Morningstar DBRS Assigns Provisional Credit Ratings to PRET 2025-RPL2 Trust

DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-RPL2 (the Notes) to be issued by PRET 2025-RPL2 Trust (PRET 2025-RPL2 or the Trust) as follows:

-- $315.8 million Class A-1 at (P) AAA (sf)
-- $26.0 million Class A-2 at (P) AA (high) (sf)
-- $341.8 million Class A-3 at (P) AA (high) (sf)
-- $366.1 million Class A-4 at (P) A (sf)
-- $383.7 million Class A-5 at (P) BBB (sf)
-- $24.3 million Class M-1 at (P) A (sf)
-- $17.7 million Class M-2 at (P) BBB (sf)
-- $11.7 million Class B -1 at (P) BB (sf)
-- $7.9 million Class B -2 at (P) B (high) (sf)

The Class A-3, Class A-4, and Class A-5 Notes are exchangeable. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents.

The (P) AAA (sf) credit rating on the Notes reflects 25.90% of credit enhancement provided by subordinated notes. The (P) AA (high) (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (high) (sf) credit ratings reflect 19.80%, 14.10%, 9.95%, 7.20%, and 5.35% of credit enhancement, respectively.

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

PRET 2025-RPL2 is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 2,297 loans with a total principal balance of $448,563,944 as of the Cut-Off Date (February 28, 2025).

The mortgage loans are approximately 191 months seasoned. As of the Cut-Off Date, 93.7% of the loans are current (including 1.8% bankruptcy-performing loans), and 6.3% of the loans are 30 days delinquent (including 0.2% bankruptcy loan) under the Mortgage Bankers Association (MBA) delinquency method. Under the MBA delinquency method, 42.5% and 70.0% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively.

The portfolio contains 84.8% modified loans as determined by the Issuer. Morningstar DBRS considers the modifications happened more than two years ago for 86.8% of these loans. Within the pool, 842 mortgages have an aggregate non-interest-bearing deferred amount of $35,347,524, which comprises 7.9% of the total principal balance.

PRET 2025-RPL2 is the fifth rated securitization of seasoned performing and reperforming residential mortgage loans on the PRET shelf. The Sponsor, Goldman Sachs Mortgage Company (GSMC), is a New York limited partnership.

The Mortgage Loan Seller will contribute the loans to the Trust through GS Mortgage Securities Corp. (the Depositor). As the Sponsor, GSMC or its majority-owned affiliate will retain an eligible vertical interest in the transaction consisting of an uncertificated interest in the Issuer representing the right to receive at least 5% of the amounts collected on the mortgage loans to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder.

All the loans are being serviced by Selene Finance LP (Selene). There will not be any advancing of delinquent principal and interest (P&I) on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowners association fees in super lien states and, in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of the properties.

The Controlling Holder also will have the right to direct the Servicer to sell any mortgage loan that has become 90 or more days delinquent in payment of any related loan payment. In addition, if the Controlling Holder objects to a proposed or contemplated foreclosure action with respect to a mortgage loan, the Controlling Holder must repurchase such mortgage loan at a price equal to the sum of (1) unpaid principal balance plus interest, (2) any outstanding Post-Cut-Off Date Deferred Amount, and (3) any pre-existing servicing advances, unreimbursed servicing advances, or unpaid servicing fees with respect to such mortgage loan.

On any Payment Date on or after the earlier of (1) the three-year anniversary of the Closing Date and (2) the date on which the aggregate Principal Balance of the Mortgage Loans is reduced to less than 30% of the Aggregate Cut-Off Date Principal Balance of the Mortgage Loans, the Controlling Holder will have the option to purchase all remaining loans and other property of the Issuer at the redemption price (Optional Redemption). The Redemption Right Holder will be the beneficial owner of more than 50% the Class X Notes.

The Controlling Holder has the option to, on any business day on or after the Payment Date in April 2027, purchase all of the outstanding Notes (Optional Clean-up Call) for a price equal to the sum of (1) the Class Principal Balance of each Class of Notes and (2) any accrued and unpaid interest thereon (including any Cap Carryover Amounts due to the Class A-1, Class A-2, Class M-1, and Class M-2 and any outstanding amounts due to the Class X Notes).

The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A-2 and more subordinate P&I bonds will not be paid from principal proceeds until the more senior classes are retired.

The credit ratings reflect transactional strengths that include the following:
-- Loan-to-value ratios,
-- Satisfactory third-party due-diligence review,
-- Seasoning, and
-- Structural features.

The transaction also includes the following challenges:
-- Representations and warranties standard,
-- No servicer advances of delinquent P&I, and
-- Assignments and endorsements.

Morningstar DBRS' credit ratings on the notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Interest Payment Amount, Interest Shortfall Amount, and Note Amount.

Morningstar DBRS' credit ratings on the Notes also address the credit risk associated with the increased rate of interest applicable to Class A-1, Class A-2, Class M-1, and Class M-2 if the Notes are not redeemed on the Optional Redemption Date (as defined in and) in accordance with the applicable transaction documents.

Morningstar DBRS' credit ratings do 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 factors 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 U.S. dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is the RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (January 2, 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.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of the final credit ratings on the above-mentioned securities 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 ratings.

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.

RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model (Version 1.3.28.1)

-- RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating (January 2, 2025)
https://dbrs.morningstar.com/research/445477

-- 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 https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.