/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/250209.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, February 9, 2025, Vol. 29, No. 39 Headlines ACCELERATED 2021-1H: Fitch Affirms 'BBsf' Rating on Class D Notes ACREC 2025-FL3: Fitch Assigns 'B-sf' Final Rating on Three Tranches AGL CLO 37: Fitch Assigns 'BB+sf' Rating on Class E Notes AGL CLO 37: Moody's Assigns B3 Rating to $312,500 Class F Notes APIDOS CLO LI: Fitch Assigns 'BB+sf' Rating on Class E Notes APIDOS CLO LI: Moody's Assigns B3 Rating to $500,000 Class F Notes ARES LOAN VIII: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ARES LOAN VIII: Fitch Assigns 'BB-sf' Rating on Class E Notes ARES LVI CLO: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes BALLYROCK CLO 25: S&P Assigns Prelim BB- (sf) Rating on D-R Notes BARROW HANLEY I: Fitch Assigns 'BB+sf' Rating on Class E-R Notes BARROW HANLEY I: Moody's Assigns B3 Rating to $250,000 F-R Notes BENCHMARK 2020-IG1: Fitch Lowers Rating on Class C Certs to 'BB-sf' BENEFIT STREET XXIX: S&P Assigns BB- (sf) Rating on Cl. E Notes BMO 2023-C5: Fitch Affirms B-sf Rating on 2 Tranches BRAVO RESIDENTIAL 2025-NQM1: Fitch Assigns B Rating on B-2 Notes BRAVO RESIDENTIAL 2025-NQM1: Fitch Gives B(EXP) Rating on B-2 Notes BX TRUST 2025-DIME: Fitch Assigns 'B(EXP)sf' Rating on Cl. F Certs CANYON CLO 2020-2: S&P Assigns BB- (sf) Rating on Cl. E-R2 Notes CFCRE 2016-C6: Fitch Lowers Rating on 2 Tranches to 'Csf CHASE HOME 2025-1: Moody's Assigns B2 Rating to Cl. B-5 Certs CITIGROUP MORTGAGE 2025-1: Moody's Assigns Ba3 Rating to B-5 Certs DBJPM 2020-C9: Fitch Lowers Rating on Two Tranches to 'B-sf' DEUTSCHE BANK 2011-LC3: Fitch Cuts Rating on PM-2 Certs to BB- DIAMETER CAPITAL 9: S&P Assigns Prelim BB- (sf) Rating on E Notes EXETER AUTOMOBILE 2025-1: Fitch Assigns BB- Rating on Class E Notes FS RIALTO 2025-FL10: Fitch Assigns 'B-(EXP)sf' Rating on 3 Tranches GLS AUTO 2025-1: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes GOLUB CAPITAL 77(B): Fitch Assigns 'BB-sf' Rating on Class E Notes GREEN LAKES: Moody's Assigns B3 Rating to $500,000 Cl. F Notes GS MORTGAGE 2025-PJ1: Moody's Assigns B1 Rating to Cl. B-5 Certs GS MORTGAGE 2025-RPL1: Fitch Assigns 'Bsf' Rating on Cl. B-2 Certs JP MORGAN 2025-1: Moody's Assigns B3 Rating to Cl. B-5 Certs JP MORGAN 2025-CCM1: Moody's Assigns B1 Rating to Cl. B-5 Certs JP MORGAN 2025-CES1: Fitch Assigns 'B-(EXP)sf' Rating on B-2 Certs JP MORGAN 2025-CES1: Fitch Assigns 'B-sf' Final Rating on B-2 Certs MADISON PARK XXXVI: Moody's Assigns Ba3 Rating to $24MM E-RR Notes MOSAIC SOLAR 2025-1: Fitch Assigns 'BB-sf' Final Rating on D Notes NEUBERGER BERMAN 31: S&P Assigns Prelim 'BB-' Rating on E-R2 Notes NEUBERGER BERMAN 46: Fitch Assigns BB-sf Final Rating on E-R Notes NEUBERGER BERMAN 59: Fitch Assigns 'BB-sf' Rating on Class E Notes NEW RESIDENTIAL 2025-NQM1: Fitch Gives B-(EXP) Rating on B-2 Notes OCEAN TRAILS XI: S&P Assigns BB- (sf) Rating on Class E-R Notes OCTAGON INVESTMENT 40: S&P Assigns BB- (sf) Rating on E-R Notes OFSI BSL XII: S&P Assigns BB- (sf) Rating on Class E-R Notes PMT LOAN 2025-INV1: Moody's Assigns B3 Rating to Cl. B-5 Certs PRET TRUST 2025-RPL1: Fitch Assigns 'Bsf' Rating on Class B2 Notes RIVERBANK PARK CLO: S&P Assigns BB- (sf) Rating on Class E Notes SIXTH STREET XIII: S&P Assigns Prelim 'BB-' Rating on E-R2 Notes TCW CLO 2019-2: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes TOWD POINT 2025-CRM1: Fitch Assigns 'B-(EXP)sf' Rating on B2 Notes VERUS SECURITIZATION 2025-INV1: S&P Assigns (P) B-(sf) on B-2 Notes VITALITY RE XVI 2025: S&P Assigns 'B+(sf)' Rating to Class C Notes WELLFLEET CLO 2024-2: S&P Assigns Prelim 'BB-' Rating on E Notes WELLS FARGO 2025-5C3: Fitch Assigns B-sf Final Rating on G-RR Certs WOODMONT 2022-10: S&P Assigns Prelim BB- (sf) Rating on E-R Notes [] Fitch Affirms 'B' Rating on Three HIN Timeshare, Outlook Stable [] Fitch Withdraws Ratings on 53 Classes From 10 U.S. CDO Deals [] Moody's Raises Ratings on 15 Bonds From 5 US RMBS Deals [] Moody's Raises Ratings on 6 Bonds From 5 Scratch & Dent RMBS [] Moody's Takes Action on 7 Bonds From 2 US RMBS Deals [] Moody's Upgrades Ratings on 13 Bonds from 5 US RMBS Deals [] Moody's Upgrades Ratings on 19 Bonds From 6 U.S. RMBS Deals ********* ACCELERATED 2021-1H: Fitch Affirms 'BBsf' Rating on Class D Notes ----------------------------------------------------------------- Fitch Ratings has affirmed the outstanding notes of Accelerated 2021-1H LLC (AALLC 2021-1H). The Rating Outlooks remain Stable for all classes of notes. Entity/Debt Rating Prior ----------- ------ ----- Accelerated 2021-1H LLC A 00439KAA4 LT AAAsf Affirmed AAAsf B 00439KAB2 LT Asf Affirmed Asf C 00439KAC0 LT BBBsf Affirmed BBBsf D 00439KAD8 LT BBsf Affirmed BBsf KEY RATING DRIVERS The affirmation of the notes reflects default coverage levels consistent with their current ratings. The Stable Outlook for all classes of notes reflects Fitch's expectation that default coverage levels will remain supportive of these ratings. As of November 2024, the 61+ day delinquency rate is 3.26% (3.15% in February 2024). Cumulative gross defaults (CGDs) are 23.21% (19.02% in February 2024) and cumulative net losses are at 19.90% (16.15% in February 2024), reflective as only a portion of defaults have been repurchased. The option to repurchase defaulted loans is capped at 35%. This transaction is currently within initial expectations but is projecting above the initial rating case of 24.00%. To account for recent performance, Fitch revised the lifetime CGD proxy up to 29.00% from 27.00% at last year's review. The updated rating case default proxy was conservatively derived using extrapolations based on performance to date. The sponsor has the right, but not the obligation, to repurchase defaulted loans, which would result in lower losses on the transaction. Fitch's analysis does not give any explicit credit to previously repurchased defaults when deriving the CGD proxies. Under Fitch's stressed cash flow assumptions, default coverages for the class A, class B, class C and class D notes are able to support multiples in excess of 3.00x, 2.25x, 1.50x and1.25x for 'AAAsf', 'Asf', 'BBBsf' and 'BBsf', respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected rating case default proxy, and impact available default coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect credit enhancement (CE) levels. Lower default coverage could impact ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review of the transactions, the notes were found to have limited sensitivity to a 1.5x and 2.0x increase of Fitch's rating case default expectation. For this review, Fitch updated the analysis of the impact of a 2.0x increase of the rating case default expectation and the results suggest consistent ratings for the outstanding notes and in the event of such a stress, these notes could be downgraded by up to two rating categories. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. Fitch applied an up sensitivity, by reducing the rating case proxy by 20%. The impact of reducing the proxies by 20% from the current proxies could result in up to two categories of upgrades or affirmations of ratings with stronger multiples. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ACREC 2025-FL3: Fitch Assigns 'B-sf' Final Rating on Three Tranches ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to ACREC 2025-FL3 LLC as follows: - $583,000,000a class A 'AAAsf'; Outlook Stable; - $176,000,000a class A-S 'AAAsf'; Outlook Stable; - $71,500,000a class B 'AA-sf'; Outlook Stable; - $66,000,000a class C 'A-sf'; Outlook Stable; - $42,625,000ab class D 'BBBsf'; Outlook Stable; - $0ab class D-E 'BBBsf'; Outlook Stable; - $0abc class D-X 'BBBsf'; Outlook Stable; - $19,250,000ab class E 'BBB-sf'; Outlook Stable; - $0ab class E-E 'BBB-sf'; Outlook Stable; - $0abc class E-X 'BBB-sf'; Outlook Stable; - $35,750,000bd class F 'BB-sf'; Outlook Stable; - $0bd class F-E 'BB-sf'; Outlook Stable; - $0bcd class F-X 'BB-sf'; Outlook Stable; - $22,000,000bd class G 'B-sf'; Outlook Stable; - $0bd class G-E 'B-sf'; Outlook Stable; - $0bcd class G-X 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $83,875,000d Income Notes. (a) Privately placed and pursuant to Rule 144A. (b) Exchangeable Notes. The class D, E, F and G notes are exchangeable notes. Each class of exchangeable notes may be exchanged for the corresponding classes of exchangeable notes, and vice versa. The dollar denomination of each of the received classes of notes must be equal to the dollar denomination of each of the surrendered classes of notes. (c) Notional amount and interest only. (d) Horizontal risk retention interest, which represents 12.875% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date, including delayed close loans is $983,600,000, and does not include future funding. The ratings are based on information provided by the issuer as of Jan. 27, 2025. Transaction Summary The notes are collateralized by 25 loans secured by 25 commercial properties with an aggregate principal balance of $983,600,000 as of the cutoff date, including two delayed-close collateral interests totaling $75.0 million, which are expected to close within 60 days after the closing date. The pool also includes ramp-up collateral interests of $116.4 million. The loans were contributed to the trust by ACREC Loan Seller II LLC. The servicer is Situs Asset Management LLC, and the special servicer is Situs Holdings, LLC. The trustee is Wilmington Trust, National Association, and the note administrator is Computershare Trust Company, National Association. The notes follow a sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 70.7% of the loans by balance, and cash flow analysis and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on all 25 loans in the pool. Fitch's resulting aggregate net cash flow (NCF) of $37.0 million represents a 10.97% decline from the issuer's aggregate underwritten NCF of $41.6 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the prorated trust portion of any pari passu loan. Higher Leverage: The pool has higher leverage compared to recent CRE-CLO transactions rated by Fitch. The pool's Fitch loan-to-value (LTV) ratio of 148.1% is between the 2024 and 2023 CRE-CLO averages of 140.7% and 171.2%, respectively. The pool's Fitch NCF debt yield (DY) of 5.7% is between the 2024 and 2023 CRE-CLO averages of 6.5% and 5.6%, respectively. Better Pool Diversity: The pool diversity is better than that of recently rated Fitch CRE-CLO transactions. The top 10 loans make up 51.7% of the pool, which is lower than both the 2024 and 2023 CRE-CLO averages of 70.5% and 62.5%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 23.0. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Multifamily Concentration: The pool 100% comprises multifamily properties, compared with the 2024 and 2023 CRE-CLO averages of 78.4% and 82.6%, respectively. The quality of the pool is comparable to that of Fitch-rated Freddie Mac transactions. Therefore, Fitch modelled the pool as such, removing the property type concentration adjustment similar to Freddie Mac and Fitch-rated MF1 CRE-CLO transactions. No Amortization: The pool is 100% comprised of interest-only loans. This is worse than both the 2024 and 2023 CRE-CLO averages of 56.8% and 35.3%, respectively, based on fully extended loan terms. As a result, the pool is expected to have zero principal paydown by the maturity of the loans. By comparison, the average scheduled paydowns for Fitch-rated U.S. CRE-CLO transactions in 2024 and 2023 were 0.6% and 1.7%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BB-sf'/'B-sf'/lower than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBBsf'/'BB+sf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. AGL CLO 37: Fitch Assigns 'BB+sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 37 Ltd. Entity/Debt Rating ----------- ------ AGL CLO 37 Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AA+sf New Rating C LT A+sf New Rating D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary AGL CLO 37 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.75% first-lien senior secured loans and has a weighted average recovery assumption of 74.31%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 37 Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. AGL CLO 37: Moody's Assigns B3 Rating to $312,500 Class F Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by AGL CLO 37 Ltd. (the Issuer): US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$312,500 Class F Junior Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. The issuer is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, a senior secured bond or a senior secured note. The portfolio is close to 100% ramped as of the closing date. AGL CLO Credit Management LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3170 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. APIDOS CLO LI: Fitch Assigns 'BB+sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO LI Ltd. Entity/Debt Rating Prior ----------- ------ ----- Apidos CLO LI Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AA+sf New Rating AA(EXP)sf C LT A+sf New Rating A+(EXP)sf D-1 LT BBBsf New Rating BBB(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB+sf New Rating BB+(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Apidos CLO LI Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. Fitch has assigned 'AA+sf' to class B notes, which is one notch higher than the expected rating of 'AA(EXP)sf', because this transaction was priced with an overall lower cost of funding and improved portfolio quality. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.25% first lien senior secured loans and has a weighted average recovery assumption of 72.09%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line that of with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BBsf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Apidos CLO LI Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. APIDOS CLO LI: Moody's Assigns B3 Rating to $500,000 Class F Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of notes issued by Apidos CLO LI Ltd (the Issuer or Apidos CLO LI): US$307,500,000 Class A-1 Senior Secured Floating Rate Notes due 2037, Definitive Rating Assigned Aaa (sf) US$500,000 Class F Mezzanine Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Apidos CLO LI is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 96% of the portfolio must consist of first lien senior secured loans and up to 4% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. The portfolio us approximately 93% ramped as of closing date. CVC Credit Partners, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2995 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. ARES LOAN VIII: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Ares Loan Funding VIII, Ltd. Entity/Debt Rating ----------- ------ Ares Loan Funding VIII, Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Ares Loan Funding VIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.44, versus a maximum covenant, in accordance with the initial expected matrix point of 25.73. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.16% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.01% versus a minimum covenant, in accordance with the initial expected matrix point of 67.7%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1 notes, between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'B+sf' and 'BBB+sf' for class C notes, between less than 'B-sf' and 'BB+sf' for class D-1 notes, between less than 'B-sf' and 'BB+sf' for class D-2 notes, and between less than 'B-sf' and 'B+sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'AAsf' for class C notes, 'Asf' for class D-1 notes, 'A-sf' for class D-2 notes, and 'BBB+sf' for class E notes. Key Rating Drivers and Rating Sensitivities are further described in the presale report, which is available at www.fitchratings.com. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Ares Loan Funding VIII, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ARES LOAN VIII: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares Loan Funding VIII, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Ares Loan Funding VIII, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Ares Loan Funding VIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.44 versus a maximum covenant, in accordance with the initial expected matrix point of 25.73. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.16% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.01% versus a minimum covenant, in accordance with the initial expected matrix point of 67.7%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1 notes, between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'B+sf' and 'BBB+sf' for class C notes, between less than 'B-sf' and 'BB+sf' for class D-1 notes, between less than 'B-sf' and 'BB+sf' for class D-2 notes, and between less than 'B-sf' and 'B+sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'AAsf' for class C notes, 'Asf' for class D-1 notes, 'A-sf' for class D-2 notes, and 'BBB+sf' for class E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee 23 January 2025 ESG Considerations Fitch does not provide ESG relevance scores for Ares Loan Funding VIII, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ARES LVI CLO: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares LVI CLO Ltd. reset transaction. Entity/Debt Rating ----------- ------ Ares LVI CLO Ltd. A-1-R2 LT AAAsf New Rating A-2-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1-R2 LT BBB-sf New Rating D-2-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Ares LVI CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that initially closed in November 2020 and refinanced in November 2021. This will be the second reset and the existing secured notes will be refinanced in whole on January 27, 2025 from proceeds of the new secured notes. The transaction will be managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.14, versus a maximum covenant, in accordance with the initial expected matrix point of 26.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.92% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.01% versus a minimum covenant, in accordance with the initial expected matrix point of 69.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R2, between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for class D-2-R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R2 and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'Asf' for class D-1-R2, 'A-sf' for class D-2-R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Ares LVI CLO Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BALLYROCK CLO 25: S&P Assigns Prelim BB- (sf) Rating on D-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1a-R, A-1b-R, A-2-R, B-R, C-1-R, C-2-R, and D-R replacement debt from Ballyrock CLO 25 Ltd./Ballyrock CLO 25 LLC, a CLO originally issued in December 2023 that is managed by Ballyrock Investment Advisors LLC. The preliminary ratings are based on information as of Feb. 4, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 7, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1a-R, A-1b-R, A-2-R, B-R, C-1-R, C-2-R, and D-R notes are expected to be issued at a lower spread over three-month SOFR than the original notes. -- The stated maturity will be extended to January 2038 from January 2036. -- The reinvestment period will be extended to January 2030 from January 2026. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Ballyrock CLO 25 Ltd./Ballyrock CLO 25 LLC Class A-1a-R, $288.00 million: AAA(sf) Class A-1b-R, $11.25 million: AAA(sf) Class A-2-R, $42.75 million: AA(sf) Class B-R (deferrable), $27.00 million: A(sf) Class C-1-R (deferrable), $27.00 million: BBB-(sf) Class C-2-R (deferrable), $4.50 million: BBB-(sf) Class D-R (deferrable), $13.50 million: BB- (sf) Other Debt Ballyrock CLO 25 Ltd./Ballyrock CLO 25 LLC Subordinated notes, $42.00 million: Not rated BARROW HANLEY I: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Barrow Hanley CLO I, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Barrow Hanley CLO I, Ltd. X LT NRsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B 068751AE6 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 068751AG1 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 068751AJ5 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB+sf New Rating D-2-R LT BBB-sf New Rating E 06875PAA1 LT PIFsf Paid In Full BB-sf E-R LT BB+sf New Rating F-R LT NRsf New Rating Transaction Summary Barrow Hanley CLO I, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by BH Credit Management LLC, that originally closed in March 2023. The secured notes will be refinanced in whole on Jan. 29, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.91% first-lien senior secured loans and has a weighted average recovery assumption of 76.7%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A+sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Barrow Hanley CLO I, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BARROW HANLEY I: Moody's Assigns B3 Rating to $250,000 F-R Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by Barrow Hanley CLO I, Ltd. (the Issuer): US$2,250,000 Class X Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$270,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$250,000 Class F-R Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans, senior unsecured loans or bonds. BH Credit Management LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and six other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $450,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3225 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. BENCHMARK 2020-IG1: Fitch Lowers Rating on Class C Certs to 'BB-sf' ------------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed three classes of Benchmark 2020-IG1 Mortgage Trust, commercial mortgage pass-through certificates, series 2020-IG1. Fitch has assigned a Negative Outlook to five classes following their downgrades. Entity/Debt Rating Prior ----------- ------ ----- BENCHMARK 2020-IG1 A-1 08162LAA8 LT AAAsf Affirmed AAAsf A-2 08162LAB6 LT AAAsf Affirmed AAAsf A-3 08162LAC4 LT AAAsf Affirmed AAAsf A-S 08162LAF7 LT AA-sf Downgrade AAAsf B 08162LAG5 LT BBB-sf Downgrade A-sf C 08162LAH3 LT BB-sf Downgrade BBsf X-A 08162LAD2 LT AA-sf Downgrade AAAsf X-B 08162LAE0 LT BBB-sf Downgrade A-sf KEY RATING DRIVERS The downgrades reflect Fitch's reassessment of a lower sustainable property net cash flow (NCF) for 181 West Madison, declining occupancy and stagnating cash flow that continues to impede recovery for Parkmerced, and limited progress towards performance stabilization for 805 Third Avenue. The downgrades also account for forward-looking performance deterioration expectations due to imminent rollover concerns, growing expenses and continued weakness of submarket fundamentals since Fitch's last rating action. Fitch's analysis incorporates stresses to NCF, including mark-to-market rental adjustments for near-term rolling tenants, increased vacancy assumptions and higher tenant improvement allowances and replacement reserves. The Negative Outlooks account for potential further downgrades should NCF and/or submarket conditions deteriorate beyond Fitch's view of sustainable performance, including limited leasing momentum and slow progress towards property stabilization over the next one to two years. In particular, the 805 Third Avenue, Parkmerced, and 650 Madison Avenue properties continue to underperform market occupancy levels, and the 181 West Madison property faces concentrated tenant rollover concerns in a weak Chicago office market. The pool is highly concentrated, as six of the 13 loans are secured by office properties and two loans are secured by mixed-use properties with significant office components, totaling 63.1% of the overall pool. Two loans have transferred to special servicing since the prior rating action, including 805 Third Avenue in September 2024 and Parkmerced in March 2024. The largest decline in Fitch sustainable NCF from the last rating action is 181 West Madison (7.6% of the pool), secured by a 946,099-sf office building located in Chicago, IL. The loan has an upcoming maturity in December 2026. The largest tenant is Northern Trust (42% of the NRA) with a reported lease expiration in December 2027 per the October 2024 rent roll, extended two years beyond the original lease expiration date of December 2025. Costar reports that the tenant has listed approximately 19% of the NRA as available by December 2025. Additionally, the second largest tenant (11% of NRA) has an upcoming lease expiration in February 2026. As of YE 2023, NOI has declined 37% from the originator's underwritten NOI with a reported NOI DSCR of 1.46x. The updated Fitch NCF of $11.7 million is 10.6% below Fitch's prior rating action NCF of $13.1 million, and 19.4% below Fitch's issuance NCF of $16.2 million. The updated Fitch NCF reflects a higher vacancy assumption of 22% given the elevated submarket availability rates and greater uncertainty surrounding the largest tenant commitment to the property, evidenced by its short-term lease extension and recent available space listing. According to Costar, as of 4Q24, the submarket vacancy, availability rate and average asking rent were 22.0%, 25.0% and $40 psf, respectively. Fitch's analysis incorporated a capitalization rate of 9.50%, resulting in a Fitch-stressed valuation decline approximately 67% below the issuance appraisal. The Parkmerced loan is secured by a 3,165-unit multifamily property in San Francisco, CA and transferred to special servicing in March 2024 prior to its scheduled maturity date of December 2024. According to the servicer, a modification agreement was not reached and the servicer is proceeding with the enforcement of remedies. Fitch's analysis reflects recent occupancy declines and stagnating cashflow for the Parkmerced loan due to headwinds in the San Francisco employment sector, competition from nearby San Francisco State University (SFSU) and weakening market conditions that have affected housing demand. Collateral occupancy declined to 79.1% as of August 2024, down from 82.7% in September 2023, and remains below issuance occupancy of 94.2%. The updated Fitch NCF of $50.4 million, which is 13% below Fitch's issuance NCF of $57.7 million, reflects leases-in-place as of the August 2024 rent roll, with a lease-up of vacant units to market rental rates at a long-term sustainable occupancy of 88%. Fitch's sustainable long-term vacancy assumption of 12% reflects the sustained leasing challenges in stabilizing the asset to reach market levels. The 805 Third Avenue loan, which is secured by a 596,100-sf office property located in the Grand Central submarket of Manhattan, transferred to special servicing in September 2024. Performance has declined significantly from issuance with occupancy falling to 58% as of September 2024, unchanged from YE 2023 and down from 62% in 2022 and 92% at issuance. Additionally, YE 2023 NOI has declined 64% from issuance, resulting in cash flow insufficient to support debt service payments. The servicer-reported NOI DSCR was 0.90x as of June 2024, down from 1.0x at YE 2023. The largest tenant is Meredith Corporation (35.7% of NRA; lease expiry in December 2026), which has subleased a majority of its space on a co-terminus basis since issuance. Fitch sustainable NCF of $10.7 million, which is 32.6% below Fitch's issuance NCF of $15.9 million, reflects leases-in-place as of the January 2024 rent roll, with a lease-up to a sustainable occupancy level of 78% and rental rates in line with current in-place rents, excluding the largest tenant, which pays a substantially below market rental rate. Fitch's analysis incorporated a capitalization rate of 9.0%, resulting in a Fitch-stressed valuation decline approximately 74% below the issuance appraisal. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades would occur should property occupancy and/or NCF fail to improve and demonstrate lack of progress toward stabilization, particularly for the 805 Third Avenue, Parkmerced, and 650 Madison Avenue loans. Additionally, further performance deterioration of the 181 West Madison loan with the departure of the largest tenant and insufficient leasing activity would contribute to downgrade. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades are currently not expected but are possible with significant and sustained improvement in occupancy and net cash flow, particularly for the 805 Third Avenue, Parkmerced and 650 Madison Avenue loans, in addition to secured renewals for expiring tenants and future lease up of vacancies at rates at or above Fitch's expectations for the 181 West Madison loan. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET XXIX: S&P Assigns BB- (sf) Rating on Cl. E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt from Benefit Street Partners CLO XXIX Ltd./Benefit Street Partners CLO XXIX LLC, a CLO originally issued in December 2022 that is managed by BSP CLO Management LLC. At the same time, S&P withdrew its ratings on the original class A, B-1, B-2, C, D, and E debt following payment in full on the February 5, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Jan. 25, 2027. -- The reinvestment period was extended to Jan. 25, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to Jan. 25, 2038. -- Additional assets were purchased on the Feb. 5, 2025, refinancing date, and the target initial par amount was upsized to $1.0 billion. There is an additional effective date or ramp-up period, and the first payment date following the refinancing is April 25, 2025. -- The required minimum overcollateralization and interest coverage ratios were amended. -- Additional subordinated notes totaling $35.20 million were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Benefit Street Partners CLO XXIX Ltd./ Benefit Street Partners CLO XXIX LLC Class A-R, $640.0 million: AAA (sf) Class B-R, $120.0 million: AA (sf) Class C-R (deferrable), $60.0 million: A (sf) Class D-1-R (deferrable), $60.0 million: BBB- (sf) Class D-2-R (deferrable), $10.0 million: BBB- (sf) Class E-R (deferrable), $30.0 million: BB- (sf) Ratings Withdrawn Benefit Street Partners CLO XXIX Ltd./ Benefit Street Partners CLO XXIX LLC Class A to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Benefit Street Partners CLO XXIX Ltd./ Benefit Street Partners CLO XXIX LLC Subordinated notes, $70.2 million: NR NR--Not rated. BMO 2023-C5: Fitch Affirms B-sf Rating on 2 Tranches ---------------------------------------------------- Fitch Ratings affirmed 18 classes of BMO 2023-C5 Mortgage Trust (BMO 2023-C5). Fitch has also revised the Rating Outlook to Negative from Stable for classes F-RR, G-RR, X-FRR and X-GRR. Entity/Debt Rating Prior ----------- ------ ----- BMO 2023-C5 A-1 055988AA7 LT AAAsf Affirmed AAAsf A-2 055988AB5 LT AAAsf Affirmed AAAsf A-4 055988AC3 LT AAAsf Affirmed AAAsf A-5 055988AD1 LT AAAsf Affirmed AAAsf A-S 055988AH2 LT AAAsf Affirmed AAAsf A-SB 055988AE9 LT AAAsf Affirmed AAAsf B 055988AJ8 LT AA-sf Affirmed AA-sf C 055988AK5 LT A-sf Affirmed A-sf D 055988AQ2 LT BBBsf Affirmed BBBsf E 055988AS8 LT BBB-sf Affirmed BBB-sf F-RR 055988AU3 LT BB-sf Affirmed BB-sf G-RR 055988AY5 LT B-sf Affirmed B-sf X-A 055988AF6 LT AAAsf Affirmed AAAsf X-B 055988AG4 LT AA-sf Affirmed AA-sf X-D 055988AL3 LT BBBsf Affirmed BBBsf X-E 055988AN9 LT BBB-sf Affirmed BBB-sf X-FRR 055988AW9 LT BB-sf Affirmed BB-sf X-GRR 055988BA6 LT B-sf Affirmed B-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations; Specially Serviced Loans: The deal-level 'Bsf' rating case loss is 5.31%. The increased pool loss expectations are driven primarily by three Fitch Loans of Concern (FLOCs; 7.66%), all of which are in special servicing and have the same sponsor. The Negative Outlooks reflect potential downgrades from possible prolonged workouts and/or valuation declines for the specially serviced loans. The largest contributor to overall pool loss expectations is the Cincinnati Multifamily Portfolio (6%), which is secured by three multifamily properties totaling 375 units located in Cincinnati, OH. The portfolio was 98% occupied with a debt service coverage ratio of 1.31x as of March 2024 compared to 98% and 1.52x at issuance. Beginning in May 2024 the loan began to experience delinquency and subsequently transferred to special servicing in July 2024. The servicer sent a pre-negotiation letter to the borrower and began to evaluate the collateral to determine the best course of action. However, per recent media reports, the sponsor, Mendel Stein, died in January 2025. Despite the positive cash flow and stable occupancy for the portfolio, Fitch expects a prolonged loan workout given the circumstances that could potentially erode property valuation. Fitch's 'Bsf' rating case loss of 12.48% (prior to concentration add-ons) reflects the Fitch issuance net cash flow (NCF), an 8.75% cap rate and also factors an elevated probability of default given the specially serviced loan status. The sponsor also has two other specially serviced loans in the pool (Chicago 4-Pack (1%) and Chicago 3-Pack (0.7%)). Both loans are secured by multi-family properties located in Chicago, IL totaling 124 units across both loans. Similar to the Cincinnati Multifamily Portfolio, performance generally remains in line with issuance expectations, but losses have increased given the delinquency and special servicing status. Fitch's 'Bsf' rating case loss for both loans are approximately 14% (prior to concentration add-ons) reflect the Fitch issuance NCF and an 8.75% cap rate. Investment-Grade Credit Opinion Loans: Three loans (11.4%) received an investment-grade credit opinion at issuance. Oak Street NLP Fund Portfolio (4.6%) received a standalone credit opinion of 'A-sf', Harborside 2-3 (4.6%) received a standalone credit opinion of 'BBBsf' and Pacific Design Center (2.3%) received a standalone credit opinion of 'BBB-sf'. Performance for all loans remains in line with issuance expectations and maintain their investment-grade credit opinions. Limited Change to Credit Enhancement (CE): As of the January 2025 remittance report, the transaction has been paid down by 0.61%% since issuance. There are 22 (66.8%) full-term, interest-only (IO) loans and six loans (10.1%) have a partial, IO period. Based on the scheduled balances at maturity, the pool will pay down by 5.5%. Cumulative interest shortfalls of $68,452 are affecting the non-rated class J-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and better than expected resolutions for the three specially serviced loans. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is the likelihood of interest shortfalls. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the specially serviced loans/FLOCs are better than expected and there is sufficient CE to the classes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur should performance of the specially serviced loans/FLOCs deteriorate significantly and/or if more loans than expected default at or prior to maturity. Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories could occur with higher than expected losses from the specially serviced loans/FLOCs, particularly the Cincinnati Multifamily Portfolio, and/or with greater certainty of losses on the other specially serviced loans. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRAVO RESIDENTIAL 2025-NQM1: Fitch Assigns B Rating on B-2 Notes ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to BRAVO Residential Funding Trust 2025-NQM1 (BRAVO 2025-NQM1). Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2025-NQM1 A-1 LT AAAsf New Rating AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary The BRAVO 2025-NQM1 notes are supported by 622 loans with a total balance of approximately $368 million as of the cutoff date. The mortgage loans were originated by various originators, with none originating more than 10% of the pool. Approximately 71.5% of the loans will be serviced by Select Portfolio Servicing, 16.1% by Selene Finance, 9.1% by Shellpoint Mortgage Servicing (Shellpoint), and 3.3% by Citadel Servicing Corp. (primarily subserviced by ServiceMac). KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch sees home price values of this pool as 10.6% above a long-term sustainable level, versus 11.6% on a national level as of 2Q24, up 0.1% qoq. Housing affordability is at the worst levels in decades, driven by both high interest rates and elevated home prices. Home prices increased 4.3% yoy nationally as of August 2024, notwithstanding modest regional declines, but are still being supported by limited inventory. Nonqualified Mortgage Credit Quality (Mixed): The collateral consists of 622 loans totaling approximately $368 million and seasoned at approximately six months in aggregate, as calculated by Fitch (one month per the transaction documents). The borrowers have a strong credit profile, a 750 model FICO, a 40% debt-to-income ratio (DTI), accounting for Fitch's approach of mapping debt service coverage ratio (DSCR) loans to DTI, and moderate leverage of 78% for a sustainable loan-to-value ratio (sLTV). Of the pool, 53.6% of loans are treated as owner-occupied, while 46.4% are treated as an investor property or a second home, including loans to foreign nationals or loans with non-confirmed residency status. In addition, 26.8% of the loans were originated through a retail channel. Of the loans, 42.3% are non-qualified mortgages (non-QMs), 2.7% are safe-harbor QM (SHQM) and 13.3% are QM Rebuttable Presumption (APOR); the Ability to Repay/Qualified Mortgage Rule (ATR) is not applicable for the remaining portion. Loan Documentation (Negative): Approximately 90.6% of the pool loans were underwritten to less than full documentation, as determined by Fitch, and 38.3% were underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) ATR, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigors of the ATR mandates regarding underwriting and documentation of a borrower's ability to repay. In addition, 26.3% of the loans are a DSCR product, while the remainder comprise a mix of asset depletion, profit and loss (P&L), 12-month or 24-month tax returns, and written verification of employment products. Separately, 0.06% of the loans were originated to foreign nationals. Modified Sequential-Payment Structure (Mixed): The structure distributes principal pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or a delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1A, A-1B, A-2 and A-3 notes until they are reduced to zero. The structure includes a step-up coupon feature whereby the fixed interest rate for classes A-1A, A-1B, A-2 and A-3 will increase by 100 bps, subject to the net weighted average coupon (WAC), after four years. This reduces the modest excess spread available to repay losses. Interest distribution amounts otherwise allocable to the unrated class B-3, to the extent available, may be used to reimburse any unpaid cap carryover amount for classes A-1A, A-1B, A-2 and A-3, prior to the payment of any current interest and interest carryover amounts due to the class B-3 notes on such payment date. The class B-3 notes will not be reimbursed for any amounts that were paid to the senior classes as cap carryover amounts. While Fitch has previously analyzed transactions using an interest rate cut, this stress is not being applied for this transaction. Due to the lack of evidence of interest rate modifications being used as a loss mitigation tactic, the application of the stress was overly punitive. If this re-emerges as a common form of loss mitigation or if certain structures are overly dependent on excess interest, Fitch may apply additional sensitivities to test the structure. On or after the February 2029 payment date, the unrated class B-3 interest allocation will redirect toward the senior cap carryover amount for as long as there is an unpaid cap carryover amount. This increases the principal and interest (P&I) allocation for the senior classes as long as class B-3 is not written down and helps ensure payment of the 100 bps step-up. No P&I Advancing (Mixed): There will be no servicer advancing of delinquent P&I. The lack of advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. The structure has enough internal liquidity through the use of principal to pay interest, excess spread and credit enhancement for timely interest payments to senior notes during stressed delinquency and cash flow periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 10.6% at the base case. The analysis indicates that there is some potential for rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - A 5% Probability of Default (PD) credit was applied at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 44 bps as a result of the diligence review. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRAVO RESIDENTIAL 2025-NQM1: Fitch Gives B(EXP) Rating on B-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to BRAVO Residential Funding Trust 2025-NQM1 (BRAVO 2025-NQM1). Entity/Debt Rating ----------- ------ BRAVO 2025-NQM1 A-1 LT AAA(EXP)sf Expected Rating A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary The BRAVO 2025-NQM1 notes are supported by 622 loans with a total balance of approximately $368 million as of the cutoff date. The mortgage loans were originated by various originators, with none originating more than 10% of the pool. Approximately 71.5% of the loans will be serviced by Select Portfolio Servicing, 16.1% by Selene Finance, 9.1% by Shellpoint Mortgage Servicing (Shellpoint), and 3.3% by Citadel Servicing Corp. (primarily subserviced by ServiceMac). KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch sees home price values of this pool as 10.6% above a long-term sustainable level, versus 11.6% on a national level as of 2Q24, up 0.1% qoq. Housing affordability is at the worst levels in decades, driven by both high interest rates and elevated home prices. Home prices increased 4.3% yoy nationally as of August 2024, notwithstanding modest regional declines, but are still being supported by limited inventory. Nonqualified Mortgage Credit Quality (Mixed): The collateral consists of 622 loans totaling approximately $368 million and seasoned at approximately six months in aggregate, as calculated by Fitch (one month per the transaction documents). The borrowers have a strong credit profile, a 750 model FICO, a 40% debt-to-income ratio (DTI), accounting for Fitch's approach of mapping debt service coverage ratio (DSCR) loans to DTI, and moderate leverage of 78% for a sustainable loan-to-value ratio (sLTV). Of the pool, 53.6% of loans are treated as owner-occupied, while 46.4% are treated as an investor property or a second home, including loans to foreign nationals or loans with non-confirmed residency status. In addition, 26.8% of the loans were originated through a retail channel. Of the loans, 42.3% are non-qualified mortgages (non-QMs), 2.7% are safe-harbor QM (SHQM) and 13.3% are QM Rebuttable Presumption (APOR); the Ability to Repay/Qualified Mortgage Rule (ATR) is not applicable for the remaining portion. Loan Documentation (Negative): Approximately 90.6% of the pool loans were underwritten to less than full documentation, as determined by Fitch, and 38.3% were underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) ATR, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigors of the ATR mandates regarding underwriting and documentation of a borrower's ability to repay. In addition, 26.3% of the loans are a DSCR product, while the remainder comprise a mix of asset depletion, profit and loss (P&L), 12-month or 24-month tax returns, and written verification of employment products. Separately, 0.06% of the loans were originated to foreign nationals. Modified Sequential-Payment Structure (Mixed): The structure distributes principal pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or a delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1A, A-1B, A-2 and A-3 notes until they are reduced to zero. The structure includes a step-up coupon feature whereby the fixed interest rate for classes A-1A, A-1B, A-2 and A-3 will increase by 100 bps, subject to the net weighted average coupon (WAC), after four years. This reduces the modest excess spread available to repay losses. Interest distribution amounts otherwise allocable to the unrated class B-3, to the extent available, may be used to reimburse any unpaid cap carryover amount for classes A-1A, A-1B, A-2 and A-3, prior to the payment of any current interest and interest carryover amounts due to the class B-3 notes on such payment date. The class B-3 notes will not be reimbursed for any amounts that were paid to the senior classes as cap carryover amounts. While Fitch has previously analyzed transactions using an interest rate cut, this stress is not being applied for this transaction. Given the lack of evidence of interest rate modifications being used as a loss mitigation tactic, the application of the stress was overly punitive. If this re-emerges as a common form of loss mitigation or if certain structures are overly dependent on excess interest, Fitch may apply additional sensitivities to test the structure. On or after the February 2029 payment date, the unrated class B-3 interest allocation will redirect toward the senior cap carryover amount for as long as there is an unpaid cap carryover amount. This increases the principal and interest (P&I) allocation for the senior classes as long as class B-3 is not written down and helps ensure payment of the 100 bps step-up. No P&I Advancing (Mixed): There will be no servicer advancing of delinquent P&I. The lack of advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. The structure has enough internal liquidity through the use of principal to pay interest, excess spread and credit enhancement for timely interest payments to senior notes during stressed delinquency and cash flow periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 10.6% at the base case. The analysis indicates that there is some potential for rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - A 5% Probability of Default (PD) credit was applied at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 44 bps as a result of the diligence review. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BX TRUST 2025-DIME: Fitch Assigns 'B(EXP)sf' Rating on Cl. F Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Rating Outlooks to BX Trust 2025-DIME, Commercial Mortgage Pass-Through Certificates, Series 2025-DIME: - $490,600,000 class A 'AAAsf'; Outlook Stable; - $55,500,000 class B 'AA-sf'; Outlook Stable; - $59,400,000 class C 'A-sf'; Outlook Stable; - $83,800,000 class D 'BBB-sf'; Outlook Stable; - $128,400,000 class E 'BB-sf'; Outlook Stable; - $84,800,000 class F 'Bsf'; Outlook Stable; - $38,000,000a class JRR 'B-sf'; Outlook Stable; - $9,500,000a class KRR 'B-sf'; Outlook Stable. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $950.0 million, two-year, floating-rate, interest-only mortgage loan with three one-year extension options. The mortgage will be secured by the borrower's fee simple interest in a portfolio of 57 industrial facilities, comprising approximately 7.6 million sf located across seven states and eight markets. The borrower sponsor, Blackstone Real Estate Partners X, acquired the properties through a series of transactions over the past two years for a total cost of approximately $1.25 billion. The mortgage loan is expected to be used to provide delayed acquisition financing for the portfolio, pay off existing asset level debt for 13 properties within the portfolio, and fund estimated closing costs of $23.1 million. The loan is expected to be co-originated by Goldman Sachs Bank USA, German American Capital Corporation, Barclays Capital Real Estate Inc. and Bank of Montreal. KeyBank National Association, a national banking association, is expected to be the servicer, with K-Star Asset Management LLC as the special servicer. Computershare Trust Company, N.A. is expected to act as the trustee and certificate administrator. Park Bridge Lender Services LLC, a New York limited liability company, will act as operating advisor. The certificates will follow a pro-rata paydown for the initial 30% of the loan amount and a standard senior-sequential paydown thereafter. To the extent no mortgage loan event of default (EOD) is continuing, voluntary prepayments will be applied pro rata between the mortgage loan components. The transaction is scheduled to close on Feb. 14, 2025. KEY RATING DRIVERS Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the portfolio at $58.8 million. This is 7.8% lower than the issuer's NCF. Fitch applied a 7.25% cap rate to derive a Fitch value of approximately $811.0 million. High Fitch Leverage: The $950.0 million whole loan equates to debt of approximately $124 psf with a Fitch stressed loan-to-value (LTV) ratio and debt yield of 117.1% and 6.2%, respectively. The loan represents approximately 69.5% of the portfolio appraised value of $1.37 billion. Fitch increased the LTV hurdles by 1.25% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio exhibits strong geographic diversity with 57 properties, 55 primarily industrial, and two office properties (7.6 million sf) located across seven states and eight metropolitan statistical areas (MSAs). The three largest state concentrations by NRA are Texas (3,275,320 sf; 19 properties), Florida (1,364,864 sf; 12 properties) and Illinois (886,535 sf; six properties). The three largest MSAs by both NRA and allocated loan amount (ALA) are Dallas-Fort Worth, TX (42.8% of NRA; 32.0% of ALA), Chicago, IL (11.6% of NRA; 13.6% of ALA) and Phoenix, AZ (11.5% of NRA; 10.5% of ALA). The portfolio also exhibits significant tenant diversity, as it features over 155 distinct tenants, with no tenant occupying more than 7.8% of NRA. Institutional Sponsorship: Founded in 1985, Blackstone is the world's largest real estate investor, with 3,000 employees in 27 offices. As of 3Q24, Blackstone had acquired assets under management (AUM) of $325 billion in commercial real estate. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: AAAsf /AA-sf/A-sf/BBB-sf/BB-sf/Bsf/B-sf/B-sf; - 10% NCF Decline: AA-sf /BBB+sf/BBB-sf/BBsf/Bsf/CCCsf/CCCsf/CCCsf. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: AAAsf /AA-sf/A-sf/BBB-sf/BB-sf/Bsf/B-sf/B-sf; - 10% NCF Increase: AAAsf / AA+sf/A+sf/BBB+sf/BBsf/B+sf/B+sf/B+sf. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CANYON CLO 2020-2: S&P Assigns BB- (sf) Rating on Cl. E-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R2, B-R2, C-R2, D-R2, and E-R2 debt from Canyon CLO 2020-2 Ltd./Canyon CLO 2020-2 LLC, a CLO managed by Canyon CLO Advisors LLC that was originally issued in October 2020 and underwent a refinancing in October 2021. At the same time, S&P withdrew its ratings on the class A-R, B-R, C-R, D-R, and E-R debt following payment in full on the Jan. 31, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- No additional assets were purchased on the Jan. 31, 2025, refinancing date, and the target initial par amount remains at $450.00 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 15, 2025. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. Replacement And October 2021 Debt Issuances Replacement debt -- Class A-R2, $283.50 million: Three-month CME term SOFR + 1.03% -- Class B-R2, $58.50 million: Three-month CME term SOFR + 1.53% -- Class C-R2 (deferrable), $27.00 million: Three-month CME term SOFR + 1.85% -- Class D-R2 (deferrable), $27.00 million: Three-month CME term SOFR + 2.95% -- Class E-R2 (deferrable), $18.00 million: Three-month CME term SOFR + 5.75% -- Subordinated notes, $44.50 million: Not applicable October 2021 debt -- Class A-R, $283.50 million: Three-month CME term SOFR + 1.45161%(i) -- Class B-R, $58.50 million: Three-month CME term SOFR + 1.96161%(i) -- Class C-R (deferrable), $27.00 million: Three-month CME term SOFR + 2.31161%(i) -- Class D-R (deferrable), $27.00 million: Three-month CME term SOFR + 3.41161%(i) -- Class E-R (deferrable), $18.00 million: Three-month CME term SOFR + 6.79161%(i) -- Subordinated notes, $44.50 million: Not applicable (i)The credit spread adjustment is 0.26161%. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Canyon CLO 2020-2 Ltd./Canyon CLO 2020-2 LLC Class A-R2, $283.50 million: AAA (sf) Class B-R2, $58.50 million: AA (sf) Class C-R2 (deferrable), $27.00 million: A (sf) Class D-R2 (deferrable), $27.00 million: BBB- (sf) Class E-R2 (deferrable), $18.00 million: BB- (sf) Ratings Withdrawn Canyon CLO 2020-2 Ltd./Canyon CLO 2020-2 LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R (deferrable) to NR from 'A (sf)' Class D-R (deferrable) to NR from 'BBB- (sf)' Class E-R (deferrable) to NR from 'BB- (sf)' Other Debt Canyon CLO 2020-2 Ltd./Canyon CLO 2020-2 LLC Subordinated notes, $44.50 million: NR NR--Not rated. CFCRE 2016-C6: Fitch Lowers Rating on 2 Tranches to 'Csf -------------------------------------------------------- Fitch Ratings has downgraded eight and affirmed five classes of Cantor Commercial Real Estate's CFCRE 2016-C6 Mortgage Trust (CFCRE 2016-C6) commercial mortgage pass-through certificates. Following their downgrades, classes B, C, D and X-B have been assigned Negative Rating Outlooks. The Outlook for affirmed class A-M has been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- CFCRE 2016-C6 A-2 12532AAY5 LT AAAsf Affirmed AAAsf A-3 12532AAZ2 LT AAAsf Affirmed AAAsf A-M 12532ABA6 LT AAAsf Affirmed AAAsf A-SB 12532AAX7 LT AAAsf Affirmed AAAsf B 12532ABB4 LT A-sf Downgrade AA-sf C 12532ABC2 LT BBsf Downgrade BBBsf D 12532AAA7 LT B-sf Downgrade B+sf E 12532AAC3 LT CCsf Downgrade CCCsf F 12532AAE9 LT Csf Downgrade CCsf X-A 12532ABD0 LT AAAsf Affirmed AAAsf X-B 12532ABE8 LT A-sf Downgrade AA-sf X-E 12532AAL3 LT CCsf Downgrade CCCsf X-F 12532AAN9 LT Csf Downgrade CCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss increased to 8.7% from 6.2% at Fitch's prior rating action. Fitch identified 11 Fitch Loans of Concern (FLOCs; 31.8% of the pool), including two loans (3.1%) in special servicing. The downgrades reflect higher pool loss expectations since Fitch's prior rating action, driven by continued performance deterioration of the Hill7 Office (10.0%) and 7th & Pine Seattle Retail & Parking (8.5%) loans. The Negative Outlooks for classes A-M, B, C, D, and X-B reflect the possible further downgrades without performance stabilization of the FLOCs, including Hill7 Office, 7th & Pine Seattle Retail & Parking, Waterstone 7 Portfolio (3.0%), Holiday Inn Indianapolis - Carmel (1.8%), Northside Tower (1.2%) and Biston Portfolio (1.0%), and/or if recovery prospects on the specially serviced TEK Park (2.1%) and 312 - 314 Bleeker Street (1.0%) loans worsen. Fitch also performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status and collateral quality, and then ranked them by their perceived likelihood of repayment and/or loss expectation; the Negative Outlooks also incorporate these classes' reliance on FLOCs to repay. Largest Contributors to Loss Expectations: The largest increase to loss since the prior rating action and the largest contributor to expected losses in the pool is the 7th and Pine Seattle Retail & Parking loan (8.5% of the pool), which is secured by a 361,650-sf CBD, retail/parking garage property located in Seattle, WA. This FLOC was flagged due to sustained performance declines, particularly from the parking garage component of the collateral. Base rents remain 26% below pre-pandemic levels. The servicer-reported NOI DSCR was 1.01x as of YE 2023, compared with 0.85x at YE 2022 and 0.58x at YE 2021, and remains below 1.41x at YE 2019. Fitch's 'Bsf' ratings case loss of 38.5% (prior to concentration add-ons) reflects a 9.5% cap rate to the YE 2023 NOI and factors a 100% probability of default given anticipated refinance concerns. The second largest increase to loss since the prior rating action is the Hill7 Office loan (10%), which is secured by a 285,680-sf office property in Seattle, WA. This FLOC was flagged for upcoming rollover concerns and weaker submarket fundamentals; it had also previously been flagged as a FLOC due to exposure to WeWork, which occupied 19% of the NRA, and has since vacated since declaring bankruptcy in 2023. Subtenant, Moderna Labs, took occupancy of the WeWork space in 2023, and is reportedly negotiating a direct lease for a 14,942 sf (5.7% of NRA) portion of the former WeWork space. According to the servicer, the lease is expected to commence in March 2025. The largest tenant, Redfin Corporation, which occupies 39% of the NRA on a lease through July 2027, subleases its space on the 7th floor (10%) to ABC Legal. The second largest tenant, HBO Code Labs (39.3%), has an upcoming lease expiration in May 2025. The loan is structured with a cash sweep tied to major tenants that include RedFin and HBO, capped at $40 psf. Approximately $4.5 million is currently being held for the HBO Code Labs space. CoStar reports an office vacancy rate of 30.1% in the Seattle CBD submarket and an elevated availability rate of 33.9% as of the fourth quarter of 2024. As of September 2024, the servicer-reported NOI DSCR was 3.80x, compared with 3.97x at YE 2023. The loan is structured with an anticipated repayment date (ARD) period that is two years beyond the current maturity date of November 2026. Beyond the ARD, the interest rate will increase to the greater of 2% plus the initial interest rate, or 2% plus the then current swap yield for the corresponding ARD term. Fitch's 'Bsf' rating case loss of 12.1% (prior to concentration adjustments) reflects a 9% cap rate, 30% stress to the YE 2023 NOI and factors an increased probability of default to account for the loan's heightened maturity default concerns. The third largest contributor to overall loss expectations is the TEK Park loan (2.1%), secured by a nine-building office, data center and technology park totaling 514,033 sf located in Breinigsville, PA. The loan transferred to special servicing in January 2022. As of June 2024, occupancy was 61%, in line with YE 2023, but had previously declined in 2021 when Buckeye Partners (15.1% of NRA) vacated in October 2021. Due to the increased vacancy, the NOI DSCR declined to 1.12x as of YE 2023 from 1.46x at YE 2021. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 34.3% reflects a 12% cap rate, a 15% stress to the YE 2023 NOI, and an increased probability of default to account for the specially serviced loan status and performance deterioration. Increased Credit Enhancement (CE): As of the January 2025 distribution date, the pool's aggregate principal balance has been reduced by 10.4% to $705.9 million from $787.5 million at issuance. Ten loans (14.3% of the pool) are fully defeased. There are eight (53.1% of pool) full-term, interest only (IO) loans, and 33 (46.9%) loans that are currently amortizing. All remaining loans have a maturity date in 2026. Interest shortfalls and realized losses of $422,149 and $5.94 million, respectively, are affecting the non-rated class G. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf' and 'Asf' category rated classes with Negative Outlooks are possible with outsized losses on all of the FLOCs, including Hill7 Office, 7th & Pine Seattle Retail & Parking, Waterstone 7 Portfolio, Holiday Inn Indianapolis - Carmel, Northside Tower and Biston Portfolio, limited to no improvement these classes' CE, and/or if interest shortfalls occur or are expected to impact the 'AAAsf' classes. Downgrades to the 'BBsf' and 'Bsf' category rated classes are likely with continued underperformance of the aforementioned FLOCs and if recovery prospects worsen on the specially serviced TEK Park and 312 - 314 Bleeker Street loans. Downgrades to distressed classes would occur if additional loans transfer to special servicing and/or default, and as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'Asf' rated classes could occur with improved CE from paydowns and/or defeasance, coupled with stable-to-improved performance on the FLOCs, including Hill7 Office, 7th & Pine Seattle Retail & Parking, Waterstone 7 Portfolio, Holiday Inn Indianapolis - Carmel, Northside Tower and Biston Portfolio. Upgrades to the 'BBsf' and 'Bsf' rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there were likelihood for interest shortfalls. Upgrades would only occur if the performance of the remaining pool is stable and recoveries on the FLOCs, including Hill7 Office, 7th & Pine Seattle Retail & Parking, Waterstone 7 Portfolio, Holiday Inn Indianapolis - Carmel, Northside Tower and Biston Portfolio, are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected and would only occur with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CHASE HOME 2025-1: Moody's Assigns B2 Rating to Cl. B-5 Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 41 classes of residential mortgage-backed securities (RMBS) issued by Chase Home Lending Mortgage Trust 2025-1, and sponsored by JPMorgan Chase Bank, N.A. (JPMCB). The securities are backed by a pool of prime jumbo (96.6% by balance) and GSE-eligible (3.4% by balance) residential mortgages originated and serviced by JPMorgan Chase Bank, N.A. The complete rating actions are as follows: Issuer: Chase Home Lending Mortgage Trust 2025-1 Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-14-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2-A, Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.36%, in a baseline scenario-median is 0.16% and reaches 5.13% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. CITIGROUP MORTGAGE 2025-1: Moody's Assigns Ba3 Rating to B-5 Certs ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 29 classes of residential mortgage-backed securities (RMBS) issued by Citigroup Mortgage Loan Trust 2025-1, and sponsored by Citigroup Global Markets Realty Corp. The securities are backed by a pool of prime jumbo (98.3% by balance) and GSE-eligible (1.7% by balance) mortgages aggregated by Citigroup Global Markets Realty Corp. originated by multiple entities and serviced by PennyMac Loan Services, LLC, PennyMac Corp. and Fay Servicing LLC. The complete rating actions are as follows: Issuer: Citigroup Mortgage Loan Trust 2025-1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-2*, Definitive Rating Assigned Aaa (sf) Cl. A-I-3*, Definitive Rating Assigned Aaa (sf) Cl. A-I-4*, Definitive Rating Assigned Aaa (sf) Cl. A-I-5*, Definitive Rating Assigned Aaa (sf) Cl. A-I-6*, Definitive Rating Assigned Aaa (sf) Cl. A-I-7*, Definitive Rating Assigned Aaa (sf) Cl. A-I-8*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A1 (sf) Cl. B-3, Definitive Rating Assigned Baa1 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) Cl. B-5, Definitive Rating Assigned Ba3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.30%, in a baseline scenario-median is 0.12% and reaches 4.53% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. DBJPM 2020-C9: Fitch Lowers Rating on Two Tranches to 'B-sf' ------------------------------------------------------------ Fitch Ratings has downgraded four and affirmed 13 classes of DBJPM 2020-C9 Commercial Mortgage Trust. Classes F and X-F were assigned Negative Rating Outlooks following their downgrades. The Outlooks for classes D, E, and X-D were revised to Negative from Stable. Additionally, Fitch has affirmed 16 classes of CSAIL 2019-C18 Commercial Mortgage Trust. The Outlooks for classes F, G, X-F, and X-G remain Negative. Entity/Debt Rating Prior ----------- ------ ----- DBJPM 2020-C9 A-2 233063AF3 LT AAAsf Affirmed AAAsf A-3 233063AJ5 LT AAAsf Affirmed AAAsf A-4 233063AQ9 LT AAAsf Affirmed AAAsf A-5 233063AT3 LT AAAsf Affirmed AAAsf A-M 233063AZ9 LT AAAsf Affirmed AAAsf A-SB 233063AM8 LT AAAsf Affirmed AAAsf B 233063BC9 LT AA-sf Affirmed AA-sf C 233063BF2 LT A-sf Affirmed A-sf D 233063BS4 LT BBBsf Affirmed BBBsf A-3 12597DAC9 LT AAAsf Affirmed AAAsf A-4 12597DAD7 LT AAAsf Affirmed AAAsf A-S 12597DAH8 LT AAAsf Affirmed AAAsf A-SB 12597DAE5 LT AAAsf Affirmed AAAsf B 12597DAJ4 LT AA-sf Affirmed AA-sf C 12597DAK1 LT A-sf Affirmed A-sf D 12597DAS4 LT BBBsf Affirmed BBBsf E 12597DAU9 LT BBB-sf Affirmed BBB-sf F 12597DAW5 LT BB-sf Affirmed BB-sf G 12597DAY1 LT B-sf Affirmed B-sf X-A 12597DAF2 LT AAAsf Affirmed AAAsf X-B 12597DAG0 LT AA-sf Affirmed AA-sf X-D 12597DAL9 LT BBB-sf Affirmed BBB-sf X-F 12597DAN5 LT BB-sf Affirmed BB-sf X-G 12597DAQ8 LT B-sf Affirmed B-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 4.6% in DBJPM 2020-C9 and 5.1% in CSAIL 2019-C18. Fitch Loans of Concern (FLOCs) comprise six loans (12.5% of the pool) in DBJPM 2020-C9, including two specially serviced loans (4.3%), and seven loans (12.8% of the pool) in CSAIL 2019-C18, including one specially serviced loan (3.1%). The downgrades in DBJPM 2020-C9 reflect increased pool loss expectations since Fitch's prior rating action driven by the specially serviced office loans, 3000 Post Oak (2.4%) and Brass Professional Center (1.9%). The Negative Outlooks reflect the office concentration of 47.2% in the pool and the potential for downgrades without performance stabilization of the aforementioned specially serviced loans and FLOCs. The affirmations in CSAIL 2019-C18 reflect generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks reflect the potential for downgrades with higher than expected losses from continued performance deterioration and/or lack of stabilization on the FLOCS, particularly Redwood Technology Center (3.3%), United Healthcare Center (3.1%), and 3100 Alvin Devane (2.1%). Largest Contributors to Loss: The largest contributor to overall pool loss expectations in the DBJPM 2020-C9 transaction is the Brass Professional Center loan, secured by an 11-building, 575,771-sf, multi-tenant office park built in various phases between 1968 and 1998, and located in northwest San Antonio, TX. The asset transferred to special servicing in May 2023 for monetary default and became REO in October 2023. The property is currently not listed for sale. Property performance has declined since issuance, with June 2024 occupancy declining to 59% from 85% at issuance. The most recently reported NOI is the annualized June 2024 which reflects a decline in NOI of 57% from the YE 2021 NOI. The June 2024 NOI DSCR was 0.58x. Fitch's 'Bsf' rating case loss of 53.8% (prior to concentration adjustments) reflects a discount to the most recent appraisal value reflecting a stressed value of $53 psf. The second largest contributor to overall pool loss expectations and largest increase in loss expectations since the prior rating action in the DBJPM 2020-C9 transaction is the 3000 Post Oak loan (2.4%), secured by a 19-story, 441,523-sf office building located in Houston, TX. The loan has an upcoming maturity in March 2025. The loan transferred to the special servicer in August 2024 for imminent default related to the single tenant, Bechtel (98.9% of the NRA), vacating at the lease expiration in October 2024. Bechtel relocated 8.6 miles west to the Westchase area occupying an office that is approximately half the size of 3000 Post Oak. The Galleria/Uptown submarket of Houston reported an elevated vacancy rate of 35.5% according to Costar as of 1Q25. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 35.4% reflects a 10.25% cap rate, 50% stress to the YE 2023 NOI and factors a higher probability of default to account for the departure of the single tenant, high submarket vacancy, and anticipated maturity default concerns. The largest contributor to overall pool loss expectations and largest increase in loss expectations since the prior rating action in the CSAIL 2019-C18 transaction is the United Healthcare loan, secured by a 204,123-sf office property located in Las Vegas, NV. The loan was transferred to the special servicer in October 2024 due to a maturity default, as the loan was not paid off by the October 2024 loan maturity. The building is fully leased to United Healthcare as a single tenant until December 2025. However, United Healthcare has informed the borrower that they are likely to renew the lease but will reduce their occupancy from 100% to between 50% and 70% of the building. The borrower has requested a one-year extension of the maturity date to finalize the lease renewal and address the resulting vacancy. The special servicer and the borrower are currently negotiating the terms of an extension. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 39.8% reflects a 10.25% cap rate, 40% stress to the YE 2023 NOI and factors a higher probability of default to account for the transfer to special servicing due to the maturity default. The second largest contributor to overall pool loss expectations in the CSAIL 2019-C18 transaction is the 3100 Alvin Devane loan, secured by a 70,388-sf suburban office building located five miles northwest of the Austin, TX CBD. The building secured a lease with a new tenant, Yotta Energy, for 32% of the space beginning in March 2024, increasing occupancy to 86%. However, when the largest tenant, Cosential, Inc., vacated upon the expiration of their lease in August 2024, occupancy dropped to 51%. The NOI DSCR as of YE 2023 was 0.77x but the loan has remained current. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 34% reflects a 11% cap rate, 40% stress to the YE 2023 NOI and factors a higher probability of default to account for the significant decline in occupancy. The third largest contributor to overall pool loss expectations in the CSAIL 2019-C18 transaction is the Redwood Technology Center loan, secured by two, multi-tenant office buildings and one retail/fitness center located in Petaluma, CA. The previous largest tenant, Ciena Corporation (37% of NRA), went dark in 2023 and the lease expired in January 2025 causing occupancy to drop to 56%. There are currently no prospects for the vacant space. The loan has been in a cash trap and there is approximately $1.7 million in tenant reserves. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 15.3% reflects a 10% cap rate, 30% stress to the YE 2023 NOI and factors a higher probability of default to account for the significant decline in occupancy. Changes in Credit Enhancement (CE): As of the January 2025 distribution date, the aggregate balances of the DBJPM 2020-C9 and CSAIL 2019-C18 transactions have been reduced by 1.9% and 11.6%, respectively, since issuance. The CSAIL 2019-C18 transaction includes ten loans (20.2% of the pool) that have fully defeased compared to seven loans (6.6%) at the prior review. Cumulative interest shortfalls of $368,432 are affecting the non-rated class H in DBJPM 2020-C9 and $144,244 are affecting the non-rated class NR-RR in CSAIL 2019-C18. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf' rated classes, are possible with prolonged workouts of the specially serviced assets, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs or more loans than expected experience performance deterioration or default at or before maturity. Downgrades to the 'BBBsf', 'BBsf', and 'Bsf' categories are possible with higher-than-expected losses from continued underperformance of the FLOCs, in particular office loans with deteriorating performance or with greater certainty of losses on FLOCs. Loans of particular concern include 3000 Post Oak, Brass Professional Center, and 675 Creekside Way in DBJPM 2020-C9; and Redwood Technology Center, United Healthcare Center, and 3100 Alvin Devane in CSAIL 2019-C18. Downgrades to classes with distressed ratings would occur if additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'AAsf' and 'Asf' rated categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and improved performance or valuations on the FLOCs. This includes 3000 Post Oak, Brass Professional Center, and 675 Creekside Way in DBJPM 2020-C9; and Redwood Technology Center, United Healthcare Center, and 3100 Alvin Devane in CSAIL 2019-C18. Upgrades to the 'BBBsf' rated categories would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is a likelihood for interest shortfalls; Upgrades to the 'BBsf' and 'Bsf' rated categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; Upgrades to the distressed 'CCCsf' rated classes are not expected, but possible with better-than-expected recoveries on specially serviced loans or improved performance on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DEUTSCHE BANK 2011-LC3: Fitch Cuts Rating on PM-2 Certs to BB- -------------------------------------------------------------- Fitch Ratings has downgraded six classes and affirmed three classes of Deutsche Bank Securities (DBUBS), commercial mortgage pass-through certificates, series 2011-LC3 (DBUBS 2011-LC3). Negative Rating Outlooks were assigned to classes PM-1, PM-X and PM-2 following their downgrades. The Rating Outlook for the affirmed class D remains Negative. The DBUBS 2011-LC3 transaction contains a $41 million pooled senior trust component and a $214 million non-pooled senior and junior trust component (collectively, rake certificates) that represent the beneficial interest in the Providence Place Mall loan. The pooled senior component and non-pooled senior component (PM-1) are pari passu in receiving interest and principal from the Providence Place Mall loan. The non-pooled junior component (PM-2 through PM-5) is subordinate to the senior components in payment priority for interest and principal. In addition, Fitch has affirmed one class of Providence Place Group Limited Partnership. The Rating Outlook for class A-2 remains Stable. Entity/Debt Rating Prior ----------- ------ ----- Providence Place Group Ltd. Partnership Providence Place Mall A-2 743784AB6 LT AAAsf Affirmed AAAsf DBUBS 2011-LC3 D 23305YAM1 LT Bsf Affirmed Bsf E 23305YAN9 LT CCsf Affirmed CCsf F 23305YAP4 LT Csf Affirmed Csf PM-1 23305YAU3 LT BBB-sf Downgrade Asf PM-2 23305YAW9 LT BB-sf Downgrade BBB-sf PM-3 23305YAX7 LT CCCsf Downgrade BB-sf PM-4 23305YAY5 LT CCsf Downgrade B+sf PM-5 23305YAZ2 LT Csf Downgrade B-sf PM-X 23305YAV1 LT BBB-sf Downgrade Asf KEY RATING DRIVERS Regional Mall Concentration; Adverse Selection: The DBUBS 2011-LC3 transaction comprises three loans, all of which are secured by underperforming regional malls in secondary and tertiary markets that are designated as Fitch Loans of Concern (FLOCs) and/or in special servicing, with deteriorated performance and/or high Fitch loss expectations. Due to the concentrated nature of the pool, Fitch conducted a look-through analysis to determine expected recoveries and losses to assess the outstanding classes' ratings relative to credit enhancement (CE). The affirmations in DBUBS 2011-LC3 reflect performance in-line with expectations from Fitch's prior rating action and sufficient CE relative to overall loss expectations. The Negative Outlook on class D reflects significant adverse selection of the pool and possible downgrades should performance and/or valuations of the remaining loans continue to deteriorate beyond current expectations and/or workouts are prolonged for the specially serviced loans/REO assets. Providence Place Mall: Downgrades of the PM-1 through PM-5 and PM-X bonds associated with the Providence Place Mall loan reflect an updated Fitch sustainable net cash flow (NCF) that leads to a decreased Fitch stressed value and reduced recovery proceeds. The update accounts for uncertainty related to the expiration of the tax treaty agreement with the city of Providence that could result in a reset of property tax payments to market levels. The loan transferred to special servicing in April 2024 and a receiver was appointed as an acceptable modification agreement could not be reached. Negative Outlooks to classes PM-1, PM-X and PM-2 reflect possible downgrades with further value degradation and/or a prolonged workout resulting in higher loss expectations. The loan is secured by a 980,711-sf portion of a 1.2 million-sf regional mall in Providence, RI. At issuance, the property was anchored by Macy's, JCPenney and Nordstrom. JCPenney vacated in 2015 and the space was demolished and replaced with an expanded parking garage. Nordstrom vacated in early 2019 and was replaced in October 2019 by Boscov's (20% of collateral NRA; lease expiry in January 2030). The status of non-collateral Macy's has been uncertain due to the company's announcement of store closures. However, recent statements from the receiver and the retailer suggests Macy's intent to remain at the property in the near term. Fitch's sustainable NCF was revised downward to $25.2 million from $31.7 million at the prior rating action and is 27% below Fitch's issuance NCF of $34.3 million. The lower sustainable NCF was driven by an expectation that real estate taxes could reset to market levels with the expiration of the tax treaty agreement with the municipality. The sponsor has made payments in lieu of taxes (PILOT) pursuant to the tax treaty agreement; however, the agreement is scheduled to expire in June 2028. Fitch's updated assumption of real estate taxes is based upon the commercial real estate tax rate for the City of Providence and the Fitch stressed value, resulting in estimated taxes above the current levels of the PILOT payment. Property net operating income (NOI) declined to $24.9 million as of TTM August 2024, 2% higher than YE 2023 NOI but 34% below the originator's underwritten NOI at issuance. As of September 2024, total mall occupancy was 96%, with a NOI DSCR of 1.85x. Fitch's analysis incorporated a 12% cap rate, up from 8.5% at issuance to factor the asset quality and challenges in securing refinancing, resulting in a Fitch-stressed valuation decline that is approximately 66% below the issuance appraisal and 53% below Fitch's issuance value. High Leverage: The Fitch-stressed debt service coverage ratio (DSCR) and loan-to-value (LTV) for the $254.9 million Providence Place Mall whole loan, are 0.76x and 121.5%, respectively. The capital structure also includes a $70.9 million mezzanine loan. The total debt Fitch DSCR and LTV are 0.59x and 155.3%, respectively, and a total debt of $332 psf. Low Leverage PILOT Bond: The Providence Place Group Limited Partnership, Providence Place Mall pass-through certificates are secured by a PILOT lien on the Providence Place Mall property. The PILOT, which has remained current since issuance, is senior to other liens on the property or leasehold including ground lease or mortgage payments. The affirmation at 'AAAsf' reflects the continued deleveraging of the transaction and the ratio of maximum exposure to the property value is extremely low. FLOCs; Specially Serviced Loans: The largest loss contributor in the DBUBS 2011-LC3 transaction is the Dover Mall and Commons loan (54.8% of the pool), secured by a regional mall, Dover Mall, and a one-story strip center, Dover Commons, located in Dover, DE totaling 886,324-sf, of which 553,854-sf is collateral. The loan was modified in March 2021 and returned from special servicing in July 2021. The modified maturity date is August 2026. Property performance has declined, with collateral occupancy falling to 72% as of June 2024 down from 79% at YE 2023, due to the departure of the third-largest tenant, AMC Theatres (7.7% of the NRA). Fitch's 'Bsf' rating case loss of 47.5% (prior to concentration adjustments) incorporates a 28% cap rate, 7.5% stress to the YE 2023 NOI and factors a higher probability of default to account for the departure of the major tenant from a lower-tier regional mall located in a tertiary market. The second-largest loss contributor is the REO Albany Mall asset (16.0%), which is a 446,969-sf portion of a 753,552-sf regional mall located in Albany, GA. The asset became REO in November 2021. As of September 2024, overall mall occupancy was reported to be approximately 83%, while collateral occupancy was approximately 76%. Fitch's 'Bsf' rating case loss of 73.2% (prior to concentration adjustments) reflects an elevated 50% stress to the September 2024 appraisal due to a lack of progress on the disposition of the REO asset. Change to CE: As of the January 2025 distribution date, the DBUBS 2011-LC3 transaction's pooled aggregate balance has been reduced by 90.0% to $140.2 million from $1.4 billion at issuance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks in DBUBS 2011-LC3 reflect possible downgrades should loss expectations for Dover Mall and Commons, Providence Place Mall and Albany Mall be higher than expected upon liquidation and/or from further deterioration of mall performance. Downgrades to the distressed classes E and F would occur as losses are realized and/or with greater certainty of losses. A downgrade to the bonds associated with Providence Place Mall may occur with further performance or valuation declines, prolonged special servicing workout, and limited progress toward resolution of the asset. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Given the significant pool concentration and adverse selection of DBUBS 2011-LC3, upgrades are not expected, but may occur if performance of the regional malls improve substantially and/or recoveries are better than expected. If the specially serviced loans and assets revert to their pre-pandemic performance and/or actual losses are better than expected, the Negative Outlook on class D may be revised back to Stable. An upgrade to the bonds associated with Providence Place Mall are not expected, but could occur if performance of the malls improves substantially and stabilizes to pre-pandemic levels. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DIAMETER CAPITAL 9: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Diameter Capital CLO 9 Ltd./Diameter Capital CLO 9 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Diameter CLO Advisors LLC. The preliminary ratings are based on information as of Feb. 5, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Diameter Capital CLO 9 Ltd./Diameter Capital CLO 9 LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $20.00 million: BB- (sf) Subordinated notes, $43.00 million: Not rated EXETER AUTOMOBILE 2025-1: Fitch Assigns BB- Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Exeter Automobile Receivables Trust (EART) 2025-1. Entity/Debt Rating Prior ----------- ------ ----- Exeter Automobile Receivables Trust 2025-1 A-1 ST F1+sf New Rating F1+(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BB-sf New Rating BB-(EXP)sf KEY RATING DRIVERS Collateral Performance — Subprime Credit Quality: EART 2025-1 is backed by collateral with subprime credit attributes; however, it exhibits some improvements in credit attributes when compared to prior Fitch-rated series, other than 2024-5. The weighted average (WA) FICO score is 584, up from 582 in 2024-5. In addition, 11.2% of the pool is backed by new vehicles, up from 8.9% in 2024-5. Other credit metrics, such as the WA annual percentage rate (APR) of 21.3%, are generally consistent with those of prior Exeter transactions, but the WA LTV of 117.2% is a platform high. Forward-Looking Approach to Derive Rating Case Proxy: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions to derive the series loss proxy. Fitch maintained the vintage ranges of 2024-5 to derive the rating case loss proxy for 2025-1, in recognition of continued weak performance for the 2022 and 2023 securitizations. Fitch utilized 2006-2008 data from Santander Consumer, as proxy recessionary static-managed portfolio data, and 2015-2017 vintage data from Exeter to arrive at a forward-looking rating case cumulative net loss (CNL) proxy of 21.50%, consistent with 2024-5, but lower compared with 22.00% in 2024-2. Payment Structure — Adequate Credit Enhancement: Initial hard credit enhancement (CE) levels are 60.95%, 45.25%, 32.45%, 18.70% and 7.45% for classes A, B, C, D and E, respectively. These CE levels are 0.00%, 0.25%, 1.15%, 1.05% and 0.80% higher than for 2024-5. Excess spread is to be 12.59%, down from 13.24% per annum in 2024-5. Loss coverage for each class of notes is adequate to cover the respective multiples of Fitch's rating case CNL proxy of 21.50%. Operational and Servicing Risks — Adequate Origination/Underwriting/Servicing: Exeter demonstrates adequate abilities as the originator, underwriter and servicer, as evidenced by historical portfolio and securitization performance. Fitch does not rate Exeter but deems the company as capable to service this transaction. In addition, Citibank, N.A., which Fitch rates 'A+' and 'F1' with a Stable Outlook, has been contracted as backup servicer for this transaction. Fitch's base-case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 20.00%, based on Fitch's "Global Economic Outlook - December 2024" report and transaction-based forecast loss projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. In addition, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch therefore conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions, as well as by examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the CNL proxy to the level necessary to reduce each rating by one full category to non-investment grade (BBsf) and 'CCCsf' based on the break-even loss coverage provided by the CE structure. Fitch also conducts 1.5x and 2.0x increases to the CNL proxy, representing both moderate and severe stresses. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to rising CE levels and potential for upgrades. If CNL is 20% less than the projected proxy, the expected subordinate note ratings could be upgraded by up to one category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 150 loans from the statistical data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The concentration of electric and hybrid vehicles in the pool is low and did not have an impact on Fitch's ratings analysis or conclusion on this transaction and has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. FS RIALTO 2025-FL10: Fitch Assigns 'B-(EXP)sf' Rating on 3 Tranches ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to FS Rialto 2025-FL10 Issuer, LLC as follows: - $579,867,000c class A 'AAA(EXP)sf'; Outlook Stable; - $134,111,000c class A-S 'AAA(EXP)sf'; Outlook Stable; - $68,971,000c class B 'AA-(EXP)sf'; Outlook Stable; - $54,921,000c class C 'A-(EXP)sf'; Outlook Stable; - $34,486,000c class D 'BBB(EXP)sf'; Outlook Stable; - $17,881,000c class E 'BBB-(EXP)sf'; Outlook Stable; - $33,208,000ad class F 'BB-(EXP)sf'; Outlook Stable; - $0ad class F-E 'BB-(EXP)sf'; Outlook Stable; - $0abd class F-X 'BB-(EXP)sf'; Outlook Stable; - $22,991,000ad class G 'B-(EXP)sf'; Outlook Stable; - $0ad class G-E 'B-(EXP)sf'; Outlook Stable; - $0abd class G-X 'B-(EXP)sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $75,357,515d class H. (a) Exchangeable Notes. The class F and class G notes are exchangeable notes. Each class of exchangeable notes may be exchanged for the corresponding classes of exchangeable notes, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. (b) Notional amount and interest only (IO). (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention interest, estimated to be 12.875% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,021,793,515 and does not include future funding. The expected ratings are based on information provided by the issuer as of Jan. 27, 2025. Transaction Summary The certificates represent the beneficial interest in the trust, the primary assets of which are 23 loans secured by 59 commercial properties having an aggregate principal balance of $1,021,793,515 as of the cut-off date, including two delayed-close collateral interests totaling $117.7 million, #1 Aston Park and #13 EDEN at Kendall West, which are expected to close within 90 days after the closing date. Should those assets not close within the 90 days, those proceeds will flow into the reinvestment account and be used to purchase new, unidentified assets, subject to the eligibility criteria. The loans were contributed to the trust by FS CREIT Finance Holdings LLC, a wholly owned subsidiary of FS Credit REIT. The master servicer is expected to be Wells Fargo Bank, National Association and the special servicer is expected to be Rialto Capital Advisors, LLC. The trustee is expected to be Wilmington Trust, National Association, and the note administrator is expected to be Computershare Trust Company, N.A. The notes are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 20 loans totaling 90.5% of the pool by balance. Fitch's resulting aggregate trust net cash flow (NCF) of $68.9 million represents a 10.0% decline from the issuer's underwritten NCF of $76.5 million. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Lower Fitch Leverage: Leverage compared to Recent CLO Transactions. The pool's Fitch weighted average (WA) trust loan-to-value (LTV) of 131.4% is lower than the 2023 CRE CLO and 2024 YTD CRE CLO averages of 171.2% and 140.7%, respectively. Additionally, the pool's Fitch NCF Debt Yield (DY) of 7.4% is higher than the 2023 CRE CLO and 2024 YTD CRE CLO averages of 5.6% and 6.5%, respectively. Lower Pool Concentration: Lower concentration by loan size. The pool is more diversified compared to recent CLO transactions. The pool has an effective loan count of 21.3, which is higher than the 2023 CRE CLO and 2024 YTD CRE CLO effective loan count averages of 19.8 and 16.9, respectively. The top 10 loans accounting for 58.7% of the pool. This is lower than the 2023 CRE CLO and 2024 YTD CRE CLO averages of 91.1% and 96.3%, respectively. Lower Property Type Concentration: The pool has an effective property count of 3.2 which is higher than the 2023 CRE CLO and 2024 YTD CRE CLO averages of 1.7. Loans secured by multifamily properties represent 45.6% of the pool which is lower than the 2023 CRE CLO and 2024 YTD CRE CLO averages of 82.6% and 78.4%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAAsf' / 'AA+sf' / 'Asf' / 'BBBsf' / 'BB+sf' / 'BBsf' / 'B-sf' / ' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAsf' / 'Asf' / 'BBB+sf' / 'BBBsf' / 'BBsf' / 'Bsf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria". Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Recovery Rating Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GLS AUTO 2025-1: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GLS Auto Receivables Issuer Trust 2025-1's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of Feb. 5, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 56.43%, 47.87%, 37.64%, 28.68%, and 24.17% of credit support (hard credit enhancement and haircut to excess spread) for the class A (A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.20x, 2.70x, 2.10x, 1.60x, and 1.38x of our 17.50% expected cumulative net loss (ECNL) for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.60x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limit. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, including the representation in the transaction documents that all contracts in the pool have made at least one payment, S&P's view of the collateral's credit risk, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at UMB Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Global Lending Services LLC, as servicer, and its view of the company's underwriting and backup servicing arrangement with UMB Bank N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned GLS Auto Receivables Issuer Trust 2025-1 Class A-1, $85.00 million: A-1+ (sf) Class A-2, $160.71 million: AAA (sf) Class A-3, $83.67 million: AAA (sf) Class B, $101.33 million: AA (sf) Class C, $94.96 million: A (sf) Class D, $93.91 million: BBB (sf) Class E, $46.96 million: BB (sf) GOLUB CAPITAL 77(B): Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital Partners CLO 77(B), Ltd. Entity/Debt Rating ----------- ------ Golub Capital Partners CLO 77(B), Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Golub Capital Partners CLO 77(B), Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by OPAL BSL LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.04, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.54% versus a minimum covenant, in accordance with the initial expected matrix point of 75.9%. Portfolio Composition (Positive): The largest three industries may comprise up to 55% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry concentration is higher than other recent CLOs but was accounted for in its stressed analysis. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BBsf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Golub Capital Partners CLO 77(B), Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. GREEN LAKES: Moody's Assigns B3 Rating to $500,000 Cl. F Notes -------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by Green Lakes Park CLO, LLC (the Issuer): US$3,000,000 Class X Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$320,000,000 Class A-RR Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$500,000 Class F Junior Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of non-first lien loans, cash and eligible investments. Clover Credit Management, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and the other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests and concentration limits; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3130 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. GS MORTGAGE 2025-PJ1: Moody's Assigns B1 Rating to Cl. B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 60 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust 2025-PJ1, and sponsored by Goldman Sachs Mortgage Company (GSMC). The securities are backed by a pool of prime jumbo (91.4% by balance) and GSE-eligible (8.6% by balance) residential mortgages aggregated by MAXEX Clearing LLC (MAXEX; 7.1% by loan balance), and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2025-PJ1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aaa (sf) Cl. A-X-15*, Definitive Rating Assigned Aaa (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2A, Definitive Rating Assigned A2 (sf) Cl. B-X-2*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B1 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1L Loans, Class A-2L Loans and Class A-3L Loans, assigned January 15, 2025, because the issuer will not be issuing these classes. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.23%, in a baseline scenario-median is 0.10% and reaches 3.00% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. GS MORTGAGE 2025-RPL1: Fitch Assigns 'Bsf' Rating on Cl. B-2 Certs ------------------------------------------------------------------ Fitch Ratings rates the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2025-RPL1 (GSMBS 2025-RPL1) as follows: Entity/Debt Rating ----------- ------ GSMBS 2025-RPL1 A-1 LT AAAsf New Rating A-2 LT AAsf New Rating A-3 LT AAsf New Rating A-4 LT Asf New Rating A-5 LT BBBsf New Rating B LT NRsf New Rating B-1 LT BBsf New Rating B-2 LT Bsf New Rating B-3 LT NRsf New Rating B-4 LT NRsf New Rating B-5 LT NRsf New Rating M-1 LT Asf New Rating M-2 LT BBBsf New Rating PT LT NRsf New Rating R LT NRsf New Rating RETAINED LT NRsf New Rating SA LT NRsf New Rating X LT NRsf New Rating Transaction Summary The notes are supported by 1,185 seasoned reperforming loans with a total balance of approximately $244 million as of the cutoff date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 13% above a long-term sustainable level versus 11.6% on a national level as of 2Q24, up 0.1% since last quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 4.3% YoY nationally as of August 2024 despite modest regional declines, but are still being supported by limited inventory. RPL Credit Quality (Negative): The collateral consists of 1,185 seasoned performing and re-performing first lien loans. As of the cutoff date, the pool was 96.2% current and 3.8% DQ. Approximately 69.3% of the loans were treated as having clean payment histories for the past two years or more (clean current) or have been clean since origination if seasoned less than two years. Additionally, 77.4% of loans have a prior modification. The borrowers have a moderate credit profile (689 FICO and 45% DTI) and moderate leverage (62% sLTV). Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the senior classes are repaid in full. The credit enhancement consists of subordinated notes, the distributions of which will be subordinated to P&I payments due to senior noteholders. In addition, excess cash flow resulting from the difference between the interest earned on the mortgage collateral and that paid on the notes may be available to pay down the bonds sequentially (after prioritizing fees to transaction parties, Net WAC shortfalls and to the breach reserve account). No Servicer P&I Advances (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduce liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 43.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by various firms. The third-party due diligence described in Form 15E focused on a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth In Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). The scope was consistent with published Fitch criteria for due diligence on RPL RMBS. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - Loans with an indeterminate HUD1 located in states that fall under Freddie Mac's "Do Not Purchase List" received a 100% LS over-ride; - Loans with an indeterminate HUD1 but not located in states that fall under Freddie Mac's "Do Not Purchase List" received a five-point LS increase; - Unpaid taxes and lien amounts were added to the LS. In total, these adjustments increased the 'AAAsf' loss by approximately 175bps. ESG Considerations GSMBS 2025-RPL1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to due to the adjustment for the Rep & Warranty framework without other operational mitigants, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JP MORGAN 2025-1: Moody's Assigns B3 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 42 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2025-1, and sponsored by C.U.P. Holdings LLC and J.P. Morgan Mortgage Acquisition Corp. (JPMMAC). The securities are backed by a pool of prime jumbo (94.5% by balance) and GSE-eligible (5.5% by balance) residential mortgages aggregated by JPMMAC and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2025-1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-14-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.44%, in a baseline scenario-median is 0.21% and reaches 6.02% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. JP MORGAN 2025-CCM1: Moody's Assigns B1 Rating to Cl. B-5 Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 32 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2025-CCM1 ("JPMMT 2025-CCM1"), and sponsored by J.P. Morgan Mortgage Acquisition Corporation (JPMMAC). The securities are backed by a pool of prime jumbo (83.6% by balance) and GSE-eligible (16.4% by balance) residential mortgages aggregated by JPMMAC, originated by CrossCountry Mortgage, LLC and serviced by JPMorgan Chase Bank, National Association (JPMCB). The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2025-CCM1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-5*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B1 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.28%, in a baseline scenario-median is 0.11% and reaches 4.07% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. JP MORGAN 2025-CES1: Fitch Assigns 'B-(EXP)sf' Rating on B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage Trust 2025-CES1 (JPMMT 2025-CES1). Entity/Debt Rating ----------- ------ JPMMT 2025-CES1 A-1-A LT AAA(EXP)sf Expected Rating A-1-B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA-(EXP)sf Expected Rating A-3 LT A-(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates backed by 100% closed-end second lien (CES) loans on residential properties, to be issued by J.P. Morgan Mortgage Trust 2025-CES1 (JPMMT 2025-CES1), as indicated above. This is the third transaction to be rated by Fitch that includes 100% CES loans off the JPMMT shelf. The pool consists of 3,417 nonseasoned, performing, CES loans with a current outstanding balance (as of the cutoff date) of $333.44 million. The main originators in the transaction are loanDepot.com, LLC (loanDepot), Guild Mortgage Company LLC (Guild), Deephaven Mortgage LLC (Deephaven) and Amerisave Mortgage Corporation (Amerisave). All other originators make up less than 15% of the pool. The loans are serviced by Newrez, loanDepot and PennyMac. Distributions of interest and principal are based on a sequential structure, while losses are allocated reverse sequentially, starting with the most subordinate class. The servicers, Newrez, loanDepot and PennyMac, will not be advancing delinquent monthly payments of principal and interest (P&I). The collateral comprises 100% fixed-rate loans. Class A-1A, A-1B, A-2, A-3 and M-1 certificates with respect to any distribution date prior to the distribution date (and the related accrual period) will have an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates and (ii) the net weighted average coupon (WAC) for such distribution date. The pass-through rate on class A-1A, A-1B, A-2, A-3 and M-1 certificates with respect to any distribution date on and after the distribution date in February 2029 (and the related accrual period) will be an annual rate equal to the lower of (i) the sum of the applicable fixed rate set forth in the table above for such class of certificates and the step-up rate and (ii) the net WAC for such distribution date. The "step-up rate" means a per annum rate equal to 1.000%. The pass-through rate on class B-1, B-2, and B-3 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates and (ii) the net WAC for such distribution date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.3% above a long-term sustainable level (versus 11.6% on a national level as of 2Q24, up 0.1% since the prior quarter), based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 4.3% yoy nationally as of August 2024, despite modest regional declines, but are still being supported by limited inventory. High-Quality Prime Mortgage Pool (Positive): The pool consists of 3,417 performing, fixed-rate loans secured by CES on primarily one- to four-family residential properties (including planned unit developments), condominiums and townhouses, totaling $333.44 million. The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of eight months, according to Fitch, and six months, per the transaction documents. The pool has a weighted average (WA) original FICO score of 740, as determined by Fitch, indicative of very high credit-quality borrowers. About 40.7% of the loans, as determined by Fitch, have a borrower with an original FICO score equal to or above 750. The original WA combined loan-to-value ratio (CLTV) of 68.6%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 77.3%. The transaction documents stated a WA original LTV of 19.6% and a WA CLTV of 66.3%. The LTVs represent moderate borrower equity in the property and reduced default risk, compared with a borrower CLTV of over 80%. Of the pool loans, 88.6% were originated by a retail channel or correspondent channel with the remaining 11.4% originated by a broker channel. Based on Fitch's documentation review, it considers 84.1% of the loans to be fully documented. Of the pool, 94.0% of the loans are of a primary or secondary residence, and the remaining 6.0% are investor loans. Single-family homes, planned unit developments (PUDs), townhouses and single-family attached dwellings constitute 93.3% of the pool; condominiums make up 3.9%, while multifamily homes make up 2.8%. The pool consists of loans with the following loan purposes, according to Fitch: cashout refinances (99.2%), rate-term refinances (0.5%) and purchases (0.3%). The transaction documents show 99.5% of the pool to be cashouts, 0.3% to be rate term refinances, and 0.3% to be purchases. If the cash out amount is less than 3% Fitch typically does not consider the loan to be a cash-out loan, which explains the difference in Fitch's cash out percentage compared to the transaction documents. None of the loans in the pool are over $1.0 million. Of the pool loans, 28.4% are concentrated in California. The largest MSA concentration is Los Angeles MSA (11.1%), followed by the New York MSA (7.2%) and the Phoenix MSA (4.0%). The top three MSAs account for 22.4% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. As a majority of the loans are fully documented with high FICOs, Fitch's prime loan loss model was used for the analysis of this pool. Second Lien Collateral (Negative): The entirety of the collateral pool consists of CES loans originated by loanDepot, Guild, Deephaven, Amerisave and other originators. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans, based on the historical behavior of the loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans. After controlling for credit attributes, no additional penalty was applied. Sequential Structure with No Advancing of Delinquent P&I (Mixed): The proposed structure is a sequential structure in which principal is distributed first, pro rata, to the A-1A and A-1B classes, then sequentially to the A-2, A-3, M-1, B-1, B-2 and B-3 classes. Interest is prioritized in the principal waterfall and any unpaid interest amounts are paid prior to principal being paid. The transaction has monthly excess cash flows that are used to repay any realized losses incurred, and then cap carryover amounts. A realized loss will occur if the collateral balance is less than the unpaid balance of the outstanding classes. Realized losses will be allocated reverse sequentially with the losses allocated first to class B-3. Once the A-2 class is written off, principal will be allocated, first, to class A-1B, and then to class A-1A. The transaction will have subordination and excess spread, providing credit enhancement (CE) and protection from losses. 180-Day Chargeoff Feature/Best Execution (Positive): For any mortgage loan 180 or more days delinquent (DQ; or earlier, in accordance with the related servicer's servicing practices, other than due to such mortgage loan being or becoming subject to a forbearance plan), the related servicer will perform an equity analysis review and may charge off such mortgage loan (each such mortgage loan, a "charged-off loan") with the approval of the controlling holder if such review indicates no significant recovery is likely in respect of such mortgage loan. If the controlling holder does not approve such chargeoff, then the related servicer will continue monitoring the lien status of such mortgage loan, in which case, the related servicer will provide the controlling holder with prompt written notice if such servicer obtains actual knowledge that the associated first lien mortgage loan is subject to payoff, foreclosure, short sale or similar event. Fitch views positively that the servicer is conducting an equity analysis to determine the best execution strategy for the liquidation of severely DQ loans, as the servicer and controlling holder are acting in the best interest of the noteholders to limit losses on the transaction. If the controlling holder decides to write off the losses at 180 days, it compares favorably to a delayed liquidation scenario, whereby the loss occurs later in the life of the transaction and less excess is available. In its cash flow analysis, Fitch assumed the loans would be written off at 180 days, as this is the most likely scenario in a stressed case when there is limited equity in the home. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 42.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. CRITERIA VARIATION Per Fitch's "U.S. RMBS Rating Criteria," originators representing over 15% of the loan pool require an assessment by Fitch. Guild represents 18.5%, and Amerisave represents 15.3%, but Fitch did not conduct an assessment on these originators. However, Fitch received a presentation from Amerisave describing their management structure and details about their operations, which Fitch would typically obtain during an operational risk review. Fitch also confirmed that the loans were underwritten to fit into JPMMT's credit box. Fitch was comfortable having 18.5% of the pool originated by Guild and 15.3% of the pool originated by Amerisave due to the information provided by the firms, the loans fit into JPMMT's credit box, and the percentage of loans contributed is just over 15%. JPMMT is also an 'Above Average' aggregator that conducts its own operational risk reviews of the originators from which it purchases loans. There was no impact to the losses due to this criteria variation, since an 'Acceptable' originator receives the same treatment as an unreviewed originator with an 'Above Average' aggregator. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC and Consolidated Analytics. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review, and data integrity. Additionally, 11.4% loans had a due diligence review performed on valuations done by Consolidated Analytics. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.94% at the 'AAAsf' stress due to 100% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC and Consolidated Analytics were engaged to perform the reviews. Loans under this engagement were given compliance and credit reviews and assigned initial and final grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies and the auditor (Deloitte), and no material discrepancies were noted. ESG Considerations JPMMT 2025-CES1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to the adjustment for the rep and warranty framework without other operational mitigants that increased the loss expectations and is material to the transaction The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JP MORGAN 2025-CES1: Fitch Assigns 'B-sf' Final Rating on B-2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage Trust 2025-CES1 (JPMMT 2025-CES1). Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2025-CES1 A-1-A LT AAAsf New Rating AAA(EXP)sf A-1-B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AA-sf New Rating AA-(EXP)sf A-3 LT A-sf New Rating A-(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has assigned final ratings to the residential mortgage-backed certificates backed by 100% closed-end second lien (CES) loans on residential properties, to be issued by J.P. Morgan Mortgage Trust 2025-CES1 (JPMMT 2025-CES1), as indicated above. This is the third transaction to be rated by Fitch that includes 100% CES loans off the JPMMT shelf. The pool consists of 3,417 nonseasoned, performing, CES loans with a current outstanding balance (as of the cutoff date) of $333.44 million. The main originators in the transaction are loanDepot.com, LLC (loanDepot), Guild Mortgage Company LLC (Guild), Deephaven Mortgage LLC (Deephaven) and Amerisave Mortgage Corporation (Amerisave). All other originators make up less than 15% of the pool. The loans are serviced by Newrez, loanDepot and PennyMac. Distributions of interest and principal are based on a sequential structure, while losses are allocated reverse sequentially, starting with the most subordinate class. The servicers, Newrez, loanDepot and PennyMac, will not be advancing delinquent monthly payments of principal and interest (P&I). The collateral comprises 100% fixed-rate loans. Class A-1A, A-1B, A-2, A-3 and M-1 certificates with respect to any distribution date prior to the distribution date (and the related accrual period) will have an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates and (ii) the net weighted average coupon (WAC) for such distribution date. The pass-through rate on class A-1A, A-1B, A-2, A-3 and M-1 certificates with respect to any distribution date on and after the distribution date in February 2029 (and the related accrual period) will be an annual rate equal to the lower of (i) the sum of the applicable fixed rate set forth in the table above for such class of certificates and the step-up rate and (ii) the net WAC for such distribution date. The "step-up rate" means a per annum rate equal to 1.000%. The pass-through rate on class B-1, B-2, and B-3 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates and (ii) the net WAC for such distribution date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.3% above a long-term sustainable level (versus 11.1% on a national level as of 3Q24, down 0.5% since last quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 3.8% yoy nationally as of November 2024 despite modest regional declines, but are still being supported by limited inventory. High-Quality Prime Mortgage Pool (Positive): The pool consists of 3,417 performing, fixed-rate loans secured by CES on primarily one- to four-family residential properties (including planned unit developments), condominiums and townhouses, totaling $333.44 million. The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of eight months according to Fitch, and six months per the transaction documents. The pool has a weighted average (WA) original FICO score of 740, as determined by Fitch, indicative of very high credit-quality borrowers. About 40.7% of the loans, as determined by Fitch, have a borrower with an original FICO score equal to or above 750. The original WA combined loan-to-value ratio (CLTV) of 68.6%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 77.3%. The transaction documents stated a WA original LTV of 19.6% and a WA CLTV of 66.3%. The LTVs represent moderate borrower equity in the property and reduced default risk, compared with a borrower CLTV of over 80%. Of the pool loans, 88.6% were originated by a retail channel or correspondent channel with the remaining 11.4% originated by a broker channel. Based on Fitch's documentation review, it considers 84.1% of the loans to be fully documented. Of the pool, 94.0% of the loans are of a primary or secondary residence, and the remaining 6.0% are investor loans. Single-family homes, planned unit developments (PUDs), townhouses and single-family attached dwellings constitute 93.3% of the pool; condominiums make up 3.9%, while multifamily homes make up 2.8%. The pool consists of loans with the following loan purposes, according to Fitch: cashout refinances (99.2%), rate-term refinances (0.5%) and purchases (0.3%). The transaction documents show 99.5% of the pool to be cashouts, 0.3% to be rate term refinances, and 0.3% to be purchases. If the cash-out amount is less than 3% Fitch typically does not consider the loan to be a cash-out loan, which explains the difference in Fitch's cash-out percentage compared to the transaction documents. None of the loans in the pool are over $1.0 million. Of the pool loans, 28.4% are concentrated in California. The largest metropolitan statistical area (MSA) concentration is Los Angeles MSA (11.1%), followed by the New York MSA (7.2%) and the Phoenix MSA (4.0%). The top three MSAs account for 22.4% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. As a majority of the loans are fully documented with high FICOs, Fitch's prime loan loss model was used for the analysis of this pool. Second Lien Collateral (Negative): The entirety of the collateral pool consists of CES loans originated by loanDepot, Guild, Deephaven, Amerisave and other originators. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans, based on the historical behavior of the loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans. After controlling for credit attributes, no additional penalty was applied. Sequential Structure with No Advancing of Delinquent P&I (Mixed): The proposed structure is a sequential structure in which principal is distributed first, pro rata, to the A-1A and A-1B classes, then sequentially to the A-2, A-3, M-1, B-1, B-2 and B-3 classes. Interest is prioritized in the principal waterfall and any unpaid interest amounts are paid prior to principal being paid. The transaction has monthly excess cash flows that are used to repay any realized losses incurred, and then cap carryover amounts. A realized loss will occur if the collateral balance is less than the unpaid balance of the outstanding classes. Realized losses will be allocated reverse sequentially with the losses allocated first to class B-3. Once the A-2 class is written off, principal will be allocated, first, to class A-1B, and then to class A-1A. The transaction will have subordination and excess spread, providing credit enhancement (CE) and protection from losses. 180-Day Charge-off Feature/Best Execution (Positive): For any mortgage loan 180 or more days delinquent (DQ; or earlier, in accordance with the related servicer's servicing practices, other than due to such mortgage loan being or becoming subject to a forbearance plan), the related servicer will perform an equity analysis review and may charge off such mortgage loan (each such mortgage loan, a "charged-off loan") with the approval of the controlling holder if such review indicates no significant recovery is likely in respect of such mortgage loan. If the controlling holder does not approve such charge-off, then the related servicer will continue monitoring the lien status of such mortgage loan, in which case, the related servicer will provide the controlling holder with prompt written notice if such servicer obtains actual knowledge that the associated first lien mortgage loan is subject to payoff, foreclosure, short sale or similar event. Fitch views positively that the servicer is conducting an equity analysis to determine the best execution strategy for the liquidation of severely DQ loans, as the servicer and controlling holder are acting in the best interest of the noteholders to limit losses on the transaction. If the controlling holder decides to write off the losses at 180 days, it compares favorably to a delayed liquidation scenario, whereby the loss occurs later in the life of the transaction and less excess is available. In its cash flow analysis, Fitch assumed the loans would be written off at 180 days, as this is the most likely scenario in a stressed case when there is limited equity in the home. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 42.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. CRITERIA VARIATION Per Fitch's "U.S. RMBS Rating Criteria," originators representing over 15% of the loan pool require an assessment by Fitch. Guild represents 18.5%, and Amerisave represents 15.3%, but Fitch did not conduct an assessment on these originators. However, Fitch received a presentation from Amerisave describing their management structure and details about their operations, which Fitch would typically obtain during an operational risk review. Fitch also confirmed that the loans were underwritten to fit into JPMMT's credit box. Fitch was comfortable having 18.5% of the pool originated by Guild and 15.3% of the pool originated by Amerisave due to the information provided by the firms, the loans fit into JPMMT's credit box, and the percentage of loans contributed is just over 15%. JPMMT is also an 'Above Average' aggregator that conducts its own operational risk reviews of the originators from which it purchases loans. There was no impact to the losses due to this criteria variation, since an 'Acceptable' originator receives the same treatment as an unreviewed originator with an 'Above Average' aggregator. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC and Consolidated Analytics. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review, and data integrity. In addition, 11.4% loans had a due diligence review performed on valuations done by Consolidated Analytics. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.94% at the 'AAAsf' stress due to 100% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC and Consolidated Analytics were engaged to perform the reviews. Loans under this engagement were given compliance and credit reviews and assigned initial and final grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Please refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies and the auditor (Deloitte), and no material discrepancies were noted. ESG Considerations JPMMT 2025-CES1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to the adjustment for the rep and warranty framework without other operational mitigants that increased the loss expectations and is material to the transaction. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MADISON PARK XXXVI: Moody's Assigns Ba3 Rating to $24MM E-RR Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the "Refinancing Notes") issued by Madison Park Funding XXXVI, Ltd. (the "Issuer"). Moody's rating action is as follows: US$504,000,000 Class A-1-RR Floating Rate Senior Notes due 2035, Assigned Aaa (sf) US$24,000,000 Class E-RR Deferrable Floating Rate Mezzanine Notes due 2035, Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. UBS Asset Management (Americas) LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. In addition to the issuance of the Refinancing Notes, other changes to transaction features in connection with the refinancing include extension of the Refinancing Notes non-call period and changes to collateral quality test matrices. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $796,016,193 Defaulted par: $3,302,164 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2903 Weighted Average Spread (WAS): 3.30% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 5.54 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. MOSAIC SOLAR 2025-1: Fitch Assigns 'BB-sf' Final Rating on D Notes ------------------------------------------------------------------ Fitch Ratings has assigned Mosaic Solar Loan Trust 2025-1's class A, B, C and D notes final ratings. Entity/Debt Rating Prior ----------- ------ ----- Mosaic Solar Loan Trust 2025-1 A 61945HAA0 LT AA-sf New Rating AA-(EXP)sf B 61945HAB8 LT Asf New Rating A(EXP)sf C 61945HAC6 LT BBB-sf New Rating BBB-(EXP)sf D U6200HAD6 LT BB-sf New Rating BB-(EXP)sf Transaction Summary The transaction is a securitization of consumer loans backed by residential solar equipment. All the loans were originated by Solar Mosaic, LLC (Mosaic), one of the oldest established solar lenders in the U.S., which has originated solar loans since 2014. KEY RATING DRIVERS FICO-informed Loan Performance Assumptions: Given the material differences in loan performance by borrowers' FICO scores, Fitch has defined lifetime default expectations by FICO groups. Fitch has increased the base case default rate assumptions for most FICO groups compared with the previous transaction. However, the weighted average base case default rate decreased by 1.5pp to 8.1% because Mosaic 2025-1 has a higher share of higher FICO groups. Fitch assumed a 35% base case recovery rate for all FICO groups. Fitch's rating default rates (RDRs) for 'AA-sf', 'Asf', 'BBB-sf' and 'BB-sf' are 27.6%, 22.7%, 15.1% and 10.9%, respectively. Fitch's rating recovery rates (RRRs) are 19.6%, 22.4%, 26.6% and 29.4%, respectively. Trigger Switches Target OC to Turbo: The class A and B notes will amortize to a 18% combined target over-collateralization (OC) level. If the escalating cumulative loss trigger is breached, the payment waterfall switches to turbo sequential, deferring any interest payments for the class C and D notes, accelerating the senior notes' deleveraging. The repayment timing of the class C and D notes is highly sensitive to the timing of a trigger breach. The trigger is lose compared with the default assumptions, causing a substantial amount of cash to leak to the junior notes. Limited Performance History Caps Ratings: Fitch's rating assumptions are informed by over eight years of performance data provided by Mosaic, supplemented by the historical performance of other solar loans. Fitch considers data robust, but short compared with the typical 25-year loan term. Standard, Reputable Counterparties: The transaction account is with Wilmington Trust and the servicer's collection account is with Wells Fargo Bank. Commingling risk is mitigated by the transfer of collections within two business days, the high initial automated clearing house share and Wells Fargo's ratings. As both assets and liabilities pay a fixed coupon, there is no need for an interest rate hedge and consequently no exposure to swap counterparties. Established Specialized Lender: Mosaic is one of the first movers among U.S. solar loan lenders, with the longest record among originators of the solar ABS that Fitch rates. Underwriting is mostly automated and in line with those of other U.S. solar ABS originators. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Asset performance that indicates an implied annualized default rate (ADR) above 1.5% and a simultaneous fall in prepayment activity may put pressure on the rating or lead to a Negative Outlook; - Material changes in policy support, the economics of purchasing and financing photovoltaic panels and batteries, or ground-breaking technological advances that make existing equipment obsolete may also negatively affect the rating. Fitch's model-implied rating (MIR) sensitivities to changes in default or recovery assumptions are: Decrease of prepayments (Class A/B/C/D): -50%: 'AA-'/'A'/'BBB-'/'BB-'. Increase of defaults (Class A/B/C/D): +10%: 'AA-'/'A'/'BBB-'/'BB-'; +25%: 'A+'/'A-'/'BBB-'/'BB-'; +50%: 'A'/'BBB+'/'BB'/'B'. Decrease of recoveries (Class A/B/C/D): -10%: 'AA-'/'A'/'BBB-'/'BB-'; -25%: 'AA-'/'A'/'BBB-'/'BB-'; -50%: 'AA-'/'A'/'BBB-'/'BB-'. Increase of defaults and decrease of recoveries (Class A/B/C/D): +10% / -10%: 'AA-'/'A'/'BBB-'/'BB-'; +25% / -25%: 'A+'/'A-'/'BB+'/'B+'; +50% / -50%: 'A-'/'BBB'/'BB-'/'CCC'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch currently caps the ratings in the 'AAsf' category due to limitations in performance history. The assigned 'AA-sf' rating is further constrained by the available credit enhancement (CE). As a result, positive rating action could result from an increase in CE due to class A deleveraging, underpinned by good transaction performance, for example, through high prepayments and an ADR of approximately 1% or below. The overall economic environment is also an important consideration, and Fitch's outlook is deteriorating in the short term. Fitch's MIR sensitivities, capped at 'AA+sf', to changes in default or recovery assumptions are: Decrease of defaults (Class A/B/C/D): -10%: 'AA+'/'AA-'/'BBB+'/'BB+'; -25%: 'AA+'/'AA'/'A-'/'BBB-'; -50%: 'AA+'/'AA+'/'A+'/'A-'. Increase of recoveries (Class A/B/C/D): +10%: 'AA+'/'A+'/'BBB+'/'BB+'; +25%: 'AA+'/'A+'/'BBB+'/'BB+'; +50%: 'AA+'/'AA-'/'BBB+'/'BB+'. Decrease of defaults and increase of recoveries (Class A/B/C/D): -10% / +10%: 'AA+'/'AA-'/'BBB+'/'BB+'; -25% / +25%: 'AA+'/'AA+'/'A'/'BBB'; -50% / +50%: 'AA+'/'AA+'/'AA-'/'A'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparing or re-computing certain information with respect to 150 relevant loan contracts. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. DATA ADEQUACY The historical information available for this originator did not cover the asset tenor of up to 30 years, as originations began in 2014. Fitch applied a rating cap at the 'AAsf' category to address this limitation. The amortizing nature of the assets, the data available from previous Mosaic transactions and the application of an ADR to the static portfolio allowed Fitch to determine lifetime default assumptions. Taking into account this analytical approach, the rating committee considered the available data sufficient to support a rating in the 'AAsf' category. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NEUBERGER BERMAN 31: S&P Assigns Prelim 'BB-' Rating on E-R2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-R2, B-R2, C-R2, D-1R2, D-2R2, and E-R2 replacement debt from Neuberger Berman Loan Advisers CLO 31 Ltd./Neuberger Berman Loan Advisers CLO 31 LLC, a CLO managed by Neuberger Berman Loan Advisers LLC that was originally issued in May 2019 and underwent a refinancing in April 2021. The preliminary ratings are based on information as of Feb. 4, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 7, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the April 2021 debt. S&P said, "At that time, we expect to withdraw our ratings on the April 2021 debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the April 2021 debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R2 and D-2R2 debt are expected to be issued at a higher spread over three-month term SOFR than the April 2021 notes over three-month LIBOR. -- The replacement class B-R2, C-R2, D-1R2, and E-R2 debt are expected to be issued at a lower spread over three-month term SOFR than the April 2021 notes over three-month LIBOR. -- The replacement class D-1R2 and D-2R2 debt will replace the April 2021 class D-R debt. The class D-2R1 debt will have the same par subordination as the April 2021 class D-R debt, while the class D-2-R2 debt will have 1.00% less. -- The stated maturity will be extended 7.75 years. -- The reinvestment period will be extended 5.75 years. -- The non-call period will be extended 4.75 years. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Neuberger Berman Loan Advisers CLO 31 Ltd./ Neuberger Berman Loan Advisers CLO 31 LLC Class A-R2, $304.00 million: AAA (sf) Class B-R2, $57.00 million: AA (sf) Class C-R2 (deferrable), $28.50 million: A (sf) Class D-1R2 (deferrable), $28.50 million: BBB- (sf) Class D-2R2 (deferrable), $4.75 million: BBB- (sf) Class E-R2 (deferrable), $14.25 million: BB- (sf) Other Debt Neuberger Berman Loan Advisers CLO 31 Ltd./ Neuberger Berman Loan Advisers CLO 31 LLC Subordinated notes, $59.79 million: Not rated NEUBERGER BERMAN 46: Fitch Assigns BB-sf Final Rating on E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 46, Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman Loan Advisers CLO 46, Ltd. A 64134QAA5 LT PIFsf Paid In Full AAAsf A-L LT AAAsf New Rating B 64134QAC1 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 64134QAE7 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 64134QAG2 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E-R LT BB-sf New Rating Transaction Summary Neuberger Berman Loan Advisers CLO 46, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Neuberger Berman Loan Advisers II LLC that originally closed in 2021. On Jan. 29, 2025 (refinancing transaction closing date), the existing classes A, B, C, D, and E notes will be refinanced with the new classes A-L, B-R, C-R, D-R, and E-R notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $599 million of primarily first-lien senior secured leverage loans (excluding defaulted assets). KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.39 versus a maximum covenant, in accordance with the initial expected matrix point of 25.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.32% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.81% versus a minimum covenant, in accordance with the initial expected matrix point of 65.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a two-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. Key Provision Changes The refinancing is implemented via the Amended and Restated Indenture and the Class A-L Credit Agreement, which amended certain provisions of the transaction. The changes include but are not limited to: - The spreads for A-L, B-R, C-R, D-R, and E-R notes are 1.05%, 1.50%, 1.75%, 2.65%, and 5.15%, respectively, compared to the spreads of 1.39161%, 1.91161%, 2.21161%, 3.26161%, and 6.51161% for classes A, B, C, D, and E, respectively, of the original deal. - Stated maturity of all tranches of the refinancing notes is extended to January 2037 from January 2034 for class A-L loans and January 2036 for classes B through E notes of the original deal. - The maximum weighted average life (WAL) covenant was extended by one year, from six years as of the refinancing date to seven years. - Fitch collateral quality tests were added to the transaction. The issuer will have the option to choose between two Fitch test matrices on or after the closing date and two additional Fitch test matrices at the end of the reinvestment period, subject to certain par and obligor concentration requirements: Fitch Test Matrix 1: Applicable on or after the closing date. Fitch Test Matrix 2: Applicable at the discretion of the collateral manager on or after the closing date if each of the top five obligors in the portfolio constitutes no more than 1.5% of the collateral principal amount and each of the remaining obligors constitutes no more than 1.0% of the collateral principal amount. Fitch Test Matrix 3: Applicable at the discretion of the collateral manager on or after the first date of determination after the closing date on which the weighted average life that is applicable for purposes of the weighted average life test is less than or equal to five years and the adjusted collateral principal amount is greater than or equal to 99% of the target initial par amount. Fitch Test Matrix 4: Applicable at the discretion of the collateral manager on or after the first date of determination after the closing date on which the weighted average life that is applicable for purposes of the weighted average life test is less than or equal to five years, the adjusted collateral principal amount is greater than or equal to 99% of the target initial par amount, and each of the top five obligors in the portfolio constitutes no more than 1.5% of the collateral principal amount and each of the remaining obligors constitutes no more than 1.0% of the collateral principal amount. Fitch Analysis The current portfolio presented to Fitch includes 425 assets from 361 primarily high-yield obligors. The portfolio balance is approximately $599 million (excluding defaulted assets). As per the Jan. 9, 2025 trustee report, the transaction passed all of its coverage tests and concentration limitations. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 45% of the current portfolio par balance; ratings for 55% of the portfolio were derived using Fitch's IDR equivalency map, assets that are unrated by Fitch and have no public ratings from other agencies constitute less than 0.1% of the portfolio. Current Portfolio The Fitch Portfolio Credit Model (PCM) default rate output for the current portfolio of class A-L loans at the 'AAAsf' rating stress was 43.2%. The PCM recovery rate output for the current portfolio of class A-L loans at the 'AAAsf' rating stress was 38.9%. In the analysis of the current portfolio, the class A-L loans passed the 'AAAsf' rating threshold in all nine cash flow scenarios with a minimum cushion of 15.4%. The PCM default rate output for the current portfolio of class B-R at the 'AAsf' rating stress was 40.6%. The PCM recovery rate output for the current portfolio of class B-R at the 'AAsf' rating stress was 47.8%. In the analysis of the current portfolio, class B-R passed the 'AAsf' rating threshold in all nine cash flow scenarios with a minimum cushion of 12.8%. The PCM default rate output for the current portfolio of class C-R at the 'Asf' rating stress was 36.0%. The PCM recovery rate output for the current portfolio of class C-R at the 'Asf' rating stress was 57.5%. In the analysis of the current portfolio, class C-R passed the 'Asf' rating threshold in all nine cash flow scenarios with a minimum cushion of 13.0%. The PCM default rate output for the current portfolio of class D-R at the 'BBB-sf' rating stress was 27.7%. The PCM recovery rate output for the current portfolio of class D-R at the 'BBB-sf' rating stress was 66.8%. In the analysis of the current portfolio, class D-R passed the 'BBB-sf' rating threshold in all nine cash flow scenarios with a minimum cushion of 12.8%. The PCM default rate output for the current portfolio of class E-R at the 'BB-sf' rating stress was 23.1%. The PCM recovery rate output for the current portfolio of class E-R at the 'BB-sf' rating stress was 72.3%. In the analysis of the current portfolio, class E-R passed the 'BB-sf' rating threshold in all nine cash flow scenarios with a minimum cushion of 14.5%. Fitch Stressed Portfolio (FSP) The FSP includes the following concentrations which reflect the maximum limitations per the indenture or Fitch's assumptions for the current Fitch Test Matrix Point: - Largest five obligors: 2.5% each (aggregate 12.5%) - Top three Fitch industries: 16%/15%/14% - Risk horizon: Six years - Minimum weighted average coupon: 5.0% - Minimum weighted average spread: 3.1% - Fixed-rate assets: 7.5% - The FSP assumes a 25.5 WARF and 65.3% WARR, in line with Fitch Test Matrix 1 applicable on or after the closing date - The transaction will exit the reinvestment period in January 2027 The PCM default rate output for the stressed portfolio of class A-L loans at the 'AAAsf' rating stress was 51.2%. The PCM recovery rate output for the FSP of class A-L loans at the 'AAAsf' rating stress was 33.7%. In the stressed analysis, the class A-L loans passed the 'AAAsf' rating threshold in all nine cash flow scenarios with a minimum cushion of 2.7%. The PCM default rate output for the stressed portfolio of class B-R at the 'AAsf' rating stress was 47.6%. The PCM recovery rate output for the FSP of class B-R at the 'AAsf' rating stress was 39.8%. In the stressed analysis, the class B-R notes passed the 'AAsf' rating threshold in all nine cash flow scenarios with a minimum cushion of 0.0%. The PCM default rate output for the stressed portfolio of class C-R at the 'Asf' rating stress was 42.3%. The PCM recovery rate output for the FSP of class C-R at the 'Asf' rating stress was 49.8%. In the stressed analysis, the class C-R notes passed the 'Asf' rating threshold in all nine cash flow scenarios with a minimum cushion of 0.0%. The PCM default rate output for the stressed portfolio of class D-R at the 'BBB-sf' rating stress was 33.3%. The PCM recovery rate output for the FSP of class D-R at the 'BBB-sf' rating stress was 58.8%. In the stressed analysis, the class D-R notes passed the 'BBB-sf' rating threshold in all nine cash flow scenarios with a minimum cushion of 2.0%. The PCM default rate output for the stressed portfolio of class E-R at the 'BB-sf' rating stress was 28.0%. The PCM recovery rate output for the FSP of class E-R at the 'BB-sf' rating stress was 64.1%. In the stressed analysis, the class E-R notes passed the 'BB-sf' rating threshold in all nine cash flow scenarios with a minimum cushion of 2.5%. In addition to its analysis of the sample matrix point, Fitch tested the projected cash flow performance of a total of 336 possible matrix points when analyzing the Fitch-rated notes. Based on Fitch stressed portfolios consisting of (i) 92.5% floating-rate assets and 7.5% fixed-rate assets and (ii) 100% floating-rate assets, there were zero failures at any given matrix point and the smallest degree of cushion was 0.0%. The rating actions reflect that the notes can sustain a robust level of defaults combined with low recoveries, as well as other factors, such as the degree of cushion when analyzing the indicative portfolio and the strong performance in the sensitivity scenarios. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-L, between 'BB+sf' and 'A+sf' for class B-R, between 'BB-sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-L loans as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA-sf' for class C-R, 'A-sf' for class D-R, and 'BBBsf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Neuberger Berman Loan Advisers CLO 46, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. NEUBERGER BERMAN 59: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 59, Ltd. Entity/Debt Rating ----------- ------ Neuberger Berman Loan Advisers CLO 59, Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Neuberger Berman Loan Advisers CLO 59, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Neuberger Berman Loan Advisers IV LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.18, versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.62% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.44% versus a minimum covenant, in accordance with the initial expected matrix point of 72.75%. Portfolio Composition (Positive): The largest three industries may comprise up to 44% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Neuberger Berman Loan Advisers CLO 59, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. NEW RESIDENTIAL 2025-NQM1: Fitch Gives B-(EXP) Rating on B-2 Notes ------------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed notes to be issued by New Residential Mortgage Loan Trust 2025-NQM1 (NRMLT 2025-NQM1). Entity/Debt Rating ----------- ------ NRMLT 2025-NQM1 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA-(EXP)sf Expected Rating A-3 LT A-(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The NRMLT 2025-NQM1 notes are supported by 583 newly originated loans with a balance of $308 million as of the Jan. 1, 2025 cutoff date. The pool consists of loans originated by NewRez LLC, as well as third-party originator Champions Funding, LLC (Champions), among others. The notes are secured mainly by non-qualified mortgage (QM) loans as defined by the ability-to-repay (ATR) Rule. Of the loans in the pool, 52.3% are designated as non-QM, while the remainder are not subject to the ATR Rule. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 11.2% above a long-term sustainable level (relative to 11.6% on a national level as of 2Q24). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices had increased 4.3% yoy nationally as of August 2024 despite modest regional declines, but are still being supported by limited inventory. Non-Prime Credit Quality (Negative): The collateral consists of 583 loans, totaling $308 million and seasoned approximately three months in aggregate, according to Fitch, as calculated from origination date. The borrowers have a moderate credit profile when compared with other non-QM transactions, with a 752 Fitch model FICO score and 40% debt/income ratios (DTI), as determined by Fitch after converting the debt service coverage ratio (DSCR) values. However, leverage (81% sustainable loan/value [sLTV]) within this pool is consistent compared to previous NRMLT transactions from 2024. The pool consists of 58.8% of loans where the borrower maintains a primary residence, while 36.1% are considered an investor property or second home. Additionally, only 17.0% of the loans were originated through a retail channel. Moreover, 52.3% are considered non-QM, and the remainder are not subject to QM. Modified Sequential-Payment Structure (Mixed): The structure pays principal pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be paid sequentially to class A-1A, A-1B, A-2 and A-3 notes until they are reduced to zero. Starting on the payment date immediately following the first payment date of which the principal balance of the mortgage loans is less than or equal to 20% of the balance as of the cut-off date, the class A-1A, A-1B, A-2 and A-3 notes feature a 100-bp coupon step-up, subject to the net WAC. This increases the interest allocation for the A-1 through A-3 and decreases the amount of excess spread available in the transaction. Loan Documentation (Negative): Approximately 74.2% of the pool was underwritten to less than full documentation, according to Fitch. Approximately 47.3% was underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protection Bureau's (CFPB) ATR Rule. The standards are meant to reduce the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the ATR Rule's mandates with respect to the underwriting and documentation of the borrower's ATR. Additionally, 19.7% are DSCR product, and 4.4% are Asset Depletion product. High Investor Property Concentrations (Negative): Approximately 36.1% of the pool comprises investment property loans, including 19.7% underwritten to a cash flow ratio rather than the borrower's DTI ratio. Investor property loans exhibit higher probability of defaults (PDs) and higher loss severities (LS) than owner-occupied homes. Fitch increased the PD by approximately 2.0x for the cash flow ratio loans relative to a traditional income documentation investor loan, to account for the increased risk. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Evolve, Infinity, and SitusAMC. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - Fitch applied a 5% PD credit was at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 52bps as a result of the diligence review. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. OCEAN TRAILS XI: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-1-R, D-R, and E-R replacement debt from Ocean Trails CLO XI/Ocean Trails CLO LLC, a CLO originally issued in July 2021 that is managed by Five Arrows Managers North America LLC, a subsidiary of Rothschild & Co. At the same time, S&P withdrew its ratings on the original class A, B, C-1, D, and E debt following payment in full on the Feb. 4, 2025, refinancing date. S&P also affirmed its rating on the class C-2 debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Feb. 4, 2026. -- No additional assets were purchased on the Feb. 4, 2025, refinancing date. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 20, 2025. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. Replacement And Original Debt Issuances Replacement debt -- Class A-R, $248 million: Three-month CME term SOFR + 1.03% -- Class B-R, $56 million: Three-month CME term SOFR + 1.55% -- Class C-1-R (deferrable), $17 million: Three-month CME term SOFR + 1.85% -- Class D-R (deferrable), $24 million: Three-month CME term SOFR + 3.10% -- Class E-R (deferrable), $16 million: Three-month CME term SOFR + 6.85% Original debt -- Class A, $248 million: Three-month CME term SOFR + 1.22% + CSA(i) -- Class B, $56 million: Three-month CME term SOFR + 1.80% + CSA(i) -- Class C-1 (deferrable), $17 million: Three-month CME term SOFR + 2.50% + CSA(i) -- Class D (deferrable), $24 million: Three-month CME term SOFR + 3.70% + CSA(i) -- Class E (deferrable), $16 million: Three-month CME term SOFR + 7.53% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Ocean Trails CLO XI/Ocean Trails CLO LLC Class A-R, $248 million: AAA (sf) Class B-R, $56 million: AA (sf) Class C-1-R (deferrable), $17 million: A (sf) Class D-R (deferrable), $24 million: BBB- (sf) Class E-R (deferrable), $16 million: BB- (sf) Ratings Withdrawn Ocean Trails CLO XI/Ocean Trails CLO LLC Class A to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C-1 (deferrable) to not rated from 'A (sf)' Class D (deferrable) to not rated from 'BBB- (sf)' Class E (deferrable) to not rated from 'BB- (sf)' Rating Affirmed Ocean Trails CLO XI/Ocean Trails CLO LLC Class C-2 (deferrable): A (sf) Other Debt Ocean Trails CLO XI/Ocean Trails CLO LLC Subordinated notes, $37.71 million: Not rated OCTAGON INVESTMENT 40: S&P Assigns BB- (sf) Rating on E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-RR, A-2-RR, B-RR, and C-RR replacement debt from Octagon Investment Partners 40 Ltd./Octagon Investment Partners 40 LLC, a CLO managed by Octagon Credit Investors LLC that was originally issued in March 2019 and underwent a refinancing in December 2021. At the same time, S&P withdrew its ratings on the class A-1-R, A-2-R, B-R, C-1-R, and C-2-R debt following payment in full on the Feb. 5, 2025, refinancing date. S&P also affirmed its ratings on the class D-R and E-R debt, which was not refinanced. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the conformed indenture, the non-call period for the replacement debt was set to Jan. 20, 2026. Also, the floating-rate class C-1-R debt and fixed-rate class C-2-R debt was refinanced by the floating-rate class C-RR debt. Replacement And December 2021 Debt Issuances Replacement debt -- Class A-1-RR, $378.00 million: Three-month CME term SOFR + 1.04% -- Class A-2-RR, $12.00 million: Three-month CME term SOFR + 1.30% -- Class B-RR, $66.00 million: Three-month CME term SOFR + 1.55% -- Class C-RR (deferrable), $36.00 million: Three-month CME term SOFR + 1.75% December 2021 debt -- Class A-1-R, $378.00 million: Three-month CME term SOFR + 1.43% -- Class A-2-R, $12.00 million: Three-month CME term SOFR + 1.66% -- Class B-R, $66.00 million: Three-month CME term SOFR + 1.96% -- Class C-1-R (deferrable), $29.00 million: Three-month CME term SOFR + 2.41% -- Class C-2-R (deferrable), $7.00 million: 3.50% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Octagon Investment Partners 40 Ltd./ Octagon Investment Partners 40 LLC Class A-1-RR, $378.00 million: AAA (sf) Class A-2-RR, $12.00 million: AAA (sf) Class B-RR, $66.00 million: AA (sf) Class C-RR (deferrable), $36.00 million: A (sf) Ratings Withdrawn Octagon Investment Partners 40 Ltd./ Octagon Investment Partners 40 LLC Class A-1-R to not rated from 'AAA (sf)' Class A-2-R to not rated from 'AAA (sf)' Class B-R to not rated from 'AA (sf)' Class C-1-R (deferrable) to not rated from 'A (sf)' Class C-2-R (deferrable) to not rated from 'A (sf)' Ratings Affirmed Octagon Investment Partners 40 Ltd./ Octagon Investment Partners 40 LLC Class D-R (deferrable): BBB- (sf) Class E-R (deferrable): BB- (sf) Other Debt Octagon Investment Partners 40 Ltd./ Octagon Investment Partners 40 LLC Subordinated notes, $61.42 million: Not rated OFSI BSL XII: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1-R, A-J-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt from OFSI BSL XII CLO Ltd./OFSI BSL XII CLO LLC, a CLO originally issued in February 2023 that is managed by OFS CLO Management II LLC. At the same time, S&P withdrew its ratings on the original class A-1, A-J, B, C, D-1, D-2, and E debt following payment in full on the Feb. 5, 2025, refinancing debt. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The reinvestment period was extended to Jan. 20, 2030. -- The non-call period was extended to Jan. 20, 2027. -- The replacement class B-R, C-R, and E-R debt was issued at a lower spread over three-month CME term SOFR than the original debt. -- No new subordinated notes were issued. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned OFSI BSL XII CLO Ltd./OFSI BSL XII CLO LLC Class A-1-R, $180.00 million: AAA (sf) Class A-J-R, $9.00 million: AAA (sf) Class B-R, $39.00 million: AA (sf) Class C-R (deferrable), $18.00 million: A (sf) Class D-1-R (deferrable), $15.00 million: BBB (sf) Class D-2-R (deferrable), $6.00 million: BBB- (sf) Class E-R (deferrable), $9.00 million: BB- (sf) Ratings Withdrawn OFSI BSL XII CLO Ltd./OFSI BSL XII CLO LLC Class A-1 to NR from 'AAA (sf)' Class A-J to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D-1 (deferrable) to NR from 'BBB- (sf)' Class D-2 (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt OFSI BSL XII CLO Ltd./OFSI BSL XII CLO LLC Subordinated notes, $28.85 million: NR NR--Not rated. PMT LOAN 2025-INV1: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 61 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2025-INV1, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2025-INV1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aa1 (sf) Cl. A-32, Definitive Rating Assigned Aa1 (sf) Cl. A-33, Definitive Rating Assigned Aa1 (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X7*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X11*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X25*, Definitive Rating Assigned Aaa (sf) Cl. A-X26*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X31*, Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.79%, in a baseline scenario-median is 0.48% and reaches 7.68% at a stress level consistent with Moody's Aaa ratings. After the provisional ratings were assigned, 14 loans originated in Maryland were dropped from the pool. The Class A-1A Loans were not funded on the closing date. Hence, Moody's withdrew the provisional rating of (P)Aaa (sf) assigned to Class A-1A Loans. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PRET TRUST 2025-RPL1: Fitch Assigns 'Bsf' Rating on Class B2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to PRET 2025-RPL1 Trust (PRET 2025-RPL1). PRET 2025-RPL1 utilizes Fitch's new Interactive RMBS Presale feature. To access the interactive feature, click the link at the top of the presale report first page, log into dv01 and explore Fitch's loan-level loss expectations. Entity/Debt Rating Prior ----------- ------ ----- PRET 2025-RPL1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT AAsf New Rating AA(EXP)sf A4 LT Asf New Rating A(EXP)sf A5 LT BBBsf New Rating BBB(EXP)sf M1 LT Asf New Rating A(EXP)sf M2 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf B4 LT NRsf New Rating NR(EXP)sf B5 LT NRsf New Rating NR(EXP)sf B LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch rates the residential mortgage-backed notes to be issued by PPRET 2025-RPL1 as indicated above. The notes are supported by 2,151 seasoned performing and reperforming loans (RPLs) that had a balance of $424.87 million as of the Dec. 31, 2024 cutoff date. The notes are secured by a pool of fixed, step-rate and adjustable-rate mortgage (ARM) loans, some of which have an initial interest-only (IO) period. The loans are primarily fully amortizing, with original terms to maturity of 30 years. The loans are secured by first liens primarily on single-family residential properties, townhouses, condominiums, co-ops, manufactured housing, multifamily homes, and commercial properties. In the pool, 100% of the loans are seasoned performing and re-performing loans. Of the loans, 84.6% are exempt from the qualified mortgage (QM) rule as they are investment properties or were originated before the Ability to Repay (ATR) rule took effect in January 2014. Selene Finance LP (Selene) will service 100.0% of the loans in the pool; Fitch rates Selene 'RPS3+'. There is London Interbank Offered Rate (Libor) exposure in this transaction. The majority of the loans in the collateral pool comprise fixed-rate mortgages, but 5.4% of the pool comprises step-rate loans or loans with an adjustable rate. Of the pool, 2.6% consists of ARM loans that reference the one-month, six-month or one-year Libor index. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 12.2% above a long-term sustainable level (vs. 11.6% on a national level as of 2Q24, up 0.1% since last quarter), based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices have increased 4.3% yoy nationally as of August 2024 despite modest regional declines, but are still supported by limited inventory. Seasoned Performing and Reperforming Credit Quality (Mixed): The collateral consists of 2,151 loans, totaling $424.87 million, which includes deferred amounts. The loans are seasoned approximately 192 months in aggregate, according to Fitch, as calculated from origination date (189 months per the transaction documents). Specifically, the pool comprises 94.6% fully amortizing fixed-rate loans, 4.2% fully amortizing ARM loans, and 1.2% step-rate loans that were treated as ARM loans. The borrowers have a moderate credit profile, with a 662 Fitch model FICO score (659 FICO per the transaction documents). The transaction has a weighted average (WA) sustainable loan to value (sLTV) ratio of 61.5%, as determined by Fitch. The debt to income ratio (DTI) was not provided for the loans in the transaction; as a result, Fitch applied a 45% DTI to all the loans. According to Fitch, the pool consists of 98.9% of loans to borrowers maintaining a primary residence, while 1.1% of loans are for investor properties or second homes. Loans with an unknown occupancy are treated by Fitch as investor properties. In its analysis, Fitch considered 8.1% of the loans to be non-QM loans and 7.4% were considered safe-harbor QM or high-priced QM loans, while the remaining 84.6% were considered exempt from QM status. In its analysis, Fitch considered loans originated after January 2014 non-QM since they are no longer eligible to be in government-sponsored enterprise (GSE) pools. In Fitch's analysis, 84.6% of the loans are to single-family homes, townhouses, and planned unit developments (PUDs), 5.8% are to condos or coops, 9.5% are to manufactured housing or multifamily homes, and less than 0.1% are for commercial. In the analysis, Fitch treated manufactured properties as multifamily and the probability of default (PD) was increased for these loans as a result. The pool contains 14 loans over $1.0 million, with the largest loan at $2.46 million. Based on the due diligence findings, Fitch considered 8.2% of the loans to have subordinate financing. Specifically, for loans missing original appraised values, Fitch assumed these loans had an LTV of 80% and a combined (CLTV) of 100%, which further explains the discrepancy in the subordinate financing percentages per Fitch's analysis versus the transaction documents. Fitch viewed all the loans in the pool in the first lien position based on data provided in the tape and confirmation from the servicer on the lien position. Of the pool, 93.8% of the loans were current as of Dec. 31, 2024. Overall, the pool characteristics resemble RPL collateral; therefore, the pool was analyzed using Fitch's RPL model and Fitch extended liquidation timelines as it typically does for RPL pools. Approximately 19.8% of the pool is concentrated in New York. The largest metropolitan statistical area (MSA) concentration is in the New York MSA at 23.7%, followed by the Los Angeles MSA at 6.9% and the Miami MSA at 5.3%. The top three MSAs account for 35.9% of the pool. As a result, there was a penalty applied for geographic concentration of 18bps at the 'AAAsf' rating. No Advancing (Mixed): The servicer will not be advancing delinquent monthly payments of principal and interest (P&I). Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure timely interest will be paid to the 'AAAsf' rated classes and ultimate interest on the remaining rated classes, principal will need to be used to pay for interest accrued on delinquent loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared with a pool with limited advancing. These structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated classes. Sequential Deal Structure (Positive): The transaction utilizes a sequential payment structure with no advancing of delinquent P&I payments. The transaction is structured with subordination to protect more senior classes from losses and has a minimal amount of excess interest, which can be used to repay current or previously allocated realized losses and cap carryover shortfall amounts. The interest and principal waterfall prioritize the payment of interest to the A-1, which is supportive of class A-1 receiving timely interest. Fitch considers timely interest for 'AAAsf' rated classes and to ultimate interest for 'AAsf' to 'Bsf' category rated classes. The note rate for each of the class A-1, A-2, M-1 and M-2 notes on any payment date up to but excluding the payment date in February 2029 and for the related accrual period will be a per annum rate equal to the lesser of (i) the fixed rate for such class set forth in the table above, and (ii) the Net WAC Rate for such payment date. Beginning on the payment date in February 2029 and for the related accrual period, and on each payment date thereafter and for each related accrual period, the note rate for each of the class A-1, A-2, M-1 and M-2 notes will be a per annum rate equal to the lesser of (a) the Net WAC Rate for such payment date, and (b) the sum of (i) the fixed rate set forth in the table above for such class of notes, and (ii) 1.000% (such increased note rate referred to as the Step-Up Note Rate). The unpaid cap carryover amount payments on the class A and M notes are prioritized over the payment of the B-3, B-4 and B-5 interest in both the interest and principal waterfall. The note rate for the B classes is based on the net WAC. Losses are allocated to classes reverse sequentially starting with class B-5. Classes will be written down if the transaction is undercollateralized. There is excess spread available to absorb losses. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.9%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by ProTitle and AMC. The third-party due diligence described in Form 15E focused on the following areas: compliance review, data integrity, servicing review and title review. The scope of the review was consistent with Fitch's criteria. Fitch considered this information in its analysis. Based on the results of the 100% due diligence performed on the pool, Fitch adjusted the expected losses. A large portion of the loans received 'C' and 'D' grades mainly due to missing documentation that resulted in the ability to test for certain compliance issues. As a result, Fitch applied negative loan level adjustments, which increased the 'AAAsf' losses by 25% and are further detailed in the Third-Party Due Diligence section of the presale. Fitch determined there were three loans with material TRID issues; a $15,500 loss severity penalty was given to loans with material TRID issues, although this did not have any impact on the rounded losses. A ProTitle search found outstanding liens that pre-date the mortgage. It was confirmed the majority of these liens are retired and nothing is owed. There are five loans in the pool have a total of approximately $16,404 (per the 15E) in potentially superior pre-origination recorded liens/judgments. In addition, there are 171 loans that have a clean title search but there may be potential liens that could claim priority over the mortgage in the pool that total $814,924 (per the 15E). The trust will be responsible for these amounts. As a result, Fitch increased the loss severity by these amounts since the trust would be responsible for reimbursing the servicer these amounts. This did not have any impact on the rounded losses. Fitch received confirmation from the servicer on the current lien status of the loans in the pool. The servicer regularly orders these searches as part of its normal business practice and resolves issues as they arise. No additional adjustment was made as a result. As a result of the valid title policy and the servicer monitoring the lien status, Fitch treated 100% of the pool as first liens. The custodian is actively tracking down missing documents. In the event a missing document materially delays or prevents a foreclosure, the sponsor will have 90 days to find the document or cure the issue. If the loan seller cannot cure the issue or find the missing documents, they will repurchase the loan at the repurchase price. Due to this, Fitch only extended timelines for missing documents. A pay history review was conducted on a sample set of loans by AMC. The review confirmed the pay strings are accurate, and the servicer confirmed the payment history was accurate for all the loans. As a result, 100% of the pool's payment history was confirmed. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged ProTitle and AMC to perform the review. Loans reviewed under this engagement were given initial and final compliance grades. A portion of the loans in the pool received a credit or valuation review. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers materially affect the overall credit risk of the loans; refer to the Third-Party Due Diligence section of the presale report for more details. Fitch also received confirmation from the servicer that the lien status and payment history provided in the tape is accurate per its records. Fitch took this information into consideration in its analysis. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company, and no material discrepancies were noted. ESG Considerations PRET 2025-RPL1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated operational risk, which resulted in an increase in expected losses. The Tier 2 representations and warranties (R&W) framework with an unrated counterparty resulted in an increase in expected losses. This has a negative impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. RIVERBANK PARK CLO: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Riverbank Park CLO Ltd./Riverbank Park CLO LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Blackstone Liquid Credit Strategies LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Riverbank Park CLO Ltd./Riverbank Park CLO LLC Class A-1, $307.50 million: AAA (sf) Class A-2, $22.50 million: Not rated Class B-1, $35.00 million: AA (sf) Class B-2, $15.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $20.00 million: BB- (sf) Subordinated notes, $48.75 million: Not rated SIXTH STREET XIII: S&P Assigns Prelim 'BB-' Rating on E-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R2, A-2-R2, B-R2, C-1-R2, C-2-R2, D-1-R2, D-2-R2, E-R2 debt and the proposed new class X debt from Sixth Street CLO XIII Ltd./Sixth Street CLO XIII LLC, a CLO managed by Sixth Street CLO XIII Management LLC that was originally issued in June 2019 under the name TICP CLO XIII Ltd. and was previously refinanced in May 2021. The June 2019 issuance was not rated by S&P Global Ratings. The preliminary ratings are based on information as of Jan. 31, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 11, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the May 2021 debt. At that time, S&P expects to withdraw its ratings on the May 2021 debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, S&P may affirm its ratings on the May 2021 debt and withdraw its preliminary ratings on the replacement debt. The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The stated maturity and reinvestment period will be extended approximately 3.8 years. -- The non-call period will be reestablished and is expected to end in January 2027. -- The class X notes will be issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first 12 payment dates beginning with the payment date in April 2025. -- Of the identified underlying collateral obligations, 100.00% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 93.64% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions." S&P will continue to review whether, in its view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as S&P deems necessary. Preliminary Ratings Assigned Sixth Street CLO XIII Ltd./Sixth Street CLO XIII LLC Class X, $2.00 million: AAA (sf) Class A-1-R2, $281.25 million: AAA (sf) Class A-2-R2, $13.50 million: NR Class B-R2, $42.75 million: AA (sf) Class C-1-R2 (deferrable), $26.50 million: A (sf) Class C-2-R2 (deferrable), $5.00 million: A (sf) Class D-1-R2 (deferrable), $27.00 million: BBB- (sf) Class D-2-R2 (deferrable), $2.70 million: BBB- (sf) Class E-R2 (deferrable), $15.30 million: BB- (sf) Subordinated notes, $45.35 million: NR NR--Not rated. TCW CLO 2019-2: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1R2, A-2R2, B-R2, C-R2, D-1R2, D-2R2, and E-R2 replacement debt from TCW CLO 2019-2 Ltd./TCW CLO 2019-2 LLC, a CLO originally issued in November 2019 transaction that was first refinanced in February 2022 and is managed by TCW Asset Management Co. LLC. The preliminary ratings are based on information as of Jan. 31, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 20, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to Jan. 20, 2027. -- The reinvestment period will be extended to Jan. 20, 2030. -- The legal final maturity date will be extended to Jan. 20, 2038. -- The target par amount will remain at $400.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the second refinancing is July 20, 2025. -- Additional subordinated notes with a notional balance of $20.75 million will be issued on the second refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned TCW CLO 2019-2 Ltd./TCW CLO 2019-2 LLC Class A-1R2, $248.0 million: AAA (sf) Class A-2R2, $16.0 million: AAA (sf) Class B-R2, $40.0 million: AA (sf) Class C-R2 (deferrable), $24.0 million: A (sf) Class D-1R2 (deferrable), $24.0 million: BBB (sf) Class D-2R2 (deferrable), $6.0 million: BBB- (sf) Class E-R2 (deferrable), $10.0 million: BB- (sf) Other Outstanding Debt TCW CLO 2019-2 Ltd./TCW CLO 2019-2 LLC Subordinated notes, $60.7 million: Not rated TOWD POINT 2025-CRM1: Fitch Assigns 'B-(EXP)sf' Rating on B2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Towd Point Mortgage Trust 2025-CRM1 (TPMT 2025-CRM1). Entity/Debt Rating ----------- ------ TPMT 2025-CRM1 A1 LT AAA(EXP)sf Expected Rating A2 LT AA-(EXP)sf Expected Rating A2A LT AA-(EXP)sf Expected Rating A2AX LT AA-(EXP)sf Expected Rating A2B LT AA-(EXP)sf Expected Rating A2BX LT AA-(EXP)sf Expected Rating A2C LT AA-(EXP)sf Expected Rating A2CX LT AA-(EXP)sf Expected Rating A2D LT AA-(EXP)sf Expected Rating A2DX LT AA-(EXP)sf Expected Rating AX LT NR(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating M1 LT A-(EXP)sf Expected Rating M1A LT A-(EXP)sf Expected Rating M1AX LT A-(EXP)sf Expected Rating M1B LT A-(EXP)sf Expected Rating M1BX LT A-(EXP)sf Expected Rating M1C LT A-(EXP)sf Expected Rating M1CX LT A-(EXP)sf Expected Rating M1D LT A-(EXP)sf Expected Rating M1DX LT A-(EXP)sf Expected Rating M2 LT BBB-(EXP)sf Expected Rating M2A LT BBB-(EXP)sf Expected Rating M2AX LT BBB-(EXP)sf Expected Rating M2B LT BBB-(EXP)sf Expected Rating M2BX LT BBB-(EXP)sf Expected Rating M2C LT BBB-(EXP)sf Expected Rating M2CX LT BBB-(EXP)sf Expected Rating M2D LT BBB-(EXP)sf Expected Rating M2DX LT BBB-(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating XS1 LT NR(EXP)sf Expected Rating XS2 LT NR(EXP)sf Expected Rating XS3 LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes issued by TPMT 2025-CRM1 as indicated above. The transaction is expected to close on Feb. 7, 2025. The notes are supported by 3,963 newly originated, closed-end second lien (CES) loans and HELOC loans with a total balance of $340 million as of the cutoff date. Spring EQ, LLC and loanDepot.com LLC originated approximately 77% and 15% of the loans, respectively. Shellpoint Mortgage Servicing (SMS) and loanDepot will service all of the loans. The servicers will advance delinquent (DQ) monthly payments of P&I for up to 60 days, under the Office of Thrift Supervision (OTS) methodology, or until deemed nonrecoverable. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. Excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. In addition, the structure includes a senior interest-only (IO) class, which represents a senior interest strip of 1.50%, with such interest strip entitlement being senior to the net interest amounts paid to the P&I certificates. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to an updated view on sustainable home prices, Fitch views the home price values of this pool as 11.3% above a long-term sustainable level, compared with 11.6% on a national level as of 2Q24, up 0.1% qoq. Housing affordability is at its worst levels in decades, driven by high interest rates and elevated home prices. Home prices increased 4.3% yoy nationally as of August 2024, despite modest regional declines, but are still being supported by limited inventory. Closed and Open Second Liens (Negative): The substantial majority of the collateral pool (99.7%) comprises newly originated second lien (either closed end or HELOC) mortgages. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans; after controlling for credit attributes, no additional penalty was applied. Strong Credit Quality (Positive): The pool primarily consists of new-origination second lien (either closed end of HELOC) mortgages, seasoned at approximately six months (as calculated by Fitch), with a relatively strong credit profile — a weighted average (WA) model credit score of 737, a 39% debt-to-income ratio (DTI) and a moderate sustainable loan-to-value ratio (sLTV) of 81%. Roughly 99% of the loans were treated as full documentation in Fitch's analysis. Approximately 58% of the loans were originated through a retail channel. Sequential-Pay Structure with Realized Loss and Writedown Feature (Mixed): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes (excluding class D) do not receive principal until the most senior classes are repaid in full. Losses are allocated in reverse-sequential order, excluding class D. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those notes in the absence of servicer advancing. For any loan that becomes DQ for 150 days or more under the OTS methodology, the servicer will review and may charge off the loan with the asset manager's approval, based on an equity analysis review performed by the servicer. This action will result in the most subordinated class being written down. Fitch views the writedown feature positively, despite the 100% LS assumed for each defaulted second lien loan, as cash flows will not be needed to pay timely interest to the 'AAAsf' rated notes during loan resolution by the servicers. Additionally, subsequent recoveries realized after the writedown at 150 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. The structure does not allocate excess cashflow to turbo down the bonds but includes a step-up coupon feature. The fixed interest rate for classes A1, A2 and M1 will increase by 100 bps, subject to the net WAC, after four years. The structure includes a senior IO class certificate (class AX), which represents a senior interest strip of 1.50% per annum based off the related mortgage rate of each mortgage loan, with the interest strip entitlement being senior to the net interest amounts paid to the notes and at the top of the waterfall. The inclusion of this senior IO class reduces the collateral WAC and effectively diminishes the excess spread. Given that it is a strip-off of the entire collateral balance and accrual amounts will be reduced by any losses on the collateral pool, class AX cannot be rated by Fitch. Overall, unlike other second lien transactions, this transaction has less excess spread available and its application offers diminished support to the rated classes, requiring a higher level of credit enhancement (CE). Limited Advancing Construct (Neutral): The servicers will be advancing delinquent P&I on the closed end collateral for a period up to 60 days delinquent under the OTS method as long as the amounts are deemed recoverable. Given Fitch's projected loss severity assumption on second lien collateral, it assumed no advancing in its analysis. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis shows how ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.3%, at 'AAAsf'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with model projections. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes, excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC (AMC) and Consolidated Analytics. A third-party due diligence review was completed on 100% of the loans. The scope, as described in Form 15E, focused on credit, regulatory compliance and property valuation reviews, consistent with Fitch criteria for new originations. The results of the reviews indicated low operational risk with no loans receiving a final grade of C/D. Fitch applied a credit for the high percentage of loan-level due diligence, which reduced the 'AAAsf' loss expectation by 72bps. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. VERUS SECURITIZATION 2025-INV1: S&P Assigns (P) B-(sf) on B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2025-INV1's mortgage-backed notes. The note issuance is a residential mortgage-backed securities (RMBS) transaction backed by first-lien, fixed- and adjustable-rate (some with interest-only periods) residential mortgage loans secured by single-family residences, townhouses, planned-unit developments, two- to four-family residential properties, condominiums, five– to 10-unit multifamily properties, mixed-use properties, and condotels to both prime and nonprime borrowers. The pool has 1,337 residential mortgage loans; five loans are cross-collateralized loans backed by 32 properties for a total property count of 1,364. The preliminary ratings are based on information as of Feb. 5, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners, and any S&P Global Ratings reviewed originator; and -- S&P said, "One key change in our baseline forecast since September 2024, wherein we expect the Federal Reserve to reduce the federal funds rate more gradually and reach an assumed neutral rate of 3.1% by fourth-quarter 2026 (was fourth-quarter 2025 previously). We continue to expect real GDP growth to slow from above-trend growth this year to below-trend growth in 2025. The U.S. economy is expanding at a solid pace, and while President Donald Trump outlined numerous policy proposals during his campaign, S&P Global Ratings' economic outlook for 2025 hasn't changed appreciably, partly because we have taken a probabilistic approach and are assuming partial implementation of campaign promises. It will take time for changes in fiscal, trade, and immigration policy to be implemented and affect the economy. Our current market outlook as it relates to the 'B' projected archetypal foreclosure frequency is, therefore, unchanged at 2.50%. This reflects our benign view of the mortgage and housing markets, as demonstrated through general national-level home price behavior, unemployment rates, mortgage performance, and underwriting." Preliminary Ratings Assigned(i) Verus Securitization Trust 2025-INV1 Class A-1, $309,148,000: AAA (sf) Class A-2, $36,067,000: AA (sf) Class A-3, $62,860,000: A (sf) Class M-1, $45,342,000: BBB- (sf) Class B-1, $27,566,000: BB- (sf) Class B-2, $20,094,000: B- (sf) Class B-3, $14,170,010: Not rated Class A-IO-S, $515,247,010(ii): Not rated Class XS, $515,247,010(ii): Not rated Class R, not applicable: Not rated (i)The preliminary ratings address the ultimate payment of interest and principal. (ii)The notional amount equals the aggregate stated principal balance of loans in the pool as of the Jan. 1, 2025, cutoff date, rolled forward to Feb. 1, 2025, to take into account the scheduled amortization of the applicable mortgage loans. VITALITY RE XVI 2025: S&P Assigns 'B+(sf)' Rating to Class C Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 'BBB+ (sf)', 'BB+ (sf)', and 'B+ (sf)' ratings to the series 2025 class A, B, and C notes, respectively, issued by Vitality Re XVI Ltd. The notes will cover claims payments of Health Re Inc. -- and ultimately, Aetna Life Insurance Co. (ALIC; A-/Negative/--) -- related to the covered business to the extent the medical benefits ratio (MBR) exceeds 106% for the class A notes, 100% for the class B notes, and 97% for the class C notes. The MBR is calculated on an annual aggregate basis. S&P bases its ratings on the lowest of the following: -- The MBR risk factor for the ceded risk ('bbb+' for the class A notes, 'bb+' for the class B notes, and 'b+' for the class C notes); -- The rating on ALIC (the underlying ceding insurer); or -- The rating on the permitted investments ('AAAm') that will be held in the collateral account (there is a separate collateral account for each class of notes) at closing. According to the risk analysis provided by Milliman Inc., one of the world's largest providers of actuarial and related products and services, the primary factors in historical medical insurance financial fluctuations have been the volatility in per capita claim cost trends and lags in insurers' reactions to these trend changes in their premium actions. Other sources of volatility include changes in expenses and target profit margins. Although these factors cause the majority of claims volatility, the extreme tail risk is affected by severe pandemics. WELLFLEET CLO 2024-2: S&P Assigns Prelim 'BB-' Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Wellfleet CLO 2024-2 Ltd./Wellfleet CLO 2024-2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Blue Owl Liquid Credit Advisors, a subsidiary of Blue Owl Capital Inc. The preliminary ratings are based on information as of Jan. 31, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Wellfleet CLO 2024-2 Ltd./Wellfleet CLO 2024-2 LLC Class A, $68.00 million: AAA (sf) Class A-L1 loans, $90.00 million: AAA (sf) Class A-L2 loans, $90.00 million: AAA (sf) Class B-1, $49.00 million: AA (sf) Class B-2, $5.00 million: AA (sf) Class C (deferrable), $26.00 million: A (sf) Class D-1 (deferrable), $20.00 million: BBB (sf) Class D-2 (deferrable), $7.00 million: BBB- (sf) Class E (deferrable). $13.00 million: BB- (sf) Subordinated notes, $42.00 million: NR NR--Not rated. WELLS FARGO 2025-5C3: Fitch Assigns B-sf Final Rating on G-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2025-5C3, Commercial Mortgage Pass-Through Certificates Series 2025-5C3 as follows: - $8,317,000a class A-1 'AAAsf'; Outlook Stable; - $575,147,000a class A-3 'AAAsf'; Outlook Stable; - $583,464,000ab class X-A 'AAAsf'; Outlook Stable; - $53,137,000a class A-S 'AAAsf'; Outlook Stable; - $47,927,000a class B 'AA-sf'; Outlook Stable; - $37,509,000a class C 'A-sf'; Outlook Stable; - $138,573,000ab class X-B 'A-sf'; Outlook Stable; - $21,880,000ac class D 'BBBsf'; Outlook Stable; - $11,461,000ac class E 'BBB-sf'; Outlook Stable; - $33,340,000abc class X-D 'BBB-sf'; Outlook Stable; - $21,880,000ac class F 'BB-sf'; Outlook Stable; - $16,467,000abc class X-F 'BB-sf'; Outlook Stable; - $14,587,000acd class G-RR 'B-sf'; Outlook Stable. Fitch does not rate the following classes: - $41,676,428acd class J-RR; - $18,174,000ac class Combined VRR Interest. Notes: (a) The certificate balances and notional amounts of these classes include the vertical risk retention interest, which totals 2.18% of the certificate balance or notional amount, as applicable, of each class of certificates as of the closing date. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Class G-RR and J-RR certificates (other than the portions thereof comprising part of the vertical risk retention interest) comprise the transaction's horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, whose primary assets consist of 30 loans secured by 63 commercial properties with an aggregate principal balance of $833,520,429 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Argentic Real Estate Finance 2 LLC, Citi Real Estate Funding Inc., JPMorgan Chase Bank, National Association, LMF Commercial, LLC, Goldman Sachs Mortgage Company and UBS AG. The master servicer is Wells Fargo Bank, National Association and the special servicer is Argentic Services Company LP. The trustee and certificate administrator are Computershare Trust Company, National Association. The certificates follow a sequential paydown structure. Since Fitch published its expected ratings on Jan. 6, 2025, the following changes have occurred: The balances of class A-2 and class A-3 were finalized. At the time the expected ratings were published, the initial balances of class A-2 and class A-3 were unknown and expected to be in the range of $0-$244,550,000 and $318,058,000-$562,608,000, respectively, net of their proportionate share of the vertical risk retention interest. The final balance of class A-2 is $0, and the final balance for class A-3 is $562,608,000, net of its proportionate share of the vertical risk retention interest. The issuer removed class A-2 from the structure, and, as a result, Fitch has withdrawn its expected rating of 'AAAsf(EXP)' for the class. There were no other material changes. The deal structure and ratings reflect information provided by the issuer as of Jan. 28, 2025. Fitch has withdrawn the expected rating for class A-2 because it was removed from the final structure by the issuer. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 25 loans totaling 96.7% of the pool by balance. Fitch's aggregate pool net cash flow (NCF) of $78.7 million represents a 14.3% decline from the issuer's underwritten aggregate pool NCF of $91.9 million. Higher Leverage Compared to Recent Transactions: The pool has lower leverage compared to recent five-year multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 103.9% is worse than the 2024 and 2023 averages of 95.2% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 9.4% is lower than the 2024 and 2023 averages of 10.2% and 10.6%, respectively. Excluding the credit opinion loan, the pool's Fitch LTV and DY are 104.7% and 9.5%, respectively, compared to the equivalent 2024 LTV and DY averages of 96.0% and 9.9%, respectively. Shorter Duration Loans: The pool is 100% comprised of loans with five-year terms, whereas standard conduit transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else being equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. Investment-Grade Credit Opinion Loans: One loan, representing 3.0% of the pool, received an investment-grade credit opinion. Queens Center (3.0%) received a standalone credit opinion of 'BBBsf*'. The pool's total credit opinion percentage is considerably lower than the 2024 and 2023 averages of 12.6% and 14.6%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 68.1% of the pool, which is higher than the 2024 level of 60.2% and 2023 level of 65.3%. The pool's effective loan count of 18.6 is slightly lower than the 2024 and 2023 average effective loan count of 22.7 and 19.7, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: Based on the scheduled balances at maturity, the pool will pay down by 1.0%, which is above the 2024 and 2023 averages of 0.4% and 0.4%, respectively. The pool has 23 interest-only loans, or 79.9% of pool by balance, which is lower than the 2024 and 2023 averages of 92.8% and 91.7%, respectively, but still high overall. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WOODMONT 2022-10: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, A-2-L-R, B-R, C-R, D-R, and E-R replacement debt from Woodmont 2022-10 Trust, a CLO originally issued in November 2022 that is managed by MidCap Financial Services Capital Management LLC. The preliminary ratings are based on information as of Feb. 3, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 3, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to March 3, 2027. -- The reinvestment period will be extended to April 15, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to April 15, 2038. -- No additional assets will be purchased on the March 3, 2025, refinancing date, and the target initial par amount will upsized to $1,112.5 million by combining two existing transactions. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- An additional $45.335 million in subordinated notes will be issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $645.250 million: Three-month CME term SOFR + 1.52% -- Class A-2-R, $9.500 million: Three-month CME term SOFR + 1.65% -- Class A-2-L-R, $35.000 million: Three-month CME term SOFR + 1.65% -- Class B-R, $66.750 million: Three-month CME term SOFR + 1.75% -- Class C-R (deferrable), $89.000 million: Three-month CME term SOFR + 2.10% -- Class D-R (deferrable), $66.750 million: Three-month CME term SOFR + 3.55% -- Class E-R (deferrable), $66.750 million: Three-month CME term SOFR + 7.00% -- Certificates, $121.475 million: Not applicable Original debt -- Class A, $290.00 million: Three-month CME term SOFR + 3.25% -- Class B, $45.00 million: Three-month CME term SOFR + 4.00% -- Class C (deferrable), $40.00 million: Three-month CME term SOFR + 5.20% -- Class D (deferrable), $25.00 million: Three-month CME term SOFR + 7.08% -- Class E (deferrable), $35.00 million: Three-month CME term SOFR + 9.05% -- Certificates, $76.14 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Woodmont 2022-10 Trust Class A-1-R, $645.250 million: AAA (sf) Class A-2-R, $9.500 million: AAA (sf) Class A-2-L-R, $35.000 million: AAA (sf) Class B-R, $66.750 million: AA (sf) Class C-R (deferrable), $89.000 million: A (sf) Class D-R (deferrable), $66.750 million: BBB- (sf) Class E-R (deferrable), $66.750 million: BB- (sf) Other Debt Woodmont 2022-10 Trust Certificates, $121.475 million: Not rated [] Fitch Affirms 'B' Rating on Three HIN Timeshare, Outlook Stable ------------------------------------------------------------------ Fitch Ratings has affirmed all outstanding ratings of HIN Timeshare Trust (HINTT) 2020-A, HINNT 2022-A LLC and HINNT 2024-A LLC. The Rating Outlooks remain Stable for all classes of notes. Holiday Inn Club Vacations Incorporated (HICV) is the originator and servicer of all transactions. Entity/Debt Rating Prior ----------- ------ ----- HINNT 2024-A LLC A 40472QAA5 LT AAAsf Affirmed AAAsf B 40472QAB3 LT Asf Affirmed Asf C 40472QAC1 LT BBBsf Affirmed BBBsf D 40472QAD9 LT BBsf Affirmed BBsf E 40472QAE7 LT Bsf Affirmed Bsf HIN Timeshare Trust 2020-A A 40439HAA7 LT AAAsf Affirmed AAAsf B 40439HAB5 LT Asf Affirmed Asf C 40439HAC3 LT BBBsf Affirmed BBBsf D 40439HAD1 LT BBsf Affirmed BBsf E 40439HAE9 LT Bsf Affirmed Bsf HINNT 2022-A LLC A 40486JAA5 LT AAAsf Affirmed AAAsf B 40486JAB3 LT Asf Affirmed Asf C 40486JAC1 LT BBBsf Affirmed BBBsf D 40486JAD9 LT BBsf Affirmed BBsf E 40486JAE7 LT Bsf Affirmed Bsf KEY RATING DRIVERS The affirmation of the notes reflects default coverage levels consistent with their current ratings. The Stable Rating Outlook for all classes of notes reflects Fitch's expectation that default coverage levels will remain supportive of these ratings. As of Dec. 2024, the 61+ day delinquency rates for HINTT 2020-A, HINNT 2022-A, and HINNT 2024-A were 4.39%, 4.04%, and 3.14%, respectively. Cumulative gross defaults (CGDs; adjusted for substitutions) are currently 25.26%, 20.25%, and 4.84%, respectively. The CGD of HINTT 2020-A is currently above its initial rating case proxy of 24.00%. HINNT 2022-A and HINNT 2024-A CGDs are currently within initial expectations, but HINNT 2022-A is projecting above its initial rating case of 22.00%. Due to optional repurchases and substitutions by the seller, HINTT 2020-A, HINNT 2022-A, and HINNT 2024-A have not experienced net losses to date. The option to repurchase and substitute defaulted loans is capped at a combined 35%; HINTT 2020-A remains the closest to reaching its cap, currently at an unadjusted CGD of 29.74%. CGDs for HINTT 2020-A and HINNT 2022-A continue to remain elevated; however, as pool factors decrease for both transactions, the default pace is expected to slow based on the front-loaded nature of timeshare transactions. To account for recent performance in HINTT 2020-A and HINNT 2022-A, Fitch revised the lifetime CGD proxies up to 30.00% and 29.00%, from 27.00% and 25.00%, respectively, while maintaining proxy from the initial rating for HINNT 2024-A at 22.00%. The updated rating case proxies for the revised transactions were conservatively derived using extrapolations based on performance to date. In certain cases, updated extrapolations were higher than the final CGD proxies. The servicer has the right, but not the obligation, to substitute or repurchase defaulted loans. As such, Fitch's analysis does not give any explicit credit to previously substituted or repurchased defaults, resulting in zero losses on most of the outstanding transactions. When accounting for previously substituted or repurchased defaults, the lifetime CGDs are materially lower than the CGD proxies. Therefore, Fitch believes the CGD proxies are appropriately conservative and account for the weaker performance. Under Fitch's stressed cash flow assumptions, default coverage for the notes were consistent with the recommended multiples, any shortfalls were considered nominal and are within the range of the multiples for the current ratings. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected rating case default proxy, and impact available loss coverage and multiples levels for the transaction; - Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect credit enhancement (CE) levels. Lower default coverage could affect ratings and Outlooks, depending on the extent of the decline in coverage; - Fitch ran a down sensitivity for these transactions that would raise the CGD proxy by 2x the current proxy. This is extremely stressful to the transactions and could result in downgrades by up to three categories. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by stable delinquencies and defaults would lead to higher CE levels and consideration for potential upgrades. Fitch applied an up sensitivity, by reducing the rating case proxy by 20%. Reducing the proxies by 20% from the current proxies could result in up to two categories of upgrades or affirmations of ratings with stronger multiples. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] Fitch Withdraws Ratings on 53 Classes From 10 U.S. CDO Deals --------------------------------------------------------------- Fitch Ratings has affirmed the ratings on 48 classes and upgraded five classes from 10 U.S. trust preferred collateralized debt obligations (CDOs). Subsequently, Fitch has withdrawn all of the ratings. At the time of the withdrawal, the Rating Outlooks for 27 of the classes were Stable. Entity/Debt Rating Prior ----------- ------ ----- Preferred Term Securities XXIV, Ltd./Inc. A-1 74043CAA5 LT A+sf Affirmed A+sf A-1 74043CAA5 LT WDsf Withdrawn A-2 74043CAB3 LT BBB+sf Affirmed BBB+sf A-2 74043CAB3 LT WDsf Withdrawn B-1 74043CAC1 LT BB-sf Affirmed BB-sf B-1 74043CAC1 LT WDsf Withdrawn B-2 74043CAE7 LT BB-sf Affirmed BB-sf B-2 74043CAE7 LT WDsf Withdrawn C-1 74043CAG2 LT Csf Affirmed Csf C-1 74043CAG2 LT WDsf Withdrawn C-2 74043CAJ6 LT Csf Affirmed Csf C-2 74043CAJ6 LT WDsf Withdrawn D 74043CAL1 LT Csf Affirmed Csf D 74043CAL1 LT WDsf Withdrawn Preferred Term Securities VIII, Ltd./Inc. A-2 74041PAB6 LT AAsf Affirmed AAsf A-2 74041PAB6 LT WDsf Withdrawn B-1 74041PAC4 LT Csf Affirmed Csf B-1 74041PAC4 LT WDsf Withdrawn B-2 74041PAD2 LT Csf Affirmed Csf B-2 74041PAD2 LT WDsf Withdrawn B-3 74041PAE0 LT Csf Affirmed Csf B-3 74041PAE0 LT WDsf Withdrawn Preferred Term Securities XXVI, Ltd./Inc. A-1 74042QAA5 LT A+sf Affirmed A+sf A-1 74042QAA5 LT WDsf Withdrawn A-2 74042QAB3 LT Asf Affirmed Asf A-2 74042QAB3 LT WDsf Withdrawn B-1 74042QAC1 LT BB+sf Affirmed BB+sf B-1 74042QAC1 LT WDsf Withdrawn B-2 74042QAE7 LT BB+sf Affirmed BB+sf B-2 74042QAE7 LT WDsf Withdrawn C-1 74042QAG2 LT CCCsf Affirmed CCCsf C-1 74042QAG2 LT WDsf Withdrawn C-2 74042QAJ6 LT CCCsf Affirmed CCCsf C-2 74042QAJ6 LT WDsf Withdrawn D 74042QAL1 LT Csf Affirmed Csf D 74042QAL1 LT WDsf Withdrawn U.S. Capital Funding I, Ltd./Corp. B-1 903329AE0 LT B+sf Affirmed B+sf B-1 903329AE0 LT WDsf Withdrawn B-2 903329AG5 LT B+sf Affirmed B+sf B-2 903329AG5 LT WDsf Withdrawn U.S. Capital Funding II, Ltd./Corp. A-2 90390KAB0 LT AAsf Affirmed AAsf A-2 90390KAB0 LT WDsf Withdrawn B-1 90390KAC8 LT B-sf Affirmed B-sf B-1 90390KAC8 LT WDsf Withdrawn B-2 90390KAD6 LT B-sf Affirmed B-sf B-2 90390KAD6 LT WDsf Withdrawn ALESCO Preferred Funding III, Ltd./Inc. A-2 01448MAB5 LT AAsf Affirmed AAsf A-2 01448MAB5 LT WDsf Withdrawn B-1 01448MAC3 LT Csf Affirmed Csf B-1 01448MAC3 LT WDsf Withdrawn B-2 01448MAD1 LT Csf Affirmed Csf B-2 01448MAD1 LT WDsf Withdrawn InCapS Funding I. Ltd./Corp. B-1 453247AC2 LT BBsf Affirmed BBsf B-1 453247AC2 LT WDsf Withdrawn B-2 453247AD0 LT BBsf Affirmed BBsf B-2 453247AD0 LT WDsf Withdrawn C 453247AE8 LT CCCsf Affirmed CCCsf C 453247AE8 LT WDsf Withdrawn Attentus CDO I, Ltd./LLC A-1 049730AA2 LT BBB+sf Affirmed BBB+sf A-1 049730AA2 LT WDsf Withdrawn A-2 049730AB0 LT BB+sf Affirmed BB+sf A-2 049730AB0 LT WDsf Withdrawn B 049730AC8 LT CCsf Affirmed CCsf B 049730AC8 LT WDsf Withdrawn C-1 049730AD6 LT CCsf Affirmed CCsf C-1 049730AD6 LT WDsf Withdrawn C-2A 049730AE4 LT Csf Affirmed Csf C-2A 049730AE4 LT WDsf Withdrawn C-2B 049730AF1 LT Csf Affirmed Csf C-2B 049730AF1 LT WDsf Withdrawn D 049730AG9 LT Csf Affirmed Csf D 049730AG9 LT WDsf Withdrawn E 049730AH7 LT Csf Affirmed Csf E 049730AH7 LT WDsf Withdrawn Kodiak CDO II, Ltd./Corp. A-2 50011RAB8 LT A+sf Affirmed A+sf A-2 50011RAB8 LT WDsf Withdrawn A-3 50011RAC6 LT BBB-sf Upgrade BB+sf A-3 50011RAC6 LT WDsf Withdrawn B-1 50011RAD4 LT Bsf Upgrade B-sf B-1 50011RAD4 LT WDsf Withdrawn B-2 50011RAE2 LT Bsf Upgrade B-sf B-2 50011RAE2 LT WDsf Withdrawn C-1 50011RAF9 LT CCCsf Upgrade CCsf C-1 50011RAF9 LT WDsf Withdrawn C-2 50011RAG7 LT CCCsf Upgrade CCsf C-2 50011RAG7 LT WDsf Withdrawn D 50011RAH5 LT CCsf Affirmed CCsf D 50011RAH5 LT WDsf Withdrawn E 50011RAJ1 LT Csf Affirmed Csf E 50011RAJ1 LT WDsf Withdrawn F 50011QAA2 LT Csf Affirmed Csf F 50011QAA2 LT WDsf Withdrawn Preferred Term Securities XXV, Ltd./Inc. A-1 74042FAA9 LT A+sf Affirmed A+sf A-1 74042FAA9 LT WDsf Withdrawn A-2 74042FAB7 LT BBB+sf Affirmed BBB+sf A-2 74042FAB7 LT WDsf Withdrawn B-1 74042FAC5 LT BB+sf Affirmed BB+sf B-1 74042FAC5 LT WDsf Withdrawn B-2 74042FAE1 LT BB+sf Affirmed BB+sf B-2 74042FAE1 LT WDsf Withdrawn C-1 74042FAG6 LT CCsf Affirmed CCsf C-1 74042FAG6 LT WDsf Withdrawn C-2 74042FAJ0 LT CCsf Affirmed CCsf C-2 74042FAJ0 LT WDsf Withdrawn D 74042FAL5 LT Csf Affirmed Csf D 74042FAL5 LT WDsf Withdrawn Transaction Summary The CDOs are secured by banks, insurance, trust preferred securities (TruPS), senior unsecured debt issued by real estate investment trusts (REITs), corporate issuers, and tranches of structured finance collateralized debt obligations (CDOs) and commercial mortgage-backed securities. Fitch has withdrawn the ratings as they are no longer considered relevant to the agency's coverage. KEY RATING DRIVERS Seven of the transactions deleveraged from collateral redemptions and excess spread, which led to the senior classes of notes receiving paydowns ranging from 0.1% to 71% of their last review note balances. The upgrades were driven by the improved credit enhancement as the result of the deleveraging. For six transactions, the credit quality of the collateral portfolios, as measured by a combination of Fitch's bank scores and public ratings, deteriorated, while the remaining transactions exhibited positive credit migration or stable credit quality. There were no new cures, deferrals or defaults since last review. The following ratings are one to two notches below their model-implied rating (MIR) due to modest cushions at their MIR: one notch for the class B-1 and B-2 notes in Preferred Term Securities XXV, Ltd./Inc. (PreTSL XXV), the class A-1 notes in Attentus CDO I, Ltd. (Attentus I), the class B-1, B-2, C-1 and C-2 notes in Kodiak CDO II, Ltd./Corp. and two notches for the class A-2, B-1 and B-2 notes in Preferred Term Securities XXIV, Ltd./Inc., and the class A-2 notes in PreTSL XXV. Additionally, the rating for the class A-2 notes in Attentus I is two notches below its MIRs due to the concentrated nature of the portfolio. Further, for the class C notes in InCapS Funding I, Ltd./Corp. (InCaps I), the MIR variation is two notches below its MIR due to concentration, as well as the sensitivity of modelling results to the interest rate stresses, given the outstanding swap. The ratings for the class B-1 and B-2 notes in U.S. Capital Funding II, Ltd./Corp. (US Cap II), the class A-1 notes in PreTSL XXV, the class A-1, C-1 and C-2 notes in Preferred Term Securities XXVI, Ltd./Inc., and the class B-1 and B-2 notes in InCaps I were affirmed one notch above their MIRs, which were driven by the outcome of the sensitivity analysis. The Stable Outlooks on 27 tranches in this review reflect Fitch's expectation that the classes have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with the classes' ratings. Fitch considered the rating of the issuer account bank in the ratings for the class A-2 notes in Alesco Preferred Funding III, Ltd./Inc., Preferred Term Securities VIII, Ltd./Inc. and US Cap II due to the transaction documents not conforming to Fitch's "Structured Finance and Covered Bonds Counterparty Rating Criteria". These transactions are allowed to hold cash, and their transaction account bank (TAB) does not collateralize cash. Therefore, these classes of notes are capped at the same rating as that of its TAB. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Not applicable as the ratings have been withdrawn. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Not applicable as the ratings have been withdrawn. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. [] Moody's Raises Ratings on 15 Bonds From 5 US RMBS Deals ---------------------------------------------------------- Moody's Ratings, on January 29, 2025, upgraded the ratings of 15 bonds from five US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE6 Cl. I-M-1, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to C (sf) Cl. II-M-1, Upgraded to Caa3 (sf); previously on May 21, 2010 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE9 Cl. I-A-2, Upgraded to Aa3 (sf); previously on Apr 2, 2024 Upgraded to A1 (sf) Cl. II-A, Upgraded to Aa2 (sf); previously on Apr 2, 2024 Upgraded to A1 (sf) Cl. III-A, Upgraded to Aa3 (sf); previously on Apr 2, 2024 Upgraded to A2 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Mar 24, 2009 Downgraded to C (sf) Issuer: Ellington Loan Acquisition Trust 2007-2 Cl. A-1, Upgraded to Aaa (sf); previously on Apr 2, 2024 Upgraded to A1 (sf) Cl. M-1a, Upgraded to Caa2 (sf); previously on Jul 14, 2010 Downgraded to C (sf) Cl. M-1b, Upgraded to Caa2 (sf); previously on Jul 14, 2010 Downgraded to C (sf) Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS 2006-B Cl. 1A-1, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to Aa1 (sf) Cl. 1A-2, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to Aa1 (sf) Cl. 2A-4, Upgraded to Baa1 (sf); previously on Jun 5, 2023 Upgraded to Ba2 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Sep 15, 2010 Downgraded to C (sf) Issuer: RAMP Series 2006-NC2 Trust Cl. M-1, Upgraded to A1 (sf); previously on Dec 29, 2016 Upgraded to B1 (sf) Cl. M-2, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. Some of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectation of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating upgrades also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Raises Ratings on 6 Bonds From 5 Scratch & Dent RMBS --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of six bonds from five US residential mortgage-backed transactions (RMBS), backed by Scratch and Dent mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities Trust 2007-SD2 Cl. II-A-1, Upgraded to Caa1 (sf); previously on May 20, 2011 Downgraded to Caa3 (sf) Cl. II-A-2, Upgraded to Caa1 (sf); previously on Apr 24, 2009 Downgraded to Ca (sf) Issuer: Countrywide Home Loan Trust 2003-SD3 Cl. B-1, Upgraded to Caa2 (sf); previously on May 19, 2011 Downgraded to Caa3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-QH2 Cl. A-1-B, Upgraded to Caa2 (sf); previously on Apr 24, 2009 Downgraded to Caa3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-QH1 Cl. A-1, Upgraded to Caa1 (sf); previously on Feb 14, 2014 Downgraded to Caa2 (sf) Issuer: MASTR Specialized Loan Trust 2007-1 Cl. A, Upgraded to Caa3 (sf); previously on Mar 5, 2009 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectation of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Action on 7 Bonds From 2 US RMBS Deals ------------------------------------------------------- Moody's Ratings has upgraded the ratings of seven bonds from two US residential mortgage-backed transactions (RMBS), backed by subprime and Alt-A mortgages issued by multiple issuers. The complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE8 Cl. I-A-3, Upgraded to Aaa (sf); previously on Feb 1, 2017 Upgraded to Ca (sf) Cl. I-M-1, Upgraded to Caa1 (sf); previously on Mar 24, 2009 Downgraded to C (sf) Cl. II-M-1, Upgraded to Caa1 (sf); previously on Sep 21, 2018 Upgraded to Ca (sf) Issuer: PHH Alternative Mortgage Trust, Series 2007-2 Cl. 1-A-2, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-3, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-4, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-5, Upgraded to Ca (sf); previously on Nov 5, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating upgrades reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised expectation of loss-given-default for each bond. The upgrade for class I-A-3 and II-M-1 from Bear Stearns Asset Backed Securities I Trust 2006-HE8 also reflects a recent settlement payment received by the deal. Each of the bonds being upgraded have either incurred a missed or delayed disbursement of an interest payment or the bond is currently, or expected to become, undercollateralized, sometimes reflected by a reduction in principal (a write-down). Moody's expectation of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The significant rating upgrade for the class I-A-3 from Bear Stearns Asset Backed Securities I Trust 2006-HE8 was primarily driven by a settlement payment received by the deal in September 2024, pursuant to JPMorgan Global RMBS Trust Settlement Agreement. Upgraded classes (I-A-3 and II-M-1) saw significant principal reductions as a result of the settlement. In addition, classes II-M-2 and I-M-1, which provide support to classes II-M-1 and I-A3 respectively, got written up by approximately $13.8 million as a result of the settlement. These adjustments led to a 53.5% increase in credit enhancement available to class I-A3, leading to improved loss coverage and the large upgrade. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 13 Bonds from 5 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 13 bonds from five US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM, and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: American Home Mortgage Assets Trust 2007-3 Cl. II-1A-1, Upgraded to Caa2 (sf); previously on Sep 29, 2015 Downgraded to Ca (sf) Cl. II-2A-1, Upgraded to Caa3 (sf); previously on Nov 12, 2010 Confirmed at Ca (sf) Issuer: American Home Mortgage Investment Trust 2006-2 Cl. I-A-2, Upgraded to Ca (sf); previously on Apr 28, 2017 Downgraded to C (sf) Cl. I-A-3, Upgraded to Ca (sf); previously on Apr 28, 2017 Downgraded to C (sf) Cl. III-A-1, Upgraded to Caa1 (sf); previously on Apr 28, 2017 Downgraded to C (sf) Cl. III-A-2, Upgraded to Ca (sf); previously on Apr 28, 2017 Downgraded to C (sf) Cl. III-A-3, Upgraded to Ca (sf); previously on Apr 28, 2017 Downgraded to C (sf) Cl. III-A-4, Upgraded to Ca (sf); previously on Apr 28, 2017 Downgraded to C (sf) Cl. III-A-5, Upgraded to Ca (sf); previously on Apr 28, 2017 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-16 Cl. 1-A, Upgraded to Caa1 (sf); previously on Oct 19, 2016 Confirmed at Caa3 (sf) Cl. 2-A-3, Upgraded to A3 (sf); previously on Apr 2, 2024 Upgraded to Ba1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-17 Cl. 2-A-3, Upgraded to Caa1 (sf); previously on Oct 19, 2016 Upgraded to Ca (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF12 Cl. M-2, Upgraded to Baa2 (sf); previously on Apr 2, 2024 Upgraded to B1 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools, and Moody's revised loss-given-default expectation. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or are currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectation of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 19 Bonds From 6 U.S. RMBS Deals -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 12 bonds and 7 underlying bonds from six US residential mortgage-backed transactions (RMBS), backed by Second Liens mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. The complete rating actions are as follows: Issuer: GMACM Home Equity Loan Trust 2005-HE1 Cl. A-2, Upgraded to Caa1 (sf); previously on May 21, 2010 Confirmed at Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on May 21, 2010 Confirmed at Caa2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-3, Upgraded to Caa1 (sf); previously on May 21, 2010 Confirmed at Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on May 21, 2010 Confirmed at Caa2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-1 VPRN, Upgraded to Caa1 (sf); previously on May 21, 2010 Confirmed at Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on May 21, 2010 Confirmed at Caa2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: GMACM Home Equity Loan Trust 2005-HE2 Cl. A-4, Upgraded to Caa1 (sf); previously on Feb 28, 2014 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Feb 28, 2014 Downgraded to Caa2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-5, Upgraded to Caa1 (sf); previously on May 21, 2010 Confirmed at Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on May 21, 2010 Confirmed at Caa2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-6, Upgraded to Caa1 (sf); previously on May 21, 2010 Confirmed at Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on May 21, 2010 Confirmed at Caa2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: GMACM Home Equity Loan Trust 2005-HE3 Cl. A-2, Upgraded to Caa1 (sf); previously on May 21, 2010 Confirmed at Ca (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on May 21, 2010 Confirmed at Ca (sf) Cl. A-1VPRN, Upgraded to Caa3 (sf); previously on May 21, 2010 Confirmed at Ca (sf) Issuer: GMACM Home Equity Loan Trust 2006-HE2 Cl. A-4, Upgraded to Caa3 (sf); previously on May 21, 2010 Confirmed at Ca (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on May 21, 2010 Confirmed at Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust 2006-H1 Cl. A, Upgraded to Caa1 (sf); previously on Nov 29, 2010 Confirmed at Ca (sf) Issuer: IndyMac Residential Asset-Backed Trust, Series 2004-LH1 Cl. B-1, Upgraded to Ca (sf); previously on Nov 29, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectation of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. 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Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The single-user TCR subscription rate is $1,400 for six months or $2,350 for twelve months, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each per half-year or $50 annually. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***