Morningstar DBRS Assigns Provisional Credit Ratings to Upgrade Master Pass-Thru Trust 2025-ST1

DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following class of notes to be issued by Upgrade Master Pass-Thru Trust 2025-ST1 (UMPT 2025-ST1):

-- $72,069,000 Series 2025-ST1 Notes at (P) BBB (low) (sf)

CREDIT RATING RATIONALE/DESCRIPTION

The provisional credit ratings on the Notes are based on a review by Morningstar DBRS of the following considerations:

(1) The transaction's form and sufficiency of available credit enhancement.
-- Overcollateralization, amounts held in the Reserve Account, and excess spread create credit enhancement levels that are commensurate with the credit ratings.
-- Transaction cash flows are sufficient to repay investors under the (P) BBB (low) (sf) stress scenarios in accordance with the terms of the transaction documents.

(2) The experience, sourcing, and servicing capabilities of Upgrade.

(3) The experience, underwriting, and origination capabilities of the Lending Partners, Cross River Bank (CRB), a New Jersey state chartered FDIC-insured bank, and Blue Ridge Bank (BRB), a national banking association.

(4) The annual percentage rate (APR) charged on the loans and the status of the Lending Partners as the true lenders.
-- The weighted-average (WA) APR of the loans in the pool is 20.44%.
-- All loans included in UMPT 2025-ST1 are originated by CRB or BRB in compliance with the relevant usury limit.
-- Upgrade is obligated to repurchase any loan if there is a breach of a representation and warranty that materially and adversely affects the interests of the purchaser.

(5) The ability of Systems & Services Technologies (SST) to perform duties as a Backup Servicer.

(6) The Morningstar DBRS CNL assumption is 15.89% based on an analysis of the Cutoff Date Loan Balance.

(7) The transaction assumptions consider Morningstar DBRS's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2024 Update, published on December 19, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

(8) The legal structure and legal opinions that is expected to address the true sale of the unsecured loans, the nonconsolidation of the trust, that the trust has a valid perfected security interest in the assets, and consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance.

Morningstar DBRS' credit ratings on the Series 2025-ST1 Notes referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Note Balance of and Interest Distributable Amount on the Series 2025-ST1 Notes.

Morningstar DBRS' credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. The associated contractual payment obligation that is not a financial obligation is interest accrued on any unpaid interest on the Series 2025-ST1 Notes from prior Distribution Dates following an Event of Default.

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 rating is Rating U.S. Structured Finance Transactions (Appendix I: U.S. Consumer Loan ABS Transactions) (March 10, 2025) https://dbrs.morningstar.com/research/449616/rating-us-structured-finance-transactions.

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.

A provisional credit rating is not a final credit rating with respect to the above-mentioned security and may change or be different than the final credit rating assigned or may be discontinued. The assignment of a final credit rating on the above-mentioned security is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the credit rating.

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

DBRS, Inc.
140 Broadway, 43rd Floor
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.

Operational Risk Assessment for U.S. ABS Originators and Servicers (December 5, 2024),
https://dbrs.morningstar.com/research/444162

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

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.