Morningstar DBRS Finalizes Provisional Credit Ratings and Assigns New Ratings to Two Additional Classes of CIM 2025-I1 Trust

DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings and assigned new ratings to two additional exchangeable classes (A-1A and A-1B) on Mortgage-Backed Notes, Series 2025-I1 (the Notes) issued by CIM Trust 2025-I1 (the Issuer) as follows:

-- $155.2 million Class A-1A at AAA (sf)
-- $28.8 million Class A-1B at AAA (sf)
-- $184.0 million Class A-1 at AAA (sf)
-- $20.6 million Class A-2 at AA (high) (sf)
-- $23.2 million Class A-3 at A (high) (sf)
-- $19.4 million Class M-1 at BBB (high) (sf)
-- $19.7 million Class B-1A at BBB (low) (sf)
-- $8.9 million Class B-1B at BB (low) (sf)
-- $28.6 million Class B-1 at BB (low) (sf)
-- $7.6 million Class B-2 at B (low) (sf)

Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction.

The AAA (sf) credit rating on the Class A-1 Notes reflects 36.05% of credit enhancement provided by subordinate notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 28.90%, 20.85%, 14.10%, 7.25%, 4.15%, and 1.50% of credit enhancement, respectively.

This is a securitization of a portfolio Integrated Disclosure rule.

DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings and assigned new ratings to two additional classes of CIM Trust 2025-I1 (CIM 2025-I1 or the Issuer), a securitization of a portfolio of fixed- and adjustable-rate, investor debt service coverage ratio (DSCR), first-lien residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2025-I1 (the Notes). The Notes are backed by 1,429 mortgage loans with a total principal balance of $287,673,972 as of the Cut-Off Date.

CIM 2025-I1 represents the fourth securitization issued from the CIM-I shelf, which is backed by business purpose investment property loans primarily underwritten using DSCR. Chimera Investment Corporation serves as the Sponsor of this transaction.

United Wholesale Mortgage, LLC (61.3%) is the largest originator in the mortgage pool. The remaining originators each comprise less than 10.0% of the mortgage loans. NewRez LLC d/b/a Shellpoint Mortgage Servicing will act as the Servicer for all the loans within the pool. Computershare Trust Company, N.A. (Computershare; rated BBB with a Stable trend by Morningstar DBRS) will act as the Master Servicer, Paying Agent, Note Registrar, Certificate Registrar, and Custodian.

The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and the DSCR, where applicable. Since the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA/RESPA Integrated Disclosure rule.

For this transaction, the representations and warranty remedy provider, Chimera Funding TRS LLC (the Remedy Provider), will provide certain representations and warranties as of the Closing Date, while certain other representations and warranties will be provided either (1) as of the date when loans were sold by the originator to the underlying loan seller from which Fifth Avenue Trust (the Seller) acquired the loans; or (2) the date on which loans were sold to the Seller.

The Sponsor, or a majority-owned affiliate, will retain an eligible horizontal interest consisting of a portion of the Class B-2 and the Class B-3, B-4, and XS Notes representing at least 5% of the aggregate fair value of the Notes to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure.

On or after the earlier of (1) the Payment Date in February 2028 or (2) the date when the aggregate unpaid principal balance (UPB) of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the holder of the Class XS Notes, at its option, may redeem all of the outstanding Notes at a price equal to the class balances of the related Notes plus accrued and unpaid interest, including any Cap Carryover Amounts, and any non-interest bearing deferred amounts due to the Class XS Notes (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation.

The Seller will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 or more days delinquent under the Mortgage Bankers Association (MBA) method at the Repurchase Price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date.

On any date following the date on which the aggregate UPB of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Depositor will have the option to terminate the transaction by purchasing all of the mortgage loans and any real estate owned (REO) property from the Issuer at a price equal to the sum of the aggregate UPB of the mortgage loans (other than any REO property) plus accrued interest thereon, the lesser of the fair market value of any REO property and the stated principal balance of the related loan, and any outstanding and unreimbursed servicing advances, accrued and unpaid fees, any non-interest bearing deferred amounts, and expenses that are payable or reimbursable to the transaction parties (Optional Termination). An Optional Termination is conducted as a qualified liquidation.

For this transaction, the Servicer will fund advances of delinquent principal and interest (P&I) until loans become 120 days delinquent or are otherwise deemed unrecoverable. Additionally the Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances).

The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior classes (Class A-1A, A-1B A-2, and A-3) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Prior to a Credit Event, principal proceeds can be used to cover interest carryforward amounts on Class A-1A, A-1B , A-2, and A-3 before being applied to amortize the balances of the notes. After a Credit Event, principal proceeds can be used to cover interest carryforward amounts on Class A-1A, A-1B A-2, and A3 sequentially (IIPP). For more subordinated Notes, principal proceeds can be used to cover interest shortfalls as the more senior Notes are paid in full.

Excess spread, if available, can be used to cover (1) realized losses and (2) cumulative applied realized loss amounts preceding the allocation of funds to unpaid Cap Carryover Amounts due to Class A-1A down to M-1 (and B-1A if issued on the Closing Date with a fixed rate). In addition, the Class A-1A, A-1B, A-2, and A-3 fixed rates step up by 100 basis points on and after the payment date in February 2029. On or after February 2029, interest and principal otherwise payable to Class B-3 and B-4 interest and principal may be used to pay the Cap Carryover Amounts.

Natural Disasters/Wildfires
The mortgage pool contains loans secured by mortgage properties that are located within certain disaster areas (such as those impacted by the Greater Los Angeles wildfires). The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections (PDI) for any property located in a known disaster zone prior to the transactions closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. To the extent that a PDI was ordered prior to closing, but notice of material damages were not available until after closing, the sponsor will repurchase the related loan/loans within 90 days of notification.

The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties.

The credit ratings reflect transactional strengths that include the following:

-- Improved underwriting standards,
-- Certain loan attributes,
-- Robust pool composition,
-- Satisfactory third-party due-diligence review, and
-- Current loans.

The transaction also includes the following challenges:
-- Investor loans,
-- Four-month servicer advances of delinquent P&I, and
-- Representations and warranties framework.

Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Interest Payment Amount, the Interest Carryforward Amount, and the Note Amount.

Morningstar DBRS' credit rating on Classes A-1, A-2, and A-3 also addresses the credit risk associated with the increased rate of interest applicable to Classes A-1, A-2, and A-3 if they remain outstanding on the step-up date (February 2029). in accordance with the applicable transaction documents.

Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS 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.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS

There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (August 13, 2024) https://dbrs.morningstar.com/research/437781.

Notes:
All figures are in US dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is

RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (January 02, 2025) https://dbrs.morningstar.com/research/445477.

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.

Morningstar DBRS 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://dbrs.morningstar.com/about/methodologies.

-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024), https://dbrs.morningstar.com/research/428623

-- Third-Party Due-Diligence and Representations & Warranties Criteria for U.S. RMBS Transactions (September 30, 2024), https://dbrs.morningstar.com/research/440091

-- Legal Criteria for U.S. Structured Finance (December 3, 2024), https://dbrs.morningstar.com/research/444064

-- Operational Risk Assessment for U.S. RMBS Originators and Servicers (September 30, 2024), https://dbrs.morningstar.com/research/440086

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/417279.

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.