Two trillion dollars in frozen paper. We just defrosted it.

The trade

Loan originators hold blended-rate MBS that current market would buy at ~80c on the dollar. They won't book the loss, so they don't sell, so they can't originate new loans. The market is frozen.

BV buys at 90c (a 10c premium over market) and the originator commits to a 20c future preferred claim payable to BV. On a $500M face deal that's $100M of pref. The MBS is wrapped into a TMB pool with senior, mezzanine, and junior tranches.

How it works

1. Acquire: BV buys the MBS at 90c and absorbs the mortgages into a TMBPool wrapper around a TranchingEngine pool.
2. Tranche: pool issues senior, mezzanine, and junior ERC-20 tranche tokens (typical 50/30/20 with senior 4% / mezz 6% / junior residual).
3. Distribute: borrower payments flow through MortgageServicing (25 bps fee) into the pool, then through the sequential waterfall — senior coupon-to-satisfaction first, then mezzanine, then junior.
4. Recover: BV holds junior at acquisition (syndicate-able later). The 10c market discount accrues as junior NAV over the recovery period. The 20c originator pref is a standalone BVOriginatorClaim contract repaid on a fixed schedule.

Economics

Base case ($500M face, 8yr WAL, 0% default):

Break-even default rate (MBS only): ~3.7% annual CDR (cumulative ~26%, comparable to 2007–2010 subprime stress; prime resi 2020–2021 vintage tracks under 1%).

Trust

• Audited by OpenZeppelin
• 1,001 mortgage-system tests including end-to-end base/bull/bear scenario integration
• Reg D 506(c) gated for senior + mezzanine tranches
• BV is servicer-of-record; servicing fee accrues to BV regardless of pool routing