A pool of 34,200 loans with a total unpaid principal balance of $6.4 billion provides the collateral for $145.39 million of residential mortgage-backed notes to be issued by BVRT 2025-1.
The collateral pool consists of agency eligible loans that were previously delivered to Fannie Mae by various Fannie Mae-approved sellers.
The transaction benefits from a master enhancement agreement for private risk transfer between the underlying issuer BLT Trust and Fannie Mae. Under the agreement, the agency will absorb losses up to a predetermined amount. Beyond that, the notes are supported by three special interest certificates issued by BLT Trust.
According to Fitch Ratings, more than 95% of these residences are owner-occupied, less than 1% are investor homes, and the remainder are second homes. More than 90% of the underlying pools consist of purchase loans, with the remainder comprising refinances.
On average, the underlying collateral is approximately 74 months seasoned, significantly more seasoned than other similar risk transfer transactions, Fitch said.
Agency approval of the loans was a positive factor for the Fitch rating. A negative factor was that home price values for the underlying reference pools were 10.8% above a long-term sustainable level.
The underlying transactions benefit from a sequential pay structure and excess interest.
The pool has a weighted average (WA) FICO score of 733, a debt-to-income ratio (DTI) of 38.8, and a sustainable loan-to-value ratio (sLTV) of 65. Fitch said this is a similar collateral profile to other credit risk transfer (CRT) transactions that it has rated.
The transaction's sponsor is Bayview Asset Selector VII. There are multiple originators and servicers in accordance with Fannie Mae guidelines. The collateral account bank is JPMorgan Chase Bank.
U.S. Bank Trust Company is the indenture trustee and also the administrator and certificate registrar. The lead underwriter is Wells Fargo Securities.
BVRT 2025-1 is issuing five classes of interest-paying notes and four classes of interest-only notes.
The Class A notes ($67.46 million) are rated AA- by Fitch. They have credit enhancement of 53.6% and pay interest at SOFR.
The Class B notes ($11.20 million) are rated A-, have credit enhancement of 45.9% and pay interest at SOFR.
The Class C notes ($51.18 million) are rated BBB-, have credit enhancement of 10.7%, and pay interest at SOFR.
The Class D notes ($15.41 million) are rated BB-, have credit enhancement of 0.10%, and pay 0% interest.
The Class E notes ($0.07 million) are rated B-, have 0.05% credit enhancement, and pay 0% interest.
The Class R notes ($0.07 million) paying 0% interest are not rated.
Classes A-R have stated final maturity of May 2033.
Four classes of underlying interest-only certificates are issued (IO, O-Li, IO-Mg, and IOMg2), each of which Fitch rates as A-.
