KBRA, a major credit rating agency, has released preliminary ratings for six classes of mortgage-backed securities (MBS) issued by BRAVO Residential Funding Trust 2025-CES2 (BRAVO 2025-CES2). This represents a $356.1 million transaction.
The transaction is sponsored by Loan Funding Structure LLC, an affiliate of PIMCO. BRAVO 2025-CES2 is comprised entirely of closed-end second lien mortgages, and the underlying loans have been seasoned for approximately three months.
The underlying pool of mortgages includes 4,249 loans. The majority were originated by three prominent lenders: PennyMac Loan Services, LLC, Rocket Mortgage, LLC, and NewRez LLC.
KBRA’s rating methodology incorporated a comprehensive analysis. This included a detailed examination of the mortgage pool using its Residential Asset Loss Model (REALM). The agency also reviewed third-party due diligence reports on the loan files.
Furthermore, KBRA conducted a thorough cash flow modeling analysis of the transaction’s payment structure. The agency also reviewed the key parties involved and assessed the legal structure and documentation of the transaction. This analysis aligns with KBRA’s established U.S. RMBS Rating Methodology.
The full rating report provides further details on key credit considerations. It also includes sensitivity analyses exploring factors influencing the credit ratings and potential upgrades or downgrades. Additionally, the report addresses any relevant environmental, social, and governance (ESG) factors.
More information on the sources used in the credit rating process is available in the Information Disclosure Form. This also includes details on the methodologies employed, including models and sensitivity analyses. The meaning of each rating category is also clearly defined in separate documentation.
KBRA is a fully registered credit rating agency with the U.S. Securities and Exchange Commission. It also holds registrations in Europe and the UK. The agency is recognized by several regulatory bodies globally, including those in Ontario, Taiwan, and the U.S. These recognitions highlight KBRA’s standing as a significant player in the credit rating industry.
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