/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/250413.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, April 13, 2025, Vol. 29, No. 102 Headlines AB BSL 4: S&P Assigns Prelim BB- (sf) Rating on Class E-R Debt AGL CLO 39: Fitch Assigns 'BB+(EXP)sf' Rating on Class E Notes AGL CLO 6: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes ALLEGRO CLO XIX: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ALLO ISSUER 2025-1: Fitch Assigns Final BB- RAting to Class C Notes AVIS BUDGET 2023-1: Moody's Assigns (P)Ba1 Rating to Class D Notes AVIS BUDGET 2023-7: Moody's Assigns (P)Ba1 Rating to Class D Notes BBCMS 2021-AGW: DBRS Confirms B(low) Rating on Class G Certs BIRCH GROVE 12: Fitch Assigns 'BB+sf' Rating on Class E Notes BIRCH GROVE 12: Moody's Assigns B3 Rating to $250,000 Cl. F Notes BMO 2022-C1: DBRS Confirms B(low) Rating on Class 360E Certs BMO 2022-C1: S&P Lowers Class X-H Certs Rating to 'CCC (sf)' BMO 2023-C6: Fitch Lowers Rating on Two Tranches to 'CCCsf' BRIDGE STREET V: Fitch Assigns 'BB-sf' Rating on Class E Notes BSST 2021-1818: DBRS Cuts Rating on 3 Classes to C BSST 2022-1700: DBRS Cuts Class D Certs Rating to CCC CFMT 2025-HB16: DBRS Finalizes B Rating on Class M5 Notes CHASE HOME 2025-3: DBRS Finalizes B(low) Rating on B-5 Certs CHENANGO PARK: S&P Affirms 'B- (sf)' Rating on Class E Notes CITIGROUP 2015-101A: Fitch Affirms 'B-sf' Rating on Class F Certs CITIGROUP MORTGAGE 2025-2: DBRS Finalizes B Rating on B5 Certs COMM 2014-UBS3: Moody's Lowers Rating on 2 Tranches to Ba2 COMM 2022-HC: DBRS Confirms BB Rating on Class HRR Certs CRSNT TRUST 2021-MOON: DBRS Confirms B(low) Rating on F Notes CSWF TRUST 2018-TOP: DBRS Confirms BB(low) Rating on Class H Certs DRYDEN 123: S&P Assigns BB- (sf) Rating on Class C Notes FIGRE TRUST 2025-HE2: DBRS Finalizes B(low) Rating on Cl. F Notes FLATIRON CLO 19: S&P Assigns BB- (sf) Rating on Class E-R2 Notes GCAT TRUST 2022-INV1: Moody's Ups Rating on Cl. B-5 Certs to Ba1 GS MORTGAGE 2025-800D: DBRS Gives Prov. BB(low) Rating on C Certs HAWAII HOTEL 2025-MAUI: DBRS Finalizes B Rating on 2 Classes HILDENE TRUPS 4: Moody's Assigns Ba2 Rating to $27.75MM D-R Notes HOME RE 2021-2: Moody's Upgrades Rating on Cl. M-2 Certs From Ba2 HPS LOAN 2023-17: S&P Assigns Prelim BB- (sf) Rating on E-R Notes JP MORGAN 2014-C20: Moody's Lowers Rating on Cl. EC Certs to B1 JP MORGAN 2023-1: Fitch Keeps B- Rating on B5 Debt on Rating Watch JPMBB COMMERCIAL 2015-C28: DBRS Cuts Rating on 3 Classes to C JPMCC COMMERCIAL 2016-JP2: DBRS Confirms C Rating on Class F Certs JPMCC COMMERCIAL 2019-COR5: Fitch Lowers Rating on G-RR Debt to CC KKR FINANCIAL 2013-1: Moody's Ups Rating on Cl. D-R2 Notes to Ba2 LAKE GEORGE: Fitch Assigns 'BB+sf' Rating on Class E Notes LIFE 2021-BMR: DBRS Confirms B(low) Rating on Class G Certs MIDOCEAN CREDIT XIII: Fitch Affirms 'BB-sf' Rating on Class E Notes MOFT 2020-B6: DBRS Confirms B Rating on 2 Classes MP CLO III: Moody's Affirms B2 Rating on $21.3MM Class E-R Notes MSBAM COMMERCIAL 2012-CKSV: S&P Lowers CK Certs Rating to 'B-(sf)' OHA CREDIT 14-R: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes PARALLEL LTD 2017-1: Moody's Cuts Rating on $5MM Cl. F Notes to C PRET 2025-RPL2: DBRS Gives Prov. BB Rating on Class B-1 Notes PRET 2025-RPL2: Fitch Assigns 'Bsf' Final Rating on Cl. B-2 Notes RR 39: S&P Assigns BB- (sf) Rating on Class D Notes RR 39: S&P Assigns Preliminary BB- (sf) Rating on Class D Notes SANTANDER BANK 2023-A: Moody's Ups Rating on Class F Notes to Ba3 SEQUOIA MORTGAGE 2025-4: Fitch Gives B(EXP) Rating on Cl. B5 Certs SG COMMERCIAL 2019-787E: DBRS Confirms BB(low) Rating on F Certs SLG OFFICE 2021-OVA: DBRS Confirms B Rating on Class G Certs SOUND POINT XIX: Moody's Cuts Rating on $22.5MM Cl. E Notes to B1 SUMIT 2022-BVUE: DBRS Confirms B(low) Rating on 2 Classes TPR FUNDING 2022-1: DBRS Confirms B(low) Rating on E Advances VIBRANT CLO XV: Moody's Assigns Ba1 Rating to $7.8MM D-1R Notes VISTA POINT 2025-CES1: DBRS Gives Prov. B Rating on B-2 Notes WELLS FARGO 2025-DWHP: S&P Assigns Prelim B-(sf) Rating on F Certs WELLS FARGO 2025-VTT: DBRS Finalizes B Rating on HRR Certs [] DBRS Confirms Ratings on 9 College Ave Student Loans [] DBRS Reviews 158 Classes From 15 US RMBS Transactions [] DBRS Reviews 246 Classes From 23 US RMBS Transactions [] DBRS Reviews 39 Classes From 9 US RMBS Transactions [] Moody's Upgrades Ratings on 112 Bonds From 16 US RMBS Deals [] Moody's Upgrades Ratings on 17 Bonds From 10 US RMBS Deals [] Moody's Upgrades Ratings on 26 Bonds From 9 US RMBS Deals [] Moody's Upgrades Ratings on 27 Bonds From 2 US RMBS Deals [] Moody's Upgrades Ratings on 42 Bonds From 10 US RMBS Deals [] Moody's Upgrades Ratings on 42 Bonds From 13 US RMBS Deals [] Moody's Upgrades Ratings on 46 Bonds From 13 US RMBS Deals [] Moody's Upgrades Ratings on 58 Bonds From 9 US RMBS Deals [] Moody's Upgrades Ratings on 7 Bonds From 4 US RMBS Deals [] S&P Takes Various Actions on 174 Classes From 29 US RMBS Deals [] S&P Takes Various Actions on 180 Classes From 28 US RMBS Deals ********* AB BSL 4: S&P Assigns Prelim BB- (sf) Rating on Class E-R Debt -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R loans, class A-1-R notes, and class A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from AB BSL CLO 4 Ltd./AB BSL CLO 4 LLC, a CLO managed by AB Broadly Syndicated Loan Manager LLC that was originally issued in April 2023. The preliminary ratings are based on information as of April 7, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 14, 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-1-R loans, class A-1-R notes, and class A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt are expected to be issued at a lower spread over three-month SOFR than the original notes. -- The replacement class D-2-R notes are expected to be issued at a fixed coupon. -- The reinvestment period will be extended to April 20, 2030. -- The non-call period will be extended to April 20, 2027. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to April 20, 2038. -- No additional assets will be purchased on the April 14, 2025, refinancing date, and the target initial par amount will remain $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. 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. "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 AB BSL CLO 4 Ltd./AB BSL CLO 4 LLC Class A-1-R notes, $140.00 million: AAA (sf) Class A-1-R loans, $100.00 million: AAA (sf) Class A-2-R, $24.00 million: AAA (sf) Class B-R, $40.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $20.00 million: BBB (sf) Class D-2-R (deferrable), $8.00 million: BBB- (sf) Class E-R (deferrable), $11.00 million: BB- (sf) Other Debt AB BSL CLO 4 Ltd./AB BSL CLO 4 LLC Subordinated notes, $39.60 million: NR NR--Not rated. AGL CLO 39: Fitch Assigns 'BB+(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to AGL CLO 39 Ltd. Entity/Debt Rating ----------- ------ AGL CLO 39 Ltd. A-1 LT NR(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 F LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary AGL CLO 39, 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 99.7% first-lien senior secured loans and has a weighted average recovery assumption of 73.88%. 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 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 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, 'AAsf' for class C, 'Asf' 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 AGL CLO 39 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 6: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 6 Ltd. reset transaction. Entity/Debt Rating ----------- ------ AGL CLO 6 Ltd. X LT NRsf New Rating A-1RR LT NRsf New Rating A-1 Loans LT NRsf New Rating A-2RR LT AAAsf New Rating B-RR LT AA+sf New Rating C-1RR LT A+sf New Rating C-2RR LT Asf New Rating D-1RR LT BBB-sf New Rating D-2RR LT BBB-sf New Rating E-RR LT BB-sf New Rating F-RR LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary AGL CLO 6 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that originally closed in August 2020 and was reset in July 2021 and managed by AGL CLO Credit Management LLC. This is the second refinancing where the existing secured notes will be refinanced in whole on April 8, 2025. Net proceeds from the issuance of the new secured and existing subordinated notes will provide financing on a portfolio of approximately $580 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 99.66% first-lien senior secured loans and has a weighted average recovery assumption of 73.82%. 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 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 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-2RR notes, between 'BB+sf' and 'A+sf' for class B-RR notes, between 'B+sf' and 'BBB+sf' for class C-1RR notes, between 'B+sf' and 'BBB+sf' for class C-2RR notes, between less than 'B-sf' and 'BB+sf' for class D-1RR notes, between less than 'B-sf' and 'BB+sf' for class D-2RR notes, and between less than 'B-sf' and 'B+sf' for class E-RR notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2RR 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-RR notes, 'AA+sf' for class C-1RR notes, 'AAsf' for class C-2RR notes, 'A+sf' for class D-1RR notes, 'A-sf' for class D-2RR notes, and 'BBB+sf' for class E-RR 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 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 AGL CLO 6 Ltd. reset transaction. 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. ALLEGRO CLO XIX: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Allegro CLO XIX Ltd./Allegro CLO XIX 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 AXA Investment Managers US Inc., a subsidiary of AXA Group. The preliminary ratings are based on information as of April 9, 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 collateral pool's diversification; -- 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. Preliminary Ratings Assigned Allegro CLO XIX Ltd./Allegro CLO XIX LLC Class A, $252.00 million: AAA (sf) Class B, $52.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $22.00 million: BBB (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $37.03 million: Not rated ALLO ISSUER 2025-1: Fitch Assigns Final BB- RAting to Class C Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to ALLO Issuer, LLC, Secured Fiber Network Revenue Term Notes, Series 2025-1 as follows: - $110.0 million 2025-1 class A-2 'Asf'; Outlook Stable; - $30.1 million(a) 2025-1 class B 'BBBsf'; Outlook Stable; - $59.9 million(a) 2025-1 class C 'BB-sf'; Outlook Stable. Fitch has also affirmed the following classes: - $128.0 million 2024-1 class A-2 'Asf'; Outlook Stable; - $33.3 million 2024-1 class B 'BBBsf'; Outlook Stable; - $71.6 million 2024-1 class C 'BB-sf'; Outlook Stable. - $32 million(a) 2023-1 class A-1-L at 'Asf'; Outlook Stable; - $150 million(b) 2023-1 class A-1-V at 'Asf'; Outlook Stable; - $405 million 2023-1 class A-2 at 'Asf'; Outlook Stable; - $58 million 2023-1 class B at 'BBBsf'; Outlook Stable; - $113 million 2023-1 class C at 'BB-sf'; Outlook Stable. The following classes are not rated by Fitch: - $36,000,000(c) series 2023-1, class R. - $12,700,000(c) series 2024-1, class R. - $10,800,000(c) series 2025-1, class R. (a) This note is a liquidity funding note that can be drawn for the purpose of funding liquidity funding advances subject to the satisfaction of certain conditions. The balance of the note will be $0 at issuance and is not counted when calculating debt/Fitch net cash flow (NCF) ratio. (b) This note is a variable funding note (VFN) and has a maximum commitment of $150 million contingent on leverage consistent with the class A-1 notes. This class will reflect a balance of $8.9 million at issuance. (c) Horizontal credit risk retention interest representing 5% of the 2023-1, 2024-1, and 2025-1 notes. The note balances include prefunding amounts of $90 million for the 2025-1 series, which are allocated between classes B and C. Transaction Summary The transaction is a securitization of the contract payments derived from an existing fiber to the home (FTTH) network. Debt is secured by the net revenue of operations and benefits from a perfected security interest in the underlying assets, which include conduits, cables, network-level equipment, access rights, customer contracts, transaction accounts and an equity pledge from the asset entities. The collateral includes high-quality fiber lines providing internet, cable and telephone services to a network of approximately 132,343 retail customers located across 27 markets in Nebraska, Arizona and Colorado. These markets represent approximately 88.4% of the company's total revenue as of January 2025. Approximately 51.0% of annualized run rate revenue (ARRR) is located in Lincoln, NE, with 92.4% of ARRR attributable to markets in the state of Nebraska. Since the 2024-1 issuance of notes, one additional issuer-defined market in Arizona has been included in the trust. The additional collateral comprises 5.23% of transaction revenue and passes over 51,323 locations with a weighted average (WA) penetration rate of approximately 15.6%, compared to the WA penetration of 40% for all contributed markets. Transaction proceeds will be utilized to pay down the outstanding balance of the series 2023-1 A-1-V and fund the series 2025-1 prefunding account and applicable securitization transaction reserves. The proceeds will also be used to pay transaction fees and for general corporate purposes, which may include a distribution to the parent for growth capital expenditures. With the 2025-1 issuance, there is a springing amendment to the indenture changing the waterfall such that the class C interest is paid before class A and B principal in certain post-ARD scenarios including after the 2023 and 2024 series are repaid. The ratings reflect a structured finance analysis of the cash flows from the ownership interest in the underlying fiber optic network, not an assessment of the corporate default risk of the ultimate parent, ALLO Communications LLC. KEY RATING DRIVERS Net Cash Flow and Trust Leverage: Fitch's net cash flow (NCF) on the pool is $95.1 million in the base case, implying a 14.6% haircut to issuer base case NCF as of the January 2025 payment date. The debt multiple relative to Fitch's NCF on the rated classes is 9.7x in this scenario, versus the debt/issuer NCF leverage of 8.3x. Inclusive of the prefunding and the cash flow required to draw on the maximum variable funding note (VFN) commitment of $150 million, the Fitch NCF on the pool is $119.0 million, implying a 15.3% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.7x, compared with the debt/issuer NCF leverage of 8.3x. Credit Risk Factors: The major factors impacting Fitch's determination of cash flow and maximum potential leverage (MPL) include the high quality of the underlying collateral networks, scale of the network, market concentration, the market position of the sponsor, capability of the operator, higher barriers to entry and strength of the transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology will be developed that renders obsolete the current transmission of data through fiber optic cables. Fiber optic cable networks are currently the fastest and most reliable means to transmit information, and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Declining cash flow as a result of higher expenses, contract churn, contract amendments or the development of an alternative technology for the transmission of data could lead to downgrades; - Fitch's base case NCF is 14.6% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 from 'Asf' to 'BBBsf', class B from 'BBBsf' to 'BB+sf', and class C from 'BB-sf' to 'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Increasing cash flow without an increase in corresponding debt from rate increases, additional contracts, contract amendments, or expense reductions could lead to upgrades; - A 10% increase in Fitch's base case NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 from 'Asf' to 'Asf', class B from 'BBBsf' to 'Asf', and class C from 'BB-sf' to 'BB+sf'; - Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. 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. AVIS BUDGET 2023-1: Moody's Assigns (P)Ba1 Rating to Class D Notes ------------------------------------------------------------------ Moody's Ratings has assigned a provisional rating of (P)Ba1 (sf) to the Series 2023-1 Rental Car Asset Backed Notes, Class D issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC. The complete rating action is as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-1 Series 2023-1 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba1 (sf) RATINGS RATIONALE The provisional rating assigned to the series 2023-1 class D notes is based on (1) the credit quality of the collateral in the form of rental fleet vehicles which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the track-record and expertise of ABCR as sponsor and administrator, (4) the available credit enhancement, which consists of subordination and over-collateralization, (5) minimum liquidity in the form of cash and/or a letter of credit, and (6) the transaction's legal structure. The class D notes will benefit from dynamic credit enhancement primarily in the form of overcollateralization. The credit enhancement level for the 2023-1 class D note will fluctuate over time with changes in the fleet composition and will be determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.50% minimum for non-program (risk) vehicles and (4) 35.75% for medium and heavy duty trucks, in each case, as a percentage of the aggregate outstanding balance of the class A, B, C and D notes net of the series allocated cash amount. As in prior issuances, the transaction documents will stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the ratings of the series 2023-1 class D note, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and a stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2023-1 class D note if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 bankruptcy were to decrease, and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and a weaker credit quality of vehicle manufacturers. AVIS BUDGET 2023-7: Moody's Assigns (P)Ba1 Rating to Class D Notes ------------------------------------------------------------------ Moody's Ratings has assigned a provisional rating of (P)Ba1 (sf) to the series 2023-7 Rental Car Asset Backed Notes, Class D to be issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car Systsem, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC. The complete rating action is as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-7 Series 2023-7 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba1 (sf) RATINGS RATIONALE The provisional rating assigned to the series 2023-7 class D notes is based on (1) the credit quality of the collateral in the form of rental fleet vehicles which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the track-record and expertise of ABCR as sponsor and administrator, (4) the available credit enhancement, which consists of subordination and over-collateralization, (5) minimum liquidity in the form of cash and/or a letter of credit, and (6) the transaction's legal structure. The class D notes will benefit from dynamic credit enhancement primarily in the form of overcollateralization. The credit enhancement level for the 2023-7 class D note will fluctuate over time with changes in the fleet composition and will be determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.25% minimum for non-program (risk) vehicles and (4) 35.70% for medium and heavy duty trucks, in each case, as a percentage of the aggregate outstanding balance of the class A, B, C and D notes net of the series allocated cash amount. As in prior issuances, the transaction documents will stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the rating of the series 2023-7 class D note, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and a stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the rating of the series 2023-7 class D note if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 bankruptcy were to decrease, and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and a weaker credit quality of vehicle manufacturers. BBCMS 2021-AGW: DBRS Confirms B(low) Rating on Class G Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of the Commercial Pass-Through Certificates issued by BBCMS 2021-AGW Mortgage Trust, Series 2021-AGW: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (high) (sf) -- Class X-NCP at AA (low) (sf) -- Class D at A (high) (sf) -- Class E at BB (high) (sf) -- Class F at B (high) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable performance of the underlying collateral, which generally remains in line with Morningstar DBRS' expectations since the previous credit rating action in April 2024, when the credit ratings for Classes E and F were downgraded by one notch each. The Morningstar DBRS value was updated to reflect a higher capitalization rate, as further described in the press release dated April 15, 2024, available on the Morningstar DBRS website. Although Morningstar DBRS believes the generally increased credit risks for office properties remains a consideration for this transaction, the collateral portfolio continues to benefit from its high proportion of medical tenants, which comprise 53.8% of the Morningstar DBRS base rent and had a weighted-average lease term of 16.3 years at issuance. In addition, the Morningstar DBRS net cash flow (NCF) gave long-term credit tenant benefit for investment-grade tenants whose leases extend at least three years beyond the loan term. The transaction is collateralized by the leasehold interest in 16 cross-collateralized, suburban office buildings totaling approximately 2.0 million square feet (sf) on the North Shore of Long Island, New York. Sponsorship is provided through a joint venture between Angelo Gordon and the WE'RE Group. Angelo Gordon purchased a 95.5% leasehold interest in the portfolio from the WE'RE Group, which retained the remaining 4.5% leasehold interest and 100% of the leased fee interest. Loan proceeds of $350.0 million were primarily used to refinance $234.6 million of existing debt, return $98.1 million of borrower equity, and fund upfront reserves. The $350.0 million interest-only (IO) floating-rate loan had an initial maturity date in June 2023; however, the borrower has exercised two of the three one-year extension options to date. The borrower's plans for the upcoming June 2025 maturity have not been communicated by the servicer, but Morningstar DBRS believes it is likely the remaining option will be exercised. According to the loan agreement, there are no performance triggers, financial covenants, or fees required for the borrower to exercise any of the extension options; however, the execution of each option is conditional upon, among other things, no events of default and the borrower's purchase of an interest rate cap agreement with a strike rate at 4.0%, which would result in a debt service coverage ratio (DSCR) equal to 1.10 times (x). The loan was added to the servicer's watchlist in April 2024 because of a low DSCR. As of the most recent reporting, the financials for the trailing-nine-month period (T-9) ended September 30, 2024, reported a DSCR of 0.94x, compared with the year-end (YE) 2023 DSCR of 1.08x and the Morningstar DBRS DSCR of 2.86x derived at issuance. The low in-place DSCR is attributable to the loan's floating interest rate structure; however, Morningstar DBRS notes an interest rate cap is in place, with a 4.0% strike rate, as noted above. The net cash flow (NCF) in YE2023 was $30.4 million, in line with the Morningstar DBRS NCF of $30.0 million. More recently, however, the annualized NCF reported by the servicer for the trailing nine-month period ended September 30, 2024, had fallen below the Morningstar DBRS NCF figure to $27.7 million. The cash flow decline in 2024 is attributable to a combination of declined revenue and increased expenses. According to the August 2024 rent roll, the portfolio reported a consolidated occupancy rate of 82.9%, compared with the consolidated occupancy rate of 86.8% at issuance. That rent roll showed that leases totaling 14.0% of the NRA have already expired or are scheduled to expire prior to the loan's fully extended maturity in June 2026. The largest tenant is ProHealth Medical Management, LLC (ProHealth; 17.4% of the NRA, leases expiring between August 2026 and August 2030). At issuance, ProHealth occupied 18.3% of the NRA, suggesting that the tenant vacated some space at its respective lease expiry dates over the past few years. As per Reis, office properties located in the portfolio's three submarkets reported slightly elevated average vacancy rates in Q4 2024: Northwest Nassau (13.6%), East Nassau (15.0%), and Western Suffolk (13.9%). However, the proximity of the collateral properties to major hospitals on Long Island's North Shore is a significant demand driver. Medical tenants tend to receive above-market allocations for tenant improvements but will often spend additional capital on the build-out of their spaces. This larger upfront investment substantially increases potential relocation costs upon lease expiration and increases probability of renewal. Individual properties are permitted to be released at 105% of the allocated loan amount (ALA) for the applicable property up to 10% of the original principal balance, 110% of the ALA for the applicable property up to 20%, and 115% thereafter. For individual assets located within the Lake Success Quadrangle, the release price shall equal 115% at any given time for seven properties, representing approximately 35.5% of the current pool balance, and 120% at any given time for four properties, representing approximately 19.1% of the current pool balance. Morningstar DBRS elected not to apply a penalty to the transaction's capital structure as 63.5% of the portfolio by ALA is subject to a release price of 115% or greater, which Morningstar DBRS considers to be credit neutral. The loan allows for pro rata paydowns associated with property releases for the first 20% of the unpaid principal balance, and Morningstar DBRS applied a penalty to the capital stack as the deleveraging of the senior notes through the release of individual properties occurs at a slower pace compared with a sequential-pay structure. As of the March 2025 remittance, no property releases have been reported. Morningstar DBRS maintained the valuation approach from the April 2024 review, which was based on a capitalization rate of 9.25% applied to the Morningstar DBRS net cash flow of $30.0 million. Morningstar DBRS also maintained positive qualitative adjustments to the loan-to-value ratio sizing benchmarks totaling 2.50% to reflect the portfolio's diversified tenant roster and long-term in-place tenancy of the investment-grade tenants. The Morningstar DBRS concluded value of $325.2 million represents a -29.3% variance from the issuance appraised value of $458.7 million. Notes: All figures are in U.S. dollars unless otherwise noted. BIRCH GROVE 12: Fitch Assigns 'BB+sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Birch Grove CLO 12 Ltd. Entity/Debt Rating Prior ----------- ------ ----- Birch Grove CLO 12 Ltd. A-1 LT NRsf New Rating NR(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 F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Birch Grove CLO 12 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Birch Grove Capital LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $475 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 95.36% first-lien senior secured loans and has a weighted average recovery assumption of 74.02%. 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 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 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, '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 Birch Grove CLO 12 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. BIRCH GROVE 12: Moody's Assigns B3 Rating to $250,000 Cl. F Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Birch Grove CLO 12 Ltd. (the Issuer): US$294,500,000 Class A-1 Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$250,000 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 methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Birch Grove CLO 12 Ltd. 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 (including first lien last out loans), unsecured loans, and bonds. The portfolio is approximately 98% ramped as of the closing date. Birch Grove Capital LP (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: $475,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3102 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 45.00% 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. BMO 2022-C1: DBRS Confirms B(low) Rating on Class 360E Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on the following classes of the 360 Rosemary Loan-Specific Certificates issued by BMO 2022-C1 Mortgage Trust: -- Class 360A at AA (low) (sf) -- Class 360X at AA (sf) -- Class 360B at A (low) (sf) -- Class 360C at BBB (low) (sf) -- Class 360D at BB (low) (sf) -- Class 360E at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations since issuance, evidenced by stable occupancy rates and cash flows. The transaction is secured by the fee-simple interest in 360 Rosemary, a newly constructed, Class-A office property in downtown West Palm Beach, Florida. The property includes 291,298 square feet (sf) of office space, 21,704 sf of retail space, and a parking garage. The property`s amenities include panoramic views of Palm Beach Island, outdoor space, and an Equinox-designed fitness center; additionally, the property is near shopping and entertainment attractions. The property benefits from proximity to I-95 and U.S. Route 1, providing access to coastal cities along the east coast of Florida and Palm Beach International Airport. The sponsor, The Related Companies, L.P., a global real estate firm, built the property in 2021 and owns more than 1.4 million sf of office space in West Palm Beach. The $210.0 million whole loan was used to acquire the property and is composed of seven promissory notes: five senior A notes totaling $85.0 million, a $100.8 million junior B note (the 360 Rosemary Subordinate Companion Loan), and a $24.2 million junior C note. The subject transaction consists of two senior A notes totaling $45.0 million, which are pari passu with the other three senior A notes securitized in two transactions not rated by Morningstar DBRS. The fixed-rate loan has a 10-year loan term with scheduled maturity in February 2032. As of the September 2024 rent roll, the property was 100.0% occupied, compared with 95.9% at closing. The largest tenants include NewDay USA (16.7% of the net rentable area (NRA), lease expiry in December 2032), Goldman Sachs (14.4% of the NRA, lease expiry in December 2032), and Comvest (12.5% of the NRA, lease expiry in June 2033). Goldman Sachs is an investment-grade tenant, rated A (high) with Stable trend by Morningstar DBRS (confirmed on May 23, 2024). JP Morgan Chase Bank (4.1% of NRA, lease expiry in August 2034), an investment-grade tenant rated AA with Stable trend by Morningstar DBRS (confirmed on December 5, 2024) also moved in as of August 2024, furthering the credit tenant concentration at the property. Tenant rollover risk is negligible, with no leases scheduled to expire in the next 12 months. According to Reis, office properties within the West Palm Beach Downtown submarket reported vacancy and rental rates of 12.5% and $56.78 per square foot (psf) as of Q4 2024, an improvement from 16.6% and $51.32 psf in Q4 2023. The subject continues to outperform comparable properties given the high asset quality and desirable location, as evidenced by its full occupancy and above-average rental rate of $81.66 psf. According to the most recent financials, the annualized trailing nine-month financials for the period ended September 30, 2024, reported a net cash flow (NCF) of $12.5 million, compared with $12.2 million as of year-end (YE) 2023 and the Morningstar DBRS NCF of $12.4 million derived at issuance. The September 2024 debt service coverage ratio (DSCR) was reported at 1.48 times (x), in line with the YE2023 DSCR of 1.46x. Morningstar DBRS' previous credit rating action in April 2024 included an update to the collateral's valuation. For more information regarding the approach and analysis conducted, please refer to the press release titled "Morningstar DBRS Takes Rating Actions on North American Single-Asset/Single-Borrower Transactions Backed by Office Properties," published on April 15, 2024. For the purposes of this credit rating action, Morningstar DBRS maintained the valuation approach from the April 2024 review, which was based on a capitalization rate of 7.25% applied to the Morningstar DBRS NCF of $12.4 million. Morningstar DBRS also maintained positive qualitative adjustments to the Loan-to-Value (LTV) Sizing benchmarks totaling 6.75% to reflect the property's minimal rollover, favorable asset quality, and location in a high growth market. The Morningstar DBRS concluded value of $171.1 million represents a -38.9% variance from the issuance-appraised value of $280.0 million and implies an A-note LTV of 49.7% and a whole loan LTV of 122.7%. The Morningstar DBRS credit rating assigned to Class 360C is higher than the results implied by the LTV sizing benchmarks. This variance is warranted considering the increased occupancy rate, in-line cash flows, and further evidence of loan performance trend sustainability. Notes: All figures are in U.S. dollars unless otherwise noted. BMO 2022-C1: S&P Lowers Class X-H Certs Rating to 'CCC (sf)' ------------------------------------------------------------ S&P Global Ratings lowered its ratings on eight classes of commercial mortgage pass-through certificates from BMO 2022-C1 Mortgage Trust, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on 12 other classes from the transaction. Rating Actions The downgrade on the class E, F, G, and H certificates and the affirmations on the class A-1, A-2, A-3, A-AB, A-4, A-5, A-S, B, C, and D certificates reflect: -- S&P's lower revised S&P Global Ratings' values for properties securing five loans totaling 12.5% of the pooled trust balance that have exhibited deteriorating performance: IPCC National Storage Portfolio XVI loan (5.4%), Coleman Highline Phase IV (3.7%; reflecting only an increase to the capitalization rate to 8.0% reflecting subleasing at the property), NYC MFRT Portfolio (2.7%), Bethany Medical (0.3%), and Broward County Industrial (0.3%); -- S&P's loss assumption on the specially serviced 640 Virginia Park Street loan (0.1%); -- S&P's increased capitalization rate assumptions for four additional loans (2.1%) because of our perceived higher market risk premium for class B office properties; and -- The removal of certain qualitative insurance-related penalties for two loans (7.7%), as well as deal amortization to date (a paydown of 1.0%). S&P said, "The downgrades on classes G and H to 'B- (sf)' and 'CCC (sf)', respectively, reflects our qualitative consideration that their repayments are dependent upon favorable business, financial, and economic conditions and that these classes are at a heightened risk of default, loss, and liquidity interruption. "We downgraded our ratings on the class X-D, X-F, X-G, and X-H IO certificates and affirmed our ratings on the class X-A and X-B certificates based on our criteria for rating interest-only (IO) securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X-A certificates references the aggregate certificate balance of the class A-1, A-2, A-3, A-4, A-5, A-AB, and A-S certificates. The notional amount of the class X-B certificates references the aggregate certificate balance of the class B and C certificates. The notional amount of the class X-D certificates references the aggregate certificate balance of the class D and E certificates. The notional amounts of the class X-F, X-G, and X-H certificates reference the certificate balance of the class F, G, and H certificates, respectively. "We will continue to monitor the performance of the transaction and the collateral loans, including any developments around the loans for which we have revised our net cash flows (NCFs) and values and the resolution of the specially serviced loans. To the extent future developments differ meaningfully from our underlying assumptions, we may take further rating actions as we determine necessary." Loan Details IPCC National Storage Portfolio XVI ($60.0 million; 5.4% of the pooled balance) This loan is the largest loan in the pool. It is secured by 19 self-storage properties built between 1954 and 2018 totaling 1.13 million sq. ft. and 9,046 units in Florida, Alabama, California, Pennsylvania, Maine, Maryland, Nevada, and South Carolina. The portfolio also includes 504 recreational vehicle parking spaces. The IO trust loan represents a pari passu portion within a larger whole loan. As of the March 2025 trustee remittance report, the trust balance was $60.0 million, and the whole loan balance was $117.0 million. The whole loan pays an annual fixed interest rate of 3.628% and matures on Jan. 1, 2032. The loan is currently on the master servicer's watchlist due to repairs required at some properties. S&P lowered its S&P Global Ratings expected-case valuation to $112.4 million, or $99 per sq. ft., during its review of the BBCMS Mortgage Trust 2022-C15 transaction on Jan. 16, 2025, primarily due to decline in revenues since issuance. NYC MFRT Portfolio ($30.0 million; 2.7% of the pooled balance) This loan is secured by two properties in New York City. The larger building is a 79,915-sq.-ft., 1908-built, mixed-use (multifamily and retail) property in the Financial District, and the smaller building is a 57,526-sq.-ft., 1996-built, retail property in South Brooklyn. The IO loan has a trust balance of $30.0 million as of the March 2025 trustee remittance report. It pays a fixed interest rate of 3.96% and matures on Feb. 6, 2032. The loan is currently on the master servicer's watchlist due to forced place insurance and a low debt service coverage ratio (DSCR). S&P lowered its S&P Global Ratings expected-case valuation to $55.9 million, or $407 per sq. ft., during its review of the BBCMS Mortgage Trust 2022-C15 transaction on Jan. 16, 2025, primarily due to declining performance. Wyndham National Hotel Portfolio ($16.5 million; 1.5% of the pooled balance) This loan is secured by 3,729 rooms in a 44 limited-service hotel portfolio located across 23 states. The trust loan represents a 13.8% of pari passu portion within a larger whole loan. As of the March 2025 trustee remittance report, the trust balance was $16.5 million, down from $18.9 million at issuance, and the whole loan balance was $119.8 million, down from $137.1 million at issuance. The whole loan is an amortizing loan on a 270-month schedule, pays an annual fixed interest rate of 4.85%, and matures on Dec. 6, 2029. The loan transferred to special servicing in April 2024 due to the borrower's non-compliance with cash management, which was triggered in March 2021 after the portfolio properties failed to meet certain RevPar targets. As a result, from March 2021 to December 2023, the borrower failed to deposit about $13.3 million into the servicer cash management account and breached the cash sweep DSCR trigger with a ratio of 1.61x, which was below the required ratio of 1.85x. Additionally, the borrower and its affiliates committed special-purpose entity violations through intracompany loans. The special servicer, Rialto Capital Advisors LLC (Rialto), noted that the borrower sought a forbearance but has not offered the forbearance terms. Subsequently, the borrower sought Chapter 11 protections in June 2024. As of March 2025, negotiations between the borrower and Rialto are ongoing. As of trailing 12 months ending November 2024, the property was 52.0% occupied, and the reported net operating income had increased to $22.1 million from $19.5 million as of year-end 2023, whereas the corresponding NCF for the respective periods declined to $10.7 million as of trailing 12 months ending November 2024 from $16.5 million as of year-end 2023. It is our understanding that the decline in reported NCF was primarily due to expenses resulting from the borrower bankruptcy. S&P said, "Given the properties' relatively stable performance and considering the current payment status on the loan, we have maintained our sustainable NCF of $14.2 million (the same as at issuance). Applying an S&P Global Ratings' capitalization rate of 11.75% (the same as at issuance), we derived an S&P Global Ratings value of $137.6 million. This yielded a 87.00% S&P Global Ratings loan-to-value (LTV) ratio on the $119.8 million whole loan." Bethany Medical ($3.8 million; 0.3% of the pooled balance) This loan is secured by a 48,323-sq.-ft. multi-tenant medical office building in Kansas City, Kan., that was built in 1993 and renovated in 2017. The IO loan has a trust balance of $3.8 million as of the March 2025 trustee remittance report. It pays a fixed interest rate of 3.65% and matures on Sept. 1, 2026. S&P said, "In current analysis, we lowered our NCF to $141,144 due to performance deterioration noted for the property since issuance. The servicer-reported NCF was $198,607 in 2022 and declined to $72,215 in 2023 before improving to $241,553 in 2024. Therefore, we revised our NCF to $141,144 based on the expectation that property will maintain rent and occupancy at the submarket levels of $20.56 per sq. ft. and 91.1%, respectively, and incorporates the in-place operating expense ratios observed at the property of approximately 82.7%. Retaining our blended 8.50% capitalization rate, we arrived at an S&P Global Ratings' expected case value of $1.7 million ($34 per sq. ft.), which is 54.3% lower than our $3.6 million issuance value and 72.1% below the $5.9 million appraisal value at issuance." Broward County Industrial ($3.5 million; 0.3% of the pooled balance) This loan is secured by a 20,500-sq.-ft. industrial property built in 1958 in Fort Lauderdale, Fla., and a 16,345 unit warehouse property built in 1969 in Deerfield Beach, Fla. The IO loan has a trust balance of $3.52 million (as of the March 2025 trustee remittance report). It pays a fixed interest rate of 4.21% and matures on Feb. 1, 2032. The loan is currently on the master servicer's watchlist due low DSCR and occupancy below 80.0%. S&P said, "In current analysis, we lowered our NCF to $127,488 due to performance deterioration since issuance. Occupancy at the property has declined to 73.0% as of year-end 2024 from 100.0% at issuance, resulting in lower report NCF of $79,443 for 2024. Our revised lower NCF assumes the property will maintain rent and occupancy at the submarket levels of $20.00 per sq. ft. and 93.5%, respectively, and incorporates the in-place operating expense ratios observed at the properties of approximately 80.1% for industrial and self-storage properties. Retaining our 6.91% capitalization rate, we arrived at an S&P Global Ratings' expected case value of $1.84 million ($49.5 per sq. ft.), which is 52.6% lower than our $3.8 million issuance value and 71.6% below the $6.5 million appraisal value at issuance." 640 Virginia Park Street ($3.5 million; 0.3% of the pooled balance) This specially serviced loan is secured by a 21-unit, three-story, walk-up apartment building in Detroit. The loan has a current balance of $1.4 million and a total exposure of $1.5 million as of the March 2025 trustee remittance report. It pays an annual fixed interest rate of 5.13%, was IO for the first 24 months, and matures on Feb. 6, 2032. The loan, which has a reported paid-through date of May 6, 2024, was transferred to special servicing in January 2024 due to monetary and non-monetary default. Per the special servicer, CWCapital Asset Management LLC (CWCapital), if the borrower fails to secure the refinancing or execute a sale of property, the special service will procced with the foreclosure. The borrower is currently working to refinance the loan, but no definite time frame is known at this time. S&P said, "Although the reported appraisal value remains at $2.2 million as of November 2021, we were provided with an internal valuation by CWCapital that indicates property valuation has declined. Based on the special servicer provided valuation, we expect moderate loss (29.0%-59.0%) upon the eventual resolution of the loan in the event the borrower is unsuccessful in securing a refinancing or sale of the property." Transaction Summary As of the March 17, 2025, trustee remittance report, the collateral pool balance was $1.11 billion, which is 99.0% of the pool balance at issuance. The pool currently includes 78 loans, up from 77 loans at issuance, which is due to partial defeasance of Texas Children's Hospital loan from the HTI MOB Portfolio loan. Of the 78 loans in the pool, two ($17.9 million; 1.6% of the pooled balance) are with the special servicer, 12 ($242.9 million; 21.9%) are on the master servicer's watchlist, and one ($5.3 million; 0.5%) is defeased. Excluding the 640 Virginia Park Street specially serviced loan and the defeased loan and adjusting the servicer-reported numbers, we calculated a 2.19x S&P Global Ratings weighted average DSCR and a 90.2% S&P Global Ratings weighted average LTV ratio using a 7.72% S&P Global Ratings weighted average capitalization rate. To date, the transaction has not experienced any principal losses. S&P expects losses to reach approximately 0.04% of the original pool trust balance in the near term based on losses it expects upon the eventual resolution of the 640 Virginia Park Street specially serviced loan. Ratings Lowered BMO 2022-C1 Mortgage Trust Class E to 'BB+ (sf)' from 'BBB- (sf)' Class F to BB (sf)' from 'BB+ (sf)' Class G to 'B- (sf)' from 'BB- (sf)' Class H to 'CCC (sf)' from 'B- (sf)' Class X-D to 'BB+' (sf)' from 'BBB- (sf)' Class X-F to 'BB (sf)' from 'BB+ (sf)' Class X-G to 'B- (sf)' from 'BB- (sf)' Class X-H to 'CCC (sf)' from 'B- (sf)' Ratings Affirmed BMO 2022-C1 Mortgage Trust Class A-1: AAA (sf) Class A-2: AAA (sf) Class A-3: AAA (sf) Class A-SB: AAA (sf) Class A-4: AAA (sf) Class A-5: AAA (sf) Class A-S: AAA (sf) Class X-A: AAA (sf) Class B: AA+ (sf) Class C: A+ (sf) Class X-B: A+ (sf) Class D: BBB+ (sf) BMO 2023-C6: Fitch Lowers Rating on Two Tranches to 'CCCsf' ----------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed 15 classes of BMO 2023-C6 Mortgage Trust (BMO 2023-C6). The Rating Outlooks for classes E-RR, X-ERR, F-RR and X-FRR have been revised to Negative from Stable. Fitch has affirmed 16 classes of BMO 2023-C7 Mortgage Trust (BMO 2023-C7). The Outlooks for classes F, X-F and G-RR have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- BMO 2023-C7 A-1 05593FAA6 LT AAAsf Affirmed AAAsf A-2 05593FAB4 LT AAAsf Affirmed AAAsf A-5 05593FAD0 LT AAAsf Affirmed AAAsf A-S 05593FAH1 LT AAAsf Affirmed AAAsf A-SB 05593FAE8 LT AAAsf Affirmed AAAsf B 05593FAJ7 LT AA-sf Affirmed AA-sf C 05593FAK4 LT A-sf Affirmed A-sf D 05593FAS7 LT BBBsf Affirmed BBBsf E 05593FAU2 LT BBB-sf Affirmed BBB-sf F 05593FAW8 LT BB-sf Affirmed BB-sf G-RR 05593FAY4 LT B-sf Affirmed B-sf X-A 05593FAF5 LT AAAsf Affirmed AAAsf X-B 05593FAG3 LT AA-sf Affirmed AA-sf X-D 05593FAL2 LT BBBsf Affirmed BBBsf X-E 05593FAN8 LT BBB-sf Affirmed BBB-sf X-F 05593FAQ1 LT BB-sf Affirmed BB-sf BMO 2023-C6 A-2 055985AB1 LT AAAsf Affirmed AAAsf A-4 055985AD7 LT AAAsf Affirmed AAAsf A-5 055985AE5 LT AAAsf Affirmed AAAsf A-S 055985AJ4 LT AAAsf Affirmed AAAsf A-SB 055985AF2 LT AAAsf Affirmed AAAsf B 055985AK1 LT AA-sf Affirmed AA-sf C 055985AL9 LT A-sf Affirmed A-sf D-RR 055985AM7 LT BBBsf Affirmed BBBsf E-RR 055985AR6 LT BBB-sf Affirmed BBB-sf F-RR 055985AV7 LT BB-sf Affirmed BB-sf G-RR 055985AZ8 LT CCCsf Downgrade B-sf X-A 055985AG0 LT AAAsf Affirmed AAAsf X-B 055985AH8 LT AA-sf Affirmed AA-sf X-DRR 055985AP0 LT BBBsf Affirmed BBBsf X-ERR 055985AT2 LT BBB-sf Affirmed BBB-sf X-FRR 055985AX3 LT BB-sf Affirmed BB-sf X-GRR 055985BB0 LT CCCsf Downgrade B-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss is 4.8% for BMO 2023-C6 and 5.0% for BMO 2023-C7. The increased pool loss expectations are driven primarily by five Fitch Loans of Concern (FLOCs; 12.9%) in special servicing in BMO 2023-C6 and three FLOCS (11.3%) in BMO 2023-C7, all but one of which are in special servicing. Three of the specially serviced loans across the two deals are from the same sponsor. The Negative Outlooks for BMO 2023-C6 and BMO 2023-C7 reflect the potential for downgrades to the classes if loss expectations increase from prolonged workouts and/or valuation declines for the specially serviced loans. Related Sponsor Loans: Three loans across the two transactions have a related sponsor: Maple Creek Village (4.7% of BMO 2023-C6); Cincinnati Multifamily Portfolio (3.5% of BMO 2023-C6); and Knoll Ridge Apartments (2.4% of BMO 2023-C7). The loans transferred to special servicing in July 2024 after a series of late payments and lack of financial reporting. The loan sponsor, Mendel Steiner, died in January 2025. Given the delinquency and special serviced status, Fitch's loss expectations have increased for these loans. Additionally, Fitch remains concerned about the potential for fees and expenses in the case of a protracted workout for these assets. Maple Creek Village is the largest contributor to overall pool loss expectations in BMO 2023-C6. The loan is secured by a 247-unit garden multifamily property in Indianapolis. The property was 98.4% occupied as of March 2024 reporting. The loan was reported as 30 days delinquent in June 2024 and remains delinquent as of March 2025 reporting. Fitch's 'Bsf' rating case loss of 15.2% (prior to concentration add-ons) reflects the Fitch issuance net cash flow (NCF), an 8.75% cap rate and factors in an elevated probability of default given the delinquent and specially serviced loan status. The Cincinnati Multifamily Portfolio loan is secured by three multifamily properties totaling 212 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. Fitch's 'Bsf' rating case loss is approximately 12.5% (prior to concentration add-ons), which reflects Fitch's issuance NCF, an 8.75% cap rate, and factors in the loan's delinquent status and higher probability of default. The Knoll Ridge Apartments loan is secured by three multi-family properties located in suburban Indianapolis totaling 354 units. The loan is 30 days delinquent as of the March 2025 reporting. Fitch's 'Bsf' rating case loss is approximately 12.8% (prior to concentration add-ons), which reflects Fitch's issuance NCF, an 8.75% cap rate and factors in the loan's delinquent status and higher probability of default. Additional Specially Serviced Loans: The BMO 2023-C6 transaction has three additional specially serviced loans (4.7% of the pool). The loans are HIE Gatlinburg (3.5%), secured by a 113-key limited-service hotel in Gatlinburg, TN; 2021 Avenue X (0.9%), secured by a 12,500-sf single tenant medical office property located in Brooklyn, NY; and Society Hill Portfolio (0.7%), secured by a three property, 13-unit multifamily and mixed-use portfolio located in the Old City area of Philadelphia. All three loans are delinquent as of March 2025 servicer reporting. Recent servicer financials for HIE Gatlinburg as of Q3 2024 reported a NOI DSCR of 2.19x and occupancy of 81%, in line with issuance expectations. The property's servicer provided December 2024 STR report indicated the property is performing well above its competitive set. The property's franchise agreement runs five years past the loan term. The 2021 Avenue X property is 100% occupied by a single tenant, Radiology Associates, on a lease through 2038. The largest contributor to overall pool loss expectations in BMO 2023-C7 is The Park at Trowbridge loan (4.5% of the pool), which is secured by a 320-unit mid-rise senior housing apartment building in Southfield, MI. The loan was transferred to special servicing in July 2024 and has been delinquent since February 2025 with recent reporting unavailable. The loan was structured with a $4.2 million earnout reserve, which remains outstanding as of March 2025 reporting. The sponsor renovated the property while repositioning the asset to a 55+ senior housing community from assisted living. Fitch's 'Bsf' rating case loss of 18.3% (prior to concentration add-ons) reflects the Fitch issuance NCF, an 8.75% cap rate and factors in a higher probability of default given the loan's delinquent and specially serviced loan status. Investment-Grade Credit Opinion Loans: Three loans representing 20.3% of BMO 2023-C6 and two loans (11.9%) of BMO 2023-C7 each received an investment-grade credit opinion at issuance. For BMO 2023-C6, Fashion Valley Mall (8.4% of the pool) received a standalone credit opinion of 'AAAsf', CX - 250 Water Street (7.7%) received a standalone credit opinion of 'BBBsf' and Back Bay Office (4.2%) received a standalone credit opinion of 'AAAsf'. For BMO 2023-C7, Woodfield Mall (9.2% of the pool) received a standalone credit opinion of 'BBB+sf' and 60 Hudson Street (2.7%) received a standalone credit opinion of 'AAAsf'. Performance for all loans remains in line with issuance expectations and all maintain their investment-grade credit opinions. Limited Change to Credit Enhancement (CE): As of the March 2025 remittance report, the BMO 2023-C6 transaction has paid down by 1.1% since issuance. There are 18 (70.3%) full-term, interest-only (IO) loans and six loans (10.8%) have a partial IO period. BMO 2023-C7 has had minimal paydown since issuance; 23 loans (78.2%) are IO loans, and seven loans (17.7%) are partial IO. Cumulative interest shortfalls of $143,628 are affecting the non-rated class J-RR in BMO 2023-C6 and $45,552 affecting the non-rated class J-RR in BMO 2023-C7. 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, expected 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' and 'BBBsf' categories with Stable Outlooks could occur should performance of the specially serviced loans/FLOCs deteriorate significantly and/or if more loans than expected default during the loan term. Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories with Negative Outlooks could occur with protracted workouts of the specially serviced loans and/or continued deterioration of the FLOCs, particularly Maple Creek Village, Cincinnati Multifamily Portfolio and Society Hill Portfolio in BMO 2023-C6 and Park at Trowbridge and Knoll Ridge Apartments in BMO 2023-C7, and, and/or with greater certainty of losses on the other specially serviced loans. Downgrades to distressed ratings would occur should loss expectations increase on the specially serviced loans, additional loans be transferred to special servicing or default, or as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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 specially serviced loans. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur with sustained improved performance of the FLOCs or lower loss expectations on the specially serviced loans. Classes would not be upgraded above 'AA+sf' if there is a likelihood for interest shortfalls. Upgrades to '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 assets and/or FLOCs are better than expected, loans return to the master servicer 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. 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. BRIDGE STREET V: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Bridge Street CLO V Ltd. Entity/Debt Rating ----------- ------ Bridge Street CLO V Ltd. A-1 Loans LT NRsf New Rating A-1 Notes LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C-1 LT Asf New Rating C-2 LT Asf New Rating D-1A LT BBB-sf New Rating D-1B 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 Bridge Street CLO V Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by FS Structured Products Advisor, 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.48, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category have 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 97.06% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.73%, versus a minimum covenant, in accordance with the initial expected matrix point of 71.6%. 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 6.25% 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 those of 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 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 'Bsf' 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-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 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 Bridge Street CLO V 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. BSST 2021-1818: DBRS Cuts Rating on 3 Classes to C -------------------------------------------------- DBRS, Inc. downgraded its credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2021-1818 issued by BSST 2021-1818 Mortgage Trust as follows: -- Class A to A (sf) from AAA (sf) -- Class X-EXT to A (high) (sf) from AAA (sf) -- Class B to BBB (low) (sf) from AA (low) (sf) -- Class C to CCC (sf) from A (sf) -- Class D to C (sf) from BB (low) (sf) -- Class E to C (sf) from B (low) (sf) -- Class F to C (sf) from CCC (sf) The trends on Classes A, X-EXT, and B remain Negative. Classes C, D, and E no longer carry a trend as the classes have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. At the prior credit rating action in April 2024, Morningstar DBRS downgraded its credit ratings on all rated classes except for the Class A and X-EXT certificates and all trends were Negative. The April 2024 credit rating actions were in response to an update to the Morningstar DBRS value given performance declines for the collateral property and the specially serviced status for the loan, which transferred in September 2023, following a request for a loan modification from the borrower. The credit rating downgrades and Negative trends with this review reflect Morningstar DBRS' recovery expectations for the underlying loan, which is secured by an office property in the Philadelphia Central Business District. The discussions between the borrower and the special servicer regarding a loan modification have since fallen through and the special servicer is now pursuing receivership and foreclosure. As part of the analysis for this review, Morningstar DBRS derived an updated value of $137.9 million, which represents a 34.7% decline from the April 2024 appraisal value of $211.3 million and a 17.7% decline from the previous Morningstar DBRS value of $167.5 million, derived in 2024. The Morningstar DBRS value is reflective of Morningstar DBRS' expectation that the property's as-is appraised value will likely decline further over the remainder of the loan term, given the location and availability of similar collateral in the market, including the office building located just across the street,1700 Market Street. The office building at 1700 Market Street is owned by the same sponsor as the subject and also backing a defaulted CMBS loan in the BSST 2022-1700 Mortgage Trust transaction, which is also rated by Morningstar DBRS. The resulting value per square foot (psf) of $138 psf is in line with the Morningstar DBRS value psf for the 1700 Market Street property, as derived in the analysis for the March 2025 credit rating action for that transaction. Based on the Morningstar DBRS value of $137.9 million, a liquidation scenario was derived, which showed losses would be realized through the Class D certificate, supporting the credit rating downgrades to C (sf) and CCC (sf) for the Class C certificate and the subordinate classes below, respectively. The liquidation scenario factors in current outstanding advances, projected future advances, on hand reserves, and liquidation expenses with the implied loss severity at 50.1%. The scenario suggested principal recovery for the Class A, B, and C certificates; but the possibility of further value deterioration, expected tepid demand when the special servicer markets the property for sale, and the reduced credit support implied by the liquidated losses estimated by Morningstar DBRS support the credit rating downgrades for Classes A and B. The $222.9 million transaction is secured by the borrower's fee-simple and leasehold interest in 1818 Market Street, a 999,828-square-foot (sf) Class A office building located in the Market Street West submarket of downtown Philadelphia. The sponsor, Shorenstein Realty, acquired the collateral in January 2016 for $195.0 million. The loan had an initial term of 24 months, with three one-year extension options, for a fully extended maturity in February 2026. Occupancy has trended downward in recent years, having decreased to 72.6% as of December 2024, down from 80.0% as of YE2023 and 86.2% at closing. As of the December 2024 rent roll, the property reported a weighted-average rental rate of $34.41 psf, which is up slightly when compared with the issuance weighted-average rental rate of $32.48 psf. The property's largest tenants include WSFS Financial Corporation (8.9% of net rentable area (NRA), expiring December 2028); eResearch Technology, Inc (5.9% of NRA, expiring February 2032); and McCormick Taylor (5.9% of NRA, expiring December 2033). Over the next 24 months (2025-26), there is a cumulative rollover risk of 12.6% of the NRA. According to a listing by JLL in March 2025, there was approximately 29,609 sf (3.0% of the NRA) available immediately for sublease. According to the Reis Q4 2024 market report, the Center City submarket reported an average vacancy rate of 13.6% with effective rental rate of $33.90 psf. Reis forecasts vacancy rates to decrease slightly to 12.2% while asking rents are expected to increase to $35.13 psf over the next five years. According to the Q3 2024 financial reporting, the property generated annualized net cash flow (NCF) of $13.6 million, with a debt service coverage ratio of 0.67 times (x), compared with the YE2023 figures of $13.7 million and 1.23x., respectively. The YE2023 and annualized Q3 2024 NCF figures remain relatively in-line with the Morningstar DBRS NCF figure of $13.4 million, which was derived in 2021 when credit ratings were assigned. Morningstar DBRS had previously concluded to a value of $167.5 million for the subject property, which was based on the Morningstar DBRS NCF of $13.4 million and an 8.0% cap rate. With this review, Morningstar DBRS increased the cap rate to 10.0% to reflect increased availability in the market and tightening liquidity for office properties in general. The cap rate adjustment resulted in an updated value of $134.0. million for the subject. Morningstar DBRS gave credit in the liquidation scenario to the loan's total reserves of $3.9 million as of the March 2025 remittance. The result of the liquidation scenario suggested losses that would fully reduce the balance of Classes JRR, H, G, F, E, and more than half of Class D, supporting the credit rating downgrades with this review, as previously outlined. Notes: All figures are in U.S. dollars unless otherwise noted. BSST 2022-1700: DBRS Cuts Class D Certs Rating to CCC ----------------------------------------------------- DBRS Limited downgraded its credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2022-1700 issued by BSST 2022-1700 Mortgage Trust as follows: -- Class A to A (sf) from AAA (sf) -- Class X-EXT to A (high) (sf) from AAA (sf) -- Class B to BBB (low) (sf) from AA (high) (sf) -- Class C to BB (low) (sf) from A (high) (sf) -- Class D to CCC (sf) from BBB (high) (sf) -- Class E to C (sf) from BB (low) (sf) -- Class F to C (sf) from B (low) (sf) -- Class G to C (sf) from CCC (sf) The trends on Classes A, X-EXT, B, and C are Negative. Classes D, E, F, and G do not carry a trend as these classes have credit ratings that typically do not carry trends in commercial mortgage backed securities (CMBS) credit ratings. Morningstar DBRS downgraded its credit ratings on all outstanding certificates based on a recoverability analysis of the collateral, 1700 Market Street, in its current review of the transaction. The liquidation analysis, discussed further below, indicates realized losses may affect the Class D certificate, supporting the credit rating downgrades on Classes E, F, and G to C (sf) and on Class D to CCC (sf). The analyzed deterioration of these classes and credit support to the senior bonds supports the credit rating downgrades on Classes A, X-EXT, B, and C. The trends on Classes A, X-EXT, B, and C are Negative due to the possibility that the value of the underlying collateral could decline further or that the servicer makes a nonrecoverability determination and stops advancing interest payments to investors. The subject property, a 32-story, 850,723 square foot (sf) office building in the Central Business District of Philadelphia, is located in a soft submarket with minimal absorption observed in 2024. The occupancy rate at the subject remains below issuance expectations with the financials following a similar trajectory. The loan transferred to the special servicer in August 2023 at the borrower's request to engage in potential loan modification discussions ahead of the February 2024 loan maturity date. The loan is past due per its initial maturity date and a receiver motion was granted in September 2024 while foreclosure proceedings are ongoing. The earliest trial date is not expected until September 2025. According to communications from the servicer, the receiver continues to manage the subject, and the borrower has yet to submit any revised loan modification proposals for the lender's consideration. The subject is situated two blocks from City Hall and Rittenhouse Square in the Market Street West/City Center submarket of Philadelphia. The transaction sponsor, Shorenstein Realty Investors Eleven L.P., acquired the collateral in January 2016 for $195.0 million. The loan had an initial term of 24 months, with three one-year extension options, for a fully extended maturity in February 2027. According to the January 2025 rent roll, the subject was 75.7% occupied compared with 80% at YE2022 and 88% at closing. The current largest tenants at the subject include Reliance Standard Life Insurance (Reliance;17.9% of the net rentable area (NRA), lease expiry in December 2031), Deloitte & Touche (10.9% of NRA, lease expiry in June 2031), and OSISOFT LLC (7.1% of NRA, lease expiry in March 2030). Over the next 12 months, there is a cumulative tenant rollover risk of 10.9% of the NRA, however, Teachers Insurance and Annuity Association of America (3.7% of the NRA, lease expiry in March 2025) renewed its lease through 2035, albeit while reducing its footprint, which brought the tenant rollover risk down to 8.9%. According to the online leasing site of the property's leasing broker, Jones Lang Lasalle, approximately 4.6% of the NRA is available immediately on a direct lease and 3.6% of the NRA is available for sublease (the latter is a portion of Reliance's former space). Leasing velocity at the subject, and in the broader submarket, has slowed in recent years with heightened vacancy concerns. According to Reis, the City Center submarket reported a vacancy rate of 13.6% in 2024, which is expected to remain at 14% at YE2025. According to a Q4 2024 market report from CBRE, year-to-date net absorption in the subject property's submarket was reported at -405,863 sf. The loan's debt service coverage ratio (DSCR) increased slightly to 0.72 times (x) as of the YE2024 reporting compared with the DSCRs of 0.57x at YE2023 and 1.23x at YE2022 but remains below the Morningstar DBRS DSCR of 1.60x concluded at issuance. A total of $2.5 million is held across all reserve accounts as of the March 2025 reserve report. At issuance, the subject was valued at $244.5 million ($288 per square foot (psf)). Since that time, two appraisals, conducted in April 2024 and again in December 2024, yielded identical in-place valuations of $199 million ($234 psf). The April and December appraisals also provided projected stabilized property values of $254 million ($298 psf) and $248 million ($291 psf) with expected stabilization dates of May 2027 and January 2028, respectively. The December 2024 valuation equates to an updated loan-to-value ratio (LTV) of 94.5% compared with the issuance appraised LTV of 76.8%. Morningstar DBRS' previous credit rating action in April 2024 included an update to the asset's valuation. For more information regarding the approach and analysis conducted, please refer to the press release titled "Morningstar DBRS Takes Rating Actions on North American Single-Asset/Single-Borrower Transactions Backed by Office Properties," published on April 15, 2024. For purposes of this credit rating action, Morningstar DBRS used a liquidation scenario based on the most recent appraised value to determine recoverability. Morningstar DBRS' liquidation scenario was based on a 40.0% haircut to the December 2024 appraised value, determined by applying a stressed cap rate to the YE2024 net cash flow of $12.5 million. The haircut to the most recent appraisal reflects Morningstar DBRS' expectation that the property's as-is appraised value will likely decline further over the remainder of the loan term given its location and the availability of similar collateral in the market, including the office building across the street at 1818 Market Street, owned by the subject's sponsor and also backing a defaulted CMBS loan in the BSST 2021-1818 Mortgage Trust transaction, also rated by Morningstar DBRS. The Morningstar DBRS analysis also included the addition of including interest shortfalls and expected servicer expenses, which cumulatively totaled nearly $19 million. This analysis suggested a loss severity in excess of 45%, or approximately $87 million. The resulting value psf of $143 psf is in line with the Morningstar DBRS value psf for the 1818 Market Street property, derived in the analysis for the March 2025 credit rating action for that transaction. Notes: All figures are in U.S. dollars unless otherwise noted. CFMT 2025-HB16: DBRS Finalizes B Rating on Class M5 Notes --------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Asset-Backed Notes, Series 2025-1 issued by CFMT 2025-HB16, LLC: -- $256.5 million Class A at AAA (sf) -- $42.7 million Class M1 at AA (low) (sf) -- $30.2 million Class M2 at A (low) (sf) -- $28.0 million Class M3 at BBB (low) (sf) -- $20.3 million Class M4 at BB (low) (sf) -- $25.0 million Class M5 at B (sf) The AAA (sf) rating reflects 35.5% of credit enhancement. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) ratings reflect 24.7%, 17.1%, 10.1%, 5.0%, and -1.3% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues, if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the Cut-Off Date (January 31, 2025), the collateral consists of approximately $397.6 million in unpaid principal balance (UPB) from 1,141 nonperforming home equity conversion mortgage (HECM) reverse mortgage loans and real estate owned (REO) properties secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, and planned unit developments. The mortgage assets were originated between 1999 and 2017. Of the total assets, 369 have a fixed interest rate (39.08% of the balance), with a 5.2% weighted-average coupon (WAC). The remaining 772 assets have floating-rate interest (60.92% of the balance) with a 6.5% WAC, bringing the entire collateral pool to a 6.0% WAC. All the mortgage assets in this transaction are nonperforming (i.e., inactive) assets. There are 522 mortgage assets in a foreclosure process (53.9% of balance), 260 are in default (16.4%), 83 are in bankruptcy (7.56%), 127 are called due (9.9%), and 149 are REO (12.27%). However, all these assets are insured by the U.S. Department of Housing and Urban Development (HUD), and this insurance acts to mitigate losses vis-à-vis uninsured loans. See discussion in the Analysis section below. Because the insurance supplements the home value, the industry metric for this collateral is not the loan-to-value ratio (LTV) but rather the weighted-average (WA) effective LTV adjusted for HUD insurance, which is 59.49% for these assets. The WA LTV is calculated by dividing the UPB by the maximum claim amount plus the asset value. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A Notes) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have available fund caps. Classes M1, M2, M3, M4, M5, (together, the Class M Notes) have principal lockout terms insofar as they are not entitled to principal payments prior to a Redemption event, unless an Acceleration Event or Auction Failure Event occurs. Available cash will be trapped until these dates, at which stage the notes will start to receive payments. Note that the Morningstar DBRS cash flow as it pertains to each note models the first payment being received after these dates for each of the respective notes; hence, at the time of issuance, these rules are not likely to affect the natural cash flow waterfall. A failure to pay the Notes in full on the Mandatory Call Date (September 2027) will trigger a mandatory auction of all assets. If the auction fails to elicit sufficient proceeds to pay off the notes, another auction will follow every three months for up to a year after the Mandatory Call Date. If these have failed to pay off the notes, this is deemed an Auction Failure, and subsequent auctions will proceed every six months. If the Class M5 have not been redeemed or paid in full by the Mandatory Call Date, these notes will accrue additional accrued amounts. Morningstar DBRS does not rate these additional accrued amounts. Notes: All figures are in US dollars unless otherwise noted. CHASE HOME 2025-3: DBRS Finalizes B(low) Rating on B-5 Certs ------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2025-3 (the Certificates) issued by Chase Home Lending Mortgage Trust 2025-3 (CHASE 2025-3) as follows: -- $228.8 million Class A-2 at AAA (sf) -- $228.8 million Class A-3 at AAA (sf) -- $228.8 million Class A-3-X at AAA (sf) -- $171.6 million Class A-4 at AAA (sf) -- $171.6 million Class A-4-A at AAA (sf) -- $171.6 million Class A-4-X at AAA (sf) -- $57.2 million Class A-5 at AAA (sf) -- $57.2 million Class A-5-A at AAA (sf) -- $57.2 million Class A-5-X at AAA (sf) -- $137.3 million Class A-6 at AAA (sf) -- $137.3 million Class A-6-A at AAA (sf) -- $137.3 million Class A-6-X at AAA (sf) -- $91.5 million Class A-7 at AAA (sf) -- $91.5 million Class A-7-A at AAA (sf) -- $91.5 million Class A-7-X at AAA (sf) -- $34.3 million Class A-8 at AAA (sf) -- $34.3 million Class A-8-A at AAA (sf) -- $34.3 million Class A-8-X at AAA (sf) -- $37.9 million Class A-9 at AAA (sf) -- $37.9 million Class A-9-A at AAA (sf) -- $37.9 million Class A-9-B at AAA (sf) -- $37.9 million Class A-9-X1 at AAA (sf) -- $37.9 million Class A-9-X2 at AAA (sf) -- $37.9 million Class A-9-X3 at AAA (sf) -- $137.3 million Class A-11 at AAA (sf) -- $137.3 million Class A-11-X at AAA (sf) -- $137.3 million Class A-12 at AAA (sf) -- $137.3 million Class A-13 at AAA (sf) -- $137.3 million Class A-13-X at AAA (sf) -- $137.3 million Class A-14 at AAA (sf) -- $137.3 million Class A-14-X at AAA (sf) -- $137.3 million Class A-14-X2 at AAA (sf) -- $137.3 million Class A-14-X3 at AAA (sf) -- $137.3 million Class A-14-X4 at AAA (sf) -- $403.9 million Class A-X-1 at AAA (sf) -- $11.6 million Class B-1 at AA (low) (sf) -- $11.6 million Class B-1-A at AA (low) (sf) -- $11.6 million Class B-1-X at AA (low) (sf) -- $6.2 million Class B-2 at A (low) (sf) -- $6.2 million Class B-2-A at A (low) (sf) -- $6.2 million Class B-2-X at A (low) (sf) -- $4.1 million Class B-3 at BBB (low) (sf) -- $2.2 million Class B-4 at BB (low) (sf) -- $861.0 thousand Class B-5 at B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X1, A-9-X2, A-9-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-9-A, A-9-X1, A-11, A-11-X, A-12, A-13, A-13-X, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-11, A-12, A-13, and A-14 are super senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9, A-9-A, and A-9-B) with respect to loss allocation. The AAA (sf) credit ratings on the Certificates reflect 6.20% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.50%, 2.05%, 1.10%, 0.60%, and 0.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2025-3 (the Certificates). The Certificates are backed by 428 loans with a total principal balance of $453,253,304 as of the Cut-Off Date (March 1, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 10 to 30 years and a weighted-average (WA) loan age of three months. They are traditional, prime jumbo mortgage loans. Approximately 76.1% of the loans were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. JP Morgan Chase Bank, N.A. (JPMCB) is the Originator of 100% of the pool and Servicer of 100.0% of the pool. For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. U.S. Bank Trust Company, National Association, rated AA with a Stable trend by Morningstar DBRS, will act as Securities Administrator. U.S. Bank Trust National Association will act as Delaware Trustee. JPMCB will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in US dollars unless otherwise noted. CHENANGO PARK: S&P Affirms 'B- (sf)' Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1a-R, A-1b-R, A-2-R, B-R, and C-R debt from Chenango Park CLO Ltd./Chenango Park CLO LLC, a CLO managed by GSO/Blackstone Debt Funds Management LLC that was originally issued in April 2018. At the same time, S&P withdrew its ratings on the original class A-1a, A-2, B, and C debt following payment in full on the April 8, 2025, refinancing date. S&P also affirmed its ratings on the class D and E debt, which were not refinanced. The original class A-1b debt was not rated by S&P Global Ratings. 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 for the refinancing notes will end on Oct. 8, 2025. -- The reinvestment period and the legal final maturity dates were not extended. S&P said, "Although the results of the cash flow analysis pointed to lower ratings on the class D and E debt (which were not refinanced) than the rating actions suggest, we view the overall credit seasoning as an improvement to the transaction and also considered the relatively stable overcollateralization ratios that currently have a moderate cushion over their minimum requirements. In our analysis, we did not believe that the class D or E debt are vulnerable to nonpayment or dependent upon favorable business, financial, and economic conditions for the obligor to meet its financial commitment. Therefore, these classes do not fit our definition of the 'CCC' or 'CC' according to our criteria, "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012." Replacement And Original Debt Issuances Replacement debt -- Class A-1a-R, $92.05 million: Three-month CME term SOFR + 1.05% -- Class A-1b-R, $17.50 million: Three-month CME term SOFR + 1.30% -- Class A-2-R, $46.50 million: Three-month CME term SOFR + 1.45% -- Class B-R, $38.75 million: Three-month CME term SOFR + 1.80% -- Class C-R, $30.50 million: Three-month CME term SOFR + 2.75% Original debt -- Class A-1a, $92.05 million: Three-month CME term SOFR + 1.22% -- Class A-1b, $17.50 million: Three-month CME term SOFR + 1.56% -- Class A-2, $46.50 million: Three-month CME term SOFR + 1.81% -- Class B, $38.75 million: Three-month CME term SOFR + 2.11% -- Class C, $30.50 million: Three-month CME term SOFR + 3.26% 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 Chenango Park CLO Ltd./Chenango Park CLO LLC Class A-1a-R, $92.05 million: AAA (sf) Class A-1b-R, $17.50 million: AAA (sf) Class A-2-R, $46.50 million: AAA (sf) Class B-R, $38.75 million: AA- (sf) Class C-R, $30.50 million: BBB- (sf) Ratings Withdrawn Chenango Park CLO Ltd./Chenango Park CLO LLC Class A-1a to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA- (sf)' Class C to NR from 'BBB- (sf)' Ratings Affirmed Chenango Park CLO Ltd./Chenango Park CLO LLC Class D: 'B (sf)' Class E: 'B- (sf)' Other Debt Chenango Park CLO Ltd./Chenango Park CLO LLC Subordinated notes, $45.11 million: NR NR--Not rated. CITIGROUP 2015-101A: Fitch Affirms 'B-sf' Rating on Class F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed eight classes of Citigroup Commercial Mortgage Trust 2015-101A, commercial mortgage pass-through certificates, series 2015-101A. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2015-101A A 17290MAA2 LT AAAsf Affirmed AAAsf B 17290MAJ3 LT AA-sf Affirmed AA-sf C 17290MAL8 LT A-sf Affirmed A-sf D 17290MAN4 LT BBB-sf Affirmed BBB-sf E 17290MAQ7 LT BB-sf Affirmed BB-sf F 17290MAS3 LT B-sf Affirmed B-sf X-A 17290MAE4 LT AAAsf Affirmed AAAsf X-B 17290MAG9 LT A-sf Affirmed A-sf KEY RATING DRIVERS Generally Stable Performance and Cash Flow: The affirmations reflect generally stable performance since issuance. Fitch's net cash flow (NCF) is down from issuance primarily due to a lower occupancy and increased expenses. However, Fitch's overall long-term view of sustainable property performance remains in line with issuance expectations. The largest two tenants occupy over 70% of the property on longer-term leases. The updated Fitch sustainable NCF is $14.5 million, which is 3.6% below Fitch's NCF at the prior review and 11.2% below Fitch's issuance NCF of $16.3 million. Fitch's NCF assumption includes leases in place as of the most recently reported rent roll (February 2025). The lower NCF also factors higher leasing cost assumptions compared to issuance that reflect current office market conditions and a higher ground rent assumption to account for a special additional rent (SAR) payment estimated at $7.9 million due in 2030. In addition, Fitch assumed a 15% higher insurance expense over the servicer reported September 2024 figure due to expected future increases. The most recent servicer-reported NCF debt service coverage ratio (DSCR) as of September 2024 was 1.76x compared to 2.07x at YE 2023 and 1.93x at YE 2022. According to the February 2025 rent roll, occupancy has declined to 85.2% from 94.5% in February 2024 due to tenants vacating upon their respective lease expirations. Per CoStar, the Hudson Square office submarket's 1Q 2025 vacancy rate was 16.7% with an availability rate of 17.7% and average asking rents of $72.44 psf. Fitch's sustainable occupancy level assumption (which is in line with the current occupancy level of 85.2%) is slightly higher than the submarket due to collateral quality and strong historical performance. According to CoStar, the property has averaged 98.4% occupancy since 2015. High-Quality Manhattan Asset: The certificates represent the beneficial ownership in the issuing entity, the primary asset of which is one loan secured by the leasehold interest in the 101 Avenue of the Americas office property in New York, NY. The 23-story, class A office building is located within the Hudson Square submarket in Manhattan. The property was gut renovated between 2011 and 2013, including upgraded building systems, as well as a new lobby, restrooms and a green roof terrace. The property is a LEED Silver Existing Building (EB), which has a positive impact on the ESG score for Waste & Hazardous Materials Management; Ecological Impacts. The two largest tenants, NY Genome Center (38.5% of total square footage) and Two Sigma Investments (32.3%), occupy approximately 71% of the property. Other major tenants include Digital Ocean (10.3%) and Regus (3.6%). Tenant Rollover: The lease for tenant Digital Ocean expires in June 2026; updates regarding the lease status were not available. The majority of the building rollover is associated with the two largest tenants, both of which roll prior to the loan's maturity date in January 2035. The largest tenant (NY Genome Center) has a lease expiration in 2033, and the second largest tenant (Two Sigma Investments) has a lease expiration in 2029. Leasehold Interest: The property is subject to a 99-year ground lease that expires in December 2088. The ground lease has a fixed component, which grows at 3% per annum for the remainder of the term. In addition, the ground lease contains a variable component (special additional rent, or SAR) which requires a specific payment every 20 years (next payment due in 2030), as calculated and defined in the ground lease. The loan is structured with monthly reserves for all payments associated with the ground lease and is recourse to the borrower and guarantor for termination of the ground lease. The loan also requires monthly reserves for the SAR payment beginning in 2025. Fitch applied the average ground rent expense over a 15-year period in its cash flow analysis. Fitch Leverage: The $200 million mortgage loan ($465 psf) has a Fitch DSCR and LTV of 0.81x and 110.4%, respectively, compared to the Fitch DSCR and LTV of 0.95x and 93.1%, respectively, at issuance. Fitch's stressed cap rate of 8%, consistent with the prior review and up from 7.6% at issuance, is based on comparable properties and the declining office outlook, while also accounting for the increased risks associated with a leasehold mortgage. Interest-Only Loan: The loan is interest only (annual interest rate of 4.65%) for the entire 20-year term (maturing in January 2035). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch does not currently expect downgrades given the long-term leases to the two largest tenants and the long-term, fixed-rate loan. However, negative rating actions, including Negative Rating Outlooks, are possible with sustained and significant decline in asset occupancy and/or a material deterioration in property NCF resulting in a lower Fitch sustainable NCF assumption and property value. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes B through D are possible with stable to improved occupancy and sustained cash flow improvement, but may be limited given headwinds for the office sector from increased vacancy and availability rates. Fitch rates class A at 'AAAsf'; therefore, upgrades to this class are not possible. 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 CGCMT 2015-101A has an ESG Relevance Score of '4' [+] for Waste & Hazardous Materials Management; Ecological Impacts due to {DESCRIPTION OF ISSUE/RATIONALE}, which has a positive impact on the credit profile, and is relevant to the rating[s] 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. CITIGROUP MORTGAGE 2025-2: DBRS Finalizes B Rating on B5 Certs -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2025-2 (the Certificates) issued by Citigroup Mortgage Loan Trust 2025-2 (CMLTI 2025-2) as follows: -- $254.5 million Class A-1 at AAA (sf) -- $254.5 million Class A-2 at AAA (sf) -- $254.5 million Class A-3 at AAA (sf) -- $152.7 million Class A-4 at AAA (sf) -- $152.7 million Class A-5 at AAA (sf) -- $152.7 million Class A-6 at AAA (sf) -- $101.8 million Class A-7 at AAA (sf) -- $101.8 million Class A-8 at AAA (sf) -- $101.8 million Class A-9 at AAA (sf) -- $190.8 million Class A-10 at AAA (sf) -- $190.8 million Class A-11 at AAA (sf) -- $190.8 million Class A-12 at AAA (sf) -- $63.6 million Class A-13 at AAA (sf) -- $63.6 million Class A-14 at AAA (sf) -- $63.6 million Class A-15 at AAA (sf) -- $38.2 million Class A-16 at AAA (sf) -- $38.2 million Class A-17 at AAA (sf) -- $38.2 million Class A-18 at AAA (sf) -- $22.6 million Class A-19 at AAA (sf) -- $22.6 million Class A-20 at AAA (sf) -- $22.6 million Class A-21 at AAA (sf) -- $63.6 million Class A-25 at AAA (sf) -- $277.1 million Class A-X at AAA (sf) -- $277.1 million Class A-X-1 at AAA (sf) -- $277.1 million Class A-X-2 at AAA (sf) -- $277.1 million Class A-I-1 at AAA (sf) -- $277.1 million Class A-I-2 at AAA (sf) -- $277.1 million Class A-I-3 at AAA (sf) -- $254.5 million Class A-I-4 at AAA (sf) -- $254.5 million Class A-I-5 at AAA (sf) -- $254.5 million Class A-I-6 at AAA (sf) -- $152.7 million Class A-I-7 at AAA (sf) -- $152.7 million Class A-I-8 at AAA (sf) -- $152.7 million Class A-I-9 at AAA (sf) -- $101.8 million Class A-I-10 at AAA (sf) -- $101.8 million Class A-I-11 at AAA (sf) -- $101.8 million Class A-I-12 at AAA (sf) -- $190.8 million Class A-I-13 at AAA (sf) -- $190.8 million Class A-I-14 at AAA (sf) -- $190.8 million Class A-I-15 at AAA (sf) -- $63.6 million Class A-I-16 at AAA (sf) -- $63.6 million Class A-I-17 at AAA (sf) -- $63.6 million Class A-I-18 at AAA (sf) -- $38.2 million Class A-I-19 at AAA (sf) -- $38.2 million Class A-I-20 at AAA (sf) -- $38.2 million Class A-I-21 at AAA (sf) -- $22.6 million Class A-I-22 at AAA (sf) -- $22.6 million Class A-I-23 at AAA (sf) -- $22.6 million Class A-I-24 at AAA (sf) -- $63.6 million Class A-I-25 at AAA (sf) -- $11.1 million Class B-1 at AA (low) (sf) -- $11.1 million Class B-1-A at AA (low) (sf) -- $11.1 million Class B-1-IO at AA (low) (sf) -- $16.0 million Class B-1-2IO at A (low) (sf) -- $4.9 million Class B-2 at A (low) (sf) -- $4.9 million Class B-2-A at A (low) (sf) -- $4.9 million Class B-2-IO at A (low) (sf) -- $3.3 million Class B-3 at BBB (low) (sf) -- $1.3 million Class B-4 at BB (sf) -- $599.0 thousand Class B-5 at B (sf) Classes A-X, A-X-1, A-X-2, A-I-1, A-I-2, A-I-3, A-I-4, A-I-5, A-I-6, A-I-7, A-I-8, A-I-9, A-I-10, A-I-11, A-I-12, A I 13, A-I-14, A-I-15, A-I-16, A-I-17, A-I-18, A-I-19, A-I-20, A I 21, A-I-22, A-I-23, A-I-24, A-I-25, B-1-IO, B-1-2IO and B-2-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-7. A-8. A-9, A-10, A-11, A-12, A-13, A-14, A-16, A-17, A-19, A-20, A-25, A-X-1, A-X-2, A-I-1, A-I-2, A-I-3, A-I-4, A-I-5, A-I-6, A-I-8, A-I-10. A-I-11, A-I-12, A-I-13, A-I-14, A-I-15, A-I-17, A-I-20, A-I-23, A-I-25, B-1, B-1-2IO, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, and A-25 are super senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-19, A-20, and A-21) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 7.45% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 3.75%, 2.10%, 1.00%, 0.55%, and 0.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate, prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 304 loans with a total principal balance of $299,362,386 as of the Cut-Off Date (March 1, 2025). This transaction is sponsored by Citigroup Global Markets Realty Corp. (CGMRC). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of seven months. 83.5% of the pool is composed of nonagency, prime jumbo mortgage loans. The remaining 16.5% are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. Rocket Mortgage, LLC (Rocket) originated 23.4% of the pool. First United Bank and Trust (First United) originated 19.5% of the pool. PennyMac Loan Services and LLC and PennyMac Corp. (together PennyMac) originated 25.3% of the pool. Movement Mortgage (Movement) originated 15.9% of the pool. Various other originators, each comprising less than 10%, originated the remainder of the loans. The mortgage loans will be serviced by Fay Servicing, LLC (Fay) (74.7%) and PennyMac (25.3%). For this transaction, the Fay servicing fee rate is 0.05% and the PennyMac servicing fee rate is 0.25%. In its analysis, Morningstar DBRS applied a higher servicing fee rate for the Fay serviced loans. CGMRC is the Mortgage Loan Seller and Sponsor of the transaction. Citigroup Mortgage Loan Trust Inc. will act as Depositor of the transaction. U.S. Bank Trust Company, National Association (U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will act as the Trust Administrator. U.S. Bank Trust National Association will serve as Trustee, and Deutsche Bank National Trust Company will serve as Custodian. The Servicers will be responsible for advancing delinquent monthly scheduled payments of interest and principal (Scheduled Payments), to the extent such payments are recoverable by the related Servicer. The Servicers will be required to make all customary, reasonable and necessary servicing advances with respect to preservation, inspection, restoration, protection, and repair of a mortgaged property. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. Notes: All figures are in US dollars unless otherwise noted. COMM 2014-UBS3: Moody's Lowers Rating on 2 Tranches to Ba2 ---------------------------------------------------------- Moody's Ratings has affirmed the ratings on one class and downgraded the ratings on five classes in COMM 2014-UBS3 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3 as follows: Cl. A-M, Affirmed Aa2 (sf); previously on Jul 2, 2024 Downgraded to Aa2 (sf) Cl. B, Downgraded to Ba1 (sf); previously on Jul 2, 2024 Downgraded to Baa2 (sf) Cl. C, Downgraded to B1 (sf); previously on Jul 2, 2024 Downgraded to Ba2 (sf) Cl. PEZ, Downgraded to Ba2 (sf); previously on Jul 2, 2024 Downgraded to Baa3 (sf) Cl. X-A*, Downgraded to Aa2 (sf); previously on Jul 2, 2024 Downgraded to Aa1 (sf) Cl. X-B*, Downgraded to Ba2 (sf); previously on Jul 2, 2024 Downgraded to Baa3 (sf) * Reflects Interest Only Classes RATINGS RATIONALE The rating on one P&I class, Cl. A-M, was affirmed because of its significant credit support and the expected principal paydowns from the remaining loans in the pool. Class Cl. A-M has already paid down 25% from its original balance and will benefit from payment priority from any principal payments from liquidations or paydowns from the remaining loans in the pool. The rating on two P&I classes, Cl. B and Cl. C, were downgraded due to higher expected losses and decline in pool performance driven by the exposure to specially serviced and poorly performing loans as well as the exposure to loans with high Moody's LTV. Four loans accounting for 70% of the pool are in special servicing and have passed their original maturity dates. Furthermore, three specially serviced loans, representing 40% of the pool, have previously been deemed non-recoverable by the master servicer, of which two (17% of the pool) are real estate owned (REO). The sole non-specially serviced loan, State Farm Portfolio Loan (30% of the pool), which is secured by a portfolio of office buildings with significant single tenant concentration that have vacated, and the space is being marketed for sublease, did not pay off at its original maturity date. All the remaining loans have now passed their initial maturity dates or anticipated repayment dates and the risk of interest shortfalls and potential for higher losses may increase if the outstanding loans become further delinquent or are unable to pay off at their extended or final maturity dates. The rating on the interest-only (IO) classes, Cl. X-A and Cl. X-B, were downgraded due to the decline in the credit quality of their referenced classes. The rating on the exchangeable class, Cl. PEZ, was downgraded due to the decline in the credit quality of its referenced exchangeable classes. Moody's rating action reflects a base expected loss of 41.5% of the current pooled balance, compared to 26.4% at Moody's last review. Moody's base expected loss plus realized losses is now 13.3% of the original pooled balance, compared to 12.0% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 70% of the pool is in special servicing and Moody's have identified an additional troubled loan representing 30% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that Moody's expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the March 12, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 72.9% to $286.0 million from $1.05 billion at securitization. The certificates are collateralized by five mortgage loans, of which four loans (70% of the pool) are specially serviced and have passed their original maturity dates. As of the March 2025 remittance report, three of the specially serviced loans, representing 40% of the pool, have previously been deemed non-recoverable by the master servicer, of which two (17% of the pool) are REO and two loans have been liquidated from the pool, contributing to an aggregate realized loss of $21.8 million (for an average loss severity of 69.3%). As of the March 2025 remittance statement cumulative interest shortfalls were $6.9 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. One loan, constituting 29.7% of the pool, is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Two loans have been liquidated from the pool, contributing to an aggregate realized loss of $21.8 million (for an average loss severity of 69.3%). Four loans, constituting 70.3% of the pool, are currently in special servicing. The largest specially serviced loan is the Equitable Plaza Loan ($85.7 million – 30.0% of the pool), which is secured by a 32-story, office building located in the Koreatown neighborhood of Los Angeles, California. The largest tenant, The County of Los Angeles (10% of NRA) vacated during 2018, however, a number of new leases were signed during that year, largely offsetting the decline in occupancy. The property was 58% occupied as of November 2024, compared to 66% in September 2022, 82% in December 2020, and 87% in September 2017. The loan transferred to special servicing in April 2024 due to imminent default as the borrower indicated that they would not be able to pay off the loan. The loan subsequently entered foreclosure in July 2024. A hard lockbox is currently in place with springing cash management. The borrower is seeking an extension on the loan, and discussions with the lender are ongoing while the lender continues to dual track foreclosure. As of March 2025 remittance, the loan was last paid through February 2025 and has amortized by 9.8% since securitization. The second largest specially serviced loan is the Southfield Town Center Loan ($67.2 million – 23.5% of the pool), which represents a pari-passu portion of a $119.0 million mortgage loan. The complex consists of five office buildings totaling 2,152,344 square feet (SF) of aggregate rentable area. The loan transferred to special servicing in February 2024 due to imminent default ahead of the May 2024 maturity date. The occupancy declined to 74% in December 2024, compared to 80% in December 2021, and 67% at securitization. The borrower and lender closed on a forbearance agreement in February 2025 extending the maturity date to January 2026, with an additional extension option through December 2026. The loan will remain in a full cash sweep through the entire forbearance period. The master servicer has deemed this loan non-recoverable. As of March 2025 remittance this loan was last paid through February 2025, and has amortized by 15.9% since securitization. The third largest specially serviced loan is the 1100 Superior Avenue Loan ($45.1 million – 15.8% of the pool), which is secured by a 576,766 SF 22-story office tower in Cleveland, Ohio. The loan transferred to special servicing in June 2021 due to payment default. The borrower indicated that they could no longer maintain debt service payments due to declines in occupancy. As of December 2024, the property was 54% leased compared to 80% in December 2021, 86% in December 2019, and 90% at securitization. A deed-in-lieu was finalized in January 2023, and the property is now REO. The trust portion of the loan has an appraisal reduction (ARA) in March 2024 of $39.0 million (87% of its outstanding principal balance) as an updated appraisal value indicated a 79% decline in market value since securitization. This loan has been deemed non recoverable by the master servicer. The fourth largest loan in special servicing is the Executive Center IV Loan ($3.1 million – 1.1% of the pool), which is secured by a three-story, Class B office building located in Brookfield, Wisconsin. The loan transferred to special servicing in December 2022 for imminent default due to reduced occupancy at the property. The property became REO in May 2024 and is currently listed for sale. The trust portion of the loan has an appraisal reduction (ARA) in August 2024 of $988,699 (32% of its outstanding principal balance) as an updated appraisal value indicated a 58% decline in market value since securitization. As of March 2025 remittance, this loan was last paid through the September 2023 payment date and has amortized by 26.6% since securitization. Moody's have also assumed a high default probability for one poorly performing loan, constituting 29.7% of the pool, and have estimated an aggregate loss of $118.6 million (a 42% expected loss on average) from these specially serviced and troubled loans. The troubled loan is the State Farm Portfolio Loan ($84.8 million – 29.7% of the pool), which represents a pari-passu portion of a $325.8 million mortgage loan. The loan was originally secured by fee simple interests in 14 suburban office properties across 11 states (13 properties remain in the portfolio as the Tulsa property was sold and released). At securitization, all the properties were 100% leased and occupied by State Farm pursuant to individual leases executed by State Farm in November 2013. All leases have a 15-year term and run until November 2028, except the leases for Greeley South property and the Greeley North property. The loan passed its anticipated repayment date ("ARD") in April 2024 and as a result, all excess cash flow after debt service is swept and applied to pay down principal. The loan has a final maturity date in April 2029. It is reported that State Farm has vacated all of the properties and offered up many of the locations for sublease. State Farm has no lease termination rights and continues to pay rent and perform its obligations under the lease. In September 2023, the loan transferred to special servicing due to non-monetary default ahead of the April 2024 maturity date. The loan was recently returned to the master servicer in January 2025 after the sale and release of the Tulsa location which resulted in a principal paydown. The loan will remain in a cash sweep through maturity with no possibility of cure. As of the March 2025 remittance, the loan was current on debt service payments and had amortized 15.2% since securitization, mainly due to the paydown from the Tulsa property sale. Given the tenancy profile, the loan may face heightened refinance risk at its final maturity, however, the loan is expected to amortize further and may further paydown if there are additional asset sales. COMM 2022-HC: DBRS Confirms BB Rating on Class HRR Certs -------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2022-HC issued by COMM 2022-HC Mortgage Trust as follows: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class HRR at BB (sf) All trends are Stable. The credit rating confirmations and Stable trends are the result of the overall improving performance of the underlying collateral, which remains in line with Morningstar DBRS' expectations. Since the transaction closed in January 2022, three full years of servicer-reported financials have been made available, which reflect improving occupancy, revenue, and net cash flow (NCF) figures as the sponsor works toward leasing up vacant space and stabilizing the property. The underlying loan is secured by the borrower's fee-simple interest in Hudson Commons, a 26-story, 697,960-square-foot (sf), Class A LEED Platinum certified office tower, located in the Penn Station submarket of New York. The property was built in 1962 and renovated between 2012 and 2018 by the previous owner at a cost in excess of $800.0 million. The renovations primarily consisted of upgrading and reinforcing the existing structure, in addition to constructing an additional 17-story, 304,301-sf glass office tower directly above the existing nine-story building. The original nine stories and the additional 17 stories include two separate condominium units that both serve as collateral for the loan. The transaction is sponsored by a joint venture between CommonWealth Partners LLC and the California Public Employees' Retirement System. Whole-loan proceeds of $507.0 million, along with $588.0 million of borrower equity, were used to facilitate the acquisition of the property at a purchase price of $1.03 billion, fund a $35.5 million leasing reserve, a $7.9 million free rent reserve, and cover closing costs. The trust balance of $467.0 million consists of five senior A notes with an aggregate principal balance of $265.0 million and a $202.0 million junior B note, with the remaining $40.0 million of senior A notes held by the originator. The fixed rate loan is interest-only (IO) throughout its five-year term with a scheduled maturity date in January 2027. The loan is structured without any extension options. As of the September 2024 rent roll, the property was 83.4% occupied, an improvement from the YE2023 and issuance figures of 77.7% and 72.7%, respectively. The largest tenants are Peloton Interactive, Inc. (Peloton; 48.1% of the net rentable area (NRA)), and Lyft, Inc. (Lyft; 14.4% of the NRA), with scheduled lease expirations in December 2035 and November 2029, respectively. None of the remaining tenant roster occupies more than 5.0% of the NRA. Of the $33.5 million in leasing reserves collected at issuance, $19.6 million remained in reserve as of the March 2025 reporting period. Both Peloton and Lyft have termination or contraction options in their respective leases. Lyft's first termination option is in December 2026, when the tenant can terminate its entire space with 18 months' notice and a termination fee of $6.5 million ($65.0 per square foot (psf)). Should Lyft opt to exercise its termination option, the tenant would be required to inform the landlord prior to June 2025 (the servicer has confirmed that Lyft has not provided notice of lease termination to date). If the option is exercised during the loan term, a cash flow sweep would be initiated with funds swept to build a reserve equal to $100 psf for the Lyft space. Peloton's first contraction option is beyond the loan maturity in December 2030, when the tenant can terminate portions of its lease with 15 to 27 months' notice and a termination fee equal to the amount of principal remaining unpaid at a rate of 10% per annum compounding monthly. In June 2022, Peloton listed approximately 100,000 sf of its space across two floors for sublease, as the fitness company looked to downsize its physical footprint. Peloton has reportedly executed a sublease with AlphaSense for the entire fourth floor (approximately 50,000 sf); the terms of which are unknown at this time. The servicer has noted that Peloton is no longer looking to sublet the remaining space at the property. Both tenants have invested significantly in their spaces, with Peloton investing $167.9 million ($500 psf) and Lyft investing $17.6 million ($175 psf) in addition to their tenant improvement packages. According to the YE2024 financial reporting, the property generated $38.2 million of NCF (a debt service coverage ratio (DSCR) of 2.11 times (x)) an improvement from the YE2023 figure of $32.1 million (a DSCR of 1.78x), but less than Morningstar DBRS' stabilized NCF derived at issuance of $40.0 million (a DSCR of 2.22x).; although, the property's physical vacancy rate remains elevated, leasing momentum has been positive and tenant abatements continue to burn off, suggesting cash flow will continue to trend higher over the subsequent reporting periods. To achieve the Morningstar DBRS-stabilized occupancy rate of 92.5%, management needs to lease up approximately 63,500 sf at a total cost of approximately $10.6 million ($166.3 psf) based on Morningstar DBRS' tenant improvement and leasing assumptions at issuance. According to Reis, the Penn Station submarket reported a Q4 2024 vacancy rate of 10.8% with an average asking rental rate of $82.16 psf, compared with the subject's in-place rate of $98.4 psf. Morningstar DBRS maintained the valuation approach from the April 2024 credit rating action, which was based on a capitalization rate of 7.0% and the Morningstar DBRS NCF figure noted above. The Morningstar DBRS Value represents a -44.9% variance from the issuance appraised value of $1.04 billion and results in a loan-to-value ratio (LTV) of 88.6%, compared with the LTV of 48.8% based on the appraised value at issuance. Morningstar DBRS maintained positive qualitative adjustments totaling 5.75% to reflect the low cash flow volatility, favorable property quality, and strong market fundamentals. Despite the adoption of remote and hybrid work, which continues to dampen end-user demand and challenge leasing efforts, the subject property is a high-quality asset that benefits from its strong institutional sponsorship and its location in a premier New York office market. In addition, the loan includes strong structural features including, but not limited to, upfront reserves and cash management provisions. Notes: All figures are in U.S. dollars unless otherwise noted. CRSNT TRUST 2021-MOON: DBRS Confirms B(low) Rating on F Notes ------------------------------------------------------------- DBRS Inc. confirmed its credit ratings on the following classes of the Commercial Mortgage Pass-Through Certificates, Series 2021-MOON issued by CRSNT Trust 2021-MOON: -- Class A Notes at AAA (sf) -- Class A-Y Notes at AAA (sf) -- Class A-Z Notes at AAA (sf) -- Class A-IO Notes at AAA (sf) -- Class X-NCP Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BB (high) (sf) -- Class E Notes at B (high) (sf) -- Class F Notes at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall consistent performance of the underlying collateral since the previous Morningstar DBRS credit rating action in April 2024, as evidenced by the stable occupancy rate and increased net cash flow (NCF). According to Q2 2024 servicer reporting, the trailing 12-month (T-12) ended June 30, 2024, NCF of $50.3 million represented a 14.5% improvement over the year-end (YE) 2023 NCF of $43.9 million. The $465.0 million trust loan, which is accompanied by a $60.0 million mezzanine loan (held outside of the trust), is secured by the borrower's fee-simple interest in a 1.3 million-square-foot (sf) Class A+ office/retail building known as the Crescent in the Uptown/Turtle Creek submarket of Dallas. Building amenities include on-site restaurants, a deli, a fitness center, a conference center, garage parking, concierge services, on-site security, and an outdoor terrace. The property is part of a larger mixed-use development project that includes The Crescent Hotel, a 226-key luxury hotel, which is not a part of the collateral. The loan sponsor is Crescent Real Estate LLC, a real estate operating company and investment advisor, which had approximately $4.5 billion in assets under management as of February 2024. The floating-rate loan has an upcoming maturity date in April 2025 after the borrower exercised the first of up to two 12-month extension options after the initial three-year term. Morningstar DBRS has made an inquiry to the servicer regarding the borrower's intention to exercise the final extension option with a response currently pending. If the borrower does exercise the extension option, it will be required to purchase an interest rate cap agreement with a strike rate resulting in a minimum debt service coverage ratio (DSCR) of 1.10 times (x) on the senior debt based on current property operations. As noted above the T-12 NCF was $50.3 million, resulting in a DSCR of 1.41x. The figure which is above the YE2023 figure of $43.9 million (DSCR of 1.31x), but notably higher than the YE2022 and Morningstar DBRS figures of $36.7 million (DSCR of 2.17x) and $31.1 million (DSCR of 2.98x), respectively. Occupancy has remained relatively flat for the past few years, with the property reporting a 93.8% occupancy rate, according to the February 2025 rent roll. The figure is similar with the YE2023 and YE2022 figures of 96.0% and 94.0%, respectively, but above the occupancy rate at issuance of 87.0%. The property benefits from a largely granular rent roll, with the largest tenant, Weil Gotshal & Manges LLP, representing 5.2% of net rentable area (NRA) on a lease scheduled to expire in July 2028. Tenant rollover risk in the next 12 months includes 20 tenants occupying 9.6% of NRA. According to the February 2025 rent roll, the property has a base average rental rate of $36.30 per square foot (psf) compared with the issuance figure of $27.30 psf. According to Reis, office properties in the Uptown submarket of Dallas had a Q4 2024 vacancy rate of 24.9%, an asking rental rate of $42.34 psf gross, and an effective rent of $32.06 psf gross. At the previous Morningstar DBRS credit rating action in April 2024, Morningstar DBRS completed an updated collateral valuation. For more information regarding the approach and analysis conducted, please refer to the press release titled "Morningstar DBRS Takes Actions on North American Single-Asset/Single-Borrower Transactions Backed by Office Properties," published on April 15, 2024. Given the stable performance of the collateral over the last year, for the purposes of this review, Morningstar DBRS maintained its property valuation of $415.3 million based on a 7.5% cap rate on the Morningstar DBRS NCF of $31.1 million. The implied loan-to-value ratio is 112.0% on the trust loan of $465.0 million and 126.4% on the outstanding whole loan balance of $525.0 million. Qualitative adjustments, totaling 3.5% for cash flow volatility, property quality, and market fundamentals were applied to account for low cash flow volatility amidst the positively trending NCF, the quality of the improvements, and market fundamentals. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. CSWF TRUST 2018-TOP: DBRS Confirms BB(low) Rating on Class H Certs ------------------------------------------------------------------ DBRS, Inc. confirmed the credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2018-TOP issued by CSWF Trust 2018-TOP as follows: -- Class G at AA (low) (sf) -- Class H at BB (low) (sf) Morningstar DBRS also changed the trend on Class H to Stable from Negative. The trend on Class G is Stable. During the prior credit action in April 2024, Morningstar DBRS downgraded its credit ratings on classes G and H to reflect the updated Morningstar DBRS values that were derived for the remaining assets in the pool in two single-tenant office properties located in Tempe, AZ, and Tampa. The credit rating downgrades and Negative trend on the Class H certificate with the April 2024 review also reflected the increased risks related to the specially serviced status of the loan and the decline in demand for older, less favorably located collateral such as the subject properties. With this review, Morningstar DBRS considered a recoverability analysis based on a conservative haircut to the most recent appraisal values. The result of that analysis suggests that the two rated certificates in Class G and Class H, which combine for a balance of $23.1 million as of the February 2025 remittance, would be fully repaid, with realized losses contained to the $21.2 million unrated Class HRR certificate, supporting the credit rating confirmations with this review. The underlying loan transferred to the special servicer for maturity default in August 2023, and a loan modification was approved to extend the loan term to August 2024. The borrower failed to repay the loan at the extended maturity date, and the most recent servicer commentary notes that the lender and borrower are engaged in discussions to sell one of the remaining assets. The underlying loan funded the collateral portfolio's acquisition and recapitalization for the sponsor, TPG Real Estate's TPG Real Estate Partners Fund II. At issuance, the loan collateral included a portfolio composed of the fee-simple and leasehold interests in a portfolio of 15 mostly single-tenant Class A office properties totaling 3.1 million square feet (sf) in 11 states. All but two properties, totaling about 250,000 sf, have been released to date, with commensurate paydown for the trust in accordance with the release provisions, which resulted in all releases since April 2021 requiring a paydown equal to 115.0% of the allocated loan amount (ALA) and a sequential pay structure for the transaction certificates. The largest asset by ALA, Eisenhower Campus, consists of one office building, 4931 George Road (at securitization, the property consisted of two buildings, but the 4904 Eisenhower Boulevard building was released in May 2022) in Tampa totaling about 130,000 sf of net rentable area (NRA). The building's sole tenant, E.R. Squibb and Sons, LLC, occupies 100.0% of the building on a lease scheduled to expire in December 2025. Although the tenant extended its lease by 18 months (the original lease expiration date was in June 2024), Morningstar DBRS previously noted that the short-term nature may be indicative of the tenant's lack of longer-term commitment to the space. The servicer noted that the borrower is in negotiations to sell the building, but nothing has been finalized to date. The other remaining property is a 124,000-sf office building in Tempe that is fully occupied by Amazon.com Services, Inc. (Amazon) on a lease that was recently extended through July 2029. The property was previously under contract after a buyer was identified; however, the special servicer noted that the sale ultimately fell through, and the borrower's broker has relaunched the marketing campaign for the property. Given the volatility in the loan's workout process to date as well as the general lack of end-user demand for office properties, particularly in secondary markets, challenging the borrower's efforts to sell the remaining properties, the recoverability analysis considered by Morningstar DBRS applied a conservative 50.0% haircut to the most recent appraisals the special servicer provided, both dated February 2024. The resulting aggregate Morningstar DBRS value of $28.2 million for the remaining properties reflects a whole-loan loan-to-value ratio (LTV) of 149.6% (when considering only the rated classes G and H, the LTV is 74.3%). Although the LTV is high, the recoverability analysis would continue to suggest full repayment of those classes up to a stressed haircut on the appraised values of nearly 63.0%. These factors contributed to the credit rating confirmations and change in trend to Stable from Negative for the BB (low) (sf) credit-rated Class H certificate. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. DRYDEN 123: S&P Assigns BB- (sf) Rating on Class C Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to Dryden 123 CLO Ltd./Dryden 123 CLO 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 PGIM Inc. 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 debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Dryden 123 CLO Ltd./Dryden 123 CLO LLC Class A-1, $320.00 million: AAA (sf) Class A-2, $15.00 million: AAA (sf) Class B, $45.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $46.20 million: NR NR--Not rated. FIGRE TRUST 2025-HE2: DBRS Finalizes B(low) Rating on Cl. F Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Mortgage-Backed Notes, Series 2025-HE2 (the Notes) issued by FIGRE Trust 2025-HE2 (FIGRE 2025-HE2 or the Trust): -- $230.0 million Class A at AAA (sf) -- $21.0 million Class B at AA (low) (sf) -- $20.5 million Class C at A (low) (sf) -- $11.2 million Class D at BBB (low) (sf) -- $11.7 million Class E at BB (low) (sf) -- $12.1 million Class F at B (low) (sf) The AAA (sf) credit rating on the Class A Notes reflects 26.10% of credit enhancement provided by subordinate notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 19.35%, 12.75%, 9.15%, 5.40%, and 1.50% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 4,200 loans (individual HELOC draws) which correspond to 3,940 HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $311,206,542 and a total current credit limit of $338,374,014 as of the Cut-Off Date (March 1, 2025). The portfolio, on average, is three months seasoned, though seasoning ranges from one to 17 months. All of the HELOCs are current and have been performing since origination. All of the loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first lien mortgage. In June 2023, the company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of October 2024, Figure originated, funded, and serviced more than 159,000 HELOCs totaling approximately $11.9 billion. Figure is the Originator of most and the Servicer of all HELOCs in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the transaction's Sponsor. FIGRE 2025-HE2 is the 13th rated securitization of HELOCs by the Sponsor. Also, Figure-originated HELOCs are included in five securitizations sponsored by Saluda Grade. These transactions' performances to date are satisfactory. The transaction includes mostly junior liens (primarily second liens) and some first-lien HELOCs. Natural Disasters The mortgage pool contains loans secured by mortgage properties that are located within certain disaster areas (such as those impacted by the Greater Los Angeles wildfires). The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections (PDI) for any property located in a known disaster zone prior to the transactions closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. To the extent that a PDI was ordered prior to closing but notice of material damages were not available until after closing, the sponsor will repurchase the related loan/loans. The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties (including events such as fire, windstorm, flood, earth movement, and hurricane). Maryland Consumer Purpose Loans In 2024, the Maryland Appellate Court ruled that a statutory trust that held a defaulted HELOC must be licensed as both an Installment Lender and a Mortgage Lender under Maryland law prior to proceeding to foreclosure on the HELOC. On January 10, 2025, the Maryland Office of Financial Regulation ("OFR") issued emergency regulations that apply the decision to all secondary market assignees of Maryland consumer-purpose mortgage loans, and specifically require "passive trusts" that acquire or take assignment of Maryland mortgage loans that are serviced by others to be licensed. While the emergency regulations became effective immediately, OFR indicated that enforcement would be suspended until April 10, 2025. The emergency regulations will expire on June 16, 2025, and the OFR has submitted the same provisions as the proposed, permanent regulations for public comment. Failure of the Issuer to obtain the appropriate Maryland licenses may result in the Maryland OFR taking administrative action against the Issuer and/or other transaction parties, including assessing civil monetary penalties and issuing a cease-and-desist order. Further, there may be delays in payments on, or losses in respect of, the Notes if the Issuer or Servicer cannot enforce the terms of a Mortgage Loan or proceed to foreclosure in connection with a Mortgage Loan secured by a Mortgaged Property located in Maryland, or if the Issuer is required to pay civil penalties. Approximately 2.4% of the pool (97 loans) are Maryland consumer-purpose mortgage loans. While the ultimate resolution of this regulation is still unclear, Morningstar DBRS, in its analysis, considered a scenario in which these properties had no recoveries given default. HELOC Features In this transaction, all HELOCs except two are open-HELOCs that have a draw period of two, three, four, or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. At the end of the draw term, the HELOC mortgagors have a repayment period ranging from three to 25 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. These HELOCs are fully drawn at origination, as evidenced by the weighted-average (WA) utilization rate by current line amount of approximately 92.0% after three months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the then current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period and may have terms significantly shorter than 30 years, including five- to 10-year maturities. Certain Unique Factors in HELOC Origination Process Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal Figure uses a property valuation provided by an automatic valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO) or a residential evaluation. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM and BPO valuations, reduced the projected recoveries on junior-lien HELOCs, and generally stepped up expected losses from the model to account for a combined effect of these and other factors. Please see the Documentation Type and Underwriting Guidelines sections of the related report for details. Transaction Counterparties Figure will service all loans within the pool for a servicing fee of 0.25% per year. Also, Newrez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will act as a Subservicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. In addition, Northpointe Bank (Northpointe) will act as a Backup Servicer for all mortgage loans in this transaction for a fee of 0.01% per year. If Figure fails to remit the required payments, fails to observe or perform the Servicer's duties, or experiences other unremedied events of default described in detail in the transaction documents, servicing will be transferred to Northpointe from Figure, under a successor servicing agreement. Such servicing transfer will occur within 45 days of the termination of Figure. In the event of a servicing transfer, Shellpoint will retain servicing responsibilities on all loans that were being special serviced by Shellpoint at the time of the servicing transfer. Morningstar DBRS performed an operational risk review of Northpointe's servicing platform and believes the company is an acceptable loan servicer for Morningstar DBRS-rated transactions. The Bank of New York Mellon will serve as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and REMIC Administrator. Wilmington Savings Fund Society, FSB will serve as the Custodian and the Owner Trustee. DV01, Inc. will act as the loan data agent. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of the required percentage of the Class A, B, C, D, E, F, and G Note amounts and Class FR Certificate to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Sponsor or a majority-owned affiliate of the Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Additionally, pursuant to the EU and UK Risk Retention Agreement, the Sponsor will agree that on an ongoing basis for so long as the Notes are outstanding: -- it will retain exposure to a material net economic interest in this transaction of not less than 5% of the nominal value of each class of Notes, in the form specified in related transaction documents; -- neither it nor any affiliate will sell, hedge or mitigate its credit risk under or associated with the EU and UK Retained Interest, except to the extent permitted in accordance with the EU Securitization Rules and the UK Securitization Rules respectively; -- it will not change the retention option or method of calculation of its EU and UK Retained Interest, except to the extent permitted under the EU Securitization Rules or the UK Securitization Rules; -- it will confirm its EU and UK Retained Interest in the SR Investor Report; and -- it will promptly notify the Issuer and a responsible officer of the Paying Agent in writing if for any reason: (a) it ceases to retain exposure the EU and UK Retained Interest in accordance with the above, or (b) it or any of its affiliates fails to comply with the covenants set out above. Similar to other transactions backed by junior lien mortgage loans or HELOCs, but different from certain Morningstar DBRS-rated FIGRE transactions, the HELOCs that are 180 days delinquent under the MBA delinquency method may not be charged off by the Servicer in its discretion. In its analysis, Morningstar DBRS assumes all junior lien HELOCs that are 180 days delinquent under the MBA delinquency method will be charged-off. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class FR Certificate holder after the Closing Date). The Reserve Account is funded at closing initially with a rounded balance of $1,089,223 (0.35% of the aggregate UPB as of the Cut-Off Date). Prior to the payment date in April 2030, the Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date. On and after the payment date in April 2030 (after the draw period ends for all HELOCs), the Reserve Account Required Amount will become $0. If the Reserve Account is not at target, the Paying Agent will use the available funds remaining after paying transaction parties' fees and expenses, reimbursing the Servicer for any unpaid fees or Net Draws, and paying the accrued and unpaid interest on the bonds to build it to the target. The top-up of the account occurs before making any principal payments to the Class FR Certificate holder or the Notes. To the extent the Reserve Account is not funded up to its required amount from the principal and interest (P&I) collections, the Class FR Certificate holder will be required to use its own funds to reimburse the Servicer for any Net Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. Figure, as a holder of the Trust Certificate/Class FR Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount of any Net Draws funded by the Class FR Certificate holder. The Reserve Account's required amount will become $0 on the payment date in April 2030 (after the draw period ends for all HELOCs), at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Figure. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Transaction Structure The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. This transaction differs from certain previous Morningstar DBRS-rated FIGRE transactions where there is no performance trigger related to Net WA Coupon (WAC) Rate. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of the related report for more details. Notable Structural Features Similar to previous Morningstar DBRS-rated FIGRE transactions, this deal employs a Delinquency Trigger and a Cumulative Loss Trigger. The effective dates for the triggers may differ from prior rated transactions. The Delinquency Trigger is applicable on or after the 12th payment date (March 2026) rather than being applicable immediately after the Closing Date. Unlike some of the prior FIGRE securitizations that employed a pro-rata pay structure amongst all rated notes, this transaction includes rated classes - Class D, Class E, and Class F, that receive their principal payments after the pro-rata classes (Class A, Class B, and Class C) are paid in full. The inclusion of sequential pay classes retains credit support that would otherwise be reduced in the absence of a credit event. Unlike some of the prior FIGRE securitizations, this transaction includes a principal-only class, Class G, that provides credit support to the rated notes instead of overcollateralization (OC). Since there is no longer any OC, there is no longer any need for the OC Target or OC Floor present in other transactions. The Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date, lower than the prior FIGRE securitizations. Other Transaction Features For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of P&I on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class XS Notes). For the junior-lien HELOCs, the Servicer will make servicing advances only if such advances are deemed recoverable or if the associate first-lien mortgage has been paid off and such HELOC has become a senior-lien mortgage loan. The Depositor may, at its option, on or after the earlier of (1) the payment date on which the balance of the Class A Notes is reduced to zero or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 25% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The Servicer, at a direction of the Controlling Holder, may direct the Issuer to sell (and direct the Indenture Trustee to release its lien on and relinquish its security interest in) eligible nonperforming loans (those 120 days or more delinquent under the MBA method) or REO properties (both, Eligible Nonperforming Loans (NPLs)) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, Baseline Macroeconomic Scenarios for Rated Sovereigns: March 2025 Update, published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus disease pandemic scenarios, which were first published in April 2020. Notes: All figures are in US dollars unless otherwise noted. FLATIRON CLO 19: S&P Assigns BB- (sf) Rating on Class E-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R2, B-R2, C-R2, D-R2, and E-R2 debt from Flatiron CLO 19 Ltd./Flatiron CLO 19 LLC, a CLO managed by NYL Investors LLC that was originally issued in November 2019 and underwent a refinancing in November 2021. At the same time, S&P withdrew its ratings on the outstanding class A-R, B-R, C-R, D-R, and E-R debt following payment in full on the April 8, 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 May 18, 2026. -- No additional assets were purchased on the April 8, 2025, refinancing date. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is May 16, 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. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the replacement class D-R2 and E-R2 debt than the rating action on the debt reflects. However, we assigned our 'BBB- (sf)' rating on the class D-R2 debt and 'BB- (sf)' rating on the class E-R2 debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction, and that the transaction has entered its amortization phase. Based on the latter, we expect the credit support available to all rated classes to increase as principal is collected and the senior debt is paid down." Replacement And Outstanding Debt Issuances Replacement debt -- Class A-R2, $252.00 million: Three-month CME term SOFR + 1.18% -- Class B-R2, $52.00 million: Three-month CME term SOFR + 1.50% -- Class C-R2 (deferrable), $24.00 million: Three-month CME term SOFR + 1.90% -- Class D-R2 (deferrable), $24.00 million: Three-month CME term SOFR + 2.90% -- Class E-R2 (deferrable), $15.40 million: Three-month CME term SOFR + 5.90% Outstanding debt -- Class A-R, $252.00 million: Three-month CME term SOFR + 1.34%(i) -- Class B-R, $52.00 million: Three-month CME term SOFR + 1.81%(i) -- Class C-R, $24.00 million: Three-month CME term SOFR + 2.26%(i) -- Class D-R, $24.00 million: Three-month CME term SOFR + 3.26%(i) -- Class E-R, $15.40 million: Three-month CME term SOFR + 6.36%(i) (i)Includes credit spread adjustment of 0.26% (rounded off). 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 Flatiron CLO 19 Ltd./Flatiron CLO 19 LLC Class A-R2, $229.05 million: AAA (sf) Class B-R2, $52.00 million: AA (sf) Class C-R2 (deferrable), $24.00 million: A (sf) Class D-R2 (deferrable), $24.00 million: BBB- (sf) Class E-R2 (deferrable), $15.40 million: BB- (sf) Ratings Withdrawn Flatiron CLO 19 Ltd./Flatiron CLO 19 LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Class E-R to NR from 'BB- (sf)' Other Debt Flatiron CLO 19 Ltd./Flatiron CLO 19 LLC Subordinated notes, $38.895 million: NR NR--Not rated. GCAT TRUST 2022-INV1: Moody's Ups Rating on Cl. B-5 Certs to Ba1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 11 bonds from one transaction, backed by agency eligible non-owner occupied mortgage loans issued by GCAT 2022-INV1 Trust. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GCAT 2022-INV1 Trust Cl. A-26, Upgraded to Aaa (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-27, Upgraded to Aaa (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-28, Upgraded to Aaa (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X26*, Upgraded to Aaa (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X27*, Upgraded to Aaa (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X28*, Upgraded to Aaa (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Jun 14, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jun 14, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jun 14, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jun 14, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jun 14, 2024 Upgraded to Ba2 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. The actions also reflect the correction of a prior error. Enhancement levels for these tranches have grown, as the pool amortized. The credit enhancement since closing has relative growth of 16% for the non-exchangeable tranches upgraded. In the previous rating action, the cashflow modeling used by Moody's did not consider the stop advance feature present in this transaction. After revising Moody's cashflow modeling to incorporate the stop advance feature, Moody's determined that an additional uplift to the rating levels of A-26, A-27, A-28, A-X26, A-X27, A-X28, and B-1 is warranted. Moody's analysis considers a structural deal mechanism whereby the party responsible for advances will not advance principal and interest for loans that are 120 or more days delinquent. This included a review of delinquency and severity levels as Moody's analyzed the impact that the stop advance mechanism may have on interest payments to the bonds and eventual recoupment of any historical or potential missed interest. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in this deal because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, and credit enhancement. 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 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. 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 2025-800D: DBRS Gives Prov. BB(low) Rating on C Certs ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-800D (the Certificates) to be issued by GS Mortgage Securities Corporation Trust 2025-800D: -- Class A at (P) A (low) (sf) -- Class X-CP at (P) A (low) (sf) -- Class X-NCP at (P) A (low) (sf) -- Class X-FL at (P) BB (low) (sf) -- Class B at (P) BBB (low) (sf) -- Class C at (P) BB (low) (sf) All trends are Stable. GS Mortgage Securities Corporation Trust 2025-800D is collateralized by the borrower's fee-simple interest in one hyperscale data center property located in Elk Grove Village, Illinois. The subject collateral is expected to encompass 88,914 sf of data center space and 30 megawatt (MW) of critical IT load with N+1 redundancy. The subject property was originally constructed as a distribution center in 2005 before the sellers commenced a conversion to a data center in 2021. The conversion of the data center is expected to be completed in phases and is subject to completion guaranty. Data centers, which have existed in various forms for many years, have become a key component of the modern global technology industry. The advent of cloud computing, streaming media, file storage, and artificial intelligence applications has increased the need for these facilities over the last decade in order to manage, store, and transmit data globally. Both hyperscale and co-location data centers have a role in the existing data ecosystem. Hyperscale data centers are designed for large capacity storage and processing of information, whereas co-location centers act as an on-ramp for users to gain access to the wider network, or for information from the network to be routed back to users. From the standpoint of the physical attribute, the data center asset is designed to be adequately powered. DBRS, Inc. (Morningstar DBRS) views the data center collateral as a strong asset with a strong critical infrastructure, including power and redundancy that is built to accommodate the technology needs of today and the future. As part of its analysis, Morningstar DBRS reviewed the strength of the guaranty and construction contract to ensure that the guaranty is inviolable and that the construction guaranty does not have exceptions that will hinder landlord obligations. Morningstar DBRS also reviewed the lease abstract for the investment-grade confidential tenant. The transaction's credit ratings consider the specific lease terms, including the tenant termination options. Morningstar DBRS' credit rating approach for the subject transaction used the "Global Structured Finance Flow-Through Ratings" methodology and the "Rating and Monitoring Data Center Transactions" methodology to address both the remaining construction risk and the mitigating factor in the completion guaranty and the ongoing as-complete risks. Morningstar DBRS' corporate real estate team performed the applicable financial analysis on the completion guarantor and assigned an internal private credit rating to the completion guarantor. Additionally, Morningstar DBRS completed the analysis of project cash flow and valuation along with debt structure, using the "Rating and Monitoring Data Center Transactions" methodology, and concluded a credit rating to the debt secured by the stabilized property. The lower of the two credit ratings was used to assign credit ratings to the most senior notes of the transaction. As described in the Morningstar DBRS commentary titled "Interplay of U.S. Structured Finance Rating Methodologies When Analyzing SF Transactions," Morningstar DBRS may determine that a further credit risk is separate and additional. In such circumstances, this risk may create an additional stress or limitation on the credit ratings of the debt tranches or may otherwise cause Morningstar DBRS to adjust some or all credit ratings assigned to the debt tranches. For the subject transaction, Morningstar DBRS viewed the completion risk as a type of separate and additional credit risk and used the "Global Structured Finance Flow-Through Ratings" methodology to assess the construction risk, which is guaranteed by the completion guarantor. The "Global Structured Finance Flow-Through Ratings" methodology allows for rating of a security based on the credit strength of a third-party entity rather than on the credit strength of the issuer or the underlying assets that back the issued securities. In the subject transaction, the structural elements of the transaction, such as the completion guaranty, escrowed construction costs, and upfront interest and carry reserve, are intended to protect against the interruptions to cash flows available to repay the Certificates in a timely manner. Morningstar DBRS reviews and examines the structure and documentation of such structural protections and guarantees on a case-by-case basis. Morningstar DBRS completed an internal private credit rating on the completion guarantor and concluded an investment-grade credit rating. Morningstar DBRS' private credit rating on the completion guarantor takes into consideration (1) the completion guarantor will continue to rely on its relationship with its parent entity to lease, acquire, dispose, and operate its assets; (2) the completion guarantor will continue to acquire assets of similar quality to its existing portfolio at market terms; (3) the completion guarantor's ability to raise equity capital and honor redemption requests in a timely manner; and (4) the completion guarantor's ability to maintain its low-leverage balance sheet over the medium term. Additionally, Morningstar DBRS' corporate real estate team's internal private credit rating is supported by (1) the completion guarantor's strong market position by way of its parent entity, (2) a nominal amount of secured debt-to-total debt with an unencumbered balance sheet, (3) a low-leverage financial profile with strong EBITDA interest coverage, and (4) a well-laddered debt maturity schedule. The internal private credit rating is constrained by (1) the relatively short weighted-average lease term, presenting re-leasing risk; (2) exposure to various nonrated or below investment-grade counterparties; (3) concentration by asset type investments; and (4) overall asset quality, as modern logistics facilities are less capital-intensive to develop and acquire relative to other asset types. Morningstar DBRS materially deviated from its "Rating and Monitoring Data Center Transactions" methodology when determining the credit ratings assigned to the Certificates by considering an amount of construction risk associated with the tenant fit-out. The material deviation is warranted, given the risk associated with development and its impact on rent commencement and potential delays to timely payment of interest and ultimate payment of principal. Morningstar DBRS accounted for this risk by using its "Global Structured Finance Flow-Through Ratings" methodology to account for the risk of the completion guaranty from an investment-grade rated developer (the completion guarantor), in addition to the escrow of 100% of construction costs, and upfront reserves for interest and carry costs. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Principal Distribution Amounts and Interest Distribution Amounts for the Class A, Class B, and Class C and Interest Distribution Amounts for Class X-CP, Class X-NCP, and Class X-FL. Notes: All figures are in U.S. dollars unless otherwise noted. HAWAII HOTEL 2025-MAUI: DBRS Finalizes B Rating on 2 Classes ------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-MAUI (the Certificates) issued by Hawaii Hotel Trust 2025-MAUI (the Issuer): -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (high) (sf) -- Class JRR at B (sf) -- Class KRR at B (sf) All trends are Stable. This transaction is secured by the borrower's fee-simple interest in the Four Seasons Resort Maui at Wailea (Four Seasons Maui). The full-service luxury hotel features 383 guest rooms, with five food and beverage offerings, specialty retail outlets, and meeting space. The hotel operates under the Four Seasons flag via an agreement that expires in February 2040 and benefits from its luxury quality, strong brand affiliation, and a wide range of amenities, including a spa, three outdoor pools, tennis courts, a game room and fitness center, and preferred access to the 54-hole Wailea Golf Club directly across Wailea Alanui Drive from the hotel. The Four Seasons Maui has been acknowledged as a AAA Five Diamond Hotel since its opening in 1990 and has earned the prestigious Forbes Travel Guide Five Star award since 2005. Wailea has one of the highest barriers to entry of any resort market in the world. Available sites are extremely rare or nonexistent, and zoning is complex and protective. Morningstar DBRS has a positive view on the subject considering the excellent quality of the collateral, its prime beachfront location in a market with extremely high barriers to entry, and the significant capital invested into the property with continued near-term investment. The mortgage loan of $665 million will be used to retire $650 million of existing debt and cover $15 million of closing costs, which include costs associated with the purchase of the term Secured Overnight Financing Rate (SOFR) cap. The loan is a two-year floating-rate interest-only mortgage loan with three one-year extension options. The floating rate will be based on the one-month SOFR plus the initial weighted-average component spread, which is expected to be approximately 2.267369165%. The borrower will be required to enter into an interest rate cap agreement, with an expected one-month term SOFR strike price of 3.25% during the initial term. The subject was previously securitized in the Morningstar DBRS-rated HHT 2019-MAUI transaction, whose debt will be refinanced as a result of this transaction. The Borrower is a special purpose entity controlled by and indirectly over 90% owned by MSD Hospitality Partners, L.P. (the "Borrower Sponsor" or the "Guarantor"), which is the non-recourse carveout guarantor. The remaining ownership interest of the Borrower is owned by affiliates of MSD Capital, L.P. The Borrower Sponsor is controlled by MSD Partners (GP), LLC, an affiliate of BDT & MSD Holdings, L.P. ("BDT & MSD") and the general partner of MSD Partners, L.P. and MSD Real Estate Partners, L.P. (collectively, "MSD Partners"). BDT & MSD is a merchant bank with an advisory and investment platform built to serve the distinct needs of business owners and strategic, long-term investors. Its funds are managed by its affiliated investment advisers, BDT Capital Partners, LLC ("BDT Capital Partners") and MSD Partners. MSD Partners has invested in or manages approximately $16 billion of real estate equity and credit, including other luxury hotels. The property is flagged as a Four Seasons hotel, a privately-owned hotel management company that has been managing the resort since its inception in 1990. The management agreement expires in 2040 and has one 15-year renewal option remaining for a fully extended maturity date of 2055. The subject benefits from its location in Maui, which is the second-largest of the Hawaiian Islands. Maui experienced significant disruption in travel because of the coronavirus pandemic and the August 2023 wildfires. In the immediate aftermath of the wildfires, travel to Maui was severely restricted, with nearly all incoming flights to the island directed toward the recovery effort for the affected areas, which were predominantly concentrated in and around Lahaina. However, Maui's recovery following the coronavirus pandemic and the wildfires is evidenced by the island's strong visitor demand and improved airlift numbers. Maui has a strong base in tourism and is consistently ranked as one of the top island destinations globally. The subject attracts visitors from all around the world because of its excellent amenities and accommodations and is known as one of the most luxurious hotels and resorts in the U.S. There is limited competition and little in the way of new construction or development for a similar product in the area. The subject is a consistent outperformer within its competitive set, boasting average occupancy, average daily rate (ADR), and revenue per available room (RevPAR) penetration rates of 105.6%, 159.4%, and 169.2%, respectively, from 2005 through January 2025. In 2019, prior to the coronavirus pandemic, the subject reported an 85.2% occupancy rate and a $1,046.85 ADR for a RevPAR of $892.18. While occupancy declined, the sponsor was successful in recovering ADR and RevPAR to above their prepandemic levels prior to the onset of the wildfires. The property achieved a RevPAR of $1,176.17 as of YE2022, after the pandemic-affected RevPAR low of $266.14 in 2020. The property's top-line performance for the T-12 ended January 2025 is 6.2% above prepandemic levels but 17.2% lower than the YE2022 levels. Forward bookings for the subject are strong, despite the borrower's ongoing capital improvement plan. PACE bookings as of February 18, 2025, show total room nights on-the-books levels at approximately 109.7% and 110.4%, respectively, of room night levels from the same period in 2024 and in 2023. The increase is primarily driven by transient demand, which is a further testament to Maui and the subject's continued wildfire recovery. Morningstar DBRS' concluded stabilized RevPAR of $988.79 is 10.8% and 2.0% above the 2019 and T-12 levels, respectively. The subject's location, market positioning, experienced sponsorship, and the property's recent and continued renovations should allow for continued growth. Morningstar DBRS believes that the subject will remain a leader within the luxury hotel and resort market in Maui. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. HILDENE TRUPS 4: Moody's Assigns Ba2 Rating to $27.75MM D-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to six classes of CDO refinancing notes (the Refinancing Notes) issued by Hildene TruPS Securitization 4, Ltd. (the Issuer): US$263,800,000 Class A1-R Senior Secured Floating Rate Notes due 2040, Definitive Rating Assigned Aaa (sf) US$71,050,000 Class A2A-R Senior Secured Floating Rate Notes due 2040, Definitive Rating Assigned Aa1 (sf) US$40,000,000 Class A2F-R Senior Secured Fixed Rate Notes due 2040, Definitive Rating Assigned Aa1 (sf) US$58,350,000 Class B-R Mezzanine Secured Deferrable Floating Rate Notes due 2040, Definitive Rating Assigned A1 (sf) US$22,200,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2040, Definitive Rating Assigned Baa3 (sf) US$27,750,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2040, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CDO's portfolio and structure. Hildene TruPS Securitization 4, Ltd. is a static cash flow TruPS CDO. The issued notes collateralized primarily by (1) trust preferred securities ("TruPS") and subordinated debt issued by US community banks and their holding companies and (2) TruPS, surplus notes and subordinated debt issued by insurance companies and their holding companies. The portfolio is fully ramped as of the closing date. Hildene Structured Advisors, LLC (the Manager) will direct the disposition of any defaulted securities, deferring securities or credit risk securities. The transaction prohibits any asset purchases or substitutions at any time. In addition to the Refinancing Notes, the Issuer issued one class of additional 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. The performing portfolio of this CDO consists of (1) TruPS and subordinated debt issued by 67 US community banks and (2) TruPS, surplus notes and subordinated debt issued by 7 insurance companies, the majority of which Moody's do not rate. Moody's assess the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc(TM), an econometric model developed by Moody's Analytics. Moody's evaluations of the credit risk of the bank obligors in the pool relies on FDIC Q3-2024 financial data. Moody's assess the default probability of insurance company obligors that do not have public ratings through credit assessments provided by its insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. For modeling purposes, Moody's used the following base-case assumptions: Performing Par amount: $541,360,000 Defaulted/Deferring par: $14,000,000 Weighted Average Rating Factor (WARF): 731 Weighted Average Spread Float Assets (WAS): 2.71% Weighted Average Coupon Fixed Assets (WAC): 7.25% Weighted Average Coupon (WAC)/Weighted Average Spread(WAS) for fixed to float assets: 3.26%/2.34% Weighted Average Recovery Rate (WARR): 10.0% Weighted Average Life (WAL): 8.7 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 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 portfolio consists primarily of unrated assets whose default probability Moody's assess through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. HOME RE 2021-2: Moody's Upgrades Rating on Cl. M-2 Certs From Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of seven bonds from three US mortgage insurance-linked note (MILN) transactions. These transactions were issued to transfer to the capital markets the credit risk of private mortgage insurance (MI) policies issued by the ceding insurer on a portfolio of residential mortgage loans. 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: Home Re 2021-1 Ltd. Cl. M-2, Upgraded to Aa1 (sf); previously on Jun 12, 2024 Upgraded to A2 (sf) Issuer: Home Re 2021-2 Ltd. Cl. M-1C, Upgraded to Aa2 (sf); previously on Jun 12, 2024 Upgraded to Baa1 (sf) Cl. M-2, Upgraded to A2 (sf); previously on Jun 12, 2024 Upgraded to Ba1 (sf) Issuer: Home Re 2022-1 Ltd Cl. B-1, Upgraded to Baa3 (sf); previously on Jun 12, 2024 Upgraded to Ba3 (sf) Cl. M-1B, Upgraded to Aaa (sf); previously on Jun 12, 2024 Upgraded to Baa2 (sf) Cl. M-1C, Upgraded to A3 (sf); previously on Jun 12, 2024 Upgraded to Ba1 (sf) Cl. M-2, Upgraded to Baa2 (sf); previously on Jun 12, 2024 Upgraded to Ba2 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative losses for each transaction under .03% and a small percentage of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 70.8% for the tranches upgraded. Principal Methodologies The principal methodology used in these ratings 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 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. HPS LOAN 2023-17: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class B-R, C-R, D-1-R, D-2-R, and E-R debt from HPS Loan Management 2023-17 Ltd./HPS Loan Management 2023-17 LLC, a CLO managed by HPS Investment Partners CLO (UK) LLP that was originally issued in March 2023. The preliminary ratings are based on information as of April 4, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 8, 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-L-R loans and class A-R, C-R, and E-R debt are expected to be issued at a lower spread over three-month CME term SOFR than the original debt. -- The replacement class B-R debt is expected to be issued at a floating spread, replacing the current class B-1 floating spread and class B-2 fixed coupon debt. -- The replacement class D-1-R and D-2-R debt is expected to be issued at a floating spread, replacing the current class D floating spread debt. -- The stated maturity and reinvestment period will be extended by two years. -- The non-call period will be extended just over two years to April 23, 2027. 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. "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 HPS Loan Management 2023-17 Ltd./ HPS Loan Management 2023-17 LLC Class A-R, $52.00 million: NR Class A-L-R loans, $200.00 million: NR Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $3.00 million: BBB- (sf) Class E-R (deferrable), $13.00 million: BB- (sf) Other Debt HPS Loan Management 2023-17 Ltd./HPS Loan Management 2023-17 LLC Subordinated notes, $39.70 million: NR (i)The class A-L-R loans can be converted to class A-R debt. Any such converted amount will increase the class A-R debt outstanding amount and decrease the class A-L-R loans outstanding amount. Therefore, the maximum amount of class A-R debt would be $252.005 million. NR--Not rated. JP MORGAN 2014-C20: Moody's Lowers Rating on Cl. EC Certs to B1 --------------------------------------------------------------- Moody's Ratings has affirmed the ratings on three classes and downgraded the ratings on one class in J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-C20, Commercial Mortgage Pass-Through Certificates, Series 2014-C20 as follows: Cl. B, Affirmed Baa2 (sf); previously on Jun 18, 2024 Affirmed Baa2 (sf) Cl. C, Affirmed B1 (sf); previously on Jun 18, 2024 Downgraded to B1 (sf) Cl. EC, Downgraded to B1 (sf); previously on Jun 18, 2024 Downgraded to Ba3 (sf) Cl. X-B*, Affirmed Baa2 (sf); previously on Jun 18, 2024 Affirmed Baa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on two P&I classes, Cl. B and Cl. C, were affirmed due to their credit support as well as the expected principal paydowns and performance of the remaining loans in the pool. Cl. B has already paid down 94% since securitization and will benefit from priority of principal payments from liquidations or payoffs from the remaining loans in the pool. The rating on the IO class, Cl. X-B, was affirmed based on the credit quality of its referenced class. The rating on the exchangeable class, Cl. EC, was downgraded due to paydowns of higher rated exchangeable classes. Cl. EC originally referenced C. A-S, Cl. B and Cl. C, however, Cl. A-S has paid off in full and there have been significant paydowns to Cl. B. Moody's rating action reflects a base expected loss of 62.3% of the current pooled balance, compared to 53.7% at Moody's last review. Moody's base expected loss plus realized losses is now 12.2% of the original pooled balance, compared to 11.3% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 75% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced to the most junior class and the recovery as a pay down of principal to the most senior class. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool and an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the March 2025 distribution date, the transaction's aggregate certificate balance has decreased by 83.8% to $142 million from $878 million at securitization. The certificates are collateralized by five remaining mortgage loans, of which three loans (75% of the pool) are currently in special servicing. The two largest specially serviced loans (63% of the pool) have been deemed non-recoverable by the Master Servicer and as of the March 2025 remittance statement cumulative interest shortfalls were $8.9 million and impacted up to Cl. C. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications extraordinary trust expenses and non-recoverable determinations. The largest specially serviced loan is the 200 West Monroe ($45.6 million – 32% of the pool), which represents a pari passu portion of $68.2 million mortgage loan. The loan is secured by an approximately 536,000 SF portion of a 649,200 SF, Class B, office building located in Chicago, Illinois. As of March 2024, the property was 62% leased, compared to 68% in December 2023 and 84% at securitization. As a result of a decrease in occupancy, both the revenue and net operating income (NOI) of the property have significantly declined, and the year-end 2023 NOI was 42% lower than year-end 2022 and 70% below the NOI in 2014. The loan transferred to special servicing in February 2024 due to the monetary default. As of the March 2025 remittance, the loan was last paid through its December 2023 payment date, had a reported $2.1 million of loan advances and had been deemed non-recoverable by the master servicer. The second largest specially serviced loan is the Lincolnwood Town Center Loan ($44.5 million – 31% of the pool), which is secured by an enclosed regional mall in Lincolnwood, Illinois. The mall is located approximately 13 miles north of the Chicago CBD. The mall is not the dominant mall in its trade area and faces competition from three malls within 10 miles. The mall is anchored by Kohl's and The RoomPlace which was formerly a Carson Pirie Scott. The loan has been in special servicing since May 2020 and became REO in August 2021. As of May 2024, collateral occupancy was 81%, the same as in December 2022 and compared to 96% at securitization. Property performance has declined significantly since securitization and the most recent reported NOI from December 2022 was negative. An updated appraised value from April 2023 represented an 83% decline from its value at securitization and was 66% below the outstanding loan amount. As of the March 2025 remittance, the loan was last paid through its January 2021 payment date, had a reported $1.4 million of loan advances and had been deemed non-recoverable by the master servicer. Moody's anticipated a significant loss on this loan. The third largest specially serviced loan is the Westminster Mall loan ($16.7 million – 12% of the pool), which represents a pari passu portion of $47.0 million mortgage loan. The loan is secured by an approximately 771,800 SF of a 1.4 million SF regional mall located in Westminster, California. The two largest collateral anchors, Target (23% of NRA) and J.C. Penney (20% of NRA), own their improvements and ground lease the land from the borrower. Property performance has consistently declined since 2014 primarily due to significant declines in rental revenue. The NOI further declined during the pandemic and the property has been unable to generate sufficient revenue to cover its operating expenses since 2023. The loan has been in special servicing since February 2024 and servicer commentary indicates the property has been under contract to be sold in 2025. As of the March 2025 remittance report, the loan has amortized by 44% since securitization and was paid through its March 2025 payment date. The most recent appraisal from April 2024 valued the property 40% below the value at securitization. The two non-special servicing loans represent 25% of the pool balance. The largest non-special servicing loan is the 109 Prince Street Loan ($29.6 million – 20.8% of the pool), which is secured by condominium interest in a mixed use (retail/office) building mixed located in the Soho neighborhood of New York, NY. As of September 2024, the property was 100% leased and has remained fully occupied since securitization. The largest tenant is Polo New York (9,881 SF/ 74% of NRA), which occupies the entirety of the retail space with a lease expiration of January 2026. The loan has now passed its anticipated repayment date (ARD) in June 2024 and has a final maturity date in January 2026. The loan has had stable performance, however, it faces tenant concentration and refinance risk due to its largest tenant's lease expiration coinciding with its final maturity date. The loan has amortized 15.5% since securitization and Moody's LTV and stressed DSCR are 110% and 0.85X, respectively, compared to 114% and 0.81X at the last review. The other non-special servicing loan is the Madison Place Loan ($5.8 million – 4.1% of the pool), which is a 235,502 SF retail shopping center consisting of four single-story buildings, located in Madison Heights, MI. The loan is a 15-year fully amortizing loan with a maturity date of June 2029. As of year-end 2023, the property was 92% leased and the property's NOI has gradually improved since securitization. The loan has amortized 64% since securitization and Moody's LTV and stressed DSCR are 29% and 3.96X, respectively. JP MORGAN 2023-1: Fitch Keeps B- Rating on B5 Debt on Rating Watch ------------------------------------------------------------------ Fitch Ratings has taken various actions on 157 classes across two JP Morgan Mortgage Trust (JPMMT) transactions issued in 2023; JPMMT 2023-1 and JPMMT 2023-2. These actions include the removal of the Rating Watch Negative (RWN) designations applied to the B4 and B5 classes of JPMMT 2023-2 and RWN remaining on JPMMT 2023-1. Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2023-1 A-1 465978AA2 LT AA+sf Affirmed AA+sf A-1-A 465978AB0 LT AA+sf Affirmed AA+sf A-1-B 465978AC8 LT AA+sf Affirmed AA+sf A-1-C 465978AD6 LT AA+sf Affirmed AA+sf A-1-X 465978AE4 LT AA+sf Affirmed AA+sf A-10 465978BS2 LT AAAsf Affirmed AAAsf A-10-A 465978BT0 LT AAAsf Affirmed AAAsf A-10-B 465978BU7 LT AAAsf Affirmed AAAsf A-10-C 465978BV5 LT AAAsf Affirmed AAAsf A-10-X 465978BW3 LT AAAsf Affirmed AAAsf A-11 465978BX1 LT AAAsf Affirmed AAAsf A-11-A 465978BY9 LT AAAsf Affirmed AAAsf A-11-B 465978BZ6 LT AAAsf Affirmed AAAsf A-11-C 465978CA0 LT AAAsf Affirmed AAAsf A-11-X 465978CB8 LT AAAsf Affirmed AAAsf A-12 465978CC6 LT AAAsf Affirmed AAAsf A-12-A 465978CD4 LT AAAsf Affirmed AAAsf A-12-B 465978CE2 LT AAAsf Affirmed AAAsf A-12-C 465978CF9 LT AAAsf Affirmed AAAsf A-12-X 465978CG7 LT AAAsf Affirmed AAAsf A-13 465978CH5 LT AA+sf Affirmed AA+sf A-13-A 465978CJ1 LT AA+sf Affirmed AA+sf A-13-B 465978CK8 LT AA+sf Affirmed AA+sf A-13-C 465978CL6 LT AA+sf Affirmed AA+sf A-13-X 465978CM4 LT AA+sf Affirmed AA+sf A-14 465978CN2 LT AA+sf Affirmed AA+sf A-14-A 465978CP7 LT AA+sf Affirmed AA+sf A-14-B 465978CQ5 LT AA+sf Affirmed AA+sf A-14-C 465978CR3 LT AA+sf Affirmed AA+sf A-14-X 465978CS1 LT AA+sf Affirmed AA+sf A-15 465978CT9 LT AA+sf Affirmed AA+sf A-15-A 465978CU6 LT AA+sf Affirmed AA+sf A-15-B 465978CV4 LT AA+sf Affirmed AA+sf A-15-C 465978CW2 LT AA+sf Affirmed AA+sf A-15-X 465978CX0 LT AA+sf Affirmed AA+sf A-2 465978AF1 LT AAAsf Affirmed AAAsf A-3 465978AG9 LT AAAsf Affirmed AAAsf A-3-A 465978AH7 LT AAAsf Affirmed AAAsf A-3-C 465978AJ3 LT AAAsf Affirmed AAAsf A-3-X 465978AK0 LT AAAsf Affirmed AAAsf A-4 465978AL8 LT AAAsf Affirmed AAAsf A-4-A 465978AM6 LT AAAsf Affirmed AAAsf A-4-B 465978AN4 LT AAAsf Affirmed AAAsf A-4-C 465978AP9 LT AAAsf Affirmed AAAsf A-4-X 465978AQ7 LT AAAsf Affirmed AAAsf A-5 465978AR5 LT AAAsf Affirmed AAAsf A-5-A 465978AS3 LT AAAsf Affirmed AAAsf A-5-B 465978AT1 LT AAAsf Affirmed AAAsf A-5-C 465978AU8 LT AAAsf Affirmed AAAsf A-5-X 465978AV6 LT AAAsf Affirmed AAAsf A-6 465978AW4 LT AAAsf Affirmed AAAsf A-6-A 465978AX2 LT AAAsf Affirmed AAAsf A-6-B 465978AY0 LT AAAsf Affirmed AAAsf A-6-C 465978AZ7 LT AAAsf Affirmed AAAsf A-6-X 465978BA1 LT AAAsf Affirmed AAAsf A-7 465978BB9 LT AAAsf Affirmed AAAsf A-7-A 465978BC7 LT AAAsf Affirmed AAAsf A-7-B 465978BD5 LT AAAsf Affirmed AAAsf A-7-C 465978BE3 LT AAAsf Affirmed AAAsf A-7-X 465978BF0 LT AAAsf Affirmed AAAsf A-8 465978BG8 LT AAAsf Affirmed AAAsf A-8-A 465978BH6 LT AAAsf Affirmed AAAsf A-8-B 465978BJ2 LT AAAsf Affirmed AAAsf A-8-C 465978BK9 LT AAAsf Affirmed AAAsf A-8-X 465978BL7 LT AAAsf Affirmed AAAsf A-9 465978BM5 LT AAAsf Affirmed AAAsf A-9-A 465978BN3 LT AAAsf Affirmed AAAsf A-9-B 465978BP8 LT AAAsf Affirmed AAAsf A-9-C 465978BQ6 LT AAAsf Affirmed AAAsf A-9-X 465978BR4 LT AAAsf Affirmed AAAsf A-X-1 465978CY8 LT AA+sf Affirmed AA+sf A-X-2 465978CZ5 LT AA+sf Affirmed AA+sf B-1 465978DA9 LT AA-sf Affirmed AA-sf B-2 465978DB7 LT A-sf Affirmed A-sf B-3 465978DC5 LT BBB-sf Affirmed BBB-sf B-4 465978DD3 LT BB-sf Rating Watch Maintained BB-sf B-5 465978DE1 LT B-sf Rating Watch Maintained B-sf JPMMT 2023-2 A-1 46656DAA9 LT AA+sf Affirmed AA+sf A-1-A 46656DAB7 LT AA+sf Affirmed AA+sf A-1-B 46656DAC5 LT AA+sf Affirmed AA+sf A-1-C 46656DAD3 LT AA+sf Affirmed AA+sf A-1-X 46656DAE1 LT AA+sf Affirmed AA+sf A-10 46656DBS9 LT AAAsf Affirmed AAAsf A-10-A 46656DBT7 LT AAAsf Affirmed AAAsf A-10-B 46656DBU4 LT AAAsf Affirmed AAAsf A-10-C 46656DBV2 LT AAAsf Affirmed AAAsf A-10-X 46656DBW0 LT AAAsf Affirmed AAAsf A-11 46656DBX8 LT AAAsf Affirmed AAAsf A-11-A 46656DBY6 LT AAAsf Affirmed AAAsf A-11-B 46656DBZ3 LT AAAsf Affirmed AAAsf A-11-C 46656DCA7 LT AAAsf Affirmed AAAsf A-11-X 46656DCB5 LT AAAsf Affirmed AAAsf A-12 46656DCC3 LT AAAsf Affirmed AAAsf A-12-A 46656DCD1 LT AAAsf Affirmed AAAsf A-12-B 46656DCE9 LT AAAsf Affirmed AAAsf A-12-C 46656DCF6 LT AAAsf Affirmed AAAsf A-12-X 46656DCG4 LT AAAsf Affirmed AAAsf A-13 46656DCH2 LT AA+sf Affirmed AA+sf A-13-A 46656DCJ8 LT AA+sf Affirmed AA+sf A-13-B 46656DCK5 LT AA+sf Affirmed AA+sf A-13-C 46656DCL3 LT AA+sf Affirmed AA+sf A-13-X 46656DCM1 LT AA+sf Affirmed AA+sf A-14 46656DCN9 LT AA+sf Affirmed AA+sf A-14-A 46656DCP4 LT AA+sf Affirmed AA+sf A-14-B 46656DCQ2 LT AA+sf Affirmed AA+sf A-14-C 46656DCR0 LT AA+sf Affirmed AA+sf A-14-X 46656DCS8 LT AA+sf Affirmed AA+sf A-15 46656DCT6 LT AA+sf Affirmed AA+sf A-15-A 46656DCU3 LT AA+sf Affirmed AA+sf A-15-B 46656DCV1 LT AA+sf Affirmed AA+sf A-15-C 46656DCW9 LT AA+sf Affirmed AA+sf A-15-X 46656DCX7 LT AA+sf Affirmed AA+sf A-2 46656DAF8 LT AAAsf Affirmed AAAsf A-3 46656DAG6 LT AAAsf Affirmed AAAsf A-3-A 46656DAH4 LT AAAsf Affirmed AAAsf A-3-C 46656DAJ0 LT AAAsf Affirmed AAAsf A-3-X 46656DAK7 LT AAAsf Affirmed AAAsf A-4 46656DAL5 LT AAAsf Affirmed AAAsf A-4-A 46656DAM3 LT AAAsf Affirmed AAAsf A-4-B 46656DAN1 LT AAAsf Affirmed AAAsf A-4-C 46656DAP6 LT AAAsf Affirmed AAAsf A-4-X 46656DAQ4 LT AAAsf Affirmed AAAsf A-5 46656DAR2 LT AAAsf Affirmed AAAsf A-5-A 46656DAS0 LT AAAsf Affirmed AAAsf A-5-B 46656DAT8 LT AAAsf Affirmed AAAsf A-5-C 46656DAU5 LT AAAsf Affirmed AAAsf A-5-X 46656DAV3 LT AAAsf Affirmed AAAsf A-6 46656DAW1 LT AAAsf Affirmed AAAsf A-6-A 46656DAX9 LT AAAsf Affirmed AAAsf A-6-B 46656DAY7 LT AAAsf Affirmed AAAsf A-6-C 46656DAZ4 LT AAAsf Affirmed AAAsf A-6-X 46656DBA8 LT AAAsf Affirmed AAAsf A-7 46656DBB6 LT AAAsf Affirmed AAAsf A-7-A 46656DBC4 LT AAAsf Affirmed AAAsf A-7-B 46656DBD2 LT AAAsf Affirmed AAAsf A-7-C 46656DBE0 LT AAAsf Affirmed AAAsf A-7-X 46656DBF7 LT AAAsf Affirmed AAAsf A-8 46656DBG5 LT AAAsf Affirmed AAAsf A-8-A 46656DBH3 LT AAAsf Affirmed AAAsf A-8-B 46656DBJ9 LT AAAsf Affirmed AAAsf A-8-C 46656DBK6 LT AAAsf Affirmed AAAsf A-8-X 46656DBL4 LT AAAsf Affirmed AAAsf A-9 46656DBM2 LT AAAsf Affirmed AAAsf A-9-A 46656DBN0 LT AAAsf Affirmed AAAsf A-9-B 46656DBP5 LT AAAsf Affirmed AAAsf A-9-C 46656DBQ3 LT AAAsf Affirmed AAAsf A-9-X 46656DBR1 LT AAAsf Affirmed AAAsf A-X-1 46656DCY5 LT AA+sf Affirmed AA+sf A-X-2 46656DCZ2 LT AA+sf Affirmed AA+sf A-X-3 46656DDA6 LT AA+sf Affirmed AA+sf A-X-4 46656DDB4 LT AA+sf Affirmed AA+sf A-X-5 46656DDC2 LT AA+sf Affirmed AA+sf B-1 46656DDD0 LT AA-sf Affirmed AA-sf B-2 46656DDE8 LT A-sf Affirmed A-sf B-3 46656DDF5 LT BBB-sf Affirmed BBB-sf B-4 46656DDG3 LT BB-sf Affirmed BB-sf B-5 46656DDH1 LT B-sf Affirmed B-sf Transaction Summary - JPMMT 2023-1 B4: Maintains RWN; - JPMMT 2023-1 B5: Maintains RWN; - JPMMT 2023-2 B4: Resolve RWN and Affirm with a Stable Rating Outlook; - JPMMT 2023-2 B5: Resolve RWN and Affirm with a Negative Outlook. All other classes (those not listed above) are affirmed and retain their prior Outlooks. KEY RATING DRIVERS Changes in Serious Delinquency Pipelines (Mixed): Six loans in the JPMMT 2023-1 pool are currently over 90 days delinquent (90+ DQ), representing 2.7% of the outstanding pool balance. This is an increase of an additional loan, from five delinquent loans, or 2.3%, during the November 2024 rating actions when Rating Watches were first assigned to the B4 and B5 classes. Some borrowers have entered loss mitigation and/or repayment plans, with servicers working to avoid liquidations. The lack of improvement or clarity on resolution results in negative uncertainty; the increased number of delinquent borrowers since the initial Rating Watch continues to put risk on the subordinate classes. Fitch has retained the Negative Rating Watch on these classes which will be resolved if there is a sufficient decrease or resolution of serious delinquencies over the next six months. In the JPMMT 2023-2 pool, there are currently four loans that are 90+ DQ, representing 1.8% of the outstanding pool balance, down from 3.8% in November. This improvement follows the full payment of two loans with no loss and the curing of two loans while an additional of two new loans have rolled into 90+ delinquency. Like JPMMT 2023-1, the seriously delinquent loans in this pool have begun paying missed payments as they move towards resolution. The servicer also began exploring loss mitigation plans for a seriously delinquent borrower in December, in an attempt to assist the borrower. Fitch views the reduced serious delinquency pipeline as a positive trend and consequently has removed the Rating Watch and affirmed these classes. Build-up in Relative Credit Enhancement Protecting Against Decreased Expected Losses (Positive): Since November 2024, relative credit enhancement (CE) for JPMMT 2023-1 has continued to build as senior tranches pay down principal and subordinates avoid losses. CE for JPMMT 2023-1 A5A (senior-most base P&I bond) is currently 16.3%, up 40bps since November and up 134bps since issuance in February 2023. The classes on RWN have also seen an increase in CE, contributing to improved principal recovery expectations. CE for the B4 class in JPMMT 2023-1 is 1.2%, up 90 basis points from November. The pool factor for JPMMT 2023-1 is 80.3%, which is down 4.0%, largely due to a significant three-month prepayment rate (3m CPR) of 10.6% along with borrower pay-downs. For JPMMT 2023-2, relative CE has similarly increased across the structure. CE for the A5A is currently 17.6%, up 55bps since November and up 256bps since issuance in March 2023. CE for the B4 class is 1.5%, up 12bps since November. The pool factor for JPMMT 2023-2 is 73.8%, which is down 3.2% due to a three-month CPR of 8.4%. Expected losses for both pools have noticeably decreased since November. Expected losses in the 'BBsf' rating stress have decreased by more than 50bps for both transactions, and neither pool has assumed losses. This is largely a result of the generally clean borrower paystrings, as well as increased home price appreciation, resulting in lower Fitch-calculated sustainable loan-to-value (sLTV). Home Price Appreciation and Fitch's Sustainable Home Price Overvaluation (Positive): As of December 2024, the Case-Shiller Index reported an annual increase of 3.9% nationally, up from a gain of 3.8% in November 2024. Fitch uses Case-Shiller indexation to estimate the home price growth of mortgaged homes. Fitch estimates that national home prices are 11.1% overvalued on a population-weighted basis as of third-quarter 2024 data, down 0.5% since the prior quarter. Fitch applies haircuts to property values based on local overvaluation to determine long-term sustainable values and calculate sLTV ratios. The average sLTV in the 'AAAsf' rating case has decreased by 209bps since these deals' previous review. sLTV is a determinant of both probability of default and loss severity. Average 'BBsf' sLTV for these pools is 88.2%, down 1.6% since November. The collateral comprising the pools has benefited from additional home price indexation since the November review. This has led to reduced probabilities of default and loss severities. The decrease in expected losses has helped mitigate the increased probability of default for the seriously delinquent loans and contributed to a higher principal recovery expectation for all four tranches. The average 'BBsf' expected loss for the two pools has decreased by 59bps since November, reflecting stable performance trends across both transactions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative stress 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 decline at the base case. This analysis indicates some potential rating migration with higher MVDs compared with the model projection. The RMBS Surveillance team is able to consider an additional 5% property value sensitivity as a result of the volatile market environment per the Additional Scenario Analysis section of the "U.S. RMBS Loan Loss Model Criteria." 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 with no assumed overvaluation. Fitch's analysis assumes positive home price growth of 10.0%. Excluding the senior classes already rated 'AAAsf' as well as classes that are constrained due to qualitative rating caps, the analysis indicates there is potential positive rating migration for all of the other rated classes. 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. For enhanced disclosure of Fitch's stresses and sensitivities, please refer to "U.S. RMBS Loss Metrics." 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 JPMMT 2023-1 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk, which has a positive impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. JPMMT 2023-2 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk, which has a positive impact on the credit profile, and is relevant to the rating[s] 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. JPMBB COMMERCIAL 2015-C28: DBRS Cuts Rating on 3 Classes to C ------------------------------------------------------------- DBRS Limited downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C28 issued by JPMBB Commercial Mortgage Securities Trust 2015-C28 as follows: -- Class D to B (high) (sf) from BB (high) (sf) -- Class X-D to BB (low) (sf) from BBB (low) (sf) -- Class E to C (sf) from B (low) (sf) -- Class X-E to C (sf) from B (sf) -- Class F to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class X-C at A (sf) -- Class C at A (low) (sf) -- Class EC at A (low) (sf) Morningstar DBRS discontinued the credit rating on Class A-4 certificate as that class was repaid in full with the March 2025 remittance. Morningstar DBRS changed the trends on Classes D and X-D to Stable from Negative. All other trends are Stable, with the exception of Classes E, F, and X-E, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. Morningstar DBRS previously downgraded its credit ratings for Classes D, E, X-D and X-E in April 2024, primarily as a result of the projected liquidated loss expectations tied to the loans in special servicing at that time in Pinnacle Office Shops and Parking loan (Prospectus ID#13, formerly 2.5% of the pool) and Horizon Outlet Shoppes Portfolio (Prospectus ID#12, formerly 2.2% of the pool). Those loans have since been liquidated from the trust with cumulative losses that were relatively in line with Morningstar DBRS' expectations. Also with the April 2024 credit rating action, Morningstar DBRS changed the trends on Classes D and E to Negative from Stable, a factor of the expectation that there could be further value deterioration for a select number of underperforming properties backing large loans in the pool, most notably the Shops at Waldorf Center (Prospectus ID#2, 28.7% of the pool) and The Club Row Building (Prospectus ID#6, 17.4% of the pool), the details of which are outlined below. The latest credit rating downgrades on the Class D, E, F, X-D and X-E certificates reflect the increased loss projections and reduced credit support for those bonds resulting from the transfer of the Club Row Building to special servicing in January 2025. The loan is secured by a Class B office building in Manhattan and has suffered declines in performance as a result of large tenant departures. Morningstar DBRS analyzed the loan with a liquidation scenario based on a conservative haircut to the issuance appraised value. Liquidated losses would erode the remaining nonrated certificate balance and the majority of the Class F balance, further reducing credit support for the Class E certificate, supporting the credit rating downgrade to C (sf) with this review. Morningstar DBRS also has concerns with three other loans in the top five, collectively accounting for 54.5% of the current pool balance that have exhibited increased credit risks, a factor in the credit rating downgrades for Classes D and E. The Shops at Waldorf Center and Walgreens Net Lease Portfolio III & IV (Prospectus ID#9&10, collectively 25.8% of the current pool balance) are secured by retail properties and are being monitored for upcoming rollover and potential store closures in the near-to-moderate term, factors that could contribute to value deterioration and increased credit risks through the ultimate repayment or disposition. The credit rating confirmations for the most senior certificates and trend changes to Stable from Negative for Classes D and X-D reflect an otherwise healthy pool of loans primarily backed by retail properties with a pool weighted-average debt service coverage ratio (DSCR) of 1.69 times (x). The credit rating confirmations also reflect the $556.8 million in principal paydown since the previous credit rating action which includes the previous largest loan in the pool, Houston Galleria - Trust (Prospectus ID#1, previously 41.1% of the pool). The pool also benefits from a low concentration of office collateral. Outside of the loans of concern noted above, the majority of loans in the pool are performing well with a weighted-average DSCR of 2.19 times (x) as of the most recent financial reporting; further supporting the credit rating confirmations of the higher rated classes with this review. As of the March 2025 remittance, 13 of the original 67 loans remained in the pool with an aggregate principal balance of $257.6 million, representing a collateral reduction of 77.5% since issuance. Specially serviced and watchlisted loans represent 20.9% and 50.5% of the pool balance, respectively. Loans on the servicer's watchlist are primarily being monitored for upcoming maturity dates in the first quarter of 2025. Since the previous credit rating action, total interest shortfalls have increased by approximately $700,000 while The Class F certificate was shorted partial interest with the March 2025 reporting cycle. Although both specially serviced loans previously contributing to these shortfalls were liquidated, the recent transfer of the Club Row Building and Homewood Suites Indianapolis (Prospectus ID#26, 3.4% of the current pool balance) loans may further contribute to interest shortfalls in the near-to-moderate term. The largest loan in special servicing, The Club Row Building, is secured by a Class B office tower in the Grand Central submarket of Manhattan. The loan recently transferred to special servicing in January 2025 for maturity default and was previously monitored on the servicer's watchlist for a low DSCR following the departure of the former second and third largest tenants, WeWork (previously 7.6% of the net rentable area (NRA)) and American National Standards Institute (ANSI) (previously 5.5% of the NRA) in November 2023 and July 2024, respectively. As a result, occupancy declined to 63% as of the September 2024 rent roll with a DSCR that was less than breakeven as of the June 2024 annualized financials. On a positive note, Noor Staffing Group recently signed a 15,000 sf lease according to a November 7, 2024, online article, which would increase occupancy to approximately 71%. Rollover is moderate over the next 12 months with seven tenants, representing 4.8% of NRA, scheduled to roll. Morningstar DBRS analyzed the loan with a liquidation scenario to reflect the low occupancy and DSCR and heighted credit risk as the loan is now past its maturity date. As a result, after applying a 65% haircut to the issuance appraisal, Morningstar DBRS projects a total loss of $22.0 million with a loss severity of 49%. The second loan in special servicing is Homewood Suites Indianapolis, secured by a 116-key extended stay lodging property in Indianapolis. The loan transferred to special servicing on February 25, 2025, after failing to repay the trust loan at the scheduled maturity date on February 6, 2025. A drop in occupancy between YE2022 and YE2023 and an increase in operating expenses has caused the DSCR to fall below breakeven; although, the YE2024 reporting exhibited slight improvement. The revenue per available room penetration rate was 95.1% as of the December 2024 STR report. Given the recent transfer to special servicing and lackluster performance, Morningstar DBRS applied a probability of default (POD) adjustment in its analysis, resulting in an expected loss (EL) that was slightly below the pool average. The Shops at Waldorf Center loan is secured by a 497,000 sf anchored retail center located approximately 30 miles south of Washington, D.C. A loan modification closed in November 2022, which included a conversion to interest-only (IO) payments until May 2024 and a loan term extension to May 2025 with a one-year extension option. The DSCR declined to 1.19x as of the December 2024 financial reporting. As of December 2024, the property reported a vacancy rate of 22.4%, unchanged from YE2023, with an average rental rate of $18.9 per square foot (psf). These figures compared with the Suburban Maryland submarket YE2024 average rental and vacancy rates of $28.5 psf and 7.6%, respectively, according to Reis. The largest tenant, PetSmart (6.2% of NRA) had a lease expiration in January 2025; however, there are two five-year extension options remaining and PetSmart remains open at the property as of March 2025. In addition, six tenants, representing 17.7% of NRA, have leases scheduled to expire in the next 12 months. JPMorgan Chase (approximately 5,000 sf) and Sprouts Farmers Market (approximately 32,000 sf) recently signed leases and are scheduled to take occupancy in June and July 2025, respectively, implying a leased rate of approximately 85.0%. The collateral was appraised in June 2022 (as part of the transfer to special servicing that resulted in a loan modification) for $93.7 million, less than the $113.1 million appraised value from issuance but above the current loan balance of $74.1 million. Given the low DSCR and occupancy declines, Morningstar DBRS applied a stressed loan-to-value ratio to the loan by applying an 8.0% capitalization rate to the YE2023 net cash flow figure, in addition to a stressed POD that resulted in an EL that was approximately double the pool average. Morningstar DBRS also has concerns with the third and fourth largest loans in the pool, Walgreens Net Lease Portfolio III and Walgreens Net Lease Portfolio IV, both secured by a portfolio of eight Walgreens locations across four states. Although the 15-year leases are structured with 12 five-year extension options, Walgreens has been widely reported to be struggling, with the stock price down over 70% in the last four years. The company previously announced planned store closures and most recently, was acquired by a private equity firm as part of an effort to overhaul performance. Both loans are due for the January 2025 loan payment as of the March 2025 reporting; however, a principal curtailment totaling $1.1 million was applied to the loan balances with that same remittance. Morningstar DBRS believes that was likely tied to the anticipated repayment date in January 2025. As a result of these developments and the questionable future for Walgreens, Morningstar DBRS is concerned with the refinance prospects for and applied a stressed POD in the analysis for both loans with this review. The resulting ELs were slightly below the pool average. Notes: All figures are in U.S. dollars unless otherwise noted. JPMCC COMMERCIAL 2016-JP2: DBRS Confirms C Rating on Class F Certs ------------------------------------------------------------------ DBRS Limited downgraded its credit ratings on eight classes of Commercial Mortgage Pass-Through Certificates, Series 2016-JP2 issued by JPMCC Commercial Mortgage Securities Trust 2016-JP2 as follows: -- Class A-S to AA (sf) from AAA (sf) -- Class B to A (low) (sf) from AA (low) (sf) -- Class C to BB (low) (sf) from BBB (low) (sf) -- Class D to CCC (sf) from B (high) (sf) -- Class E to C (sf) from CCC (sf) -- Class X-A to AA (high) (sf) from AAA (sf) -- Class X-B to A (sf) from AA (sf) -- Class X-C to CCC (sf) from BB (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class F at C (sf) Morningstar DBRS changed the trends on Classes A-S and X-A to Stable from Negative; Classes B, C, and X-B continue to carry Negative trends. All other trends are Stable with the exception of Classes D, E, F, and X-C, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades and Negative trends reflect Morningstar DBRS' increased liquidated loss projections for the loans in special servicing. There are four specially serviced loans, representing 13.9% of the current pool. All were liquidated in the analysis for this review, with the combined losses expected to fully erode the balance of the Class E certificate, the primary consideration in the downgrade to the credit ratings of Classes D and E. Morningstar DBRS' analysis also included consideration of a wind-down scenario given that all the remaining loans in the pool are scheduled to mature by July 2026, with the exception of one loan representing 0.9% of the pool that is scheduled to mature in February 2027. Most of the loans are expected to successfully repay at their respective maturity dates based on the performance of the underlying collateral, supporting the credit rating confirmations higher in the capital stack. Overall performance is healthy, as exhibited by a weighted-average (WA) debt service coverage ratio (DSCR) of 2.60 times (x) and WA debt yield of 15.3% as of the most recent year-end financials. Morningstar DBRS previously placed Negative trends on the Class A-S certificate and all subordinate classes below with applicable credit rating categories as a reflection of concerns surrounding the increased number of loans with performance declines at the time of the previous credit rating action. The change in trend to Stable for Classes A-S and X-A reflect Morningstar DBRS' expectation that the credit rating downgrades for those classes with this review reflects the increased credit risk and no further deterioration is expected over the next 12 months, barring unforeseen developments with the underlying loans. Morningstar DBRS identified five loans, representing 16.8% of the current pool balance, which are at increased risk of maturity default based on concentrated scheduled tenant rollover or recent declines in performance. Of particular concern is the largest loan being monitored on the servicer's watchlist, 100 East Pratt (Prospectus ID#5, 6.3% of the current pool), which is secured by an office building in Baltimore, Maryland. The former largest tenant that occupied approximately 67.0% of the net rentable area (NRA) exercised a termination option and vacated the property in January 2025, dropping the occupancy rate below 25.0%, presenting an obvious challenge for the upcoming loan maturity in April 2026. A stressed analysis for that and other loans exhibiting similar characteristics provided the support for the credit rating downgrades and Negative trends maintained on Classes B, C, and X-B. As of the February 2025 remittance, 41 of the original 47 loans remain in the trust, with an aggregate balance of $746.2 million, representing a collateral reduction of 20.1% since issuance. Ten loans, representing 23.6% of the pool, are fully defeased. For loans that are not in special servicing but have exhibited increased default risks, Morningstar DBRS increased the probability of default, and, in certain cases, applied stressed loan-to-value ratios to increase the expected loss (EL) as applicable. The resulting WA EL for these loans is almost double the pool average EL. Morningstar DBRS' increased liquidated loss expectations are concentrated with the Marriott Atlanta Buckhead loan (Prospectus ID#4, 6.6% of the pool balance), which is secured by a 349-key, full-service hotel in Atlanta, Georgia. The loan most recently transferred to the special servicer in September 2024 for payment default. In 2008, the property underwent a $45.0 million renovation that transformed the subject from a Sheraton to a Marriott International (Marriott) flagship with the franchise agreement extending through December 2037. However, as per the latest servicer commentary, the Marriott franchise flag was terminated in December 2024 and the borrower executed a new Wyndham franchise agreement later that month for a 15-year term with no renewal option. The servicer has confirmed that no property improvement plan was completed with the flag change. As per the most recent STR, Inc. report, for the trailing 12-month (T-12) ended August 2024 period, the property reported an occupancy rate of 59.1%, average daily rate of $139.35, and revenue per available room (RevPAR) of $82.36, underperforming within its competitive set with a RevPAR penetration of 88.2%. An updated appraisal valued the property at $29.3 million in November 2024, 35.3% below its previous appraised value of $45.3 million in January 2022, and ultimately a 62.4% decline from the issuance appraised value of $78.0 million. Morningstar DBRS liquidated this loan from the pool with a haircut of 10% on the most recent appraised value, with a projected loss severity of approximately 60%, or $29.5 million. Another large contributor to Morningstar DBRS' liquidated loss expectations is the Hagerstown Premium Outlets loan (Prospectus ID#9, 3.6% of the pool balance), which is secured by an open-air retail outlet in Hagerstown, Maryland. The remainder of the pari passu loan was placed in the DBJPM 2016-C1 transaction, which is also rated by Morningstar DBRS. The property is owned and operated by Simon Property Group, Inc. The loan transferred to the special servicer as the loan defaulted on its September 2023 payment, with the special servicer dual-tracking foreclosure and a potential interest-only (IO) loan modification as requested by the borrower. The cash flows have been depressed for several years, with the DSCR hovering near or just below breakeven since 2021. The property was 49.5% occupied as per the September 2024 rent roll, compared with 95.0% at issuance. Near-term rollover risk is high, with leases totaling approximately 25.0% of the total NRA having expired or expiring prior to loan maturity in February 2026, making a resolution or refinance of the loan increasingly challenging. The property was reappraised in December 2024 at $28.4 million, 12.6% less than the January 2024 value of $32.5 million, and 81.0% below the issuance appraised value of $150.0 million. The liquidation scenario considered with this review was based on a 15% haircut to the December 2024 appraised value to account for the expected further value deterioration as investor demand is expected to be low given the low occupancy rate and high concentration of scheduled rollover. The resulting projected loss severity is approximately 80%, or $21.0 million. At issuance, Morningstar DBRS shadow-rated one loan, The Shops at Crystals (Prospectus ID#6; 6.7% of the pool), investment-grade to reflect the above-average property quality and strong sponsorship. With this review, Morningstar DBRS confirms that the performance of the loan remains consistent with investment-grade characteristics. Notes: All figures are in U.S. dollars unless otherwise noted. JPMCC COMMERCIAL 2019-COR5: Fitch Lowers Rating on G-RR Debt to CC ------------------------------------------------------------------ Fitch Ratings has downgraded 10 and affirmed four classes in the JPMCC Commercial Mortgage Securities Trust 2019-COR5 (JPMCC 2019-COR5) transaction. Following the downgrades to classes A-S, B, C, D, E-RR, X-A, X-B, and X-D, the classes were assigned Negative Rating Outlooks. Fitch has also downgraded eight and affirmed four classes of JPMDB Commercial Mortgage Securities Trust 2019-COR6 (JPMDB 2019-COR6). Following the downgrades to classes A-S, B, C, D, E, X-A, X-B, and X-D, the classes were assigned Negative Rating Outlooks. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2019-COR5 A-2 46591EAR8 LT AAAsf Affirmed AAAsf A-3 46591EAS6 LT AAAsf Affirmed AAAsf A-4 46591EAT4 LT AAAsf Affirmed AAAsf A-S 46591EAV9 LT AAsf Downgrade AAAsf A-SB 46591EAU1 LT AAAsf Affirmed AAAsf B 46591EAW7 LT Asf Downgrade AA-sf C 46591EAX5 LT BBBsf Downgrade A-sf D 46591EAC1 LT BBsf Downgrade BBBsf E-RR 46591EAE7 LT Bsf Downgrade BBsf F-RR 46591EAG2 LT CCCsf Downgrade B-sf G-RR 46591EAJ6 LT CCsf Downgrade CCCsf X-A 46591EAY3 LT AAsf Downgrade AAAsf X-B 46591EAZ0 LT BBBsf Downgrade A-sf X-D 46591EAA5 LT BBsf Downgrade BBBsf JPMDB 2019-COR6 A2 48129RAV7 LT AAAsf Affirmed AAAsf A3 48129RAW5 LT AAAsf Affirmed AAAsf A4 48129RAX3 LT AAAsf Affirmed AAAsf AS 48129RAY1 LT AA-sf Downgrade AAAsf ASB 48129RAZ8 LT AAAsf Affirmed AAAsf B 48129RBA2 LT A-sf Downgrade AA-sf C 48129RBB0 LT BBB-sf Downgrade A-sf D 48129RAA3 LT BB-sf Downgrade BBBsf E 48129RAE5 LT B-sf Downgrade BBB-sf XA 48129RBC8 LT AA-sf Downgrade AAAsf XB 48129RBD6 LT A-sf Downgrade AA-sf XD 48129RAC9 LT B-sf Downgrade BBB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 7% in JPMCC 2019-COR5 and 9.6% in JPMDB 2019-COR6, up from 5.8% and 6.8%, respectively, at Fitch's prior rating action. The JPMCC 2019-COR5 transaction has 24 loans (28.9% of the pool) that have been identified as Fitch Loans of Concern (FLOCs), including five loans (17.8%) in special servicing. The JPMDB 2019-COR6 transaction has 12 FLOCs (44.6%), including two loans (6.8%) in special servicing. JPMCC 2019-COR5: The downgrades in JPMCC 2019-COR5 reflect increased pool loss expectations since Fitch's prior rating action, primarily driven by the specially serviced office loans Hampton Roads Office Portfolio (7.0%) and Gateway Center (4.3%). In addition, the non-specially serviced FLOCs, the majority of which are collateralized by office properties, continue to experience negative performance trends. The Negative Outlooks in in JPMCC 2019-COR5 reflect the elevated office concentration in the pool of 39.4% and the elevated specially serviced concentration of 17.8%, and the potential for downgrades with further performance deterioration, value degradation and/or extended workout of the aforementioned specially serviced office loans. JPMDB 2019-COR6: The downgrades in JPMDB 2019-COR6 reflect higher pool loss expectations, primarily driven by continued performance deterioration of the office loan FLOCs, including Innovation Park (7.1%), 12555 & 12655 Jefferson (7.0%), specially serviced Hampton Roads Office Portfolio (4.7%), and Sunset North (4.5%). In addition, expected losses on the specially serviced Hilton Cincinnati Netherland Plaza hotel (2.0%) have increased due to a lower valuation of the asset compared to the prior rating action. The Negative Outlooks in JPMDB 2019-COR6 reflect the pool's office concentration of 57.1% and specially serviced concentration of 6.8%, and potential further downgrades if the performance of the FLOCs do not stabilize and/or workouts are prolonged for the specially serviced loans, resulting in higher-than-expected losses. Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action in JPMCC 2019-COR5 and the second largest increase in JPMDB 2019-COR6 is the Hampton Roads Office Portfolio loan, which is secured by a portfolio of 16 office buildings totaling 1.32 million sf in Chesapeake, Virginia Beach, and Hampton, VA. The loan transferred to the special servicer in November 2023 due to the borrower's request for a modification. The portfolio is 68% occupied as of February 2025, down from 78% in January 2024 and 88% at issuance. The portfolio reported an NOI DSCR of 1.38x as of TTM September 2024, which compares with 1.32x as of YE 2023 and 1.24x as of YE 2022. The TTM September 2024 NOI remains 12% below the originator's underwritten NOI from issuance. Fitch's 'Bsf' ratings case loss of approximately 25% (prior to concentration add-ons) reflects a 25% stress to the TTM Sept 2024 NOI with a cap rate of 10.5% for the portfolio to account for continued performance declines, and factors in a higher probability of default to account for the loan's specially serviced status. The largest overall contributor to loss in JPMCC 2019-COR5 is the Gateway Center loan, which is secured by a 310,475-sf office building located in the CBD of Charlotte, North Carolina. The loan transferred to the special servicer in June 2024 for imminent monetary default prior to Bank of America vacating 78.1% of NRA at their September 2024 lease expiration. Per the September 2024 rent roll the property had an occupancy of 9% after Bank of America vacated. In February 2025 CBRE was appointed as receiver and replacement property manager, and the lender is pursuing foreclosure. Fitch's 'Bsf' ratings case loss of 40.5% (prior to concentration add-ons) reflects a 25% stress to the YE 2023 NOI with a cap rate of 10.5% to account for the low occupancy and factors in a higher probability of default to account for the loan's specially serviced status. The largest increase in loss expectations since the prior rating action and the second largest contributor to overall expected losses in the JPMDB 2019-COR6 transaction is the Sunset North loan, which is secured by a three building, 464,062-sf office complex located in Bellevue, WA. According to CoStar, the complex has 62.3% of the NRA listed as available space including the largest tenant, Intellectual Ventures (33.1% of the NRA; lease expires in May 2025) and the fourth-largest tenant, Farmers New World Life Insurance (13.0%; lease expires in May 2029). Additionally, WeWork is the third largest tenant accounting for 17% of the NRA. Per CoStar, as of 1Q25, the I-90 Corridor office submarket of Bellevue had a vacancy rate of 42.3% and an availability rate of 43.8%. Fitch's 'Bsf' rating case loss of 28.4% (prior to concentration adjustments) reflects a 10% cap rate and 20% stress to the TTM June 2024 NOI and factors a higher probability of default given the concerns related to the concentrated near-term rollover, high availability and weak submarket conditions. The largest overall contributor to loss in JPMDB 2019-COR6 is the 12555 & 12655 Jefferson loan, which is secured by two office buildings totaling194,180-sf located in Los Angeles, CA. The loan has been designated as a FLOC due to a decline in occupancy as a result of WeWork (43% of NRA) vacating prior to its 2028 lease expiration. As a result, occupancy declined to 27.6% as of YE 2024 from 80% at YE 2021. Servicer reported NOI DSCR was 0.54x as of YE 2023 from 1.52x at YE 2021. Fitch's 'Bsf' rating case loss of 33% (prior to concentration adjustments) reflects a 9.5% cap rate to the YE 2022 NOI and factors a higher probability of default to account for the anticipated challenges in stabilizing performance of the property given the low occupancy. The second largest increase in loss expectations since the prior rating action in the JPMDB 2019-COR6 transaction is the Hilton Cincinnati Netherland Plaza loan, secured by a 29-story 561 room full-service hotel located in the CBD of Cincinnati, OH. The loan transferred to special servicing in February 2021 for imminent payment default and the servicer is moving forward with foreclosure. A receiver was appointed in November 2022. Property performance has failed to recover from impact from the pandemic and continues to deteriorate. As of September 2024, occupancy had improved to 55% from 49% at YE 2022; however, Net Operating Income was negative with an NOI DSCR of -0.01x. Fitch's 'Bsf' rating case loss of 45.1% (prior to concentration adjustments) reflects a discount to the most recent appraisal value reflecting a recovery value of $81,426 per room. Dark Single-tenant Exposure: In addition to the FLOCs noted above, two loans within both transactions have exposure to dark single-tenant office properties where the tenant does not occupy the premises but continues to pay rent. The dark properties include 600 & 620 National Avenue in the JPMDB 2019-COR6 transaction and the NOV Headquarters with companion pieces in the JPMCC 2019-COR5 and JPMDB 2019-COR6 transactions. The 600 & 620 National Avenue loan is secured by a 151,064-sf office property in Mountain View, CA with Google as the tenant on a lease through May 2029. The NOV Headquarters loan is secured by a 337,019-sf office property in Houston, TX with NOV (fka National OilWell Varco) on a lease through November 2037. Increased Credit Enhancement (CE): As of the March 2025 distribution date, the aggregate balances of the JPMCC 2019-COR5 and JPMDB 2019-COR6 transactions have been reduced by 7.3% and 4.2%, respectively, since issuance. The JPMCC 2019-COR5 transaction has 27 (58.7%) full-term, interest-only (IO) loans and 14 (41.3%) loans that are currently amortizing. The JPMDB 2019-COR6 transaction has 19 (71.4%) full-term, IO loans and 11 (28.6%) loans that are currently amortizing. No loans in either transaction is defeased. Cumulative interest shortfalls of $877,829 are affecting the non-rated class H-RR in the JPMCC 2019-COR5 transaction, and $919,697 are affecting the non-rated class NR-RR in the JPMDB 2019-COR6 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to senior 'AAAsf' rated classes are not expected due high CE and expected continued amortization and loan repayments and dispositions, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. - Further downgrades to the sub-senior classes currently rated in the 'AAsf' category on Rating Outlook Negative are possible with lower-than-expected recoveries for the specially serviced loans and/or continued performance declines of the office FLOCs. These FLOCs include Hampton Roads Office Portfolio and Gateway Center in JPMCC 2019-COR5 and Innovation Park, 12555 & 12655 Jefferson, Hampton Roads Office Portfolio, and Sunset North in JPMDB 2019-COR6. - Downgrades to the 'Asf' and 'BBBsf' rated categories could occur should performance of the aforementioned FLOCs and specially serviced loans deteriorate further or fail to stabilize. - Downgrades to the 'BBsf', and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and/or with greater certainty of losses on the specially serviced loans, or with prolonged workouts of the loans in special servicing. - Downgrades to distressed ratings would occur should additional loans be transferred 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. These FLOCs include Hampton Roads Office Portfolio and Gateway Center in JPMCC 2019-COR5 and Innovation Park, 12555 & 12655 Jefferson, Hampton Roads Office Portfolio, and Sunset North in JPMDB 2019-COR6. - Upgrades to the 'BBBsf' rated categories would be limited based on sensitivity to concentrations, including the exposure to underperforming office properties, 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 ratings 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. KKR FINANCIAL 2013-1: Moody's Ups Rating on Cl. D-R2 Notes to Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by KKR Financial CLO 2013-1, Ltd.: US$27,000,000 Class B-R2 Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on May 9, 2024 Assigned Aa1 (sf) US$32,500,000 Class C-R2 Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa3 (sf); previously on May 9, 2024 Assigned Baa1 (sf) US$26,750,000 Class D-R2 Senior Secured Deferrable Floating Rate Notes, Upgraded to Ba2 (sf); previously on May 9, 2024 Assigned Ba3 (sf) US$131,567,543 (Current outstanding amount US$35,700,008) Class A-1-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 9, 2024 Assigned Aaa (sf) US$48,750,000 Class A-2-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 9, 2024 Assigned Aaa (sf) KKR Financial CLO 2013-1, Ltd., originally issued in June 2013 and refinanced in April 2017 and May 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by KKR Financial Advisors II, LLC. The transaction's reinvestment period ended in April 2022. RATINGS RATIONALE The rating upgrades on the Class B-R2, C-R2 and D-R2 notes are primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in May 2024. The affirmations on the ratings on the Class A-1-R2 and A-2-R2 notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1-R2 notes have paid down by approximately USD 95.9 million (72.9%) since the last rating action in May 2024. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated February 2025 [1], the Class A-1-R/A-2-R, Class B-R, Class C-R and Class D-R OC ratios are reported at 224.30%, 169.96%, 131.59% and 110.97% compared to March 2024 [2] levels of 151.07%, 134.13%, 118.17% and 107.63%, respectively. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD196.2m Defaulted Securities: USD2.5m Diversity Score: 42 Weighted Average Rating Factor (WARF): 3505 Weighted Average Life (WAL): 3.02 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.60% Weighted Average Recovery Rate (WARR): 46.20% Par haircut in OC tests and interest diversion test: 4.54% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability Moody's are analysing. 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. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance" published in October 2024. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of USD 15.3m of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. LAKE GEORGE: Fitch Assigns 'BB+sf' Rating on Class E Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Lake George Park CLO, Ltd. Entity/Debt Rating ----------- ------ Lake George Park CLO, Ltd. A LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Lake George Park CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Blackstone Liquid Credit Strategies 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. 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 72.66%. 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 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 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, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, and between less than 'B-sf' and 'BB+sf' for class D 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 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, and 'Asf' for class D 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 Lake George Park 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. LIFE 2021-BMR: DBRS Confirms B(low) Rating on Class G Certs ----------------------------------------------------------- DBRS, Inc. upgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2021-BMR issued by LIFE 2021-BMR Mortgage Trust: -- Class B to AAA (sf) from AA (sf) -- Class C to AAA (sf) from A (high) (sf) -- Class D to AA (high) (sf) from A (low) (sf) -- Class E to A (low) (sf) from BBB (low) (sf) Morningstar DBRS also confirmed its credit ratings on the following classes: -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating upgrades throughout the top of the capital structure are reflective of the significant collateral reduction as seven properties were released resulting in a total paydown of $1.3 billion since Morningstar DBRS' previous credit ratings action in April 2024. Overall, the transaction has paid down by 65.5% since issuance. Additionally, occupancy has remained stable throughout the loan term as the remaining eight properties reported a consolidated figure of 92.0% per the September 2024 rent roll. At issuance, the transaction was secured by a portfolio of 17 properties totaling approximately 2.4 million square feet (sf) of Class A office and laboratory space in the most prominent life-sciences hubs: Cambridge, Massachusetts; San Diego; and San Francisco. Since issuance, nine properties, totaling 57.1% of net rentable area (NRA; 1.35 million sf), have been released from the portfolio. The $2.0 billion underlying loan is interest only and is structured with a floating rate, with an interest rate cap of 3.5%. The loan had a partial pro rata structure that allows for paydowns on the first 30.0% of the principal balance and switched to a sequential pay structure for the remaining balance. The loan had an initial maturity in March 2023 with three one-year extension options. To date, the borrower has exercised two of the extension options extending loan maturity to March 2025. The loan is currently being monitored on the servicer's watchlist for the March 2025 maturity; however, according to the most recent servicer commentary, the borrower submitted a request to exercise its third and final extension option, extending loan maturity to March 2026. While there are no performance tests related to the extension, the borrower is required to purchase a new interest rate cap agreement with a strike rate of 4.0%. According to the September 2024 rent roll, the portfolio across the eight remaining properties was 92.0% occupied, which remains in line with issuance expectations. However, tenant rollover is 43.4% of NRA by YE2027. Per the September 2024 rent roll, annual base rent for the remaining eight properties is $59.0 million, which marks an increase over the Morningstar DBRS derived base rent at issuance of $48.6 million. Additionally, since the issuance of the rent roll, two tenants had lease expiration dates. The larger of the two tenants, The Broad Institute, Inc (9.8% of total NRA) appears to have vacated at its lease expiration date in January 2025 as the location is no longer listed on the company website. The tenant's departure would result in a consolidated occupancy rate of 82.2% for the portfolio. The total base rent would decrease by only 8.2% and would remain higher than the Morningstar DBRS figure derived at issuance. Therefore, Morningstar DBRS believes performance will remain strong considering the three life-sciences hubs where the collateral properties are located, particularly Cambridge, will continue to benefit from low vacancy rates and high barriers to entry. In the analysis for this review, Morningstar DBRS updated its NCF to account for the properties released in 2024, resulting in a Morningstar DBRS net cash flow (NCF) of $48.0 million. Morningstar DBRS maintained its capitalization rate of 6.76%, resulting in a Morningstar DBRS value of $710.6 million for the eight remaining properties in the portfolio (loan-to-value ratio (LTV) of 100.3%). Morningstar DBRS also maintained positive qualitative adjustments totaling 8.5% to reflect the low cash flow volatility, good property quality, and strong market fundamentals. The Morningstar DBRS credit ratings assigned to Classes E and F are lower than the results implied by the LTV sizing benchmarks by three or more notches. Given the upcoming tenant rollover as the loan approaches maturity and post-maturity and mitigated positive pressure from a Morningstar DBRS stressed scenario, the variances are warranted. NOTES: All figures are in U.S. dollars unless otherwise noted. MIDOCEAN CREDIT XIII: Fitch Affirms 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has affirmed the ratings on the class A-2, B, C, D and E notes of MidOcean Credit CLO XIII Ltd. (MidOcean XIII). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- MidOcean Credit CLO XIII Ltd A-2 59803DAL0 LT AAAsf Affirmed AAAsf B 59803DAE6 LT AAsf Affirmed AAsf C 59803DAG1 LT Asf Affirmed Asf D 59803DAJ5 LT BBB-sf Affirmed BBB-sf E 59803EAA2 LT BB-sf Affirmed BB-sf Transaction Summary MidOcean XIII is a broadly syndicated loan collateralized loan obligation (CLO) managed by MidOcean Credit RR Manager LLC. The transaction closed in December 2023 and will exit its reinvestment period in January 2029. The CLO is secured primarily by first-lien senior secured leveraged loans. In January 2025, the issuer executed a supplemental indenture that added 12 Fitch Test Matrix that a manager can elect to manage to after meeting certain conditions based on Collateral Principal Balance, Weighted Average Life and obligor concentrations. KEY RATING DRIVERS Stable Portfolio Performance The affirmations are driven by the portfolio's stable performance and sufficient credit enhancement (CE) levels since closing. As of March 2025 reporting, the Fitch weighted average rating factor (WARF) was 23.1, compared to 23.4 at the time of last review. There are no defaulted assets and the portfolio consists of 271 obligors. The exposure to issuers with a Negative Outlook on the driving rating currently comprise 13.9% of the portfolio. The Fitch-weighted average recovery rate (WARR) decreased to 73.4% from 74.3% at closing. The transaction is in compliance with all coverage tests, collateral quality tests (CQTs), and concentration limitations. Updated Cash Flow Analysis Fitch conducted an updated cash flow analysis based on the current portfolio and a newly run Fitch Stressed Portfolio (FSP). The FSP analysis stressed the current portfolio to account for permissible concentration limits and CQTs. The FSP analysis incorporated all the applicable Fitch Test Matrix added via executed supplemental indenture from January 2025. The rating actions are in line with their respective model-implied rating (MIR), as defined in Fitch's "CLOs and Corporate CDOs Rating Criteria." The Stable Outlooks also reflect Fitch's expectation that the notes have sufficient cushions to withstand potential deterioration in the credit quality of the portfolio under the relevant rating stresses. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to a lower MIR by one rating notch for the Class A-2 notes, two notches for the class B notes and C notes, one notch for the class D notes, and more than three notches for the class E notes. 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'. - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to a higher MIR by two notches for the class B notes, four rating notches for the class C notes, five notches for the class D notes, and six notches for the 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 Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. 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 or information on the risk-presenting entities. 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 MidOcean Credit CLO XIII 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. MOFT 2020-B6: DBRS Confirms B Rating on 2 Classes ------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2020-B6 issued by MOFT 2020-B6 Mortgage Trust as follows: -- Class A at BBB (high) (sf) -- Class B at BB (high) (sf) -- Class C at B (sf) -- Class D at B (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the underlying collateral, a 314,400-square-foot (sf) Class A, LEED Gold-certified office building in Sunnyvale, California. The transaction continues to benefit from the collateral property's full occupancy by a single investment-grade rated entity, with a lease expiring in 2029. The transaction is secured by the borrower's fee-simple interest in Moffett Place-Building 6, one of six identical buildings that make up the Moffett Place campus. The campus is located within the greater Moffett Park development, an approximately 519-acre office park, which has been redeveloped over the past 15 years and includes world-leading software, technology, and creative tenants including Alphabet Inc., Amazon.com, Inc. (Amazon), Microsoft Corporation, Yahoo! Inc., and Meta Platforms, Inc. The loan is sponsored by an affiliate of Jay Paul Company, a privately held real estate development firm with a focus on the acquisition and development of high-end office projects for large Silicon Valley technology firms. The $67.4 million subject transaction is part of a $200.0 million whole loan and consists of two junior notes totaling $66.9 million, and $0.5 million of senior debt. Seven senior pari passu notes totaling $132.6 million are securitized in the BMARK 2020-B20 and BMARK 2020-B19 transactions (not rated by Morningstar DBRS), and there is $49.0 million in mezzanine financing. The fixed-rate loan is interest only throughout the 10-year term and is scheduled to mature in August 2030. The building is 100.0% leased to Google LLC (Google), whose parent company, Alphabet Inc., is publicly rated investment grade by S&P Global Ratings and Moody's Investor Service, Inc. Google's lease is scheduled to expire in January 2029, prior to loan maturity; however, the leases include two seven-year extension options, each at 100.0% of the fair-market value, and no termination options are available. Should Google fail to provide a renewal notice 20 months prior to lease expiration, the loan is structured with a cash flow sweep that is expected to generate $12.3 million (approximately $40.00 per square foot (psf)) for future re-leasing costs. At issuance, Google was paying a base rental rate of $50.0 psf; however, the lease is structured with annual rent steps of approximately 2.0%, and a renewal would be at market rental rates. Although Google has made approximately 1.5 million square feet (sf) of space across at least seven buildings near its global headquarters in Mountain View, California, available for sublease (including several buildings within the Moffett Park development), Morningstar DBRS did not locate any information showing the subject property has been included in any publicly reported sublease listings by Google to date. Google currently requires employees to work in the office three days a week and in late 2024, following an announcement by Amazon that it would be requiring employees to be in the office full-time, Google reportedly assured employees it would not be following suit, and a hybrid policy would be maintained. According to the financial reporting for the trailing nine-month period ended September 30, 2024, the property generated annualized net cash flow (NCF) of $16.5 million (a debt service coverage ratio (DSCR) of 1.65 times (x)), compared with the YE2023 NCF of $17.2 million (a DSCR of 1.74x), and the Morningstar DBRS issuance NCF of $14.6 million (a DSCR 1.82x). Per the September 2024 rent roll, Google is paying an average rental rate of $52.7 psf, compared with the Reis reported average asking rent of $50.13 for the Santa Clara/Sunnyvale submarket, as of Q4 2024. The submarket's vacancy rate is projected to remain elevated, at more than 20.0%, through to loan maturity in 2030. In the analysis for this review, Morningstar DBRS maintained the 7.25% cap rate applied at the previous credit rating action in April 2024, resulting in a Morningstar DBRS value of $200.9 million, a variance of -44.0% from the issuance appraised value of $358.6 million. The Morningstar DBRS value implies a loan-to-value (LTV) ratio of 99.5%, compared with the LTV of 55.8% on the issuance appraised value, when excluding mezzanine debt. In addition, Morningstar DBRS maintained positive qualitative adjustments totaling 7.0% in the LTV sizing benchmarks to reflect the low cash flow volatility, Class A property quality, and general desirability of the Moffett Park development, which is conveniently located near major freeways, including the U.S Route 101, a number of VTA light rail stops that provide mass transit access throughout the region, and major attractions such as Levi's Stadium. Notes: All figures are in U.S. dollars unless otherwise noted. MP CLO III: Moody's Affirms B2 Rating on $21.3MM Class E-R Notes ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by MP CLO III, Ltd.: USD21,100,000 Class C-R Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Aug 20, 2024 Upgraded to Aa1 (sf) USD25,600,000 Class D-R Secured Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on Aug 20, 2024 Upgraded to Baa3 (sf) Moody's have also affirmed the ratings on the following notes: USD260,000,000 (current outstanding amount USD36,595,577) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Oct 20, 2017 Assigned Aaa (sf) USD40,000,000 Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 13, 2024 Upgraded to Aaa (sf) USD21,300,000 Class E-R Secured Deferrable Floating Rate Notes, Affirmed B2 (sf); previously on Aug 20, 2024 Downgraded to B2 (sf) MP CLO III, Ltd., originally issued in March 2013 and refinanced in October 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2022. RATINGS RATIONALE The rating upgrades on the Class C-R and D-R notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in August 2024. The affirmations on the ratings on the Class A-R, B-R and E-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-R notes have paid down by approximately USD47.2 million (18.1%) since the last rating action in August 2024 and USD223.4 million (85.9%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated March 2025 [1] the Class A/B, Class C-R, Class D-R and Class E-R OC ratios are reported at 196.62%, 154.16%, 122.15% and 104.16% compared to July 2024 [2] levels of 146.05%, 129.32%, 113.54% and 103.08%, respectively. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD149.8m Defaulted Securities: USD4.1m Diversity Score: 31 Weighted Average Rating Factor (WARF): 3167 Weighted Average Life (WAL): 3.1 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.1% Weighted Average Recovery Rate (WARR): 46.5% Par haircut in OC tests and interest diversion test: none The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. 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. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, such as account bank, using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance" published in October 2024. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. MSBAM COMMERCIAL 2012-CKSV: S&P Lowers CK Certs Rating to 'B-(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on seven classes of commercial mortgage pass-through certificates from MSBAM Commercial Mortgage Securities Trust 2012-CKSV, a U.S. CMBS transaction. This U.S. large loan CMBS transaction is secured by two fixed-rate regional mall-backed mortgage loans in Oregon and California. One of the loans is currently with the special servicer after failing to repay at its modified maturity date in October 2024, while the other has an upcoming final extended maturity in September 2025. Rating Actions The downgrades on the class A-2, B, C, D, and CK certificates primarily reflect: -- S&P said, "Our assessment that the transaction faces adverse selection, with the two loans exhibiting weak credit metrics. Since our last published review, in March 2023, one loan was transferred back to special servicing due to maturity default, while the other has a final extended maturity date in September 2025. The special servicer, KeyBank Real Estate Capital (KeyBank), has indicated that it is currently working on extending both loans, although the transaction documents state that neither loan may be extended beyond October 2025. We assessed that based on the loans' reported performances, the sponsors will continue to face challenges refinancing both, despite significant amortization to date (20.3% down from the original whole trust balance), without equity contributions." -- The reported operating performances of the collateral properties securing the two loans, although stabilizing, are still below pre-pandemic levels. -- S&P's aggregated expected-case valuation for the two properties, which is now 15.1% lower than the values it derived in our last review and 52.3% below its expected-case values at issuance and partially offset by material amortization of both loans. S&P said, "The downgrades on class C to 'CCC (sf)' and class D to 'CCC- (sf)' also reflect our qualitative consideration that the repayment of these classes is dependent upon favorable business, financial, and economic conditions and that classes C and D are vulnerable to default. "We lowered the ratings on the class X-A and X-B interest-only (IO) certificates based on our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-A references the class A-1 and A-2 certificates, while the notional amount of class X-B references the class B certificates. "We will continue to monitor the performance of both properties, including the eventual repayment of each loan. If we receive information that differs materially from our expectations, we may revisit our analysis and take additional rating actions as we determine appropriate." Transaction Summary As of the March 17, 2025, trustee remittance report, the trust had a pooled balance of $301.7 million and an aggregate balance of $323.5 million (including the non-pooled CK loan component that derives 100% of its cash flow from the subordinate component of the Clackamas Town Center whole loan), down from $337.1 million and $361.7 million, respectively, at the time of its last review, in March 2023, and $380.6 million and $405.7 million, respectively, at issuance. The pool currently includes two retail mall-backed loans unchanged from issuance. The trust has not incurred any principal losses to date. Loan Details And Property-Level Analysis Clackamas Town Center Loan The larger of the two loans, Clackamas Town Center, has a pooled trust balance of $165.1 million and a whole loan balance of $186.8 million, down from $186.3 million and $210.9 million, respectively, as of S&P's March 2023 review, and $190.8 million and $216.0 million, respectively, at issuance. The IO loan pays a 4.177% fixed interest rate per annum, originally matured on Oct. 1, 2022, and matured most recently on Oct. 1, 2024, after being modified in November 2022. The Clackamas Town Center loan is currently with the special servicer because of maturity default. KeyBank has stated that it is working with the borrower on a one-year extension. Because the prospectus states that no loan may be extended beyond five years prior to the deal's rated final distribution date of October 2030, S&P expects that any potential loan modification would not extend the loan's maturity beyond Oct. 1, 2025. As of the March 2025 trustee remittance report, the loan had a reported performing matured balloon payment status, and $4.6 million was held in various lender-controlled reserve accounts. Cash management is in place, and excess cash flow is being used to pay down the loan's principal balance. The loan is secured by the borrower's fee-simple interests in a portion (631,537 sq. ft.) of Clackamas Town Center, a 1.4 million-sq.-ft. regional mall built in 1981 in Happy Valley, Ore. The mall is anchored by Macy's (198,935 sq. ft.; noncollateral), Macy's Home Store (165,832 sq. ft.; noncollateral), JCPenney (146,466 sq. ft.; noncollateral), Dick's Sporting Goods (144,300 sq. ft.; noncollateral), and a vacant 119,309-sq.-ft. noncollateral anchor space formerly occupied by Nordstrom. The property's reported performance is relatively stable but remains slightly below pre-pandemic levels. According to the September 2024 rent roll, the collateral was 92.6% leased after adjusting for known tenant movements. The five largest collateral tenants comprise 34.3% of the collateral's net rentable area (NRA): -- Century Theaters (11.1% of NRA; 4.3% of in-place gross rent, as calculated by S&P Global Ratings; December 2027 lease expiry). -- REI (7.1%; 4.3%; September 2028 and February 2033). -- Dave & Buster's (5.8%; 5.4%; January 2030). -- Forever 21 (5.3%; 1.7%; January 2027). == Barnes & Noble Booksellers (5.0%; 1.2%; January 2025). The tenant is still listed in the mall directory. The mall faces elevated tenant rollover, with 18.2% of NRA (17.4% of in-place gross rent, as calculated by S&P Global Ratings) expiring in 2025, 11.6% (13.4%) in 2026, and 22.6% (18.3%) in 2027. S&P said, "In our current analysis, using a 92.6% occupancy rate, a $56.01-per-sq.-ft. S&P Global Ratings in-place gross rent, and a 36.7% operating expense ratio, we derived an S&P Global Ratings net cash flow (NCF) of $20.0 million, the same as in our last review. Utilizing an S&P Global Ratings capitalization rate of 10.00% (up 150 basis points from our last review to reflect our perceived higher risk premium for a weak-performing class B mall), we arrived at an S&P Global Ratings expected-case value of $200.2 million, 15.0% below our last review value and 12.9% lower than the January 2025 appraisal value of $230.0 million. Our revised expected-case value yielded an S&P Global Ratings loan-to-value (LTV) ratio of 82.4% on the pooled trust balance and 93.3% on the whole loan balance." Table 1 Servicer-reported collateral performance Nine months ending Sept. 30, 2024(i) 2023(i) 2022(i) Occupancy rate (%) 96.4 97.1 95.7 Net cash flow (mil. $) 14.7 22.5 23.1 Debt service coverage (x) 2.34 2.56 2.53 Appraisal value (mil. $)(ii) 230.0 342.0 342.0 (i)Reporting period. (ii)As of October 2022 and January 2025, respectively. The property was appraised at $370.0 million at issuance. Table 2 S&P Global Ratings' key assumptions Last Current review published review At issuance (April 2025)(i) (March 2023)(i) (Oct 2012) Total trust balance (mil. $)(ii) 186.8 210.9 216.0 Occupancy rate (%) 92.6 82.0 91.1 Net cash flow (mil. $) 20.0 20.0 21.9 Capitalization rate (%) 10.00 8.50 6.75 Value (mil. $) 200.2 235.6 324.3 Value per sq. ft. ($) 317 373 514 Loan-to-value ratio (%)(iii) 93.3 89.5 66.6 (i)Review period. (ii)Includes the non-pooled component. (iii)Based on the whole loan balance at the time of our review. Sunvalley Shopping Center The smaller of the two loans, Sunvalley Shopping Center, has a trust balance of $136.6 million, down from $150.8 million as of S&P's March 2023 review and $189.7 million at issuance. The loan pays a 4.44% fixed interest rate per annum, amortizes on a 30-year schedule, originally matured on Sept. 1, 2022, and currently matures on Sept. 1, 2025, after being modified in February 2023. KeyBank has stated that, as with the Clackamas Town Center loan, it is working with the borrower of the Sunvalley Shopping Center loan on a one-year extension. Because the prospectus states that no loan may be extended beyond five years prior to the deal's rated final distribution date of October 2030, S&P expects that any potential loan modification would not extend the loan's maturity beyond Oct. 1, 2025. As of the March 2025 trustee remittance report, the loan had a reported current payment status, and $1.4 million was held in various lender-controlled reserve accounts. Cash management is in place, and excess cash flow is being used to pay down the loan's principal balance. The loan is secured by the borrower's fee-simple and leasehold interests in a portion (1.2 million sq. ft.) of Sunvalley Shopping Center, a 1.4 million-sq.-ft. regional mall built in 1967 in Concord, Calif. The mall is anchored by JCPenney (215,769 sq. ft.), Macy's (203,232 sq. ft.), Macy's Men's Store (179,784 sq. ft.), and a vacant 240,869-sq.-ft. noncollateral anchor space formerly occupied by Sears. The property's reported performance has been relatively stable in the last three years but remains well below pre-pandemic levels. According to the November 2024 rent roll, the collateral was 94.4% leased after adjusting for known tenant movements. The five largest collateral tenants comprise 59.4% of the collateral's NRA: -- J.C. Penney (18.0% of NRA; 2.0% of in-place gross rent, as calculated by S&P Global Ratings; May 2027 lease expiry). -- Macy's (17.0%; 2.5%; July 2028). -- Macy's Men's Store (15.0%; 3.8%; August 2029). -- Safeway (4.9%; 5.3%; January 2032). -- Round 1 Entertainment (4.4%; 4.1%; August 2026). The mall faces elevated tenant rollover in the next three years, with 12.8% of NRA (19.1% of in-place gross rent, as calculated by S&P Global Ratings) expiring in 2025, 10.6% (26.5%) in 2026, and 21.9% (15.2%) in 2027. S&P said, "In our current analysis, using a 94.4% occupancy rate, a $21.45-per-sq.-ft. S&P Global Ratings gross rent, and a 57.8% operating expense ratio, we derived an S&P Global Ratings NCF of $11.1 million, up from $9.4 million in our last review and 18.8% below the reported 2024 NCF of $13.7 million. Utilizing an S&P Global Ratings capitalization rate of 12.50% (up 350 basis points from our last review to reflect our perceived higher risk premium for a weak-performing class B mall), we arrived at an S&P Global Ratings expected-case value of $88.9 million, 15.2% below our last review value and 47.7% lower than the August 2022 appraisal value of $170.0 million. Our revised expected-case value yielded an S&P Global Ratings LTV ratio of 153.7% on the loan balance." Table 3 Servicer-reported collateral performance 2024(i) 2023(i) 2022(i) Occupancy rate (%) 94.7 96.4 95.6 Net cash flow (mil. $) 13.7 15.4 14.4 Debt service coverage (x) 1.19 1.34 1.25 Appraisal value (mil. $)(ii) 170.0 170.0 170.0 (i)Reporting period. (ii)As of August 2022. The property was appraised at $350.0 million at issuance. Table 4 S&P Global Ratings' key assumptions Last Current review published review At issuance (April 2025)(i) (March 2023)(i) (Oct 2012) Trust balance (mil. $) 136.6 150.8 189.7 Occupancy rate (%) 94.4 96.4 94.9 Net cash flow (mil. $) 11.1 9.4 21.6 Capitalization rate (%) 12.50 9.00 6.75 Value (mil. $) 88.9 104.9 281.90 Value per sq. ft. ($) 74 87 234 Loan-to-value ratio (%)(ii) 153.7 143.8 67.3 (i)Review period. (ii) Based on the trust balance at the time of our review. Ratings Lowered MSBAM Commercial Mortgage Securities Trust 2012-CKSV Class A-2 to 'BBB- (sf)' from 'A (sf)' Class B to 'BB- (sf)' from 'BBB (sf)' Class C to 'CCC (sf)' from 'B (sf)' Class D to 'CCC- (sf)' from 'CCC (sf)' Class CK to 'B- (sf)' from 'B (sf)' Class X-A to 'BBB- (sf)' from 'A (sf)' Class X-B to 'BB- (sf)' from 'BBB (sf)' OHA CREDIT 14-R: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A, B-1, B-2, C, D-1, D-2, and E floating- and fixed-rate debt from OHA Credit Funding 14-R Ltd./OHA Credit Funding 14-R LLC, a proposed reissue of the transaction originally issued in 2023. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Oak Hill Advisors L.P. The preliminary ratings are based on information as of April 4, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 11, 2025, reissue 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 reissue 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 outlines the terms of the reissued debt. According to the proposed supplemental indenture: -- The original class B debt is being replaced by two new classes: B-1, which will be a floating-rate tranche, and B-2, which will be a fixed-rate tranche. The class B-1 and B-2 debt will be pro rata in payment. -- The original class D debt is being replaced by two new, floating-rate classes: D-1 and D-2, which will be sequential in payment. -- The non-call period will be extended to April 11, 2027. -- The reinvestment period will be extended to April 20, 2030. -- The legal final maturity dates (for the existing debt and the existing subordinated notes) will be extended to April 20, 2038. 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. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned OHA Credit Funding 14-R Ltd./ OHA Credit Funding 14-R LLC Class A, $305.0 million: AAA (sf) Class B-1, $62.0 million: AA (sf) Class B-2, $13.0 million: AA (sf) Class C (deferrable), $30.0 million: A (sf) Class D-1 (deferrable), $30.0 million: BBB- (sf) Class D-2 (deferrable), $2.5 million: BBB- (sf) Class E (deferrable), $17.5 million: BB- (sf) Subordinated notes, $45.0 million: Not rated PARALLEL LTD 2017-1: Moody's Cuts Rating on $5MM Cl. F Notes to C ----------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Parallel 2017-1 Ltd.: US$5,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2029, Downgraded to C (sf); previously on December 18, 2023 Downgraded to Caa3 (sf) Parallel 2017-1 Ltd. originally issued in June 2017 and partially refinanced in February 2020, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2021. RATINGS RATIONALE The downgrade rating action on the Class F notes is primarily the results of liquidation of the collateral and ultimate recovery value achieved on the Class F note's current principal balance. The Class F noteholders received less than their full current principal balance. Methodology Used for the Rating Action: The principal methodology used in this rating 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 Rating: Not applicable. PRET 2025-RPL2: DBRS Gives Prov. BB Rating on Class B-1 Notes ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-RPL2 (the Notes) to be issued by PRET 2025-RPL2 Trust (PRET 2025-RPL2 or the Trust) as follows: -- $315.8 million Class A-1 at (P) AAA (sf) -- $26.0 million Class A-2 at (P) AA (high) (sf) -- $341.8 million Class A-3 at (P) AA (high) (sf) -- $366.1 million Class A-4 at (P) A (sf) -- $383.7 million Class A-5 at (P) BBB (sf) -- $24.3 million Class M-1 at (P) A (sf) -- $17.7 million Class M-2 at (P) BBB (sf) -- $11.7 million Class B-1 at (P) BB (sf) -- $7.9 million Class B-2 at (P) B (high) (sf) The Class A-3, Class A-4, and Class A-5 Notes are exchangeable. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The (P) AAA (sf) credit rating on the Notes reflects 25.90% of credit enhancement provided by subordinated notes. The (P) AA (high) (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (high) (sf) credit ratings reflect 19.80%, 14.10%, 9.95%, 7.20%, and 5.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. PRET 2025-RPL2 is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 2,297 loans with a total principal balance of $448,563,944 as of the Cut-Off Date (February 28, 2025). The mortgage loans are approximately 191 months seasoned. As of the Cut-Off Date, 93.7% of the loans are current (including 1.8% bankruptcy-performing loans), and 6.3% of the loans are 30 days delinquent (including 0.2% bankruptcy loan) under the Mortgage Bankers Association (MBA) delinquency method. Under the MBA delinquency method, 42.5% and 70.0% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively. The portfolio contains 84.8% modified loans as determined by the Issuer. Morningstar DBRS considers the modifications happened more than two years ago for 86.8% of these loans. Within the pool, 842 mortgages have an aggregate non-interest-bearing deferred amount of $35,347,524, which comprises 7.9% of the total principal balance. PRET 2025-RPL2 is the fifth rated securitization of seasoned performing and reperforming residential mortgage loans on the PRET shelf. The Sponsor, Goldman Sachs Mortgage Company (GSMC), is a New York limited partnership. The Mortgage Loan Seller will contribute the loans to the Trust through GS Mortgage Securities Corp. (the Depositor). As the Sponsor, GSMC or its majority-owned affiliate will retain an eligible vertical interest in the transaction consisting of an uncertificated interest in the Issuer representing the right to receive at least 5% of the amounts collected on the mortgage loans to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. All the loans are being serviced by Selene Finance LP (Selene). There will not be any advancing of delinquent principal and interest (P&I) on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowners association fees in super lien states and, in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of the properties. The Controlling Holder also will have the right to direct the Servicer to sell any mortgage loan that has become 90 or more days delinquent in payment of any related loan payment. In addition, if the Controlling Holder objects to a proposed or contemplated foreclosure action with respect to a mortgage loan, the Controlling Holder must repurchase such mortgage loan at a price equal to the sum of (1) unpaid principal balance plus interest, (2) any outstanding Post-Cut-Off Date Deferred Amount, and (3) any pre-existing servicing advances, unreimbursed servicing advances, or unpaid servicing fees with respect to such mortgage loan. On any Payment Date on or after the earlier of (1) the three-year anniversary of the Closing Date and (2) the date on which the aggregate Principal Balance of the Mortgage Loans is reduced to less than 30% of the Aggregate Cut-Off Date Principal Balance of the Mortgage Loans, the Controlling Holder will have the option to purchase all remaining loans and other property of the Issuer at the redemption price (Optional Redemption). The Redemption Right Holder will be the beneficial owner of more than 50% the Class X Notes. The Controlling Holder has the option to, on any business day on or after the Payment Date in April 2027, purchase all of the outstanding Notes (Optional Clean-up Call) for a price equal to the sum of (1) the Class Principal Balance of each Class of Notes and (2) any accrued and unpaid interest thereon (including any Cap Carryover Amounts due to the Class A-1, Class A-2, Class M-1, and Class M-2 and any outstanding amounts due to the Class X Notes). The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A-2 and more subordinate P&I bonds will not be paid from principal proceeds until the more senior classes are retired. Notes: All figures are in U.S. dollars unless otherwise noted. PRET 2025-RPL2: Fitch Assigns 'Bsf' Final Rating on Cl. B-2 Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to PRET 2025-RPL2 Trust (PRET 2025-RPL2). Entity/Debt Rating Prior ----------- ------ ----- PRET 2025-RPL2 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT AAsf New Rating AA(EXP)sf A-4 LT Asf New Rating A(EXP)sf A-5 LT BBBsf New Rating BBB(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf SA LT NRsf New Rating NR(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 B-4 LT NRsf New Rating NR(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf B LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The PRET 2025-RPL2 notes are supported by 2,297 seasoned performing loans and reperforming loans (RPLs) that had a balance of $448.56 million as of the Feb. 28, 2025 cutoff date. The notes are secured by a pool of fixed-rate, step-rate and adjustable-rate mortgage (ARM) loans, some of which have an initial IO period, that 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, planned unit developments (PUDs), townhouses, condominiums, co-ops, manufactured housing, multifamily homes and commercial properties. In the pool, 100% of the loans are seasoned performing loans and RPLs. Based on Fitch's analysis of the pool, Fitch considered 81.6% of the loans to be exempt from the qualified mortgage (QM) rule as they are investment properties or were originated prior to the Ability to Repay (ATR) rule taking effect in January 2014. Selene Finance LP (Selene) will service 100.0% of the loans in the pool. Fitch rates Selene 'RPS3+'. The majority of the loans in the collateral pool comprise fixed-rate mortgages, although Fitch considered 7.6% of the pool as comprised of step-rate loans or loans with an adjustable rate in its analysis (per the transaction documents this percentage is 7.4%) 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 (vs. 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. Seasoned Performing and Reperforming Credit Quality (Mixed): The collateral consists of 2,297 loans totaling $448.56 million, which includes deferred amounts. The loans are seasoned at approximately 193 months in aggregate, according to Fitch, as calculated from the origination date (191 months per the transaction documents). Based on Fitch's analysis of the pool, Fitch considered the pool to be comprised of 92.4% fully amortizing fixed-rate loans, 6.3% fully amortizing ARM loans and 1.3% step-rate loans that were treated as ARM loans (per the transaction documents 92.6% are fixed rate fully amortizing loans and 6.3% are ARM and 1.1% are step-rate loans). The borrowers have a moderate credit profile, with a 666 Fitch model FICO score (658 FICO per the transaction documents). The transaction has a weighted average (WA) sustainable loan-to-value (sLTV) ratio of 58.3%, 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 loans. According to Fitch, the pool consists of 96.9% of loans where the borrower maintains a primary residence, while 3.1% consists of loans for investor properties or second homes. For loans with an unknown occupancy, Fitch treated these loans as investor properties. In its analysis, Fitch considered 17.2% of the loans to be non-QM loans and 1.1% were considered safe-harbor QM or high-priced QM loans, while the remaining 81.6% were considered exempt from QM status. In its analysis, Fitch considered loans originated after January 2014 to be non-QM since they are no longer eligible to be in government-sponsored enterprise (GSE) pools. In Fitch's analysis, 86.6% of the loans are to single-family homes, townhouses and planned unit developments (PUDs), 5.5% are to condos or co-ops, 7.5% are to manufactured housing or multifamily homes, and less than 0.4% are for commercial properties. In its analysis, Fitch treated manufactured properties as multifamily and the probability of default (PD) was increased for these loans, as a result. The pool contains 18 loans over $1.0 million, with the largest loan at $2.88 million. Based on the due diligence findings, Fitch considered 8.3% 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 LTV (cLTV) of 100%, which further explains the discrepancy in the subordinate financing percentages per Fitch's analysis versus the transaction documents. Fitch viewed all loans in the pool as in the first lien position based on data provided in the loan tape and confirmation from the servicer on the lien position. Of the pool, 93.7% of loans were current as of Feb. 28, 2025. 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 19.1% of the pool is concentrated in California. The largest MSA concentration is in the New York City MSA at 18.8%, followed by the Los Angeles MSA at 8.1% and the Miami MSA at 5.8%. The top three MSAs account for 32.7% of the pool. As a result, there was no penalty applied for geographic concentration. No Advancing (Mixed): The servicer will not be advancing delinquent monthly payments of 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 will be paid 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 to 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 waterfalls prioritize payment of interest to the A-1 class, which is supportive of class A-1 receiving timely interest. Fitch considers timely interest for 'AAAsf' rated classes and 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 April 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 and (ii) the net WA coupon (WAC) rate for such payment date. Beginning on the payment date in April 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 for such class of notes and (ii) 1.000%. The unpaid cap carryover amount payments on the class A and M notes are prioritized over payment of the B-3, B-4 and B-5 interest in both the interest and principal waterfalls. The note rate for the B classes is based on the net WAC. Losses are allocated to classes in reverse sequential order 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 42.3%, 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 0.75% and are further detailed in the Third-Party Due Diligence section of the presale. Fitch determined there were 87 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 were 90 loans with a clean title search but for which potentially superior post ordination liens/judgments were found totaling $360,650. Additionally, there were 137 mortgage loans for which potentially superior post origination liens/judgments were found totaling $439,082. The trust would be responsible for these amounts. Fitch therefore increased the LS by these amounts since the trust would be responsible for reimbursing the servicer for this amount. This has no 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-RPL2 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. RR 39: S&P Assigns BB- (sf) Rating on Class D Notes --------------------------------------------------- S&P Global Ratings assigned its ratings to RR 39 Ltd./RR 39 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 managed by Redding Ridge Asset Management LLC (Redding Ridge), an affiliate of Apollo Global Management LLC. This is a reissue of RR 6 Ltd., another transaction managed by Redding Ridge. The ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans; -- 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. Ratings Assigned RR 39 Ltd./RR 39 LLC Class A-1L loans(i), $372.0 million: AAA (sf) Class A-1L(i), $0.0 million: AAA (sf) Class A-2L loans(i), $72.0 million: AA (sf) Class A-2, $3.0 million: AA (sf) Class A-2L(i), $0.0 million: AA (sf) Class B (deferrable), $45.0 million: A (sf) Class C-1a (deferrable), $27.0 million: BBB (sf) Class C-1b (deferrable), $9.0 million: BBB- (sf) Class C-2 (deferrable), $3.0 million: BBB- (sf) Class D (deferrable), $20.4 million: BB- (sf) Subordinated notes, $50.1 million: NR (i)The class A-1L and A-2L debt have a zero balance as of the closing date. The class A-1L and A-2L loans can be converted to A-1L and A-2L debt, respectively. NR--Not rated. RR 39: S&P Assigns Preliminary BB- (sf) Rating on Class D Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1L, A-2, A-2L, B, C-1a, C-1b, C-2, and D notes and class A-1L and A-2L loans from RR 39 Ltd./RR 39 LLC, a CLO that is managed by Redding Ridge Asset Management LLC (Redding Ridge), an affiliate of Apollo Global Management LLC. This is a proposed reissue of RR 6 Ltd., another transaction managed by Redding Ridge. The preliminary ratings are based on information as of April 7, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings assigned to RR 39 Ltd./RR 39 LLC's floating-rate debt reflect S&P's assessment of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. -- 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. -- The transaction's legal structure, which is expected to be bankruptcy remote. 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 RR 39 Ltd./RR 39 LLC Class A-1L loans(i), $372.0 million: AAA (sf) Class A-1L(i), $0.0 million: AAA (sf) Class A-2L loans(i), $72.0 million: AA (sf) Class A-2, $3.0 million: AA (sf) Class A-2L(i), $0.0 million: AA (sf) Class B (deferrable), $45.0 million: A (sf) Class C-1a (deferrable), $27.0 million: BBB (sf) Class C-1b (deferrable), $9.0 million: BBB- (sf) Class C-2 (deferrable), $3.0 million: BBB- (sf) Class D (deferrable), $20.4 million: BB- (sf) Other Outstanding Debt RR 39 Ltd./RR 39 LLC Subordinated notes, $50.1 million: Not rated (i)The class A-1L and A-2L notes will have a zero balance as of the closing date. The class A-1L and A-2L loans can be converted to A-1L and A-2L notes, respectively. SANTANDER BANK 2023-A: Moody's Ups Rating on Class F Notes to Ba3 ----------------------------------------------------------------- Moody's Ratings takes action on 26 classes of notes issued from 7 auto loan securitizations and three credit-linked notes. The securitization notes are backed by pools of retail automobile loan contracts originated and serviced by multiple parties. Santander Bank Auto Credit-Linked Notes, Series 2022-B, 2022-C and 2023-A transfer credit risk to noteholders through a hypothetical tranched financial guaranty on a reference pool of auto loans. The complete rating actions are as follows: Issuer: Chase Auto Owner Trust 2022-A Class D Notes, Upgraded to Aaa (sf); previously on Jul 18, 2024 Upgraded to A1 (sf) Issuer: Chase Auto Owner Trust 2023-A Class B Notes, Upgraded to Aaa (sf); previously on Sep 28, 2023 Definitive Rating Assigned Aa1 (sf) Class C Notes, Upgraded to Aa2 (sf); previously on Sep 28, 2023 Definitive Rating Assigned A1 (sf) Class D Notes, Upgraded to Baa1(sf); previously on Sep 28, 2023 Definitive Rating Assigned Baa2 (sf) Issuer: Chase Auto Owner Trust 2024-1 Class B Notes, Upgraded to Aaa (sf); previously on Mar 27, 2024 Definitive Rating Assigned Aa1 (sf) Class C Notes, Upgraded to Aa2 (sf); previously on Mar 27, 2024 Definitive Rating Assigned A1 (sf) Issuer: Chase Auto Owner Trust 2024-3 Class B Notes, Upgraded to Aaa (sf); previously on Jun 27, 2024 Definitive Rating Assigned Aa1 (sf) Class C Notes, Upgraded to Aa3 (sf); previously on Jun 27, 2024 Definitive Rating Assigned A1 (sf) Issuer: GLS Auto Select Receivables Trust 2024-3 Class B Notes, Upgraded to Aa1 (sf); previously on Jul 8, 2024 Definitive Rating Assigned Aa2 (sf) Class C Notes, Upgraded to A1 (sf); previously on Jul 8, 2024 Definitive Rating Assigned A2 (sf) Issuer: GECU Auto Receivables Trust 2023-1 Class C Notes, Upgraded to Aa1 (sf); previously on Aug 16, 2023 Definitive Rating Assigned Aa3 (sf) Class D Notes, Upgraded to Baa1 (sf); previously on Aug 16, 2023 Definitive Rating Assigned Baa2 (sf) Issuer: Santander Bank Auto Credit-Linked Notes, Series 2022-B Class F Notes, Upgraded to Aa1 (sf); previously on Jul 18, 2024 Upgraded to A2 (sf) Issuer: Santander Bank Auto Credit-Linked Notes, Series 2022-C Class B Notes, Upgraded to Aaa (sf); previously on Apr 18, 2024 Upgraded to Aa1 (sf) Class C Notes, Upgraded to Aa1 (sf); previously on Jul 18, 2024 Upgraded to Aa2 (sf) Class D Notes, Upgraded to Aa1 (sf); previously on Jul 18, 2024 Upgraded to A1 (sf) Class E Notes, Upgraded to Aa1 (sf); previously on Jul 18, 2024 Upgraded to A2 (sf) Class F Notes, Upgraded to A2 (sf); previously on Jul 18, 2024 Upgraded to Baa3 (sf) Issuer: Santander Bank Auto Credit-Linked Notes, Series 2023-A Class B Notes, Upgraded to Aa1 (sf); previously on Jun 15, 2023 Definitive Rating Assigned Aa2 (sf) Class C Notes, Upgraded to Aa3 (sf); previously on Jul 18, 2024 Upgraded to A1 (sf) Class D Notes, Upgraded to A1 (sf); previously on Jul 18, 2024 Upgraded to Baa1 (sf) Class E Notes, Upgraded to A2 (sf); previously on Jul 18, 2024 Upgraded to Baa3 (sf) Class F Notes, Upgraded to Ba3 (sf); previously on Jun 15, 2023 Definitive Rating Assigned B2 (sf) Issuer: SBNA Auto Receivables Trust 2024-A Class B Notes, Upgraded to Aaa (sf); previously on Oct 18, 2024 Upgraded to Aa1 (sf) Class C Notes, Upgraded to Aaa (sf); previously on Oct 18, 2024 Upgraded to Aa3 (sf) Class D Notes, Upgraded to Aa3 (sf); previously on Oct 18, 2024 Upgraded to Baa1 (sf) A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade actions are primarily driven by the buildup of credit enhancement due to structural features including a sequential pay structure, non-declining reserve account and overcollateralization. For Santander Bank Auto Credit-Linked Notes, Series 2022-B, 2022-C and 2023-A, the rating actions are primarily driven by increasing subordination. Moody's lifetime cumulative net loss expectations are noted below for the transaction pools. The loss expectations reflect updated performance trends on the underlying pools. Chase Auto Owner Trust 2022-A: 1.20% Chase Auto Owner Trust 2023-A: 1.50% Chase Auto Owner Trust 2024-1: 1.65% Chase Auto Owner Trust 2024-3: 1.65% GECU Auto Receivables Trust 2023-1: 3.25% GLS Auto Select Receivables Trust 2024-3: 9.00% Santander Bank Auto Credit-Linked Notes, Series 2022-B: 0.75% Santander Bank Auto Credit-Linked Notes, Series 2022-C: 1.15% Santander Bank Auto Credit-Linked Notes, Series 2023-A: 2.00% SBNA Auto Receivables Trust 2024-A: 9.00% 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 "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in August 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's original expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties including further restatement of performance data, lack of transactional governance and fraud. SEQUOIA MORTGAGE 2025-4: Fitch Gives B(EXP) Rating on Cl. B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by Sequoia Mortgage Trust 2025-4 (SEMT 2025-4). Entity/Debt Rating ----------- ------ SEMT 2025-4 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating B1X LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating B2X LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 390 loans with a total balance of approximately $471.5 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 390 loans totaling approximately $471.5 million and seasoned at about four months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted average (WA) Fitch model FICO score of 781 and a 35.5% debt-to-income ratio (DTI). The borrowers also have moderate leverage, with an 80.9% sustainable loan-to-value ratio (sLTV) and a 71.7% mark-to-market combined loan-to-value ratio (cLTV). Overall, 92.0% of the pool loans are for a primary residence, while 8.0% are loans for second homes; 60.0% of the loans were originated through a retail channel. In addition, 100.0% of the loans are designated as safe-harbor qualified mortgage (SHQM) loans. Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.9% above a long-term sustainable level (versus 11.1% on a national level as of 3Q24, down 0.5% since the prior quarter). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 3.8% yoy nationally as of November 2024, despite modest regional declines, but are still being supported by limited inventory. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. After the credit support depletion date, principal will be distributed sequentially — first to the super-senior classes (A-9, A-12 and A-18) concurrently on a pro rata basis and then to the senior-support A-21 certificate. SEMT 2025-4 will feature the servicing administrator (RRAC), following initial reductions in the class A-IOS strip and servicing administrator fees, obligated to advance delinquent P&I to the trust until deemed nonrecoverable. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates, and absent the full advancing, bonds can be vulnerable to missed payments during periods of adverse performance. 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 metropolitan statistical area 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. 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%, 20% and 30%, in addition to the model-projected 42.1% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to 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 the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those 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, Clayton, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 24-bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2025-4 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2025-4 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This has a positive 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. SG COMMERCIAL 2019-787E: DBRS Confirms BB(low) Rating on F Certs ---------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2019-787E issued by SG Commercial Mortgage Securities Trust 2019-787E: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class X at AAA (sf) -- Class C at AA (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect the underlying collateral's overall stable performance, which remains in line with Morningstar DBRS' expectations since its previous credit rating action in April 2024. The property remains 100% occupied by five tenants, all of which are signed to leases that expire beyond the loan's maturity date in February 2029. The transaction consists of a $187.5 million portion of a $410.0 million whole loan that pays interest only for the full term. The whole loan is composed of $175.0 million of senior companion loans, a $117.5 million subordinate A note, and a $117.5 million junior B note. The collateral consists of a 513,638-square-foot (sf), 10-story Class A mixed-use building, known as 787 Eleventh Avenue, with office as well as automotive retail showroom and service center space. The building is well located in Manhattan's Automotive Row, which is also home to 20 other automotive dealers. The retail-auto showroom and service space (representing approximately 44.0% of the net rentable area (NRA)) is 100% leased to Jaguar Land Rover and Nissan/Infiniti (Nissan). While both leases run three years beyond the loan's maturity, it is noteworthy that Nissan's parent company is currently experiencing financial troubles amid declining sales and increasing debt levels. The property's largest tenant, Mount Sinai School of Medicine (Mount Sinai; 36.5% of NRA), took occupancy in 2022 and began paying rent in 2023. The tenant is currently paying a base rental rate of $57.04 per sf, which is scheduled to increase every year until its lease expiry in 2054. According to the YE2023 financials, the loan reported a net cash flow (NCF) of $25.4 million, representing a 40.1% increase from the YE2022 NCF because of Mount Sinai's rental abatements burning off in 2023. In the trailing nine-month period ended September 30, 2024, the loan reported an annualized NCF of $29.6 million, reflecting a debt service coverage ratio of 2.19 times. Morningstar DBRS' previous credit rating action in April 2024 included an update to the asset's valuation. For more information regarding the approach and analysis conducted, please refer to the press release titled "Morningstar DBRS Takes Rating Actions on North American Single-Asset/Single-Borrower Transactions Backed by Office Properties," published on April 15, 2024. For purposes of this credit rating action, Morningstar DBRS maintained the valuation approach from the April 2024 review, which was based on a capitalization rate of 7.75% applied to the Morningstar DBRS NCF of $24.9 million based on a stress to the YE2023 NCF figure. Morningstar DBRS also maintained positive qualitative adjustments to the loan-to-value ratio (LTV) sizing benchmarks, totaling 5.0%, to reflect the subject property's quality, its stable cash flow provided by its long-term tenancy, and its location within Manhattan's Automotive Row. Morningstar DBRS' concluded value of $321.3 million represents a variance of -50.6% from the issuance appraised value of $650.0 million and implies an A note LTV of 91.0% and a whole loan LTV of 127.6%. Notes: All figures are in U.S. dollars unless otherwise noted. SLG OFFICE 2021-OVA: DBRS Confirms B Rating on Class G Certs ------------------------------------------------------------ DBRS, Inc. confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2021-OVA issued by SLG Office Trust 2021-OVA as follows: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (sf) -- Class HRR at B (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the transaction's overall stable performance, as the collateral office building, which benefits from its prime location and prestige as one of New York's best-in-quality trophy assets, demonstrated a high occupancy rate of nearly 100.0% and a healthy debt service coverage ratio of 2.35 times as of the annualized trailing nine-month (T-9) period ended September 30, 2024. The $3.0 billion mortgage loan is secured by the borrower's fee-simple interest in One Vanderbilt, a 1.6 million-square-foot (sf) Class A office high-rise in Midtown Manhattan, New York. In addition to more than 1.5 million sf of luxury office space, the property includes a 67,000-sf observation deck (the Summit) and approximately 32,000 sf of high-end commercial space and is directly adjacent to Grand Central Terminal. The property was developed by the sponsor, SL Green Realty Corp., which owns 71.0% of the property. The remaining 29.0% is owned by the National Pension Service of Korea, one of the largest pension funds in the world, and Hines Interests Limited Partnership, one of the largest privately held real estate investors. The fixed-rate loan is interest only (IO) throughout its 10-year loan term and matures in July 2031. For the T-9 period ended September 30, 2024, the loan reported an annualized net cash flow (NCF) of $201.4 million, compared with the YE2023 NCF of $165.1 million and the Morningstar DBRS NCF of $179.0 million. According to the September 2024 rent roll, the property's occupancy rate was 99.4%, with an average rental rate of $124.57 per sf (psf), up from 96.7% and $91.51 psf, respectively, as of the December 2022 rent roll. According to Reis, in Q4 2024, the average vacancy rate and asking rental rate for Class A office properties in the Grand Central submarket were 12.2% and $88.82 psf, respectively. Morningstar DBRS also notes that the property benefits from long-term, investment-grade tenancy, including the two largest tenants, TD Bank and Securities (20.8% of net rentable area (NRA); expiring July 2041) and Carlyle Investment Management (11.8% of NRA; expiring September 2041), which, combined, account for approximately 65.0% of annual rental income, further contributing to the positive credit profile. For this credit rating action, Morningstar DBRS maintained the same analytical approach as for the prior credit rating action in April 2024, when Morningstar DBRS updated its value for the collateral buildings to reflect an increased capitalization (cap) rate of 6.25%, up from the issuance cap rate of 6.00%. The Morningstar DBRS NCF of $179.0 million derived at issuance, which straight-lined several tenants' rent over the loan's term to account for consideration as long-term credit tenants, was maintained and the resulting value was $2.9 billion, a variance of -42.7% from the issuance appraised value of $5.0 billion and an implied all-in loan-to-value ratio (LTV) of 104.8%. The increased cap rate reflects Morningstar DBRS' view that there has been a secular shift for the office sector, which has resulted in generally increased risks for the property type. Morningstar DBRS also maintained positive qualitative adjustments to the LTV sizing benchmarks, which total 11.25%, to reflect the subject's exceptional quality, desirable location, and limited cash flow volatility. Notes: All figures are in U.S. dollars unless otherwise noted. SOUND POINT XIX: Moody's Cuts Rating on $22.5MM Cl. E Notes to B1 ----------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Sound Point CLO XIX, Ltd.: US$40 million Class B-1 Senior Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on Apr 6, 2023 Upgraded to Aa1 (sf) US$5 million Class B-2a-R Senior Secured Fixed Rate Notes, Upgraded to Aaa (sf); previously on Apr 6, 2023 Upgraded to Aa1 (sf) US$15 million Class B-2b-R Senior Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on Apr 6, 2023 Upgraded to Aa1 (sf) US$30 million Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on May 3, 2018 Assigne A2 (sf) US$22.5 million Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Aug 28, 2020 Confirmed at Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$320 million (Current outstanding amount US$122,960,334) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 3, 2018 Assigned Aaa (sf) US$28.5 million Class D Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Aug 28, 2020 Confirmed at Baa3 (sf) Sound Point CLO XIX, Ltd., originally issued in May 2018 and later partially refinanced in September 2020, is a collateralised loan obligation (CLO) backed by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating upgrades on the Class B-1, B-2a-R, B-2b-R and C notes are primarily a result of the deleveraging of the Class A notes following amortisation of the underlying portfolio since the payment date in October 2023. The Class A notes have paid down by approximately USD143.3 million (44.8% of the original balance) in the last 12 months and USD197.0 million (61.6%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated March 2025 [1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 149.98%, 128.85%, 113.64% and 103.96% compared to March 2024 [2] levels of 131.49%, 120.42%, 111.50% and 105.34%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The downgrade on the rating on the Class E notes is due to the deterioration of key credit metrics of the underlying pool and over-collateralisation ratios since March 2024. The credit quality has deteriorated as reflected by the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities rated Caa1 or lower. Additionally, defaults and credit risk sales have resulted in erosion of the par amount of the portfolio since the last rating action, as reflected by a 1.4% reduction in the Class E OC ratio since March 2024. The affirmations on the ratings on the Class A and D notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual OC ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD278.56 million Defaulted Securities: USD4.04 million Diversity Score: 58 Weighted Average Rating Factor (WARF): 3341 Weighted Average Life (WAL): 3.39 years Weighted Average Spread (WAS): 3.49% Weighted Average Recovery Rate (WARR): 46.29% Par haircut in OC tests and interest diversion test: 1.90% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. 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. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance" published in October 2024. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. SUMIT 2022-BVUE: DBRS Confirms B(low) Rating on 2 Classes --------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2022-BVUE issued by SUMIT 2022-BVUE Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-A at A (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) -- Class H-RR at B (low) (sf) All trends are Stable. The credit rating confirmations are supported by the underlying collateral's stable performance since the previous credit rating action in April 2024, when Morningstar DBRS downgraded its credit ratings on all classes except for Class A. The credit rating downgrades in April 2024 were the result of an update to the Morningstar DBRS value for the collateral office property to $490.3 million, reflecting a loan-to-value ratio (LTV) of 107.1% on the whole loan, compared with the 92.8% LTV based on the Morningstar DBRS value derived at issuance. The updated Morningstar DBRS value was based on the Morningstar DBRS net cash flow (NCF) derived at issuance and a capitalization rate (cap rate) of 7.5%, which is an increase from the 6.5% cap rate previously applied by Morningstar DBRS. The Morningstar DBRS value is 45.3% below the issuance appraisal value and a 13.3% decline from the $565.7 million Morningstar DBRS value derived at issuance. Morningstar DBRS maintained the LTV Sizing benchmarks from the April 2024 credit ration action for this review, with qualitative adjustments totaling 6.25%, applied to reflect favorable property quality, cash flow volatility, and market fundamentals. The total qualitative adjustment of 6.25% is down from 8.0% at issuance, with the reduced credit a reflection of observed changes in market fundamentals and relative property quality from issuance, given the widening vacancy rates within the Bellevue/Issaquah submarket and the early 2000s build year in a market that increasingly favors high-quality and newly built supply. The healthy cash flow at the subject property, which is above the Morningstar DBRS NCF figure, in addition to the significant proportion of investment-grade tenancy, contributed to the stable performance trends observed since Morningstar DBRS' last review. The transaction is secured by the borrower's fee-simple interest in The Summit, a 907,306-square-foot (sf), LEED Gold and Platinum certified, Class A, three-property office campus in the Bellevue, Washington, central business district. The Summit is strategically located two blocks from I-405, the Eastside's primary interstate, and one block from both the Bellevue Transit Center and the Bellevue Downtown Light Rail Station. The loan is sponsored by a 99%/1% joint venture between KKR Property Partners Americas (KPPA) and prominent commercial property manager and operator Urban Renaissance Group (URG). KPPA is a real estate opportunistic fund managed by Kohlberg Kravis Roberts (KKR) located in New York with investments focused on the Americas. KKR is a leading global investment firm with $79 billion in assets under management as of December 2024. The $525 million whole loan is composed of 10 promissory notes: eight senior A notes totaling $327 million and two junior B notes totaling $198 million. The $305 million subject transaction consists of two senior A notes with an aggregate principal balance of $107 million and the two junior B notes totaling $198 million. The remaining $220 million of the whole loan is composed of pari passu A notes (companion notes); of those companion notes, 5% is held in BBCMS 2022-C16 (Morningstar DBRS rated) and the remaining 62% is split among BMARK 2022-B32, BBCMS 2022-C15, BBCMS 2022-C14, and BMARK 2022-B33 (not rated by Morningstar DBRS). The underlying loan is interest-only (IO) throughout its seven-year term with a scheduled maturity in February 2029. According to the September 2024 rent roll, the collateral was 93.3% occupied, a modest decline from the YE2023 and issuance figures of 96.0% and 95.3%, respectively. The decline is primarily the result of the former fourth-largest tenant, First Republic Bank (previously 5.5% of net rentable area (NRA)), departing at lease expiration in December 2023. Since that time, JP Morgan Chase N.A. has leased 25,735 sf, while the remaining 24,173 sf of First Republic Bank's former space remains vacant. In addition, WeWork Inc.'s (WeWork) former space (representing approximately 25.0% of the NRA) is fully subleased to Amazon.com Inc. (Amazon) through an enterprise lease with WeWork and has a lease expiration in May 2025; according to the servicer, renewal negotiations are in process. Excluding the WeWork lease expiration, three tenants, representing 15.8% of the NRA, have leases that recently expired or will expire in the next 12 months. Amazon is currently a direct tenant at the property, as well, with a lease that runs through August 2036. Including the space subleased from WeWork, Amazon also occupies the entire Summit 3 building (approximately 374,000 sf or 42.9% of NRA). Amazon's direct lease is structured with a one-time termination/contraction option in September 2033 that requires 18 months' notice. The second-largest and investment-grade rated tenant, Puget Sound Energy Inc. (Puget) (25.8% of NRA), is in place on a lease to October 2028. The borrower has the right to amend the Puget lease to reduce the leased space by up to 223,820 sf in aggregate, and to make corresponding reductions to the rent and tenant obligations, provided that the debt yield is equal to or greater than the debt yield at closing, with certain leasing conditions structured into the agreement. According to Reis Inc. (Reis), the Bellevue/Issaquah submarket reported Q4 2024 average asking rental and vacancy rates of $48.5 per square foot (psf) and 13.6%, respectively, compared with the Q4 2023 figures of $48.4 psf and 12.9%. Class A office properties in the submarket reported higher vacancy and rental rates of 15.1% and $53.1 psf for the same period, according to Reis, although overall submarket vacancy is expected to widen to 17.2% by 2030. Based on the September 30, 2024, financial reporting, the annualized net cash flow (NCF) was $37.9 million (reflecting a debt service coverage ratio (DSCR) of 2.41 times (x)), relatively unchanged from the YE2023 figure of $37.7 million (a DSCR of 2.4x) and above the $36.7 million Morningstar DBRS NCF. Morningstar DBRS expects cash flow to remain stable as tenancy outside of the largest investment-grade rated tenants is granular with no significant rollover scheduled until 2028. Notes: All figures are in U.S. dollars unless otherwise noted. TPR FUNDING 2022-1: DBRS Confirms B(low) Rating on E Advances ------------------------------------------------------------- DBRS, Inc. confirmed its following credit ratings on the Class A-1 Advances, the Class A-2 Advances, the Class B Advances, the Class C Advances, the Class D Advances, and the Class E Advances (together, the Advances) issued by TPR Funding 2022-1, LLC pursuant to the Loan, Security and Servicing Agreement, dated December 15, 2022 (the Loan Agreement), as Amended by the First Amendment to Loan, Security, and Servicing Agreement, dated as of March 21, 2025 (the Amendment), entered into by and among TPR Funding 2022-1, LLC as the Borrower; Delaware Life Insurance Company as the Servicer; Capital One, National Association (rated A with a Stable trend by Morningstar DBRS) as the Administrative Agent, Hedge Counterparty and Arranger; Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) as Collateral Custodian and Document Custodian; Virtus Group, LP as Collateral Administrator; and each of the Lenders and Subordinated Lenders from time to time party thereto: -- Class A-1 Advances at AA (sf) -- Class A-2 Advances at AA (low) (sf) -- Class B Advances at A (low) (sf) -- Class C Advances at BBB (low) (sf) -- Class D Advances at BB (low) (sf) -- Class E Advances at B (low) (sf) The credit rating on the Class A-1 Advances addresses the timely payment of interest (other than Interest attributable to Excess Interest Amounts, as defined in the Loan Agreement) and the ultimate payment of principal on or before the Facility Maturity Date (as defined in the Loan Agreement). The credit ratings on the Class A-2 Advances, the Class B Advances, the Class C Advances, the Class D Advances, and the Class E Advances address the ultimate payment of interest (other than Interest attributable to Excess Interest Amounts, as defined in the Loan Agreement) and the ultimate payment of principal on or before the Facility Maturity Date (as defined in the Loan Agreement). CREDIT RATING RATIONALE/DESCRIPTION The credit rating action is a result of: (1) Morningstar DBRS' review of the Amendment, which reduced the Applicable Spread of several classes of the Advances, upsized the Facility Amount, and extended the Scheduled Revolving Period End Date and the Facility Maturity Date, among other changes; and (2) Morningstar DBRS' review of the transaction performance by applying the "Global Methodology for Rating CLOs and Corporate CDOs" (November 19, 2024). The Advances are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The servicer for TPR Funding 2022-1, LLC is Delaware Life Insurance Company. Morningstar DBRS considers Delaware Life Insurance Company to be an acceptable collateralized loan obligation (CLO) servicer. The Scheduled Revolving Period End Date is March 21, 2028. The Facility Maturity Date is March 21, 2035. In its analysis, Morningstar DBRS also considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Advances to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Delaware Life Insurance Company. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via a selection of an applicable row from a collateral quality matrix (the CQM, as defined in Schedule V of the Loan Agreement). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score and Weighted-Average Spread. Morningstar DBRS analyzed each structural configuration as a unique transaction, and all configurations (matrix points) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that DBRS Morningstar modeled during its analysis are presented below: Collateral Quality Tests Minimum Weighted Average Spread Test: Subject to Collateral Quality Matrix (CQM); threshold 5.25%; current 5.45% Minimum Weighted Average Fixed Coupon Test: threshold 6.00%; current N/A Minimum Weighted Average Recovery Rate Test: threshold 51.90%; current 53.46% Minimum Diversity Test: Subject to CQM; threshold 20; current 20 Maximum Morningstar DBRS Risk Score Test: Subject to CQM; threshold 29.70%; current 26.34% Coverage Tests Total Interest Coverage Ratio Test: threshold 150.00%; current 218.80% Class A-1 Overcollateralization Ratio Test: threshold 142.86%; current 149.41% Class A-2 Overcollateralization Ratio Test: threshold 138.15%; current 148.70% Class B Overcollateralization Ratio Test: threshold 118.21%; current 128.69% Class C Overcollateralization Ratio Test: threshold 113.21%; current 121.67% Class D Overcollateralization Ratio Test: threshold 106.68%; current 113.10% Class E Overcollateralization Ratio Test: threshold 103.70%; current 109.10% As of January 15, 2025, the transaction is performing according to the contractual requirements of the Loan Agreement, and there were no defaults registered in the underlying portfolio. Some particular strengths of the transaction are (1) the collateral quality, which will consist mostly of senior-secured middle-market loans; and (2) the expected adequate diversification of the portfolio of collateral obligations (Diversity Score, matrix driven). Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public ratings once purchased; and (2) the underlying collateral portfolio may be insufficient to redeem the Advances in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in Morningstar DBRS' Global Methodology for Rating CLOs and Corporate CDOs (November 19, 2024). The model-based analysis produced satisfactory results, which, in addition to Morningstar DBRS' review of the Amendment, supported the credit rating confirmations on the above-mentioned Advances. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Advances. Notes: All figures are in U.S. dollars unless otherwise noted. VIBRANT CLO XV: Moody's Assigns Ba1 Rating to $7.8MM D-1R Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to four classes of refinancing notes (collectively, the "Refinancing Notes") issued by Vibrant CLO XV, Ltd. (the "Issuer"). Moody's rating action is as follows: US$283,500,000 Class A-1AR Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$15,000,000 Class B-1R Secured Deferrable Floating Rate Notes due 2035, Assigned A2 (sf) US$25,875,000 Class C-R Secured Deferrable Floating Rate Notes due 2035, Assigned Baa3 (sf) US$7,875,000 Class D-1R Secured Deferrable Floating Rate Notes due 2035, Assigned Ba1 (sf) Additionally, Moody's have taken rating action on the following outstanding notes originally issued by the Issuer on December 2021 (the "Original Closing Date"): US$45,000,000 Class A-2 Senior Secured Floating Rate Notes due 2035 (the "Class A-2 Notes"), Upgraded to Aa1 (sf); previously on December 14, 2021 Assigned Aa2 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies 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. Vibrant Capital Partners, Inc. (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. The Issuer previously issued four other classes of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing which includes extension of the non-call period. Moody's rating action on the Class A-2 Notes is primarily a result of the refinancing, which increases excess spread available as credit enhancement to the rated notes. Additionally, the Notes benefited from a shortening of the weighted average life (WAL). No actions were taken on the Class A-1B, Class B-2 and Class D-2 notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. 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: $447,042,118 Defaulted par: $2,252,828 Diversity Score: 67 Weighted Average Rating Factor (WARF): 2768 Weighted Average Spread (WAS): 2.95% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 5.4 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. 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. VISTA POINT 2025-CES1: DBRS Gives Prov. B Rating on B-2 Notes ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following Asset-Backed Securities, Series 2025-CES1 (the Notes) to be issued by Vista Point Securitization Trust 2025-CES1 (VSTA 2025-CES1 or the Trust): -- $196.0 million Class A-1 at (P) AAA (sf) -- $14.3 million Class A-2 at (P) AA (sf) -- $13.6 million Class A-3 at (P) A (sf) -- $14.3 million Class M-1 at (P) BBB (sf) -- $12.5 million Class B-1 at (P) BB (sf) -- $8.1 million Class B-2 at (P) B (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The (P) AAA (sf) credit rating on the Notes reflects 27.30% of credit enhancement provided by subordinate Notes. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 22.00%, 16.95%, 11.65%, 7.00%, and 4.00% of credit enhancement, respectively. VSTA 2025-CES1 is a securitization of a portfolio of fixed, prime or expanded-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,293 mortgage loans with a total principal balance of 269,645,715 as of the Cut-Off Date (February 28, 2025). The portfolio, on average, is one month seasoned, though seasoning ranges from zero months to 25 months. Borrowers in the pool represent prime and expanded-prime credit quality, with a weighted-average (WA) Morningstar DBRS-calculated FICO score of 728 and an Issuer-provided original combined loan-to-value ratio (CLTV) of 66.3%. The loans were generally originated with Morningstar DBRS defined full documentation standards. As of the Cut-Off Date, all but 12 loans (0.8% of the pool) were current. Since then, six loans (0.3%) that were 30 days delinquent have self-cured, leaving 0.5% of the pool 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method. Additionally, none of the borrowers are in active bankruptcy. VSTA 2025-CES1 represents the fourth CES securitization by Vista Point Mortgage, LLC. Vista Point Mortgage, LLC (17.1%), New American Funding, LLC (13.8%), and Home Mortgage Alliance Corporation (12.7%) are the top originators for the mortgage pool. The remaining originators each comprise less than 10.0% of the mortgage loans. Carrington Mortgage Services, LLC is the Servicer of all the loans in this transaction. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee, Paying Agent, Note Registrar, and Certificate Registrar. U.S. Bank National Association will act as the Custodian. U.S. Bank Trust National Association will act as the Delaware Trustee. On or after the earlier of (1) the Payment Date occurring in March 2028 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Controlling Holder (majority holder of the Class XS Notes; initially expected to be affiliate of the Sponsor) may terminate the Issuer at a price equal to the greater of (A) the class balances of the related Notes plus accrued and unpaid interest, including any cap carryover amounts and (B) the principal balances of the mortgage loans plus accrued and unpaid interest, including fees, expenses, and indemnification amounts. The Controlling Holder must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Controlling Holder will have the option, but not the obligation, to repurchase any mortgage loan (other than loans under forbearance plan as of the Closing Date) that becomes 90 or more days delinquent at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. Although the majority of the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 82.3% of the loans are designated as non-QM, 0.1% are designated as QM Rebuttable Presumption, and 8.7% are designated as QM Safe Harbor. Approximately 8.9% of the mortgages are loans that were not subject to the QM/ATR rules as they are made to investors for business purposes. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction. In addition, the related servicer is not obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that 180 days delinquent under the MBA delinquency method, upon review by the related Servicer, may be considered a Charged Off Loan. With respect to a Charged Off Loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full (IPIP). Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2025-DWHP: S&P Assigns Prelim B-(sf) Rating on F Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Wells Fargo Commercial Mortgage Trust 2025-DWHP's commercial mortgage pass-through certificates. The note issuance is a CMBS securitization backed by a commercial mortgage loan secured by the borrowers' fee simple and/or leasehold interests in nine hotel properties (six full-service, two limited service, and one extended stay) in five states. The preliminary ratings are based on information as of April 9, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. S&P said, "The preliminary ratings reflect our view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the mortgage loan terms, and the transaction structure. We determined that the mortgage loan has a beginning and ending loan-to-value ratio of 106.4%, based on S&P Global Ratings' value of the properties backing the transaction." Preliminary Ratings Assigned Wells Fargo Commercial Mortgage Trust 2025-DWHP(i)(ii) Class A, $100,700,000: AAA (sf) Class B, $35,000,000: AA- (sf) Class C, $26,100,000: A- (sf) Class D, $34,400,000: BBB- (sf) Class E, $54,200,000: BB- (sf) Class F, $48,100,000: B- (sf) Class G, $15,000,000: NR Class HRR interest(iii), $16,500,000: NR (i)The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii)Approximate. Subject to a variance of plus or minus 5.0%. (iii)Eligible horizontal risk retention interest. NR--Not rated. WELLS FARGO 2025-VTT: DBRS Finalizes B Rating on HRR Certs ---------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-VTT (the Certificates) issued by Wells Fargo Commercial Mortgage Trust 2025-VTT (the Trust or the Issuer): -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (high) (sf) -- Class HRR at B (sf) All trends are Stable. The portfolio consists of six recently delivered Class A market-rate rental apartment buildings located throughout the Charleston metropolitan statistical area. The portfolio totals 1,643 units with a weighted-average (WA) in-place rent of $2,055 and WA unit size of 924 square feet (sf). The sponsor injected considerable investment since 2019 with capital improvements totaling more than $11.7 million, or $7,135 per unit. Upgrades include items such as clubhouse/common area painting, common area and fitness equipment, and cosmetic interior unit upgrades. Per the Issuer, approximately $1.4 million of additional capital for improvements at the properties such as exterior painting, replacement of hallway carpeting and interior unit upgrades on items such as cabinets, painting, and fixtures. The sponsor's primary business plan across the portfolio is to continue to stabilize occupancy while increasing rents. The sponsor acquired the portfolio assets one at a time through strategic off market transactions between 2019-22. The prior owners were mismanaging the properties and not maximizing potential. Starting in December 2022, the sponsor began increasing rents across its portfolio to market levels. Between December 2022 and December 2023, occupancy decreased 18.0%. However, the portfolio currently has an occupancy of 93.6% as of the January 2025 rent roll. Additionally, rental rates have increased 15.3% on average since December 2022, with some properties experiencing a 20% to 30% increase in rents. The limited seasoning of the portfolio is mitigated by two up-front reserves. The first reserve is a $1.06 million reserve, which will be released to the borrower upon the portfolio exceeding various occupancy hurdles. The second reserve totals $455,596 and is directly tied to the former condominium units at Parker Point, which will be used to pay debt service during the lease-up phase of these units. Since the acquisitions, the sponsorship injected considerable investment with capital improvements totaling more than $11.7 million, or $7,135 per unit. Upgrades include items such as clubhouse/common area painting, common area and fitness equipment, and cosmetic interior unit upgrades. Per the Issuer, approximately $1.4 million of additional capital was used for improvements at the properties such as exterior painting, replacement of hallway carpeting, and interior unit upgrades on items such as cabinets, painting, and fixtures. The overall portfolio appraised value is $521.4 million, which equates to a moderate appraised total debt loan-to-value ratio (LTV) of 67.4% (66.0% LTV based on the $532.5 million bulk sale value). The Morningstar DBRS-concluded value of $366.3 million ($222,946 per key) represents a significant 29.7% discount to the appraised value and results in a Morningstar DBRS whole-loan LTV of 96.0%, which is indicative of high-leverage financing; however, the Morningstar DBRS value is based on a capitalization rate (cap rate) of 6.70%, which represents a significant stress over current prevailing market cap rates. Notes: All figures are in U.S. dollars unless otherwise noted. [] DBRS Confirms Ratings on 9 College Ave Student Loans ------------------------------------------------------- DBRS, Inc. confirmed the credit ratings on all classes of securities included in Nine College Ave Student Loans Transactions. The Affected Ratings are available at https://bit.ly/4jbQDtG The Issuers are: College Ave Student Loans 2021-A, LLC College Ave Student Loans 2021-B, LLC College Ave Student Loans 2018-A, LLC College Ave Student Loans 2017-A, LLC College Ave Student Loans 2021-C, LLC College Ave Student Loans 2024-A, LLC College Ave Student Loans 2024-B, LLC College Ave Student Loans 2023-A, LLC College Ave Student Loans 2019-A, LLC The credit rating confirmations are based on the following analytical considerations: -- Transaction capital structure, current credit ratings, and sufficient cash flow from the underlying trusts. -- Credit enhancement levels are sufficient to support the Morningstar DBRS-expected default and loss severity assumptions under various stress scenarios. Credit enhancement in the form of overcollateralization, reserve account, and excess spread with senior notes benefiting from subordination provided by the junior notes. -- Collateral performance is mostly within expectations with no triggers in effect. Forbearance, deferment, and delinquency levels remain stable. -- The transactions parties' capabilities with regard to origination, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2024 Update," published on December 19, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. College Ave 2024-A and College Ave 2024-B Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Noteholders' Interest Distribution Amount and the related Outstanding Principal Balance. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (January 10, 2025). [] DBRS Reviews 158 Classes From 15 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 158 classes from 15 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 15 transactions reviewed, seven are classified as closed-end second-liens, five are classified as reperforming mortgages, and one of each are classified as non-qualified mortgage, residential transition loan, and home equity line of credit. Of the 158 classes reviewed, Morningstar DBRS upgraded its credit ratings on 15 classes and confirmed its credit ratings on the remaining 143 classes. The Affected Ratings are available at https://bit.ly/42o3DVP The Issuers are: CIM Trust 2023-R4 CIM Trust 2023-I1 PRPM 2024-RCF2, LLC FIGRE Trust 2024-HE1 Towd Point Mortgage Trust 2024-1 New Residential Mortgage Loan Trust 2024-RTL1 SAIF Securitization Trust 2024-CES1 Towd Point Mortgage Trust 2024-CES3 Towd Point Mortgage Trust 2024-CES4 Towd Point Mortgage Trust 2024-CES6 NRPL 2023-RPL1 Trust Vista Point Securitization Trust 2024-CES2 Vista Point Securitization Trust 2024-CES3 Vista Point Securitization Trust 2024-CES1 GS Mortgage-Backed Securities Trust 2023-RPL1 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update" published on March 26, 2025 (https://dbrs.morningstar.com/research/450604). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in U.S. dollars unless otherwise noted. [] DBRS Reviews 246 Classes From 23 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 246 classes from 23 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 23 transactions reviewed, six are classified as small-balance commercial mortgage transactions collateralized by various types of commercial, multifamily rental, and mixed-use properties, 16 are classified as re-performing mortgage transactions, and one is classified as RMBS backed by seasoned mortgages. Of the 246 classes reviewed, Morningstar DBRS upgraded its credit ratings on 44 classes and confirmed its credit ratings on 202 classes. The Affected Ratings are available at https://bit.ly/44cEobo The Issuers are: CSMC 2018-RPL9 Trust CSMC 2019-RPL1 Trust CSMC Trust 2017-RPL1 Citigroup Mortgage Loan Trust 2015-RP2 Velocity Commercial Capital Loan Trust 2022-5 Velocity Commercial Capital Loan Trust 2022-2 Velocity Commercial Capital Loan Trust 2024-2 Velocity Commercial Capital Loan Trust 2021-1 Velocity Commercial Capital Loan Trust 2024-3 Velocity Commercial Capital Loan Trust 2022-3 Citigroup Mortgage Loan Trust 2024-RP1 Citigroup Mortgage Loan Trust 2018-RP2 Citigroup Mortgage Loan Trust 2019-RP1 Citigroup Mortgage Loan Trust 2022-RP1 Citigroup Mortgage Loan Trust 2021-RP3 Citigroup Mortgage Loan Trust 2021-RP2 Citigroup Mortgage Loan Trust 2018-RP1 New Residential Mortgage Loan Trust 2023-1 New Residential Mortgage Loan Trust 2019-RPL3 New Residential Mortgage Loan Trust 2020-RPL1 New Residential Mortgage Loan Trust 2018-RPL1 New Residential Mortgage Loan Trust 2019-RPL2 Citigroup Mortgage Loan Trust 2018-RP3 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2024 Update" published on December 19, 2024 (https://dbrs.morningstar.com/research/444924). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024 (https://dbrs.morningstar.com/research/435291), "North American CMBS Surveillance Methodology," published on February 28, 2025 (https://dbrs.morningstar.com/research/448963), and/or "Morningstar DBRS Master U.S. ABS Surveillance," published on January 10, 2025 (https://dbrs.morningstar.com/research/445740). Notes: All figures are in U.S. dollars unless otherwise noted. [] DBRS Reviews 39 Classes From 9 US RMBS Transactions ------------------------------------------------------ DBRS, Inc. reviewed 39 classes from nine U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed transactions are classified as legacy RMBS. Morningstar DBRS confirmed its credit ratings on 39 classes. The Affected Ratings are available at https://bit.ly/3Ei8eRb The Issuers are: C-BASS 2006-MH1 Trust Terwin Mortgage Trust 2005-5SL Terwin Mortgage Trust 2004-16SL Terwin Mortgage Trust 2004-18SL Terwin Mortgage Trust 2005-13SL Structured Asset Securities Corporation Mortgage Loan Trust 2006-ARS1 Greenpoint Mortgage Funding Trust 2005-HE4 SunTrust Acquisition Closed-End Seconds Trust, Series 2007-1 MASTR Specialized Loan Trust 2007-1 CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2024 Update" published on December 19, 2024 (https://dbrs.morningstar.com/research/444924). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. [] Moody's Upgrades Ratings on 112 Bonds From 16 US RMBS Deals -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 112 bonds from 16 US residential mortgage-backed transactions (RMBS). CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-37R is backed by underlying certificates, which are backed by Alt-A mortgages. The collateral backing the remaining 15 deals consists of Alt-A and option ARM mortgages. 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-IM1 Cl. A-1, Upgraded to Caa1 (sf); previously on May 6, 2019 Upgraded to Caa2 (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on May 6, 2019 Upgraded to Ca (sf) Cl. A-6, Upgraded to Caa2 (sf); previously on May 6, 2019 Upgraded to Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-86CB Cl. A-4, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. A-8, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. A-10, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-12, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-12CB Cl. A-1, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. A-6, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. A-10, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. A-11, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-13T1 Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-11, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-13, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-15, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-16, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-17*, Upgraded to Caa1 (sf); previously on Oct 27, 2017 Confirmed at Ca (sf) Cl. A-20, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-14CB Cl. A-1, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. A-3*, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. A-7, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. A-9*, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-2CB Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 19, 2016 Confirmed at Ca (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Sep 19, 2016 Confirmed at Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Sep 19, 2016 Confirmed at Ca (sf) Cl. A-5*, Upgraded to Caa2 (sf); previously on Sep 19, 2016 Confirmed at Ca (sf) Cl. A-11, Upgraded to Caa3 (sf); previously on Sep 19, 2016 Confirmed at Ca (sf) Cl. A-13, Upgraded to Caa3 (sf); previously on Sep 19, 2016 Confirmed at Ca (sf) Cl. A-14, Upgraded to Caa2 (sf); previously on Sep 19, 2016 Confirmed at Ca (sf) Cl. PO, Upgraded to Caa3 (sf); previously on Sep 19, 2016 Confirmed at Ca (sf) Cl. X*, Upgraded to Caa3 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-37R Cl. A-1, Upgraded to Caa2 (sf); previously on Jun 4, 2019 Affirmed Ca (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Jun 4, 2019 Affirmed Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-4CB Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-A-3, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-A-4*, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-A-6, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Caa3 (sf) Cl. 2-A-2, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Caa3 (sf) Cl. 2-A-3, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Caa3 (sf) Cl. 2-A-4, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Caa3 (sf) Cl. 2-A-5, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Caa3 (sf) Cl. 2-A-6, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Caa3 (sf) Cl. 2-X*, Upgraded to Caa1 (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-5T2 Cl. A-1, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. A-2*, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. A-7, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. PO, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-6CB Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. 1-A-2, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. 1-A-3*, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. 1-A-4, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. 1-A-5, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. 1-A-6, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. 1-A-7*, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. 1-A-8, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. 1-A-10, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. 1-X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Cl. 2-A-1, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Confirmed at Ca (sf) Cl. 2-A-2*, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Confirmed at Ca (sf) Cl. 2-A-5, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Ca (sf) Cl. 2-A-6, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Ca (sf) Cl. 2-A-7, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Ca (sf) Cl. 2-A-8*, Upgraded to Caa2 (sf); previously on Oct 27, 2017 Confirmed at Ca (sf) Cl. 2-A-10, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Confirmed at Ca (sf) Cl. 2-A-11, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Confirmed at Ca (sf) Cl. 2-A-13, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Ca (sf) Cl. 2-A-14*, Upgraded to Caa2 (sf); previously on Oct 27, 2017 Confirmed at Ca (sf) Cl. 2-A-15, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Ca (sf) Cl. 2-X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-J2 Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-2*, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-5*, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-7, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-8, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-10, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR5 Cl. 1-A-1, Upgraded to Caa2 (sf); previously on Oct 12, 2010 Downgraded to Caa3 (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Oct 12, 2010 Downgraded to Caa3 (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR6 Cl. 1-A-1A, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Confirmed at Caa3 (sf) Cl. 2-A-1A, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Confirmed at Caa2 (sf) Issuer: Lehman XS Trust Series 2005-10 Cl. 2-A4A, Upgraded to Caa3 (sf); previously on Sep 3, 2010 Downgraded to Ca (sf) Cl. 2-A5A, Upgraded to Caa1 (sf); previously on Sep 3, 2010 Downgraded to Caa2 (sf) Issuer: Lehman XS Trust Series 2006-4N Cl. A1-D1, Upgraded to Caa3 (sf); previously on Oct 22, 2010 Downgraded to C (sf) Cl. A2-A, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Ca (sf) Cl. A3-A, Upgraded to Caa2 (sf); previously on Oct 22, 2010 Downgraded to Ca (sf) Issuer: Lehman XS Trust Series 2006-5 Cl. 1-A1A, Upgraded to Caa1 (sf); previously on Feb 10, 2011 Downgraded to Caa3 (sf) Cl. 2-A3, Upgraded to Caa3 (sf); previously on Feb 10, 2011 Downgraded to Ca (sf) Cl. 2-A4A, Upgraded to Caa1 (sf); previously on Feb 10, 2011 Downgraded to Caa3 (sf) * Reflects Interest-Only Classes 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 expectations 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 on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all deals except CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-37R and interest-only classes 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. 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 17 Bonds From 10 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 17 bonds from 10 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: Homebanc Mortgage Trust 2007-1 Cl. I-1A-1, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Caa3 (sf) Cl. I-2A-1, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Ca (sf) Cl. I-3A-1, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Caa3 (sf) Issuer: IXIS Real Estate Capital Trust 2005-HE4 Cl. M-2, Upgraded to Ca (sf); previously on Aug 2, 2010 Downgraded to C (sf) Issuer: Luminent Mortgage Trust 2006-2 Cl. A1A, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Issuer: Luminent Mortgage Trust 2006-7 Cl. II-A-1, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa2 (sf) Cl. II-A-2, Upgraded to Ca (sf); previously on Dec 14, 2010 Downgraded to C (sf) Issuer: Luminent Mortgage Trust 2007-1 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Cl. II-A-1, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Issuer: Luminent Mortgage Trust 2007-2 Cl. I-A-2, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Cl. I-A-4, Upgraded to Caa2 (sf); previously on Dec 14, 2010 Downgraded to Ca (sf) Issuer: Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR4 Cl. A-1, Upgraded to Caa2 (sf); previously on Dec 9, 2010 Downgraded to Caa3 (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2005-AR1 Cl. M-2, Upgraded to Caa3 (sf); previously on Apr 27, 2017 Upgraded to Ca (sf) Issuer: Merrill Lynch Mortgage Investors, Inc. Series 2002-AFC1 Cl. BF-1, Upgraded to Ca (sf); previously on Apr 9, 2012 Downgraded to C (sf) Cl. BV-1, Upgraded to Caa3 (sf); previously on Jun 5, 2018 Upgraded to Ca (sf) Issuer: New Century Alternative Mortgage Loan Trust 2006-ALT1 Cl. AF-2, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Cl. AF-6, Upgraded to Caa2 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (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 expectations 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 Upgrades Ratings on 26 Bonds From 9 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 26 bonds from nine US residential mortgage-backed transactions (RMBS), backed by Alt-A 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: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2006-AR4 Cl. A-1A, Upgraded to Caa2 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Cl. A-4A, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2006-WF1 Cl. A-2, Upgraded to Caa1 (sf); previously on Apr 18, 2013 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Cl. A-6, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2007-2 Cl. A-1A, Upgraded to Caa2 (sf); previously on Sep 2, 2010 Downgraded to Caa3 (sf) Cl. A-1B, Upgraded to Caa2 (sf); previously on Jul 31, 2013 Upgraded to Caa3 (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2007-3 Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-3, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-4, Upgraded to Caa2 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Nomura Home Equity Loan Trust 2006-FM2 Cl. I-A-1, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. II-A-1, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Issuer: Nomura Home Equity Loan Trust 2006-HE1 Cl. M-2, Upgraded to Caa1 (sf); previously on May 9, 2018 Upgraded to Caa3 (sf) Issuer: Nomura Home Equity Loan, Inc. Home Equity Loan Trust, Series 2006-AF1 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Issuer: Nomura Home Equity Loan, Inc. Home Equity Loan Trust, Series 2007-1 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Issuer: Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-3 Cl. I-A-1, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. II-A-1, Upgraded to Caa2 (sf); previously on Aug 13, 2010 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 expectations 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 Upgrades Ratings on 27 Bonds From 2 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded 27 ratings from 25 bonds from two US residential mortgage-backed transactions (RMBS), backed by option ARM 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: HarborView Mortgage Loan Trust 2005-11 Cl. 1-A-1B, Upgraded to Caa1 (sf); previously on Nov 8, 2012 Downgraded to C (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to C (sf) Financial Guarantor: Syncora Guarantee Inc. (Insured Rating Withdrawn Nov 08, 2012) Cl. 2-A-1C, Upgraded to Caa1 (sf); previously on Nov 8, 2012 Downgraded to C (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to C (sf) Financial Guarantor: Syncora Guarantee Inc. (Insured Rating Withdrawn Nov 08, 2012) Cl. PO, Upgraded to Ca (sf); previously on Dec 5, 2010 Downgraded to C (sf) Issuer: Lehman XS Trust Series 2007-15N Cl. 1-A2, Upgraded to Caa3 (sf); previously on Oct 22, 2010 Downgraded to C (sf) Cl. 2-A1, Upgraded to Caa1 (sf); previously on Dec 22, 2016 Upgraded to Caa2 (sf) Cl. 2-A2, Upgraded to Caa3 (sf); previously on Oct 22, 2010 Downgraded to C (sf) Cl. 3-A1, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 4-A1, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 4-A1A, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 4-A1B, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 4-A1C, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 4-A1D, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 4-A1E, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 4-A1F, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 4-A1G, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 4-A1H, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 4-A1IA*, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 4-A1IB*, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 4-A1IC*, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 4-A1ID*, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 4-A1IE*, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 4-A1IF*, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 4-A1IG*, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 4-A1IH*, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. AF2, Upgraded to Caa3 (sf); previously on Jun 17, 2024 Upgraded to Ca (sf) * Reflects Interest-Only Classes 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 P&I 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 expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. Moody's analysis also considered the relationship of exchangeable bonds to the bond(s) they could be exchanged for. 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 Methodologies The principal methodology used in rating all classes except interest-only classes 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. 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 42 Bonds From 10 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 42 bonds from 10 US residential mortgage-backed transactions (RMBS). Freddie Mac Whole Loan Securities Trust, Series 2016-SC01, Freddie Mac Whole Loan Securities, Series 2016-SC02, Freddie Mac Whole Loan Securities Trust, Series 2017-SC01, Freddie Mac Whole Loan Securities Trust, Series 2017-SC02, and OBX 2021-J1 Trust are backed by prime jumbo and agency eligible mortgage loans. OBX 2022-INV1 Trust, OBX 2022-INV2 Trust, OBX 2022-INV5 Trust, Citigroup Mortgage Loan Trust 2024-INV2, and RCKT Mortgage Trust 2024-INV1 are backed by almost entirely agency eligible investor (INV) mortgage loans. 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: Citigroup Mortgage Loan Trust 2024-INV2 Cl. B-1, Upgraded to Aa2 (sf); previously on Jun 12, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jun 12, 2024 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Jun 12, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Jun 12, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Jun 12, 2024 Definitive Rating Assigned B3 (sf) Issuer: Freddie Mac Whole Loan Securities Trust, Series 2016-SC01 Cl. M-2, Upgraded to Aaa (sf); previously on Jun 4, 2024 Upgraded to Aa1 (sf) Issuer: Freddie Mac Whole Loan Securities Trust, Series 2017-SC01 Cl. M-2, Upgraded to Aa2 (sf); previously on Jun 4, 2024 Upgraded to Aa3 (sf) Issuer: Freddie Mac Whole Loan Securities Trust, Series 2017-SC02 Cl. M-1, Upgraded to Aaa (sf); previously on Jun 13, 2023 Upgraded to Aa1 (sf) Cl. M-2, Upgraded to Aa2 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Issuer: Freddie Mac Whole Loan Securities, Series 2016-SC02 Cl. M-2, Upgraded to Aaa (sf); previously on Jun 4, 2024 Upgraded to Aa3 (sf) Issuer: OBX 2021-J1 Trust Cl. B-2, Upgraded to Aa3 (sf); previously on Jun 28, 2024 Upgraded to A1 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Jun 28, 2024 Upgraded to A1 (sf) Cl. B-IO2*, Upgraded to Aa3 (sf); previously on Jun 28, 2024 Upgraded to A1 (sf) Issuer: OBX 2022-INV1 Trust Cl. B-3, Upgraded to A2 (sf); previously on Jun 28, 2024 Upgraded to A3 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Jun 28, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jun 28, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jun 28, 2024 Upgraded to Ba3 (sf) Cl. B-IO3*, Upgraded to A2 (sf); previously on Jun 28, 2024 Upgraded to A3 (sf) Issuer: OBX 2022-INV2 Trust Cl. B-1, Upgraded to Aa1 (sf); previously on Jun 28, 2024 Upgraded to Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Jun 28, 2024 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jun 28, 2024 Upgraded to A3 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Jun 28, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jun 28, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jun 28, 2024 Upgraded to Ba3 (sf) Cl. B-IO1*, Upgraded to Aa1 (sf); previously on Jun 28, 2024 Upgraded to Aa2 (sf) Cl. B-IO3*, Upgraded to A2 (sf); previously on Jun 28, 2024 Upgraded to A3 (sf) Issuer: OBX 2022-INV5 Trust Cl. A-13, Upgraded to Aaa (sf); previously on Nov 22, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-14, Upgraded to Aaa (sf); previously on Nov 22, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO14*, Upgraded to Aaa (sf); previously on Nov 22, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jun 28, 2024 Upgraded to A1 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Jun 28, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jun 28, 2024 Upgraded to Baa1 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Jun 28, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jun 28, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Jun 28, 2024 Upgraded to B2 (sf) Cl. B-IO2*, Upgraded to Aa3 (sf); previously on Jun 28, 2024 Upgraded to A1 (sf) Cl. B-IO3*, Upgraded to A3 (sf); previously on Jun 28, 2024 Upgraded to Baa1 (sf) Issuer: RCKT Mortgage Trust 2024-INV1 Cl. B-2, Upgraded to A2 (sf); previously on Jun 20, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2A, Upgraded to A2 (sf); previously on Jun 20, 2024 Definitive Rating Assigned A3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Jun 20, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Jun 20, 2024 Definitive Rating Assigned B3 (sf) Cl. B-X-2*, Upgraded to A2 (sf); previously on Jun 20, 2024 Definitive Rating Assigned A3 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. The transactions continue to display strong collateral performance, with cumulative losses for each transaction under .01% and a small number of loans in delinquencies. In addition, enhancement levels for the tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 2.7x for the non-exchangeable tranches upgraded. Moody’s analysis also considered the existence of historical interest shortfalls for some of the bonds. While all shortfalls have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the remaining rated classes in these deals because their expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies 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 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. 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 42 Bonds From 13 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 42 bonds from 13 US residential mortgage-backed transactions (RMBS), backed by Subprime and Alt-A mortgages issued by MASTR. 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: MASTR Adjustable Rate Mortgages Trust 2007-HF1 Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to Caa3 (sf) Issuer: MASTR Asset Backed Securities Trust 2005-NC2 Cl. A-3, Upgraded to Caa1 (sf); previously on Jan 9, 2013 Downgraded to Caa3 (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Caa3 (sf) Issuer: MASTR Asset Backed Securities Trust 2006-HE2 Cl. A-2, Upgraded to Caa1 (sf); previously on Aug 28, 2014 Reinstated to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2006-HE3 Cl. A-2, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2006-HE4 Cl. A-1, Upgraded to Caa1 (sf); previously on Jan 9, 2013 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2006-HE5 Cl. A-2, Upgraded to Caa2 (sf); previously on Jan 9, 2013 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2006-NC2 Cl. A-1, Upgraded to Caa1 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2006-NC3 Cl. A-1, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Jun 24, 2011 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2006-WMC1 Cl. A-3, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2006-WMC2 Cl. A-1, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on May 5, 2010 Confirmed at Ca (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on May 5, 2010 Confirmed at Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2006-WMC3 Cl. A-1, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on May 5, 2010 Confirmed at Ca (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on May 5, 2010 Confirmed at Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2006-WMC4 Cl. A-1, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2007-WMC1 Cl. A-1, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on May 5, 2010 Confirmed at Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on May 5, 2010 Confirmed at Ca (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on May 5, 2010 Confirmed at 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 expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No action was taken on the other rated classes in these deals because their expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. 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 46 Bonds From 13 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 46 bonds from 13 US residential mortgage-backed transactions (RMBS), backed by Alt-A, jumbo, 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: GSR Mortgage Loan Trust 2006-8F Cl. 3A-3, Upgraded to Caa1 (sf); previously on Jan 10, 2013 Downgraded to Caa2 (sf) Cl. 3A-5, Upgraded to Caa1 (sf); previously on Jan 10, 2013 Downgraded to Caa2 (sf) Cl. 3A-6, Upgraded to Caa1 (sf); previously on Oct 27, 2014 Downgraded to Caa2 (sf) Cl. 3A-9*, Upgraded to Caa1 (sf); previously on Oct 27, 2014 Downgraded to Caa2 (sf) Cl. 3A-10, Upgraded to Caa1 (sf); previously on Nov 13, 2020 Reinstated to Caa2 (sf) Cl. 3A-11, Upgraded to Caa1 (sf); previously on Oct 27, 2014 Downgraded to Caa2 (sf) Cl. 4A-1, Upgraded to Caa2 (sf); previously on Aug 3, 2012 Downgraded to Caa3 (sf) Cl. 4A-2, Upgraded to Caa1 (sf); previously on Dec 4, 2013 Downgraded to Caa3 (sf) Cl. 4A-7, Upgraded to Caa2 (sf); previously on Aug 3, 2012 Downgraded to Caa3 (sf) Cl. 4A-12, Upgraded to Caa1 (sf); previously on Aug 3, 2012 Downgraded to Caa3 (sf) Cl. 4A-13, Upgraded to Caa2 (sf); previously on Aug 3, 2012 Downgraded to Caa3 (sf) Cl. 4A-14, Upgraded to Caa2 (sf); previously on Aug 3, 2012 Downgraded to Caa3 (sf) Cl. 4A-17, Upgraded to Caa2 (sf); previously on Aug 3, 2012 Downgraded to Caa3 (sf) Cl. 4A-18, Upgraded to Caa2 (sf); previously on Aug 3, 2012 Downgraded to Caa3 (sf) Cl. 4A-19, Upgraded to Caa2 (sf); previously on Aug 3, 2012 Downgraded to Caa3 (sf) Cl. 4A-20, Upgraded to Caa2 (sf); previously on Aug 3, 2012 Downgraded to Caa3 (sf) Cl. 5A-1, Upgraded to Caa2 (sf); previously on Aug 3, 2012 Downgraded to Ca (sf) Cl. 5A-2*, Upgraded to Caa2 (sf); previously on Aug 3, 2012 Downgraded to Ca (sf) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2006-1 Cl. 1-A-2B, Upgraded to Caa2 (sf); previously on Jul 22, 2010 Upgraded to Caa3 (sf) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2006-2 Cl. 1-A1-1, Upgraded to Caa2 (sf); previously on Jul 22, 2010 Confirmed at Caa3 (sf) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2006-3 Cl. A-1, Upgraded to Caa1 (sf); previously on Mar 5, 2013 Affirmed Caa3 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 5, 2013 Affirmed Caa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2006-4 Cl. A-1, Upgraded to Caa2 (sf); previously on Mar 5, 2013 Confirmed at Caa3 (sf) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2007-1 Cl. A-3, Upgraded to Caa3 (sf); previously on Mar 5, 2013 Confirmed at Ca (sf) Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2006-E Cl. 1A-1, Upgraded to Caa2 (sf); previously on Sep 15, 2010 Downgraded to Ca (sf) Cl. 1A-2, Upgraded to Caa2 (sf); previously on Sep 15, 2010 Downgraded to Ca (sf) Cl. 2A-2, Upgraded to Caa1 (sf); previously on Sep 15, 2010 Downgraded to Caa3 (sf) Cl. 2A-3, Upgraded to Caa2 (sf); previously on Sep 15, 2010 Confirmed at Ca (sf) Cl. 2A-4, Upgraded to Caa2 (sf); previously on Sep 15, 2010 Confirmed at Ca (sf) Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2007-A Cl. 1A, Upgraded to Caa1 (sf); previously on Sep 15, 2010 Downgraded to Caa3 (sf) Cl. 2A-2, Upgraded to Caa2 (sf); previously on May 20, 2015 Downgraded to Ca (sf) Cl. 2A-3, Upgraded to Caa3 (sf); previously on Sep 15, 2010 Downgraded to Ca (sf) Cl. 2A-4A, Upgraded to Caa1 (sf); previously on Sep 15, 2010 Downgraded to Ca (sf) Issuer: Nomura Asset Acceptance Corporation Alternative Loan Trust, Series 2005-AP3 Cl. A-2, Upgraded to Caa1 (sf); previously on Sep 14, 2015 Downgraded to Caa3 (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Jul 12, 2010 Downgraded to Caa3 (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AP1 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Jul 12, 2010 Downgraded to Caa2 (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2006-AF1 Cl. I-A-1A, Upgraded to Caa1 (sf); previously on Apr 18, 2013 Downgraded to Ca (sf) Cl. I-A-1B, Upgraded to Caa1 (sf); previously on Apr 18, 2013 Downgraded to Ca (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2006-AF2 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Cl. I-A-2, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Cl. I-A-3, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Cl. I-A-4, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Cl. I-A-5, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Cl. I-A-6, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Issuer: GSMSC Pass-Through Trust 2008-2R Cl. 1A-1, Upgraded to Caa2 (sf); previously on Jun 4, 2019 Affirmed Ca (sf) Cl. 2A-1, Upgraded to Caa2 (sf); previously on Feb 22, 2013 Downgraded to Caa3 (sf) *Reflects Interest-Only Classes. 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 expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. In addition, the rating actions on the bonds from the resecuritization transaction, GSMSC Pass-Through Trust 2008-2R, reflect the rating actions on the bonds underlying that transaction. 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 Methodologies The principal methodology used in rating all deals except GSMSC Pass-Through Trust 2008-2R and interest-only classes 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. 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 58 Bonds From 9 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 58 bonds from nine US residential mortgage-backed transactions (RMBS), backed by prime jumbo mortgages issued by Residential Funding Mortgage Securities I, Inc. 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: RFMSI Series 2006-S5 Trust Cl. A-1, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-2*, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-5, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-14, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-15, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-16, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-P, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-V*, Upgraded to Caa1 (sf); previously on Oct 27, 2017 Confirmed at Caa2 (sf) Issuer: RFMSI Series 2006-S6 Trust Cl. A-1, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-9, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-10, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-12, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-13, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-15, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-P, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-V*, Upgraded to Caa1 (sf); previously on Oct 27, 2017 Confirmed at Caa2 (sf) Issuer: RFMSI Series 2006-S7 Trust Cl. A-1, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-2*, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-P, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Issuer: RFMSI Series 2006-S8 Trust Cl. A-1, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-3*, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-4*, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-7, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-10, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-11, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-12*, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-13, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-14, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-15, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-P, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Issuer: RFMSI Series 2006-S9 Trust Cl. A-3, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-8, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-9*, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-10, Upgraded to Caa1 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Cl. A-V*, Upgraded to Caa1 (sf); previously on Oct 27, 2017 Confirmed at Caa2 (sf) Issuer: RFMSI Series 2007-S1 Trust Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) Cl. A-2*, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) Cl. A-5, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-10, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) Cl. A-12, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) Cl. A-15, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-P, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Issuer: RFMSI Series 2007-S2 Trust Cl. A-6, Upgraded to Caa1 (sf); previously on May 26, 2015 Downgraded to Caa2 (sf) Issuer: RFMSI Series 2007-S5 Trust Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-P, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Issuer: RFMSI Series 2007-S6 Trust Cl. I-A-6, Upgraded to Caa1 (sf); previously on Aug 30, 2012 Downgraded to Caa2 (sf) Cl. I-A-13*, Upgraded to Caa1 (sf); previously on Aug 30, 2012 Downgraded to Caa2 (sf) Cl. I-A-17, Upgraded to Caa1 (sf); previously on Aug 30, 2012 Downgraded to Caa2 (sf) Cl. II-A-5, Upgraded to Caa1 (sf); previously on Aug 30, 2012 Downgraded to Caa2 (sf) Cl. II-A-7*, Upgraded to Caa1 (sf); previously on Aug 30, 2012 Downgraded to Caa2 (sf) Cl. II-A-10, Upgraded to Caa1 (sf); previously on Aug 30, 2012 Downgraded to Caa2 (sf) *Reflects Interest-Only Classes. 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. Some of the bonds experiencing a rating change have 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 expectations 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 rating all classes except interest-only classes 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. 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 7 Bonds From 4 US RMBS Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of seven bonds from four 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 has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Irwin Home Equity Loan Trust 2006-1 Cl. IIA-3, Upgraded to A1 (sf); previously on Jul 16, 2024 Upgraded to Baa2 (sf) Cl. IIA-4, Upgraded to A1 (sf); previously on Jul 16, 2024 Upgraded to Baa2 (sf) Issuer: Irwin Home Equity Loan Trust 2006-3 Cl. II-A-3, Upgraded to A2 (sf); previously on Jul 29, 2024 Upgraded to Ba1 (sf) Cl. II-A-4, Upgraded to A2 (sf); previously on Jul 29, 2024 Upgraded to Ba1 (sf) Issuer: Irwin Home Equity Loan Trust 2007-1 Cl. IIA-3, Upgraded to A1 (sf); previously on Jul 29, 2024 Upgraded to Baa3 (sf) Cl. IIA-4, Upgraded to A1 (sf); previously on Jul 29, 2024 Upgraded to Baa3 (sf) Issuer: Terwin Mortgage Trust 2006-10SL Cl. A-1, Underlying Rating: Upgraded to Caa3 (sf); previously on Oct 20, 2010 Downgraded to C (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook stable on Jul, 2024) 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. Irwin Home Equity Loan Trust transactions continue to display strong collateral performance. Credit enhancement levels, since closing has grown, on average, 38% for the tranches upgraded. The remaining bond 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 expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No action was taken on the other rated class in these deals because its expected loss remains commensurate with its current rating, 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. [] S&P Takes Various Actions on 174 Classes From 29 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 174 classes from 29 U.S. RMBS transactions issued between 2020 and 2024. The review included 144 ratings that were placed under criteria observation (UCO) on Feb. 21, 2025, following changes in its U.S. RMBS methodology. The 'AAA (sf)' ratings associated with these transactions were not placed UCO. The review yielded 102 upgrades and 72 affirmations. S&P also removed 144 ratings from UCO. A list of Affected Ratings can be viewed at: https://tinyurl.com/3j23rwv3 Analytical Considerations S&P said, "Based on our updated criteria, we performed a credit analysis for each mortgage pool using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate with each rating level, after which we applied our cash flow stresses where relevant. We applied adjustments at the loan and pool levels when warranted, including a reduction in the pool-level representation and warranty (R&W) loss coverage adjustment factor in certain instances, based on the updated criteria's regrouping of the specific considerations that determine the factor. Specifically, for the R&W, greater emphasis is given to mitigants such as third-party due diligence, our assessment of the aggregation quality and/or origination process, and the diversification of contributing originators. We also applied the same mortgage operational assessment and due diligence factors that were applied at deal issuance." S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. They include: -- Collateral performance/delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Expected duration; and -- Available subordination, credit enhancement floors, and/or excess spread (where available). Rating Actions S&P said, "The upgrades primarily reflect the application of our updated criteria and incorporate continued deleveraging since the respective transactions benefit from low accumulated losses to date and a growing percentage of credit support to the rated classes. The ratings list provides more detail on the classes with rating transitions that supplement the application of the updated U.S. RMBS criteria as the primary driver of the changes. "The affirmations reflect our projected credit support on these classes, which we believe are sufficient to cover our projected losses for those rating scenarios." [] S&P Takes Various Actions on 180 Classes From 28 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 180 classes from 28 U.S. RMBS transactions issued between 2019 and 2024. The review included 144 ratings that were placed under criteria observation (UCO) on Feb. 21, 2025, following changes in our U.S. RMBS methodology. The 'AAA (sf)' ratings associated with these transactions were not placed UCO. The review yielded 91 upgrades and 89 affirmations. S&P also removed 144 ratings from UCO. A list of Affected Rating can be viewed at: https://tinyurl.com/ybh6avcd Analytical Considerations S&P said, "Based on our updated criteria, we performed a credit analysis for each mortgage pool using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate with each rating level, after which we applied our cash flow stresses where relevant. We applied adjustments at the loan and pool levels when warranted, including a reduction in the pool-level representation and warranty (R&W) loss coverage adjustment factor in certain instances, based on the updated criteria's regrouping of the specific considerations that determine the factor. Specifically, for the R&W, greater emphasis is given to mitigants such as third-party due diligence, our assessment of the aggregation quality and/or origination process, and the diversification of contributing originators. We also applied the same mortgage operational assessment and due diligence factors that were applied at deal issuance. "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." They include: -- Collateral performance/delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Expected duration; and -- Available subordination, credit enhancement floors, and/or excess spread (where available). Rating Actions S&P said, "The upgrades primarily reflect the application of our updated criteria and incorporate continued deleveraging since the respective transactions benefit from low accumulated losses to date and a growing percentage of credit support to the rated classes. The ratings list provides more detail on the classes with rating transitions that supplement the application of the updated U.S. RMBS criteria as the primary driver of the changes. "The affirmations reflect our projected credit support on these classes, which we believe are sufficient to cover our projected losses for those rating scenarios." ********* 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. 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