DBRS Morningstar Assigns Provisional Credit Ratings to Bayview Opportunity Master Fund VII 2023-CPACE1, LLC

DBRS, Inc. (DBRS Morningstar) assigned provisional credit ratings to the following notes to be issued by Bayview Opportunity Master Fund VII 2023-CPACE1, LLC (the Issuer):

-- $164,644,000 Class A Notes at AAA (sf)
-- $5,092,000 Class B Notes at AA (sf)

CREDIT RATING RATIONALE/DESCRIPTION
-- Transaction capital structure, proposed credit rating, and form and sufficiency of available credit enhancement.
-- Credit enhancement in the form of a subordinated note (for the Class A), liquidity reserve, and excess spread.
-- Credit enhancement levels sufficient to support the DBRS Morningstar-expected delinquency and loss severity assumptions under various stress scenarios.
-- The ability of the Transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested.
-- The capabilities of Bayview with regard to originations and underwriting.
-- DBRS Morningstar performed an operational review of Bayview and considers the Company to be an acceptable originator of PACE assessments.
-- The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the Depositor, that the Issuer will have a valid security interest in the PACE Asset Portfolio, and the consistency with DBRS Morningstar’s “Legal Criteria for U.S. Structured Finance.”
-- Review of legal considerations specific to PACE.
-- Servicing is mostly performed by local county tax collection offices.
-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2023 Update,” published on September 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse pandemic scenarios, which were first published in April 2020.

DBRS Morningstar’s credit rating on Class A and Class B Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Note Interest and the related Outstanding Principal Balance.

DBRS Morningstar’s credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the associated contractual payment obligations that are not a financial obligation are the interest on unpaid Interest Distribution Amount for the Notes.

DBRS Morningstar’s long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/416784 (July 4, 2023).

Notes:
All figures are in U.S. Dollars unless otherwise noted.

The principal methodology applicable to the ratings is Rating U.S. Property Assessed Clean Energy (PACE) Securitizations (May 24, 2022; https://www.dbrsmorningstar.com/research/397234).

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

DBRS Morningstar had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

DBRS, Inc.
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New York, NY 10005 USA
Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

Operational Risk Assessment for U.S. ABS Servicers (July 20, 2023; https://www.dbrsmorningstar.com/research/417415)

Operational Risk Assessment for U.S. ABS Originators (July 20, 2023; https://www.dbrsmorningstar.com/research/417416)

Legal Criteria for U.S. Structured Finance (December 7, 2022;
https://www.dbrsmorningstar.com/research/407008)

Rating U.S. Structured Finance Transactions (October 30, 2023;
https://www.dbrsmorningstar.com/research/422592)

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].