupon (WAC) of 9.30%. Borrowers had an original FICO score of 743, a non-zero WA annual income of $167,165, with liquid reserves of $69,943.
