/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/250427.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 27, 2025, Vol. 29, No. 116 Headlines ABPCI DIRECT XII: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ALLEGRO CLO XIX: S&P Assigns BB- (sf) Rating on Class E Notes ANTARES CLO 2017-2: S&P Assigns BB- (sf) Rating on Cl. E-RR Notes ARINI US CLO I: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes AUDAX SENIOR 7: S&P Assigns BB-(sf) Rating on Class E-R Notes BALBOA BAY 2022-1: S&P Assigns BB- (sf) Rating on Class E-R Notes BBCMS MORTGAGE 2025-5C34: Fitch Gives B-(EXP) Rating on G-RR Certs BENEFIT STREET VIII: S&P Lowers Class D-R Notes Rating to 'B (sf)' BENEFIT STREET XXXI: S&P Assigns Prelim 'BB-' Rating on E-R Notes BLACKROCK RAINIER VI: S&P Assigns BB- (sf) Rating on E-R Notes BMO 2025-5C10: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches CITIGROUP 2014-GC21: Moody's Lowers Rating on 2 Tranches to Ba1 CITIGROUP 2018-B2: Fitch Lowers Rating on Two Tranches to 'Bsf' CITIGROUP 2025-RP2: Fitch Assigns B(EXP)sf Rating on Cl. B-2 Notes CITIGROUP 2025-RP2: Fitch Assigns Bsf Rating on Cl. B-2 Notes COLT 2025-4: S&P Assigns B (sf) Rating on Class B-2 Certificates COMM 2016-COR1: Fitch Lowers Rating on Class C Notes to 'BB-sf' COOPR RESIDENTIAL 2025-CES1: Fitch Gives B(EXP) Rating on B-2 Certs CRB SECURITIZATION 2023-1: S&P Lowers D Notes Rating to 'B (sf)' CSAIL 2017-C8: DBRS Confirms CCC Rating on 3 Cert. Classes CWABS 2006-18: Moody's Ups Rating on Cl. M-1 Certs to Caa3 DIAMETER CAPITAL 10: S&P Assigns Prelim BB- (sf) Rating on E Notes DRYDEN 30: S&P Lowers Class F-R Notes Rating to 'CCC+ (sf)' ELMWOOD CLO 40: S&P Assigns B- (sf) Rating on Class F Notes EXETER SELECT 2025-1: S&P Assigns BB (sf) Rating on Class E Notes GALAXY 35 CLO: S&P Assigns BB- (sf) Rating on Class E Notes GS MORTGAGE 2021-INV1: Moody's Ups Rating on Cl. B-5 Certs to Ba2 GS MORTGAGE 2025-800D: DBRS Finalizes BB(low) Rating on C Certs HARVEST US 2025-1: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes JP MORGAN 2025-DSC1: S&P Assigns Prelim 'B-' Rating on B-2 Certs JPMBB COMMERCIAL 2015-C29: DBRS Cuts Rating on 2 Cert. Classes to D JPMBB COMMERCIAL 2015-C32: Moody's Cuts Rating on 2 Tranches to B1 MAGNETITE XLV: Fitch Assigns BB+sf Rating on Class E Notes MELLO WAREHOUSE 2025-1: DBRS Finalizes B Rating on 2 Classes MENLO CLO II: S&P Assigns Prelim B- (sf) Rating on Class F Notes MORGAN STANLEY 2015-UBS8: DBRS Confirms C Rating on F Certs MORGAN STANLEY 2024-INV3: Moody's Ups Rating on Cl. B-5 Certs to B2 MORGAN STANLEY 2025-DSC1: S&P Assigns Prelim 'B' on B-2 Certs NALP BUSINESS 2025-1: DBRS Gives Prov. BB Rating on C Notes NASSAU 2022-I: Fitch Affirms 'BB+sf' Rating on Class E Notes NEW MOUNTAIN IV: DBRS Confirms BB(low) Rating on Class D Notes NEW RESIDENTIAL 2017-4: Moody's Raises Rating on 9 Tranches to B1 NGC CLO 2: S&P Assigns BB- (sf) Rating on Class E Notes OCTAGON INVESTMENT 36: Moody's Cuts Rating on $20MM E Notes to B1 PIKES PEAK 18: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes PMT LOAN 2025-INV4: Moody's Assigns B3 Rating to Cl. B-5 Certs PRESTIGE AUTO 2025-1: S&P Assigns Prelim 'BB-' Rating on E Notes PROGRESS RESIDENTIAL 2024-SFR2: DBRS Confirms BB Rating on F Certs PROGRESS RESIDENTIAL 2025-SFR2: DBRS Assigns BB Rating on F1 Certs PRPM 2025-RCF2: DBRS Finalizes BB Rating on Class M-2 Notes PRPM 2025-RPL3: DBRS Gives Prov. BB Rating on Class M-2 Notes PRPM 2025-RPL3: Fitch Assigns 'BB-sf' Final Rating on Cl. M-2 Notes RAD CLO 29: Fitch Assigns 'BB-sf' Final Rating on Class E Notes SILVER POINT 2: Fitch Assigns 'BB-sf' Rating on Class E-R Notes SILVER POINT 2: Moody's Assigns B3 Rating to $312,500 Cl. F-R Notes SYMETRA CLO 2025-1: S&P Assigns BB- (sf) Rating on Class E Notes TOWD POINT 2015-1: Moody's Upgrades Rating on Cl. B Certs to Caa2 TRESTLES CLO V: S&P Assigns BB- (sf) Rating on Class E-R Notes VELOCITY COMMERCIAL 2025-2: DBRS Finalizes B Rating on 3 Classes VERUS SECURITIZATION 2025-3: S&P Assigns B+ (sf) on B-2 Notes WELLS FARGO 2017-SMP: Moody's Lowers Rating on Cl. C Certs to B3 WELLS FARGO 2018-C44: DBRS Confirms CCC Rating on F-RR Certs WELLS FARGO 2025-DWHP: S&P Assigns B- (sf) Rating on Class F Certs WHITEBOX CLO IV: S&P Assigns Prelim BB- (sf) Rating on E-R Notes WOODMONT 2018-4: S&P Assigns BB- (sf) Rating on Class E-RR Notes WOODMONT 2023-11: S&P Assigns BB- (sf) Rating on Class E-R Notes [] Moody's Takes Action on 12 Bonds From 3 US RMBS Deals [] Moody's Upgrades Ratings on 16 Bonds From 3 US RMBS Deals [] Moody's Upgrades Ratings on 16 Bonds from 6 US RMBS Deals [] Moody's Upgrades Ratings on 25 Bonds From 3 US RMBS Deals [] Moody's Upgrades Ratings on 25 Bonds From 7 US RMBS Deals [] Moody's Upgrades Ratings on 29 Bonds From 9 US RMBS Deals [] Moody's Upgrades Ratings on 31 Bonds from 12 US RMBS Deals [] Moody's Upgrades Ratings on 44 Bonds From 12 US RMBS Deals [] Moody's Upgrades Ratings on 8 Bonds From 4 US RMBS Deals [] S&P Takes Various Actions on 104 Classes From 40 US RMBS Deals ********* ABPCI DIRECT XII: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement debt from ABPCI Direct Lending Fund CLO XII Ltd./ABPCI Direct Lending Fund CLO XII LLC, a CLO managed by AB Private Credit Investors LLC that was originally issued in March 2023. The preliminary ratings are based on information as of April 21, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the May 29, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt is expected to be issued at lower spreads over three-month SOFR than the respective original debt. -- The replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt is expected to be issued at floating spreads, replacing the current floating-rate tranches. -- The stated maturity and reinvestment period will each be extended by 2.25 years. -- The non-call period will be updated to July 29, 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 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 ABPCI Direct Lending Fund CLO XII Ltd./ ABPCI Direct Lending Fund CLO XII LLC Class A-1-R, $299.04 million: AAA (sf) Class A-2-R, $32.04 million: AAA (sf) Class B-R, $40.05 million: AA (sf) Class C-R (deferrable), $37.38 million: A (sf) Class D-R (deferrable), $29.37 million: BBB- (sf) Class E-R (deferrable), $32.04 million: BB- (sf) Subordinated notes, $62.59 million: Not rated ALLEGRO CLO XIX: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its 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 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 debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. 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: NR NR--Not rated. ANTARES CLO 2017-2: S&P Assigns BB- (sf) Rating on Cl. E-RR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-RR, A-2-RR, B-RR, C-RR, D-RR, and E-RR debt from Antares CLO 2017-2 Ltd./Antares CLO 2017-2 LLC, a CLO managed by Antares Capital Advisers LLC, a subsidiary of Antares Holdings L.P., that was originally issued in December 2017 and underwent a refinancing in October 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 21, 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 replacement class A-1-RR, A-2-RR, B-RR, C-RR, D-RR, and E-RR debt was issued at a lower spread over three-month SOFR than the original debt. -- The replacement class A-1-RR, A-2-RR, B-RR, C-RR, D-RR, and E-RR debt was issued at a floating spread, replacing the current floating spread. -- The replacement class A-1-RR and A-2-RR debt was issued with par subordinations of 44.0% and 38.0%, respectively, replacing the outstanding class A-R debt that had a par subordination of 42.5%. -- The stated maturity date, non-call period, and reinvestment period were extended 3.5 years. -- The deal was upsized from $1.37 billion to $2.00 billion. 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." Ratings Assigned Antares CLO 2017-2 Ltd./Antares CLO 2017-2 LLC Class A-1-RR, $1,090.00 million: AAA (sf) Class A-2-RR, $150.00 million: AAA (sf) Class B-RR, $150.00 million: AA (sf) Class C-RR (deferrable), $140.00 million: A (sf) Class D-RR (deferrable), $110.00 million: BBB- (sf) Class E-RR (deferrable), $120.00 million: BB- (sf) Ratings Withdrawn Antares CLO 2017-2 Ltd./Antares CLO 2017-2 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 Antares CLO 2017-2 Ltd./Antares CLO 2017-2 LLC Subordinated notes, $218.75 million: NR NR--Not rated. ARINI US CLO I: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Arini US CLO I Ltd./Arini US CLO I LLC's floating-rate debt. The debt issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Arini Loan Management US LLC – Management Series, an affiliate of Arini Capital Management Ltd. The preliminary ratings are based on information as of April 22, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Arini US CLO I Ltd./Arini US CLO I LLC Class A, $252.00 million: AAA (sf) Class B, $52.00 million: AA (sf) Class C, $24.00 million: A (sf) Class D (deferrable), $16.00 million: BBB- (sf) Class E (deferrable), $20.00 million: BB- (sf) Subordinated notes, $36.63 million: NR NR--Not rated. AUDAX SENIOR 7: S&P Assigns BB-(sf) Rating on Class E-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class B-R, C-R, D-R, and E-R debt from Audax Senior Debt CLO 7 LLC, a CLO managed by Audax Management Company (NY) LLC that was originally issued in February, 2023. At the same time, S&P withdrew its ratings on the original class B, B-L, C, D, and E debt following payment in full on the April 21, 2025, refinancing date. S&P also affirmed its ratings on the class A debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 20, 2026. -- No additional assets were purchased on the April 21, 2025 refinancing date, and there was no change to the target initial par amount. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2025. -- No additional subordinated notes were issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class B-R, $63.00 million: Three-month CME term SOFR + 1.95% -- Class C-R (deferrable), $42.00 million: Three-month CME term SOFR + 2.95% -- Class D-R (deferrable), $36.00 million: Three-month CME term SOFR + 4.65% -- Class E-R (deferrable), $33.00 million: Three-month CME term SOFR + 7.50% Original debt -- Class B, $23.00 million: Three-month CME term SOFR + 3.80% -- Class B-L, $40.00 million: Three-month CME term SOFR + 3.80% -- Class C (deferrable), $42.00 million: Three-month CME term SOFR + 4.70% -- Class D (deferrable), $36.00 million: Three-month CME term SOFR + 7.00% -- Class E-R (deferrable), $33.00 million: Three-month CME term SOFR + 8.00% 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 Audax Senior Debt CLO 7 LLC Class B-R, $63.00 million: AA(sf) Class C-R (deferrable), $42.00 million: A(sf) Class D-R (deferrable), $36.00 million: BBB-(sf) Class E-R (deferrable), $33.00 million: BB-(sf) Ratings Withdrawn Audax Senior Debt CLO 7 LLC Class B to NR from 'AA(sf)' Class B-L to NR from 'AA(sf)' Class C (deferrable) to NR from 'A(sf)' Class D (deferrable) to NR from 'BBB-(sf)' Class E (deferrable) to NR from 'BB-(sf)' Ratings Affirmed Audax Senior Debt CLO 7 LLC Class A: AAA(sf) Other Debt Audax Senior Debt CLO 7 LLC Subordinated notes, $92.35 million: NR NR--Not rated. BALBOA BAY 2022-1: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-LR loans and class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and the new class X-R debt from Balboa Bay Loan Funding 2022-1 Ltd./Balboa Bay Loan Funding 2022-1 LLC, a CLO managed by Pacific Investment Management Company LLC that was originally issued in May 2022. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement debt was issued at a lower spread over three-month CME term SOFR than the original debt. -- The original class D debt was replaced by two new classes of debt, D-1-R and D-2-R, which are sequential in payment. -- The new class X-R debt was issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during the first 10 payment dates beginning with the payment date in July 20, 2025. -- The reinvestment period was extended to April 20, 2028. -- The non-call period was extended to April 20, 2026. -- The legal final maturity dates for the replacement debt and the subordinated notes were extended to April 20, 2037. -- The target initial par amount remains at $400 million. There is 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 were amended. -- Additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Balboa Bay Loan Funding 2022-1 Ltd./ Balboa Bay Loan Funding 2022-1 LLC Class X-R, $4.0 million: AAA (sf) Class A-R(i), $175.0 million: AAA (sf) Class A-LR loans(i), $81.0 million: AAA (sf) Class B-R, $48.0 million: AA (sf) Class C-R (deferrable), $24.0 million: A (sf) Class D-1-R (deferrable), $19.0 million: BBB (sf) Class D-2-R (deferrable), $7.0 million: BBB- (sf) Class E-R (deferrable), $12.0 million: BB- (sf) Ratings Withdrawn Balboa Bay Loan Funding 2022-1 Ltd./ Balboa Bay Loan Funding 2022-1 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Balboa Bay Loan Funding 2022-1 Ltd./ Balboa Bay Loan Funding 2022-1 LLC Subordinated notes, $59.6 million(ii): NR (i)No class A-R notes may be converted into class A-LR loans, and no class A-LR loans may be converted into class A-R notes. (ii)Balance includes additional subordinated notes issued on the April 21, 2025, refinancing date. NR--Not rated. BBCMS MORTGAGE 2025-5C34: Fitch Gives B-(EXP) Rating on G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to BBCMS Mortgage Trust 2025-5C34 commercial mortgage pass-through certificates series 2025-5C34 as follows: - $1,329,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $250,000,000a class A-2 'AAA(EXP)sf'; Outlook Stable; - $296,870,000a class A-3 'AAA(EXP)sf'; Outlook Stable; - $548,199,000b class X-A 'AAA(EXP)sf'; Outlook Stable; - $64,609,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $43,072,000 class B 'AA-(EXP)sf'; Outlook Stable; - $33,284,000 class C 'A-(EXP)sf'; Outlook Stable; - $140,965,000bc class X-B 'A-(EXP)sf'; Outlook Stable; - $18,600,000c class D 'BBB(EXP)sf'; Outlook Stable; - $8,810,000c class E 'BBB-(EXP)sf'; Outlook Stable; - $27,410,000bc class X-D 'BBB-(EXP)sf'; Outlook Stable; - $17,621,000c class F 'BB-(EXP)sf'; Outlook Stable; - $17,621,000bc class X-F 'BB-(EXP)sf'; Outlook Stable; - $10,768,000cd class G-RR 'B-(EXP)sf'; Outlook Stable. Fitch does not expect to rate the following class: - $38,178,473cd class H-RR. a) The exact initial certificate balances of class A-2 and A-3 certificates are unknown but expected to be $546,870,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of these classes of certificates. The expected class A-2 balance range is $0 to $250,000,000, and the expected class A-3 balance range is $296,870,000 to $546,870,000. The balance for class A-2 reflects the top point of its range, and the balance for class A-3 reflects the bottom point of its range. In the event the class A-3 certificates are issued at $546,870,000, the class A-2 certificates will not be issued. b) Notional amount and interest only. c) Privately placed pursuant to Rule 144A. d) Horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 37 loans secured by 66 commercial properties having an aggregate principal balance of $748,141,473 as of the cut-off date. The loans were contributed to the trust by Barclays Capital Real Estate Finance Inc, Citi Real Estate Funding Inc., Argentic Real Estate Finance LLC,., UBS, KeyBank National Association, Starwood Mortgage Capital LLC German American Capital Corp.and BSPRT CMBS Finance, LLC. The master servicer is expected to be Trimont LLC and the special servicer is expected to be Argentic Services Company LP. Additionally. KeyBank National Association is expected to act as the master servicer with respect to the 120 Jericho Turnpike,Florissant Marketplace, Metalmaster Way, Shoppes at Westgate and Coeur d'Alene Self Storage and Soho House Chicago mortgage loans pursuant to a primary servicing agreement with the master servicer. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. The transaction is expected to close on May 13, 2025. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 28 loans totaling 91.3% of the pool balance. Fitch's aggregate pool net cash flow (NCF) of $70.6 million represents a 12.8% decline from the issuer's underwritten aggregate pool NCF of approximately $81.0 million. Higher Fitch Leverage: The pool has higher leverage compared to recent five-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 105.1% is worse than the YTD 2025 and 2024 averages of 100.0% and 95.2%, respectively. The pool's Fitch NCF debt yield (DY) of 9.5% is weaker than the YTD 2025 and 2024 averages of 9.7% and 10.2%, respectively. Investment-Grade Credit Opinion Loans: One loan, representing 4.3% of the pool received an investment-grade credit opinion. Uber's headquarters received an investment-grade credit opinion of 'BBBsf*' on a standalone basis. The pool's total credit opinion percentage is lower than both the YTD 2025 average of 11.7% and the 2024 average of 12.6% for Fitch-rated five-year multiborrower transactions. Excluding the credit opinion loan, the pool's Fitch LTV and DY are 106.6% and 8.9%, respectively. These figures reflect worse Fitch Leverage than the YTD 2025 LTV and DY averages of 103.9% and 9.5%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans in the pool comprise 57.9% of the pool, which is lower than the YTD 2025 average of 62.5% and 2024 average of 60.2% for five-year Fitch-rated multiborrower transactions. The resulting effective loan count of 23.5 is higher than the YTD 2025 and 2024 average effective loan count of 22.0 and 22.7, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter Duration Loans: The pool is 100% comprised of loans with five-year terms, whereas standard conduit transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAAsf' / 'AAsf' / 'A-sf' / 'BBBsf' / 'BB+sf' / 'BB-sf' / 'B-sf' / less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade An improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'Asf' / 'BBB+sf' / 'BBBsf' / 'BB+sf' / 'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET VIII: S&P Lowers Class D-R Notes Rating to 'B (sf)' ------------------------------------------------------------------ S&P Global Ratings raised its ratings on the class A-2-R, B-R, and C-R notes from Benefit Street Partners CLO VIII Ltd., a U.S. CLO managed by Benefit Street Partners LLC. S&P also removed the class A-2-R and B-R ratings from CreditWatch, where it placed them with positive implications in March 2025. At the same time, S&P lowered its rating on the class D-R notes and removed it from CreditWatch, where we placed it with negative implications in March 2025. S&P also affirmed its rating on the class A-1A-R notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the Feb. 7, 2025, trustee report. Although the same portfolio backs all the tranches, there can be circumstances such as this one, where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements because it experienced principal paydowns (which increased the senior credit support) and faced principal losses, increase in defaults, and decline in credit quality, which decreased the junior credit support. The transaction has paid down $246.48 million in paydowns to the class A-1A-R notes since our Oct. 25, 2021, rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios to the senior tranches since the July 8, 2021, trustee report, which S&P used for its previous rating actions. Although senior tranches saw an increase in O/C levels, the junior O/C decreased because of the transaction's increased concentration levels of collateral obligations with ratings in the 'CCC' category: -- The class A O/C ratio improved to 165.14% from 131.35%. -- The class B O/C ratio improved to 132.95% from 119.37%. -- The class C O/C ratio improved to 115.11% from 111.30%. -- The class D O/C ratio decreased to 105.44% from 106.38%. S&P said, "Though O/Cs have improved for the senior classes, the collateral portfolio credit quality has decreased since our last rating actions and is now more concentrated. As a result, even though the trustee report indicates that the dollar value of the collateral obligations with the ratings in the 'CCC' category has remained about the same, their exposure as a percentage of the portfolio now stands at 12.8%, compared to 7.1% in the last rating action. As a result, the current exposure of the collateral obligations with ratings in the 'CCC' category is now in excess of the maximum allowed by the documents. Due to this, the trustee, as per the terms of the CLO documents, haircuts the O/C numerator for this excess. Without considering this haircut, the class D O/C ratio slightly increased since our January 2018 rating action. "The upgraded ratings reflect the improved credit support available to the notes at the prior rating levels. The lowered rating reflects the failing cash flows at the previous rating level and the decline in credit support. The affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could result in further ratings changes. "On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class A-2-R, B-R, and C-R notes. However, because the transaction currently has increased the percentage of 'CCC' rated collateral and also to some assets trading at low market values, our rating actions reflect the credit enhancement available for these classes under additional sensitivity analyses that considered the above exposures. "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. In addition, our analysis 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 all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "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 will take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch Positive Benefit Street Partners CLO VIII Ltd. Class A-2-R to 'AAA (sf)' from 'AA (sf)/Watch pos' Class B-R to 'AA (sf)' from 'A (sf)/Watch pos' Rating Raised0 Benefit Street Partners CLO VIII Ltd. Class C-R to 'BBB (sf)' from 'BBB- (sf)' Rating Lowered And Removed From CreditWatch Negative Benefit Street Partners CLO VIII Ltd. Class D-R to 'B (sf)' from 'B+ (sf)/Watch neg' Rating Affirmed Benefit Street Partners CLO VIII Ltd. Class A-1A-R: AAA (sf) Other Debt Benefit Street Partners CLO VIII Ltd. Class A-1B-R: NR Subordinated notes: NR NR--Not rated. BENEFIT STREET XXXI: S&P Assigns Prelim 'BB-' Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from Benefit Street Partners CLO XXXI Ltd./Benefit Street Partners CLO XXXI LLC, a CLO managed by BSP CLO Management LLC that was originally issued in March 2023. The preliminary ratings are based on information as of April 18, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 25, 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, A-2-R, B-R, C-R, D-1-R, and E-R debt is expected to be issued at a lower spread than the original debt. -- The replacement class D-2-R debt is expected to be issued at a coupon. -- The non-call period will be extended to April 25, 2027. -- The reinvestment period will be extended to April 25, 2030. -- The legal final maturity date (for the replacement debt and the existing subordinated notes) will be extended to April 25, 2038. -- No additional assets will be purchased on the April 25, 2025 refinancing date, and the target initial par amount will remain at $500 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing will be July 25, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "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 Benefit Street Partners CLO XXXI Ltd./ Benefit Street Partners CLO XXXI LLC Class A-1-R, $300.0 million: AAA (sf) Class A-2-R, $25.0 million: AAA (sf) Class B-R, $55.0 million: AA (sf) Class C-R (deferrable), $30.0 million: A (sf) Class D-1-R (deferrable), $30.0 million: BBB- (sf) Class D-2-R (deferrable), $5.0 million: BBB- (sf) Class E-R (deferrable), $15.0 million: BB- (sf) Other Debt Benefit Street Partners CLO XXXI Ltd./ Benefit Street Partners CLO XXXI LLC Subordinated notes, $40.5 million: Not rated BLACKROCK RAINIER VI: S&P Assigns BB- (sf) Rating on E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-1-L-R, A-2-R, A-2-L-R, B-1-R, B-1-L-R, B-2-R, C-R, D-R, and E-R debt and new class X-R debt from Blackrock Rainier CLO VI Ltd./Blackrock Rainier CLO VI LLC, a CLO managed by BlackRock Capital Investment Advisors LLC that was originally issued in February 2021. At the same time, S&P withdrew its ratings on the original class A, A-L, B, and C debt following payment in full on the April 21, 2025. 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 April 21, 2027. -- The reinvestment period was extended to April 20, 2029. -- The legal final maturity dates for the replacement debt and the existing subordinated notes) were extended to April 20, 2037. -- No additional assets were purchased on the April 21, 2025 refinancing date, and the target initial par amount remains at $800 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2025. -- New class X-R debt was issued on the refinancing date and is expected to be paid down using interest proceeds during the first 24 payment dates in equal installments of $1.21 million, beginning on the October 2025 payment date. -- The required minimum overcollateralization and interest coverage ratios were be amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Blackrock Rainier CLO VI Ltd./Blackrock Rainier CLO VI LLC Class X-R, $29.00 million: AAA (sf) Class A-1-R, $301.00 million: AAA (sf) Class A-1-L-R, $139.00 million: AAA (sf) Class A-2-R, $11.70 million: AAA (sf) Class A-2-L-R $12.30 million: AAA (sf) Class B-1-R, $59.20 million: AA (sf) Class B-1-L-R, $4.80 million: AA (sf) Class B-2-R, $16.00 million: AA (sf) Class C-R (deferrable), $60.00 million: A (sf) Class D-R (deferrable), $52.00 million: BBB-(sf) Class E-R (deferrable), $48.00 million: BB- (sf) Ratings Withdrawn Blackrock Rainier CLO VI Ltd./Blackrock Rainier CLO VI LLC Class A to NR from 'AAA (sf)' Class A-L to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Other Debt Blackrock Rainier CLO VI Ltd./Blackrock Rainier CLO VI LLC Subordinated notes, $86.00 million: NR NR--Not rated. BMO 2025-5C10: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BMO 2025-5C10 Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2025-5C10 as follows: - $420,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $200,000,000 (a) class A-2 'AAA(EXP)sf'; Outlook Stable; - $232,963,000 (a) class A-3 'AAA(EXP)sf'; Outlook Stable; - $433,383,000 (b) class X-A 'AAA(EXP)sf'; Outlook Stable; - $61,138,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $32,503,000 class B 'AA-(EXP)sf'; Outlook Stable; - $25,539,000 class C 'A-(EXP)sf'; Outlook Stable; - $119,180,000 (b) class X-B 'A-(EXP)sf'; Outlook Stable; - $13,930,000 (c) class D 'BBB(EXP)sf'; Outlook Stable; - $6,191,000 (c) class E 'BBB-(EXP)sf'; Outlook Stable; - $20,121,000 (b,c) class X-D 'BBB-(EXP)sf'; Outlook Stable; - $12,383,000 (c,d) class F-RR 'BB-(EXP)sf'; Outlook Stable; - $12,383,000 (b,c,d) class X-FRR 'BB-(EXP)sf'; Outlook Stable; - $8,513,000 (c,d) class G-RR 'B-(EXP)sf'; Outlook Stable; - $8,513,000 (b,c,d) class X-GRR 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $25,538,867(c,d) class J-RR; - $25,538,867(b,c,d) class X-JRR; - $8,854,424 (c,e) VRR Interest. (a) The initial certificate balances of classes A-2 and A-3 are unknown and expected to be approximately $432,960,000 subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0 to $200,000,000, and the expected class A-3 balance range is $232,963,000 to $432,963,000. Fitch's certificate balances for classes A-2 and A-3 reflect the high and low point of each range, respectively. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention. (e) Vertical Risk Retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 34 loans secured by 67 commercial properties with an aggregate principal balance of $627,973,292, as of the cutoff date. The loans were contributed to the trust by Bank of Montreal, Citi Real Estate Funding Inc., German American Capital Corporation, Starwood Mortgage Capital LLC, Goldman Sachs Mortgage Company, Greystone Commercial Mortgage Capital LLC, Société Générale Financial Corporation, Zions Bancorporation, N.A. and UBS AG. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is expected to be Rialto Capital Advisors, LLC. The trustee is expected to be Wilmington Savings Fund Society, FSB while the certificate administrator is expected to be Citibank, N.A. Park Bridge Lender Services LLC is expected to be the operating advisor. The certificates will follow a sequential paydown structure. The transaction's closing date is expected to be May 16, 2025. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 21 loans totaling 86.0% by balance. Fitch's resulting net cash flow (NCF) of $63.7 million represents a 17.1% decline from the issuer's underwritten NCF of $76.8 million. Fitch Leverage: The pool leverage is in line when compared to recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 97.1% is in line with the 2025 YTD and higher than 2024 averages of 100.0% and 95.2%, respectively. The pool's Fitch NCF debt yield (DY) of 10.1% is in line with the 2025 YTD and 2024 averages of 9.7% and 10.2%, respectively. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else being equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. Investment-Grade Credit Opinion Loans: Four loans representing 22.3% of the pool received an investment-grade credit opinion. Muse at Torrey Pines (7.2% of the pool) received a standalone credit opinion of 'BBB-sf*', 1535 Broadway (7.2% of the pool) received a standalone credit opinion of 'AAsf*', Herald Center (4.9% of the pool) received a standalone credit opinion of 'BBB-sf*', and Project Midway (3.0% of the pool) received a standalone credit opinion of 'BBB+sf*'. The pool's total credit opinion percentage is higher than the 2025 YTD and 2024 averages of 11.7% and 12.6%, respectively. Excluding the credit opinion loans, the pool's Fitch LTV and DY of 106.0% and 10.8%, respectively, are slightly worse than the equivalent conduit YTD 2025 LTV and DY averages of 103.9% and 11.0%, respectively. Property Type Diversity: The pool has above average diversity by property type (as designated by Fitch) concentrations. Loans collateralized by multifamily properties have the highest property type concentration at 24.9% of the pool, next is retail properties at 20.0%, office at 19.3%, and hotels at 18.5%. No other property type comprises more than 5.3% of the pool. The Fitch effective property type count is 5.5, which is above both the YTD 2025 and 2024 averages of 4.6 and 4.3, respectively. Pools with a greater concentration by property type are at greater risk of losses, all else equal. Fitch raises the overall loss for pools with effective property type counts below 5.0. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'/'B-sf'/'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: AAAsf/AAAsf/AA+sf/Asf/BBB+sf/BBBsf/BBsf/B+sf USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on its analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of 3, unless otherwise disclosed in this section. A score of 3 means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CITIGROUP 2014-GC21: Moody's Lowers Rating on 2 Tranches to Ba1 --------------------------------------------------------------- Moody's Ratings has affirmed the ratings on one class and downgraded the ratings on two classes in Citigroup Commercial Mortgage Trust 2014-GC21, Commercial Pass-Through Certificates, Series 2014-GC21 as follows: Cl. C, Affirmed Ba1 (sf); previously on Jun 28, 2024 Downgraded to Ba1 (sf) Cl. PEZ, Downgraded to Ba1 (sf); previously on Jun 28, 2024 Downgraded to Baa3 (sf) Cl. X-B*, Downgraded to Ba1 (sf); previously on Jun 28, 2024 Downgraded to Baa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on one P&I class, Cl. C, was affirmed due to the significant credit support and expected principal paydowns from the remaining loans in the pool. Cl. C has already paid down 28% 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 downgraded due to the principal paydowns of higher quality referenced classes. The ratings on one exchangeable class, Cl. PEZ, was downgraded due to the principal paydowns of higher quality referenced classes. Cl. PEZ originally referenced Cl. A-S, Cl. B and Cl. C, however, Cl. A-S and Cl. B have paid off in full. Social risk (IPS S-4) for this transaction is high as Moody's regards e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. The transaction's Credit Impact Score is CIS-4. Moody's rating action reflects a base expected loss of 27.1% of the current pooled balance, compared to 19.4% at Moody's last reviews. Moody's base expected loss plus realized losses is now 5.6% of the original pooled balance, compared to 5.9% 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 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced 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 applies the aggregate loss from specially serviced 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 April 11, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 85% to $154.4 million from $1.040 billion at securitization. The certificates are collateralized by three remaining specially serviced mortgage loans. Two loans have been liquidated from the pool, contributing to an aggregate realized loss of $16.2 million (for an average loss severity of 51.0%). The largest specially serviced loan is the Maine Mall loan ($125.0 million – 81.0% of the pool), which is secured by a 730,444 square feet (SF) component of a 1.0 million SF super-regional mall located in Portland, Maine. The loan represents a pari passu portion of a $235.0 million first-mortgage loan and is interest-only through maturity. The mall contains four anchors, which include Macy's, J.C. Penney, Jordans Furniture (former Bon-Ton) and Best Buy. Macy's is not part of the collateral for the loan and J.C. Penney is under a ground lease. Jordan's Furniture replaced the Bon-Ton space (17% of NRA), a former collateral anchor that vacated in August 2017. In 2018, Round 1 Bowling & Amusement moved into the prior Sports Authority space (6% of NRA) that went dark in 2017. Property performance has steadily declined since 2016, and the September 2024 reported NOI is 22% lower than at securitization. As of September 2024, the property was 92% leased, compared to 91% in 2023 and 97% at securitization. The loan transferred to special servicing in February 2024 for imminent default as a result of the borrower's inability to pay off the loan in full at its April 2024 maturity date. The property is generating sufficient cash flow to cover debt service, and the loan remains current on its debt service payments. The second specially serviced loan is the Regional One Medical Loan ($15.4 million – 9.9% of the pool), which is secured by a 112,233 SF medical facility located in Memphis, Tennessee. The property is also encumbered by $3.0 million of mezzanine debt. The loan transferred to special servicing in June 2024 for maturity default as the borrower failed to pay off the loan at the April 2024 maturity date. The borrower entered into a forbearance agreement in January 2025 and the foreclosure sale has been extended through April 2025. The lender is dual tracking the foreclosure process while monitoring the ongoing sale process with borrower. The loan has amortized by 18.9% since securitization. The third largest loan in special servicing is the Brier Creek Corporate Center 6 Loan ($14.0 million – 9.1% of the pool), which is secured by a 123,351 SF office building located in Raleigh, North Carolina. The property is also encumbered by $1.8 million of mezzanine debt. The loan transferred to special servicing for maturity default as the borrower failed to pay off the loan at the March 2024 maturity date. Despite being granted a forbearance, the borrower was unable to secure permanent financing for the property and payoff the loan. Legal counsel has been engaged and the lender is working towards finalizing a second forbearance proposal. As of September 2024, the property was 100% occupied. The loan has amortized by 19.4% since securitization. As of the April 2025 remittance statement cumulative interest shortfalls were approximately $962,000. 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 and extraordinary trust expenses. CITIGROUP 2018-B2: Fitch Lowers Rating on Two Tranches to 'Bsf' --------------------------------------------------------------- Fitch Ratings has downgraded 14 and affirmed six classes of Citigroup Commercial Mortgage Trust series 2017-P7 commercial mortgage pass-through certificates (CGCMT 2017-P7). Fitch has assigned Negative Rating Outlooks to eight of the downgraded classes. The Outlooks for three of the affirmed classes were revised to Negative from Stable. Fitch has also downgraded six and affirmed eight classes of Citigroup Commercial Mortgage Trust series 2018-B2 commercial mortgage pass-through certificates (CGCMT 2018-B2). Fitch has assigned Negative Outlooks to two of the downgraded classes. The Outlooks for two of the affirmed classes were revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2017-P7 A-3 17325HBN3 LT AAAsf Affirmed AAAsf A-4 17325HBP8 LT AAAsf Affirmed AAAsf A-AB 17325HBQ6 LT AAAsf Affirmed AAAsf A-S 17325HBR4 LT AAAsf Affirmed AAAsf B 17325HBS2 LT Asf Downgrade AA-sf C 17325HBT0 LT BBB-sf Downgrade A-sf D 17325HAA2 LT CCCsf Downgrade B-sf E 17325HAC8 LT CCsf Downgrade CCCsf F 17325HAE4 LT Csf Downgrade CCsf V-2A 17325HAN4 LT AAAsf Affirmed AAAsf V-2B 17325HAQ7 LT Asf Downgrade AA-sf V-2C 17325HAS3 LT BBB-sf Downgrade A-sf V-2D 17325HAU8 LT CCCsf Downgrade B-sf V-3AB 17325HAY0 LT Asf Downgrade AA-sf V-3C 17325HBA1 LT BBB-sf Downgrade A-sf V-3D 17325HBC7 LT CCCsf Downgrade B-sf X-A 17325HBU7 LT AAAsf Affirmed AAAsf X-B 17325HBV5 LT Asf Downgrade AA-sf X-C 17325HBW3 LT BBB-sf Downgrade A-sf X-D 17325HAJ3 LT CCCsf Downgrade B-sf CGCMT 2018-B2 A-3 17327FAC0 LT AAAsf Affirmed AAAsf A-4 17327FAD8 LT AAAsf Affirmed AAAsf A-AB 17327FAE6 LT AAAsf Affirmed AAAsf A-S 17327FAF3 LT AAAsf Affirmed AAAsf B 17327FAG1 LT AAsf Affirmed AAsf C 17327FAH9 LT A-sf Affirmed A-sf D 17327FAJ5 LT Bsf Downgrade BBsf E 17327FAL0 LT CCsf Downgrade CCCsf F 17327FAN6 LT CCsf Downgrade CCCsf X-A 17327FBG0 LT AAAsf Affirmed AAAsf X-B 17327FBH8 LT AAsf Affirmed AAsf X-D 17327FBJ4 LT Bsf Downgrade BBsf X-E 17327FBK1 LT CCsf Downgrade CCCsf X-F 17327FAY2 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 10.9% in CGCMT 2017-P7 and 8.6% in CGCMT 2018-B2. The CGCMT 2017-P7 transaction has 13 Fitch Loans of Concern (FLOCs; 39.2% of the pool), including five loans (14.4%) in special servicing. The CGCMT 2018-B2 transaction has seven FLOCs (22.6%), including three loans (12.3%) in special servicing. The downgrades in CGCMT 2017-P7 reflect the higher pool loss expectations, driven primarily by the performance deterioration for FLOCs such as SAP Building (2.4%), Cahuenga West Office Building (2.8%), and Scripps Center (5.3%), along with the sustained high loss expectations and prolonged workouts for FLOCs such as 229 West 43rd Street Retail Condo (3.5%), 111 Livingston Street (3.4%), and Hamilton Crossing (3.6%). Additionally, the Negative Outlooks reflect the transaction's high exposure to office loans, as 49% of the pool is secured by office properties (17% of the pool being office FLOCs), continued occupancy and cashflow deterioration, along with the lack of performance stabilization on the FLOCs. The downgrades in CGCMT 2018-B2 reflects higher pool loss expectations, driven primarily by the performance deterioration for FLOCs such as Braddock Metro Center (3.1%), Park Place East and Park Place West (5.4%), and 3rd & Pine Seattle Retail & Parking (3.8%), along with the sustained high loss expectations for FLOCs such as One Newark Center (3.2%). Additionally, the Negative Outlooks reflects the transaction's exposure to office loans, as 28% of the pool is secured by office properties, and continued occupancy and cashflow deterioration of the FLOCs. The largest increase in overall loss expectations since the prior review in CGCMT 2017-P7 is the SAP Building loan, which is secured by a 56,279-sf, suburban office building located in Palo Alto, CA. The property is located within the Stanford Research Park. The loan transferred to special servicer in October 2022 for imminent monetary default. The property was previously 100% occupied by SAP Labs, until the tenant vacated all its space at the property upon lease expiry in July 2022. As of the March 2025 reserve report, the loan reported $1.15 million or $20 psf in total reserves. The property has remained fully vacant. As of Q3 2024, the servicer-reported NOI DSCR was -0.16x as of Q3 2024, compared to 0.68x at YE 2022, and 2.90x at YE 2021. Fitch's 'Bsf' rating case loss of 35.8% (prior to concentration add-ons) reflects a stressed value of $274 psf which is based on the most recent September 2024 appraisal value. The largest contributor to overall loss expectations in CGCMT 2017-P7 is the 229 West 43rd Street Retail Condo loan, which represents approximately one-third of Fitch's total expected loss for the pool. The loan is secured by a 245,132-sf retail condominium located in Manhattan's Time Square district. The loan transferred to special servicing in December 2019 for imminent monetary default. The property had already been experiencing tenancy issues prior to the pandemic. With tenants operating in the entertainment and tourism industries, the property sustained further declines due to the onset of the pandemic. A receiver was appointed in March 2021, and then a foreclosure action was filed. The asset sale occurred in Q4 2024 and is expected to close in Q2 2025. The sale price has not yet been disclosed. According to the November 2024 rent roll, the property was 40.9% occupied. The largest remaining tenants include Bowlmor (31.2%; July 2034), The Ribbon (6.4%, February 2034), and Haru (2.2%, December 2028). Fitch's 'Bsf' rating case loss of 91.5% (prior to concentration add-ons) reflects a stressed value of $293 psf, which is based on a discount to the most recent May 2024 appraisal value. The second largest increase to overall loss expectations since the prior review in CGCMT 2017-P7 is the Cahuenga West Office Building loan, which is secured by a 102,643-sf office property located in Los Angeles, CA. The loan transferred to special servicing in January 2025 for payment default. The loan was last paid in November 2024 and remains 90+ days delinquent as of March 2025 reporting. As of January 2024, the property's occupancy was 55.6% the same as YE 2022, compared to 65.9% at YE 2021, 81.1% at YE 2020 and 100% at YE 2019. The decline in occupancy since issuance was primarily due to previous major tenant Extreme Reach (25% of NRA) vacating upon lease expiration in March 2021. Major remaining tenants at the property include EPS-Cineworks (23.0% of NRA through August 2033) and Silver Lining Entertainment (5.1%; November 2026). There is minimal near-term rollover, with no tenants scheduled to roll in 2025, and 5.2% of the NRA is rolling in 2026. The servicer-reported NOI DSCR was 0.61x as of Q3 2024, compared to 0.70x at YE 2023, 1.18x at YE 2022, and 1.25x at YE 2021. Fitch's 'Bsf' rating case loss of 43.9% (prior to concentration add-ons) reflects a 10% cap rate, a 10% stress to the YE 2023 NOI, and factors a higher probability of default due to the loan's delinquency status. The largest increase in overall loss expectations since the prior review in CGCMT 2018-B2 is the Braddock Metro Center loan, which is secured by a three-property office portfolio totaling 315,589-sf located in Alexandria, VA. The loan transferred to special servicing in September 2024 for non-monetary default. Property occupancy declined to 79% as of October 2024 from 81% at YE 2023 and 89% at YE 2022. As of June 2024, the servicer-reported NOI DSCR fell to 1.01x from 1.25x at YE 2023 and 1.69x at YE 2022. The portfolio's largest tenant is the USDA (41.5% of the NRA). The lease term has another nine years remaining with an expiration in December 2034. Other major tenants include Alexandria City State Board (26.8%; May 2029). However, there is uncertainty of the status of U.S. General Services Administration (GSA) leases given the new administration's statements, the potential impact on all GSA leases, and on the overall Washington, D.C. market. Fitch's 'Bsf' rating case loss of 49.9% (prior to concentration add-ons) reflects a stressed value of $119 psf which is based on a discount to the most recent November 2024 appraisal value. The largest contributor to overall loss expectations and second largest increase in loss expectations since the prior review in CGCMT 2018-B2 is the Park Place East and Park Place West loan, secured by two office properties totaling 398,968-sf in St. Louis Park, MN. The loan transferred to special servicing in October 2024 for collateral risk. Major tenants at the property include Minnesota Medical Scanning (9.1% of NRA through December 2033) and Metropolitan Council (5.5%; December 2025). As of December 2024, Park Place East was reporting the building's occupancy rate at 63.7%, and Park Place West was reporting 61.3%. The consolidated occupancy figure as of YE 2024 was 62%, compared to 67% at YE 2022, 78% at YE 2021, 82% at YE 2020, and 84% at YE 2019. The servicer-reported Q3 2024 NOI DSCR was 1.12x, compared to 0.97x at YE 2023, 1.38x at YE 2022, 1.53x at YE 2021, and 1.95x at YE 2020. Fitch's 'Bsf' rating case loss of 42.5% (prior to concentration add-ons) reflects a 10.5% cap rate, a 20% stress to the YE 2023 NOI, and factors a higher probability of default due to the loan's delinquency status. The second largest contributor to overall loss expectations in CGCMT 2018-B2 is the 3rd & Pine Seattle Retail & Parking loan, which is secured by a leasehold interest in a parking lot/retail property located in an urban infill location within downtown Seattle, WA. The loan has seen a substantial decline in cash flow since the largest retail tenant (94% of the retail space) vacated in September 2020. According to the servicer, the retail space is still vacant. The decrease in parking income was due to lower demand for transient parking as a result of the pandemic, but there has been an uptick in demand over the past year with more return to office mandates. A mitigant to the transient parking is that 58.8% of parking spaces (496 out of 844 total spaces) have been leased on a long-term basis for 10 years or more. The servicer-reported NOI DSCR was -0.24x as of YE 2024, compared to 1.06x at YE 2023, 0.30x at YE 2022, 0.01x at YE 2021, 1.27x at YE 2020, 1.77x at YE 2019, and 2.41x at YE 2018. Fitch's 'Bsf' rating case loss of 46.0% (prior to concentration add-ons) reflects a 10.5% cap rate, a 7.5% stress to the YE 2023 NOI, and factors a higher probability of default due to current delinquency status. Increased Credit Enhancement (CE): As of the April 2025 distribution date, the pool's aggregate balance for CGCMT 2017-P7 has been reduced by 17.6% to $844.8 million from $1.0 billion at issuance. Four loans (12.2% of pool) have been defeased. Fourteen loans (47%) are full-term interest-only (IO), and the remaining 53% of the pool is amortizing. As of the April 2025 distribution date, the pool's aggregate balance for CGCMT 2018-B2 has been reduced by 12.3% to $932.0 million from $1.1 billion at issuance. Five loans (5.1% of pool) have been defeased. Eighteen loans (45%) are full-term interest-only (IO), and the remaining 55% of the pool is amortizing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the senior 'AAAsf' rated classes are not likely due to the expected continued amortization and loan payoffs and increasing CE relative to loss expectations but may occur should interest shortfalls affect these classes; - Downgrades to the junior 'AAAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE or if interest shortfalls occur; - Downgrades to the 'AAsf' and 'Asf' category rated classes, which have Negative Outlooks, will occur if expected losses increase significantly from further performance declines on the FLOCs, particularly SAP Building, Cahuenga West Office Building, Scripps Center, 229 West 43rd Street Retail Condo, 111 Livingston Street, and Hamilton Crossing in CGCMT 2017-P7 and Braddock Metro Center, Park Place East and Park Place West, 3rd & Pine Seattle Retail & Parking, and One Newark Center in CGCMT 2018-B2. Downgrades are also likely should more loans than expected default at or prior to maturity; - Downgrades to the 'BBBsf' and 'Bsf' rated classes, which have Negative Outlooks, are possible with higher expected losses from continued performance of the aforementioned FLOCs and with greater certainty of losses to these classes; - Further downgrades to the distressed 'CCCsf', 'CCsf', and 'Csf' rated classes would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'Asf' and 'AAsf' rated classes are not likely but may occur with significant improvement in CE and/or defeasance, as well as with the stabilization of performance on the FLOCs, specifically the SAP Building, Cahuenga West Office Building, Scripps Center, 229 West 43rd Street Retail Condo, 111 Livingston Street, and Hamilton Crossing in CGCMT 2017-P7 and Braddock Metro Center, Park Place East and Park Place West, 3rd & Pine Seattle Retail & Parking, and One Newark Center in CGCMT 2018-B2; - Upgrades to the 'BBBsf' and 'Bsf' rated classes could occur 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 distressed rating of 'CCCsf', 'CCsf', and 'Csf' classes are not expected but would be possible with better-than-expected recoveries or significantly higher values on the 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. CITIGROUP 2025-RP2: Fitch Assigns B(EXP)sf Rating on Cl. B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2025-RP2 (CMLTI 2025-RP2). Entity/Debt Rating ----------- ------ CMLTI 2025-RP2 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT AA(EXP)sf Expected Rating A-4 LT A(EXP)sf Expected Rating A-5 LT BBB(EXP)sf Expected Rating M-1 LT A(EXP)sf Expected Rating M-2 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating B-4 LT NR(EXP)sf Expected Rating B-5 LT NR(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating PT-1 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The transaction is expected to close on April 23, 2025. The notes are supported by 3,020 seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of about $539 million, including $44.2 million, or 8.2%, of the aggregate pool balance in non-interest-bearing deferred principal amounts as of the cutoff date. Distributions of principal and interest (P&I) and loss allocations are based on a traditional, senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicer will not advance delinquent monthly payments of P&I. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.6% above a long-term sustainable level (versus 11.1% on a national level as of 3Q24, down 0.5% from the prior quarter), based on Fitch's updated view on sustainable home prices. Housing affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Average home prices were 3.8% higher yoy nationally as of November 2024, notwithstanding modest regional declines, but are still being supported by limited inventory. Distressed Performance History and RPL Credit Quality (Negative): The collateral pool primarily consists of SPLs and RPLs. The collateral is seasoned at approximately 161 months in aggregate, as calculated by Fitch, with 44.3% of the pool by unpaid principal balance (UPB) originated before 2010. The remaining 55.7% of loans were originated between 2010 and 2022. Of the pool, 6.5% of loans are delinquent as of the cutoff date and 66.0%, as calculated by Fitch, are current but have had delinquencies within the past 24 months. Fitch increased its loss expectations to account for the delinquent loans and loans with prior delinquencies. In addition, 97.3% of the loans have a prior modification. Borrowers have a moderate credit profile (682 FICO, as calculated by Fitch, based on updated FICO scores provided). Fitch's loss expectation at the 'AAAsf' rating category is 16.75%. Low Leverage (Positive): All loans seasoned over 24 months received updated property values, translating to a Fitch-derived, weighted average (WA), current mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 48.0% and a sustainable LTV (sLTV) of 54.6% at the base case. Updated broker price opinions (BPOs) were provided on all loans in the pool and used to calculate the Fitch-derived LTVs. This reflects low-leverage borrowers and is stronger than in recently rated SPL/RPL transactions. Sequential-Pay Structure and No Servicer P&I Advances (Mixed): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinated classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments in the absence of servicer advancing. Interest and interest shortfalls are paid sequentially. The servicer will not advance delinquent monthly payments of P&I, which reduces liquidity to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated classes; the lack of advancing is likely to increase the chances of temporary interest shortfalls. Under Fitch's updated criteria approach, Fitch only expects timely interest for the 'AAAsf' rated class. 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 42.5%, 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 The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10.0% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential for positive rating migration for all rated classes. Specifically, a 10.0% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence review was completed on 100% of the loans in this transaction. The scope of the due diligence review was consistent with Fitch criteria for seasoned collateral. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments: increased the LS due to HUD-1 issues, missing modification agreements, as well as delinquent taxes and outstanding liens. These adjustments resulted in an increase in the 'AAAsf' expected loss of approximately 25bps. 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. CITIGROUP 2025-RP2: Fitch Assigns Bsf Rating on Cl. B-2 Notes ------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2025-RP2 (CMLTI 2025-RP2). Entity/Debt Rating Prior ----------- ------ ----- CMLTI 2025-RP2 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 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 A-IO-S LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf PT-1 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The transaction is expected to close on April 23, 2025. The notes are supported by 3,020 seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of about $539 million, including $44.2 million, or 8.2%, of the aggregate pool balance in non-interest-bearing deferred principal amounts as of the cutoff date. Distributions of principal and interest (P&I) and loss allocations are based on a traditional, senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicer will not advance delinquent monthly payments of P&I. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.6% above a long-term sustainable level (versus 11.1% on a national level as of 3Q24, down 0.5% from the prior quarter), based on Fitch's updated view on sustainable home prices. Housing affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Average home prices were 3.8% higher yoy nationally as of November 2024, notwithstanding modest regional declines, but are still being supported by limited inventory. Distressed Performance History and RPL Credit Quality (Negative): The collateral pool primarily consists of SPLs and RPLs. The collateral is seasoned at approximately 161 months in aggregate, as calculated by Fitch, with 44.3% of the pool by unpaid principal balance (UPB) originated before 2010. The remaining 55.7% of loans were originated between 2010 and 2022. Of the pool, 6.5% of loans are delinquent as of the cutoff date and 66.0%, as calculated by Fitch, are current but have had delinquencies within the past 24 months. Fitch increased its loss expectations to account for the delinquent loans and loans with prior delinquencies. In addition, 97.3% of the loans have a prior modification. Borrowers have a moderate credit profile (682 FICO, as calculated by Fitch, based on updated FICO scores provided). Fitch's loss expectation at the 'AAAsf' rating category is 16.75%. Low Leverage (Positive): All loans seasoned over 24 months received updated property values, translating to a Fitch-derived, weighted average (WA), current mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 48.0% and a sustainable LTV (sLTV) of 54.6% at the base case. Updated broker price opinions (BPOs) were provided on all loans in the pool and used to calculate the Fitch-derived LTVs. This reflects low-leverage borrowers and is stronger than in recently rated SPL/RPL transactions. Sequential-Pay Structure and No Servicer P&I Advances (Mixed): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinated classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments in the absence of servicer advancing. Interest and interest shortfalls are paid sequentially. The servicer will not advance delinquent monthly payments of P&I, which reduces liquidity to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated classes; the lack of advancing is likely to increase the chances of temporary interest shortfalls. Under Fitch's updated criteria approach, Fitch only expects timely interest for the 'AAAsf' rated class. 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 42.5%, 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 The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10.0% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential for positive rating migration for all rated classes. Specifically, a 10.0% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence review was completed on 100% of the loans in this transaction. The scope of the due diligence review was consistent with Fitch criteria for seasoned collateral. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments: increased the LS due to HUD-1 issues, missing modification agreements, as well as delinquent taxes and outstanding liens. These adjustments resulted in an increase in the 'AAAsf' expected loss of approximately 25bps. ESG Considerations Fitch does not provide ESG relevance scores for CMLTI 2025-RP2. 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. COLT 2025-4: S&P Assigns B (sf) Rating on Class B-2 Certificates ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to COLT 2025-4 Mortgage Loan Trust's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, a townhouse, two- to four-family residential properties, and a condotel. The pool consists of 635 loans, which are non-QM/ability-to-repay-compliant (ATR-compliant) and ATR-exempt loans. S&P said, "After we assigned preliminary ratings on April 11, 2025, the sponsor removed one mortgage loan from the pool and provided an updated structure. After analyzing the final coupons and updated structure, we assigned ratings for all classes that are unchanged from the preliminary ratings we assigned." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned(i) COLT 2025-4 Mortgage Loan Trust Class A-1, $225,597,000: AAA (sf) Class A-2, $18,965,000: AA (sf) Class A-3, $27,225,000: A (sf) Class M-1, $13,154,000: BBB (sf) Class B-1, $5,659,000: BB+ (sf) Class B-2, $11,012,000: B (sf) Class B-3, $4,282,863: Not rated Class A-IO-S, notional(ii): Not rated Class X, notional(ii): Not rated Class R, not applicable: Not rated (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. COMM 2016-COR1: Fitch Lowers Rating on Class C Notes to 'BB-sf' --------------------------------------------------------------- Fitch Ratings has downgraded seven classes and affirmed seven classes of COMM 2016-COR1 Mortgage Trust. Negative Rating Outlooks were assigned to classes A-M, B, C, X-A, and X-B following their downgrades. The Outlooks for affirmed classes A-SB, A-3 and A-4 remain Stable. Fitch has also affirmed 13 classes of COMM 2017-COR2 Mortgage Trust. The Rating Outlooks for classes A-M, B, C, D, E-RR, F-RR, X-A, X-B and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- COMM 2017-COR2 A-2 12595EAC9 LT AAAsf Affirmed AAAsf A-3 12595EAD7 LT AAAsf Affirmed AAAsf A-M 12595EAF2 LT AAAsf Affirmed AAAsf A-SB 12595EAB1 LT AAAsf Affirmed AAAsf B 12595EAG0 LT AA-sf Affirmed AA-sf C 12595EAH8 LT A-sf Affirmed A-sf D 12595EAN5 LT BBBsf Affirmed BBBsf E-RR 12595EAQ8 LT BBsf Affirmed BBsf F-RR 12595EAS4 LT Bsf Affirmed Bsf G-RR 12595EAU9 LT CCCsf Affirmed CCCsf X-A 12595EAE5 LT AAAsf Affirmed AAAsf X-B 12595EAJ4 LT AA-sf Affirmed AA-sf X-D 12595EAL9 LT BBBsf Affirmed BBBsf COMM 2016-COR1 A-3 12594MBB LT AAAsf Affirmed AAAsf A-4 12594MBC1 LT AAAsf Affirmed AAAsf A-M 12594MBG2 LT AA-sf Downgrade AAAsf A-SB 12594MBA5 LT AAAsf Affirmed AAAsf B 12594MBE7 LT BBB-sf Downgrade A-sf C 12594MBF4 LT BB-sf Downgrade BBB-sf D 12594MAL2 LT CCCsf Downgrade B+sf E 12594MAN8 LT CCsf Affirmed CCsf F 12594MAQ1 LT Csf Affirmed Csf X-A 12594MBD9 LT AA-sf Downgrade AAAsf X-B 12594MAA6 LT BBB-sf Downgrade A-sf X-C 12594MAC2 LT CCCsf Downgrade B+sf X-E 12594MAE8 LT CCsf Affirmed CCsf X-F 12594MAG3 LT Csf Affirmed Csf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses for the COMM 2016-COR1 transaction is 10.7%, up from 7.4% at Fitch's prior rating action. Losses for the COMM 2017-COR2 transaction decreased to 5.3% from 5.9% at the prior review. Fitch Loans of Concern (FLOCs) include 17 loans (42.5%) in COMM 2017-COR2, and 14 loans (46.8% of the pool) in COMM 2016-COR1, which includes two loans (5.0%) in special servicing. The downgrades in COMM 2016-COR1 reflect increased pool loss expectations since Fitch's prior rating action, primarily driven by lower appraisal values for specially serviced retail loans Westfield San Francisco Centre (3.1%) and Hagerstown Premium Outlets (1.8%) and continued performance deterioration of the specially serviced loans and office FLOCs, Champion Station (10.6% of pool), 286 Madison (7.9%), Comcast Place (3.9%), Mt Diablo Terrace (2.6%), and the GM Office Building - Michigan (1.8%). The Negative Outlooks in COMM 2016-COR1 reflect the elevated office concentration in the pool of 36.6% and the potential for downgrade with further performance deterioration beyond current expectations, value degradation and/or extended workout of the aforementioned specially serviced retail loans, and/or more loans than anticipated fail to refinance Due to refinancing and valuation concerns, Fitch's analysis of COMM 2016-COR1 also incorporated an additional sensitivity scenario that factored in an outsized loss of 90% on the Westfield San Francisco Centre loan. In this scenario, pool-level losses increase to 11.6%. This analysis contributed to the Negative Outlooks. Due to concentration of upcoming loan maturities and concerns surrounding refinancing, Fitch performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status and collateral quality, and then ranked them by their perceived likelihood of repayment and/or loss expectation. The Negative Outlooks reflect this analysis and reliance on proceeds from FLOCs to repay these classes. Affirmations in the COMM 2017-COR2 transaction reflect generally stable pool performance since Fitch's prior rating action supported by the defeasance of the second largest loan in the pool, AHIP Northeast Portfolio II (6.7%). The Negative Outlooks in COMM 2017-COR2 reflect the elevated risk from high office exposure in the pool (37.1%), and reliance on proceeds from FLOCs to repay these classes. Downgrades are possible with continued performance declines beyond current expectations and/or default at or prior to maturity of these FLOCs, including Grand Hyatt Seattle (6.0%), Renaissance Seattle (6.0%), Mall of Louisiana (5.5%), 16027 Ventura Boulevard (3.0%), Texarkana Pavilion (2.0%), and Spring River Business Park (1.8%). Largest Increases in Loss: The largest contributor to overall loss expectations and the largest increase in losses since the last rating action in COMM 2016-COR1 is the Champion Station loan (10.6% of the pool), which is secured by a 287,271-sf suburban office property located in San Jose, CA. The loan was identified as a FLOC due to major tenant Itron (66.6% of NRA) listing their space as available for sublease. The tenant continues to pay rent in accordance with their lease agreement, which expires in September 2026 and is coterminous with the August 2026 loan maturity. Fitch's 'Bsf' rating case loss of 24.2% (prior to concentration add-ons) is based on a 10% cap rate, 15% stress to the annualized September 2024 NOI and an increased probability of default due to the loan's heightened maturity default concerns. The second largest contributor to overall loss expectations is the Westfield San Francisco Centre loan (3.1%), secured by a 553,366-sf retail and a 241,155-sf office portion of a 1,445,449-sf super regional mall located in San Francisco Union Square neighborhood. The loan transferred to special servicing in June 2023 due to imminent monetary default after the sponsors, Westfield and Brookfield, disclosed their intentions to return the keys to the lender. A receiver was appointed in October 2023. The sponsors have cited operating challenges in downtown San Francisco contributing to deteriorating sales, reduced occupancy and decreasing foot traffic. The receiver is working with the municipality, BART, and the Union Square Alliance to address life/safety issues at the property and in the neighborhood. Bloomingdale's, (non-owned anchor), has closed, effective April 1, 2025, which follows the prior departure of anchor tenant Nordstrom (21.5% of the total mall NRA) in October 2023. Mall occupancy has fallen to 18.5% as of September 2024 and is expected to decline further with other tenants anticipated to vacate. The mall has reported negative cash flow with a September 2024 NOI DSCR of -0.79x, down from 1.02x year-over year. Fitch's 'Bsf' rating case loss of 61.2% (prior to concentration add-ons) is based on a 20% stress to the most recent appraisal value, which is approximately 78.7% below the appraisal value at issuance and equates to a recovery value of $197 psf. Fitch also performed an additional sensitivity scenario to account for potential for outsized losses with continued deterioration in performance, increasing the 'Bsf' sensitivity case loss, which contributed to the Negative Outlooks. The third largest contributor to overall loss expectations is the Hagerstown Premium Outlets loan (1.8%), secured by a 484,994-sf outlet center located in Hagerstown, MD. The loan transferred to special servicing in September 2023 and the servicer is dual-tracking workout discussions with foreclosure/receivership. A loan modification request is under discussion to convert the loan to an interest-only payment structure, with the interest rate and maturity date unchanged. The property is currently 49.6% occupied by 38 tenants with an average in-place rent of $16.25 psf. However, there are 20 suites totaling 98,510 sf that are currently being occupied by temporary/specialty retail tenants. As a result, the subject is 69.9% occupied when temporary tenants are considered. Since YE 2021, the NOI DSCR has remained at or below 1.00x, with a reported NOI DSCR of 0.99x as of June 2023, down from 1.00x at YE 2022. Fitch's 'Bsf' rating loss of 64.4% (prior to concentration add-ons) is based on the most recent appraisal value, which is approximately 81% below the issuance appraisal value, which equates to a stressed value of $58 psf. The largest contributor to overall expected losses in the COMM 2017-COR2 transaction, is the 16027 Ventura Boulevard loan (3.0% of the pool), which is secured by a 112,516-sf suburban office building located in Encino, CA. Occupancy has fallen to 69% as of September 2023, a decline from 74% at YE 2021, and 87% at YE 2019. A significant number of leases have expired by the end of 2024, accounting for 28% of the NRA. According to CoStar, 28,283 sf (25% of NRA) is marked as available at an asking rent of $31.20/sf. Cash flow has correspondingly declined with NOI DSCR dropping to 0.59x for the YTD September 2023 reporting period, down from 1.72x at YE 2022 and 1.81x at YE 2019. Fitch's 'Bsf' ratings case loss of 33.1% (prior to concentration adjustments) includes a 10% cap rate, a 20% stress to the YE 2022 NOI and an increased probability of default to account for the loan's heightened term and maturity default concerns. The largest increase to loss expectations since the prior rating action is the Texarkana Pavilion loan (2.0% of the pool), which is secured by 254,489-sf open-air retail center located in Texarkana, TX. The property is located at the intersection of I-30 and I-369. Occupancy has declined due to Burke's Outlet (8.3% of NRA; 10.2% of total rents), vacating prior to lease expiration in January 2026. Occupancy has fallen to 66.6% as of January 2025, down from 75.3% at YE 2023 and 83.7% at YE 2022. NOI DSCR has correspondingly declined to 2.81x as of June 2024, from 3.45x at YE 2023 and 3.72x at YE 2022. Fitch's 'Bsf' rating case loss of 10.1% (prior to concentration adjustments) reflects a 30% stress to the YE 2023 NOI and factors an increased probability of default to account for the loan's heightened term and maturity default concerns. Seattle MSA FLOCs: Two full-service hotel loans in the Seattle MSA, which share the same sponsor, have been identified as a FLOCs, including the 457-room Grand Hyatt Seattle (6.0%) and 557-room Renaissance Seattle (6.0%), both located in the Central Business District. The Grand Hyatt is in close proximity to the Seattle Convention Center. Both hotels continue to underperform with YE 2023 occupancy lower than YE 2019 levels and NOI DSCR coverage ratios at 1.37x for the Grand Hyatt Seattle and 1.88x for the Renaissance Seattle as of September 2024, which compares with issuance NOI DSCR near 2.40x. The Grand Hyatt Seattle 'Bsf' rating case loss of 7.0% (prior to concentration add-ons) reflects an 11.0% cap rate and a 15% stress to the YE 2019 NOI. The Renaissance Seattle 'Bsf' rating case loss of 5.5% (prior to concentration adjustments) reflects an 11.0% cap rate and a 10% stress to the Annualized September 2024 NOI. Increased Credit Enhancement (CE): As of the April 2025 distribution date, the aggregate balances of the COMM 2016-COR1 and COMM 2017-COR2 transactions have been reduced by 15.2% and 9.5%, respectively, since issuance. The COMM 2016-COR1 transaction has 11 (48.7%) full-term, interest-only (IO) loans and 21 (42%) loans that are currently amortizing. The COMM 2017-COR2 transaction has 12 (41.3%) full-term, IO loans and 21 (37.9%) loans that are currently amortizing. There are five loans (9.2% of the pool) that are fully defeased in the COMM 2016-COR1 transaction and nine loans (22% of the pool) that are fully defeased in the COMM 2017-COR2 transaction. Cumulative interest shortfalls of $79,031 are affecting the non-rated class H-RR in the COMM 2017-COR2 transaction, and $1,079,158 is affecting the non-rated class G, $20,073 for class F in the COMM 2016-COR1 transaction. Realized losses of $3.87 million, are impacting the non-rated class G in the COMM 2016-COR1 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 to the position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls affect these classes. Downgrades to classes rated in the 'AAsf' and 'Asf' categories in the COMM 2016-COR1 transaction could occur with an increase in pool-level losses from further performance deterioration of FLOCs, namely Champion Station, 286 Madison, Comcast Place, Mt Diablo Terrace, and GM Office Building, and further value degradation and/or extended workout of the specially serviced loans, Westfield San Francisco Centre and Hagerstown Premium Outlets. In the COMM 2017-COR2 transaction, downgrades to these classes could occur if performance of the FLOCs, most notably Grand Hyatt Seattle, Renaissance Seattle, Mall of Louisiana, 16027 Ventura Boulevard, Texarkana Pavilion, and Spring River Business Park, deteriorate further or fail to stabilize. Downgrades to classes rated in the 'BBBsf' and 'BBsf'- categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and with greater certainty of losses on the specially serviced loans, or with prolonged workouts of the loans in special servicing. Downgrades to classes rated in the 'Bsf' category would occur should the aforementioned FLOCs and loans in special servicing fail to stabilize and/or expected losses increase from further performance declines or extended workout timelines of these loans. Downgrades to distressed classes are possible should additionally loans transfer to special servicing and 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' 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 on the FLOCs. This includes Champion Station, 286 Madison, Comcast Place, Mt Diablo Terrace, and GM Office Building in COMM 2016-COR1 and Grand Hyatt Seattle, Renaissance Seattle, Mall of Louisiana, 16027 Ventura Boulevard, Texarkana Pavilion, and Spring River Business Park in COMM 2017-COR2. Classes would not be upgraded above 'AA+sf' if there is a likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to the distressed classes are unlikely absent performance stabilization of the FLOCs and improved recovery prospect of loans in special servicing. 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. COOPR RESIDENTIAL 2025-CES1: Fitch Gives B(EXP) Rating on B-2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to COOPR Residential Mortgage Trust 2025-CES1 (COOPR 2025-CES1). Entity/Debt Rating ----------- ------ COOPR 2025-CES1 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 4,618 primarily closed-end second-lien (CES) loans with a total balance of approximately $311 million as of the cutoff date. Nationstar Mortgage LLC, d/b/a Mr. Cooper (Nationstar), originated 100% of the loans and will be the primary servicer for all the loans. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure. In addition, excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): As a result of its updated view on sustainable home prices, Fitch views the home price values of this pool as 11.2% above a long-term sustainable level (versus 11.1% on a national level as of 3Q24). 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. Prime Credit Quality (Positive): The collateral consists of 4,618 loans totaling approximately $311 million and seasoned at about three months in aggregate, as calculated by Fitch. The borrowers have a strong credit profile, including a WA Fitch model FICO score of 738, a debt-to-income ratio (DTI) of 37% and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 72%. All the loans are of a primary residence, cashout refinance loans, and originated through a retail channel. In addition, roughly 95% of the loans were treated as full documentation. Second-Lien Collateral (Negative): All loans were originated by Nationstar as CES, with seven loans (0.19% of the pool) subsequently moving to a first-lien position after the senior lien was paid down. Fitch assumed no recovery and a 100% loss severity based on the historical behavior of second-lien loans in economic stress scenarios. Fitch assumes second-lien loans default at a rate comparable to first-lien loans; after controlling for credit attributes, no additional penalty was applied to Fitch's probability of default (PD) assumption. Sequential Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the most senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated certificates prior to other principal distributions is highly supportive of timely interest payments to those certificates in the absence of servicer advancing. Monthly excess cash flow will be applied first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any unpaid net WAC shortfalls. The structure includes a step-up coupon feature whereby the fixed interest rate for the senior classes increases by 100 bps, subject to the net WAC, after the 48th payment date. 180-Day Charge-off Feature (Positive): The class XS majority noteholder has the ability, but not the obligation, to instruct the servicer to write off the balance of a loan at 180 days delinquent (DQ) based on the Mortgage Bankers Association (MBA) delinquency method. To the extent the servicer expects meaningful recovery in any liquidation scenario, the class XS majority noteholder may direct the servicer to continue to monitor the loan and not charge it off. While the 180-day charge-off feature will result in losses being incurred sooner, there is a larger amount of excess interest to protect against them. This compares favorably with a delayed liquidation scenario, where losses occur later in the life of a transaction and less excess is available to cover them. If a loan is not charged off due to a presumed recovery, this will provide added benefit to the transaction, above Fitch's expectations. In addition, recoveries realized after the writedown at 180 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.3% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics. A third-party due diligence review was completed on 47% of the loans in this transaction. The scope, as described in Form 15E, focused on credit, regulatory compliance and property valuation reviews, consistent with Fitch criteria for new originations. All reviewed loans received a final overall grade of 'A' or 'B' and indicate sound origination practices consistent with non-agency prime RMBS. Fitch considered this information in its analysis and, as a result, the due diligence performed on the pool received a model credit, which reduced the 'AAAsf' loss expectation by 31 bps. 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. CRB SECURITIZATION 2023-1: S&P Lowers D Notes Rating to 'B (sf)' ---------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class C and D notes from CRB Securitization Trust 2023-1 to 'A (sf)' from 'AA (sf)' and to 'B (sf)' from 'BBB (sf)', respectively, and affirmed its ratings on the class A and B notes. At the same time, S&P removed the notes from CreditWatch where they were placed with negative implications on March 26, 2025. The CreditWatch placement had followed an identification of a data input error that S&P made in its cash flow modeling of the transaction for its September 2024 surveillance, and the recent deterioration in the pool performance relative to its expectations. The transaction is backed by a pool of personal consumer loan receivables. The transaction's structure includes a cumulative net loss rate turbo trigger that steps up incrementally from month 1 (3.00%; Nov. 20, 2023) to month 30 onwards (25.00%; April 20, 2026 and thereafter). When the net loss rate trigger is breached, the transaction provides for additional principal to be paid to the notes; when not in effect, the transaction can potentially release excess spread. S&P said, "When S&P modeled the transaction for its September 2024 surveillance review, we incorrectly applied the cumulative trigger rate in effect at that time. As a result, in certain stress scenarios, our model incorrectly reflected excess amounts as being available to pay note principal. Following our September 2024 review, we upgraded the class B and C ratings to 'AAA' (sf)'and 'AA (sf)', respectively, from their initial 'AA(sf)' and 'A(sf)' ratings, and affirmed the class A and D ratings at their initial 'AAA(sf)' and 'BBB(sf)' ratings, respectively." S&P said, "Accordingly, we reviewed the transaction, re-evaluated our loss expectations based on the current pool performance, and modeled the net loss rate trigger at the current applicable rate. "The rating actions reflect the transaction's collateral performance to date and our expectations regarding the transaction's future collateral performance, including an increase in our base-case cumulative default rate assumption. These rating actions also account for the transaction's structure and credit enhancement. Additionally, we incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. We also reviewed the transaction's operational, legal, and counterparty risks. Considering all these factors, we believe that the creditworthiness of the notes is consistent with the assigned ratings. The class B notes' 'AAA (sf)' affirmation reflects our expectation for a short term to pay down. "The loan pool has experienced some performance deterioration relative to our initial default expectations. Cumulative defaults as of the March 2025 distribution date, were 14.7% of the initial pool balance. Accordingly, we increased our lifetime cumulative default assumption to 24.0% from 19.2%. Our revised lifetime default assumption equates to a net loss assumption of 18.6% of the remaining pool balance." The transaction's hard credit enhancement consists of overcollateralization, subordination, and non-amortizing reserve account. The hard credit enhancement has increased over time due to the sequential principal payment priority and non-amortizing reserve account. The transaction's pool factor is 44.1% as of the March 2025 distribution date. Table 1 Credit enhancement CE at Current Class closing(%) CE (%)(i) A 41.6 73.0 B 36.7 61.9 C 27.8 41.8 D 19.8 23.6 (i)As a percentage of the current pool balance as of the March 2025 distribution date. CE--Credit enhancement, defined as the sum of reserve account, overcollateralization, and subordination, if any, divided by the outstanding pool balance. CASH FLOW MODELING ASSUMPTIONS S&P ran mid-stream break-even cash flow scenarios to determine the net loss rate that could be achieved by the transaction while still paying timely interest and full principal to the notes by their respective legal final maturity date. Some of the material assumptions we modeled include: -- A fast and slow default curve applied over three and five years; -- A voluntary prepayment rate of 30.0%-35.0% of the constant prepayment rate (CPR); and -- A base case recovery rate of a 12.0% haircut accordingly by stress scenario. CASH FLOW RESULTS To determine the ratings, S&P compared the credit enhancement coverage multiples (break-even net loss rate over its base case remaining net loss rate) to the multiples set out in its consumer loan criteria. In each of the stress-scenario cash flow runs, the note classes had sufficient credit enhancement coverage of net losses to support the assigned ratings. The cash flow results show that in the 'AAA' break-even scenarios, the class A and class B notes were able to absorb cumulative defaults of approximately 75.5% and 65.4%, respectively, and cumulative net losses of approximately 71.4% and 61.8%, respectively. These results support coverage multiples of approximately 3.8x and 3.3x of S&P's base-case remaining net loss rate, respectively. In the 'A' break-even scenarios, the class C notes were able to absorb cumulative defaults of approximately 47.0% and cumulative net losses of approximately 44.0. These results support a coverage multiple of approximately 2.4x of our base case remaining net loss rate. In the 'B' break-even scenarios, the class D notes were able to absorb cumulative defaults of approximately 15.4%-17.1% and cumulative net losses of approximately 14.1%-15.6%, depending on the scenario. These results support a coverage multiple of approximately 0.8x of our base case remaining net loss rate. S&P said, "We will continue to monitor the performance of the transaction to ensure that the credit enhancement remains sufficient, in our view, to cover our default expectations under our stress scenarios for each of the rated classes." RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE CRB Securitization Trust 2023-1 Class C to 'A (sf)' from 'AA (sf)/Watch Neg' Class D to 'B (sf)' from 'BBB (sf)/Watch Neg' RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE CRB Securitization Trust 2023-1 Class A to 'AAA (sf)' from 'AAA (sf)/Watch Neg' Class B to 'AAA (sf)' from 'AAA (sf)/Watch Neg' CSAIL 2017-C8: DBRS Confirms CCC Rating on 3 Cert. Classes ---------------------------------------------------------- DBRS Limited downgraded its credit ratings on eight pooled classes of Commercial Mortgage Pass-Through Certificates, Series 2017-C8 issued by CSAIL 2017-C8 Commercial Mortgage Trust, and four rake classes, which are secured by the beneficial interest in the subordinate debt placed on the 85 Broad Street loan. The credit ratings were downgraded as follows: -- Class B to A (high) (sf) from AA (sf) -- Class C to BBB (high) (sf) from A (sf) -- Class D to BB (high) (sf) from BBB (sf) -- Class E to B (low) (sf) from B (high) (sf) -- Class F to CCC (sf) from B (low) (sf) -- Class X-B to A (low) (sf) from A (high) (sf) -- Class V1-B to BBB (high) (sf) from A (sf) -- Class V1-D to BB (high) (sf) from BBB (sf) -- Class 85BD-A to B (sf) from BBB (low) (sf) -- Class 85BD-B to B (low) (sf) from B (high) (sf) -- Class V1-85A to B (sf) from BBB (low) (sf) -- Class V1-85B to B (low) (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining six pooled classes and three rake classes as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class V1-A at AAA (sf) -- Class 85BD-C at CCC (sf) -- Class V1-85C at CCC (sf) -- Class V2-85 at CCC (sf) Morningstar DBRS changed the trends on Classes C, D, E, X-B, V1-B, V1-D, 85BD-A, 85BD-B, V1-85A, and V1-85B to Stable from Negative. The trends on all remaining classes are Stable, with the exception of Classes F, 85BD-C, V1-85C, and V2-85, which are assigned credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. Morningstar DBRS had previously downgraded its credit ratings on all the rake classes which are secured by the subordinate debt on the 85 Broad Street property (Prospectus ID#1; 15.3% of the pool). A pari passu portion of the senior debt on the 85 Broad Street property backs the pooled classes. Those credit rating actions were the result of a lower Morningstar DBRS Value for the property which was derived as part of Morningstar DBRS' review of transactions secured by office properties within its North American CMBS Single-Asset/Single-Borrower portfolio (for which the credit rating actions were published on April 15, 2024). At that time, Morningstar DBRS also assigned Negative trends to Classes 85BD-A, 85BD-B, V1-85A, and V1-85B because of performance challenges for the collateral property as a result of occupancy rate and cash flow declines. Given operating performance at the property remains depressed, a factor which could be exacerbated by upcoming tenant rollover, Morningstar DBRS elected to update its analysis with this review. The resulting Morningstar DBRS stabilized property value of $185.0 million ($165 per square foot), is 23.5% and 71.6% lower than the previously derived Morningstar DBRS value and appraised value at issuance, respectively. The credit rating downgrades on Classes 85BD-A and 85BD-B, and the respective exchangeable certificates, reflect the downward pressure implied by the loan-to-value ratio (LTV) sizing benchmarks as a result of the updated Morningstar DBRS property value noted above. During the April 24, 2024, credit rating action for the subject transaction, Morningstar DBRS changed the trends on the pooled Classes E and F to Negative from Stable to reflect the potential for further value deterioration of the 85 Broad Street property, which could affect the recoverability of the senior debt that backs those certificates. In addition, Morningstar DBRS placed Negative trends on Classes C, D, XB, V1-B, and V1-D, citing concerns related to the high concentration of loans secured by office properties, which represent 41.4% of the pool balance. Since that time, the performance of the underlying collateral securing several of those loans has remained stagnant or, in some cases, has deteriorated further. The credit rating downgrades on Classes B, C, D, E, and F with this review reflect loan-specific challenges as those classes are the most exposed to loss if the performance of the underlying collateral continues to deteriorate (or does not rebound from the current lows). Morningstar DBRS analyzed loans that have exhibited increased credit risks with elevated probability of default penalties and/or stressed LTVs, resulting in expected losses that were either on par or up to 2.2 times (x) greater than the pool average. As a result, the pool's overall adjusted expected loss has increased by approximately 50 basis points since the previous credit rating action, with the resulting downward pressure implied by the model further supporting the credit rating downgrades taken with this review. Given the current credit rating downgrades and Morningstar DBRS' expectation that the performance of most loans of concern should remain relatively static through the next 12 months, the trends on Classes C, D, E, X-B, V1-B, V1-D, 85BD-A, 85BD-B, V1-85A, and V1-85B were changed to Stable from Negative. The credit rating confirmations on classes higher in the capital stack reflect Morningstar DBRS' view that most of the loans in the pool are performing generally in line with issuance expectations, with loans secured by retail and multifamily property types representing 15.9% and 12.2% of the pool, respectively. In addition, the pool benefits from six defeased loans, which represent 11.2% of the pool balance. Scheduled loan repayments and amortization have fully repaid the balances of Classes A-1 and A-2 (the top two classes at issuance) with Class A-3 paid down by approximately 10.0% since the February 2025 remittance. Loans representing almost 30.0% of the pool are reporting debt service coverage ratios (DSCRs) in excess of 2.0x. In addition, no loans are currently in special servicing. As of the March 2025 remittance, 27 of the original 32 loans remain in the trust, with an aggregate balance of $662.7 million, representing a collateral reduction of 25.0% since issuance. Three loans, representing 27.0% of the pool, are on the servicer's watchlist. To date, the trust has incurred a total loss of approximately $7.8 million, which has been contained to the nonrated certificate. The largest loan in the pool is 85 Broad Street, which is secured by a 1.1 million-square-foot (sf) Class A office property in Manhattan's Financial District. The loan was recently added to the servicer's watchlist because the borrower continues to be late on payments and as of the March 2025 reporting, owes almost $100,000 in late fees. The whole loan encompasses three pari passu senior notes totaling $169.0 million as well as two subordinate notes with a total balance of $189.6 million. The $90.0 million subject loan represents the noncontrolling A-A-1 and A-A-2 notes of the $169.0 million senior component, the remaining balance is secured in transactions not rated by Morningstar DBRS. The nonpooled rake bonds, also rated by Morningstar DBRS are backed by the $72.0 million 85 Broad Street A-B Note. The loan's nonpooled $58.8 million B-A Note and $58.8 million B-B Note are subordinate to both the rake bonds and the $169.0 million pooled A Note. The subject property originally served as Goldman Sachs' headquarters until it was vacated in 2011 and converted into a multitenant property in 2015. According to the December 2024 rent roll, the property was 71.7% occupied, down from 78.7% at YE2023 and 87.1% at issuance. The property experienced a decline in cash flow and occupancy after the former largest tenant, WeWork, downsized its space by approximately 175,000 sf (15.6% of net rentable area (NRA)). WeWork filed for Chapter 11 bankruptcy in November 2023; however, Morningstar DBRS did not locate any information suggesting the subject property is included among WeWork's active lease rejections. If WeWork decides to terminate its lease, which is not scheduled to expire until August 2033, the implied occupancy rate at the subject property would drop to approximately 60.0%. Other large tenants are Viner Finance Inc. (24.7% of the NRA, lease expiry in February 2028), and TNC US Holdings Inc. (Nielsen;10.5% of the NRA, lease expiry in March 2025). Approximately 11.5% of the NRA is scheduled to roll over in the next 12 months (including Nielsen's lease). Morningstar DBRS requested confirmation of the status of Nielsen's lease; however, as of the date of this press release, a response remains pending. There has not been any significant leasing activity since WeWork downsized its space, and the subject's current vacancy rate remains above the submarket vacancy rate of 15.2%, as reported by Reis. According to the March 2025 reserve report, there is approximately $9.8 million in tenant reserves, the majority of which was deposited by WeWork as per its lease amendment in 2023. Net cash flow (NCF) has followed a similar downward trajectory: the most recent full year reporting from YE2024 reflected a figure of $16.7 million, a 30.7% decline from the issuance figure of $24.0 million. Morningstar DBRS analyzed the loan with an elevated probability of default (POD) penalty to account for the tenant rollover risk, WeWork exposure, and declining performance metrics since issuance and stressed LTV (to reflect the senior debt LTV based on the updated Morningstar DBRS value of the property as noted above), resulting in an expected loss that was relatively in line with the pool average but more than 40x greater than the base-level loan expected loss. The second-largest loan in the pool is 245 Park Avenue (Prospectus ID#2; 13.6% of the current pool balance), which is secured by a 1.7 million sf, Class A office tower in Midtown Manhattan. The $1.2 billion whole loan has a pari passu structure with pieces securitized across five Morningstar DBRS-rated transactions. The loan was previously specially serviced in November 2021 after the original sponsor (PWM Property Management LLC, an affiliate of HNA Group Co.) filed for Chapter 11 bankruptcy. According to servicer documents, SL Green Realty Corp. (SL Green) purchased the property and assumed the debt in late 2022; however, SL Green sold its 50% stake to Mori Trust Co Ltd. for $1 billion, which valued the collateral at $2.0 billion. The property was 85.1% occupied as of December 2024, an improvement to the prior year's occupancy rate of 74.7% but below the issuance figure of 91.0%. Recent leasing momentum at the property has been positive with various online sources indicating that several tenants have signed new leases. As such, Morningstar DBRS expects the property's occupancy rate could increase to approximately 90.0% in the near to medium term. The largest tenants at the property are Société Générale (30.4% of the NRA; lease expiration in 2032) and Ares Management (12.3% of the NRA; lease expiration in 2043). Although the YE2024 NCF of $67.0 million represents a 38.9% decline from the issuance figure, the loan's DSCR has consistently remained above 1.60x since the closing of the transaction and Morningstar DBRS does expect the property's cash flow trends to improve over the subsequent reporting periods, given the recent increase in occupancy and positive leasing momentum. Although there have been a number of positive developments at the property, the collateral's historical occupancy rate has been volatile, resulting in a contraction in cash flows. As such, Morningstar DBRS analyzed the loan with a stressed LTV and elevated POD penalty, resulting in an expected loss that was approximately 15x greater than the base-level loan expected loss. The second-largest loan on the servicer's watchlist is Hotel Eastlund (Prospectus ID#5; 6.4% of the current pool balance), which is secured by a AAA Three Diamond Luxury, 168-room, full-service hotel in Portland, Oregon. The loan transferred to the special servicer in July 2020 because of pandemic-related hardships and was returned to the master servicer in May 2022 following a loan modification. The loan continues to be monitored on the servicer's watchlist for a low DSCR, which was most recently reported at 0.94x as of YE2024. Per the December 2024 STR report, the subject property reported an occupancy rate of 64.8%, average daily rate of $167.6, and revenue per available room (RevPAR) of $108.6 for the trailing 12 months ended December 31, 2024, outperforming its competitive set with a RevPAR penetration rate of 126.5%. Although performance continues to improve year over year, the NCF in YE2024 was approximately 46% below the issuer's figure. With this review, Morningstar DBRS maintained a conservative approach in the analysis of the loan given cash flow has yet to return to issuance expectations. Morningstar DBRS analyzed the loan with an elevated POD penalty and stressed LTV, resulting in an expected loss that was approximately 30.0% greater than the pool average. Morningstar DBRS also has concerns with the St. Luke's Office (Prospectus ID#8; 5.1% of the pool balance) and Columbus Office Portfolio I (Prospectus ID#11; 4.6% of the pool balance) loans, both of which have exposure to upcoming lease rollovers, softening office submarket fundamentals, and/or have experienced sustained performance declines. The St. Luke's Office loan is secured by a three-story, 566,622-sf office building in Allentown, Pennsylvania. Although operating performance remains in line with issuance expectations, the second-largest tenant, Intel Corp (19.1% of the NRA), signed a short-term lease extension from March 2025 to March 2026, suggesting the technology company may not be committed to remaining at the property in the long term. The Columbus Office Portfolio loan is secured by four office properties within approximately 0.5 miles of each other in Dublin, Ohio. There has been some volatility in the property's occupancy rate since issuance, with the YE2023 NCF more than 35.0% below the issuance figure. The Allentown and Dublin submarkets currently have vacancy rates of 14.3% and 25.4%, respectively, as of Q4 2024, according to Reis. At issuance, the 71 Fifth Avenue loan (Prospectus ID#12; 4.2% of the pool balance) was shadow rated as investment grade. With this review, Morningstar DBRS has maintained the shadow rating given the loans' strong credit metrics, experienced sponsorship, and the underlying collateral's historically stable performance. The credit rating on the Class 85BD-B rake bond is higher than the results implied by the LTV sizing benchmarks by three or more notches. The variance is warranted given the potential for improvement in the overall outlook for the collateral property as a result of the loan's strong sponsorship and the subject's desirable location near the New York Stock Exchange in Lower Manhattan. In addition, the loan's nonpooled $58.8 million B-A Note and $58.8 million B-B Note (which are the most subordinate in loan's capital structure) provide a fair amount of cushion to both the rake bonds and the $169.0 million pooled A Note. 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. CWABS 2006-18: Moody's Ups Rating on Cl. M-1 Certs to Caa3 ---------------------------------------------------------- Moody's Ratings has upgraded the ratings of three bonds from CWABS Asset-Backed Certificates Trust 2006-18, backed by Subprime mortgages. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. Issuer: CWABS Asset-Backed Certificates Trust 2006-18 Cl. 1-A, Upgraded to Aaa (sf); previously on May 28, 2024 Upgraded to A1 (sf) Cl. 2-A-3, Upgraded to Aaa (sf); previously on Jan 15, 2019 Upgraded to Caa2 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Mar 25, 2009 Downgraded to C (sf) RATINGS RATIONALE The rating actions are primarily driven by the release and payout of amounts formerly held in the Legal Final Maturity Reserve Fund (Reserve Fund), and also reflect the recent collateral performance, Moody's updated loss expectations on the underlying pools of loans, and an increase in credit enhancement, predominantly the result of the payout from the Reserve Fund. The rating action on Class 2-A-3 also reflects the correction of an error. While historical performance for the two pools in the transaction have higher losses than Moody's originally expected (cumulative net losses of approximately 41.3% for pool 1 and 48.4% for pool 2), performance has stabilized significantly in recent years. As such, Moody's have lowered Moody's loss expectations in comparison to Moody's prior review. The transaction was structured with a Legal Final Maturity Reserve Fund (Reserve Fund) to address the timing mismatch between the 30-year legal final maturity of the rated certificates and the presence of 40-year mortgage loans in the underlying pools. As scheduled, 10 years after the deal closed the Reserve Fund began to be funded from interest collections; by September 2024, the amount had built to approximately $37.4 million, its Final Maturity Funding Cap. There was a discrepancy in the transaction documents as to when the amounts in the Reserve Fund would be released and distributed to Certificate holders: at the point at which the Final Maturity Funding Cap was achieved, or at the Final Legal Maturity of the transaction in 2036. To resolve this discrepancy, the Trustee sought instruction from a New York state court. Remittance reports show that pursuant to a legal judgment dated September 25, 2024, the Trustee released all funds in the Trust's Final Maturity Reserve Fund, and distributed an amount equal to $37,399,899 to Certificate holders in accordance with the priority of payments described in the Trust's Governing Agreement. The primary driver of rating actions is this release and distribution of the Reserve Fund, which led to a payment of $11.4 million to the Class 1-A noteholders and $26.5 million to the Class 2-A-3 noteholders. Prior to the release and distribution of the Reserve Fund, the monthly principal payment to Class 1-A and Class 2-A-3 over the past year averaged $382k and $613k respectively. The significant paydown of each of these tranches led to a one-year growth of credit enhancement of approximately 98%, from 27.0% to 53.6% for these senior classes. While the Class M-1 did not receive any distributions from the Reserve Fund, the significant amortization of the Class 1-A and Class 2-A-3 increased the level of overcollateralization to the deal, thus lowering the total expected principal loss to the class M-1 (from approximately 65% to 32%), resulting in the upgrade to Caa3 (sf). The rating action on Class 2-A-3 also reflects the correction of an error, as Moody's prior analysis did not properly reflect funds contained in the Reserve Fund. This has been corrected, resulting in an additional upgrade to this rating. 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. DIAMETER CAPITAL 10: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Diameter Capital CLO 10 Ltd./Diameter Capital CLO 10 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Diameter CLO Advisors LLC. The preliminary ratings are based on information as of April 23, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Diameter Capital CLO 10 Ltd./Diameter Capital CLO 10 LLC Class A, $248.00 million: AAA (sf) Class B, $56.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $3.00 million: BBB- (sf) Class E (deferrable), $13.00 million: BB- (sf) Subordinated notes, $33.55 million: NR NR--Not rated. DRYDEN 30: S&P Lowers Class F-R Notes Rating to 'CCC+ (sf)' ----------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-R, C-R, and D-R debt from Dryden 30 Senior Loan Fund, a U.S. broadly syndicated CLO transaction managed by PGIM Inc. S&P also removed its ratings on the class B-R and C-R debt from CreditWatch, where S&P had placed them with positive implications on March 14, 2025. S&P said, "At the same time, we lowered our ratings on the class E-R and F-R debt and removed the ratings from CreditWatch, where we had placed them with negative implications on the same date. We also affirmed our rating on the class A-R debt from the same transaction. "The rating actions follow our review of the transaction's performance using data from the Feb. 28, 2025, trustee report." Although the same portfolio backs all the tranches, there can be circumstances such as this one where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements because it experienced principal paydowns (which increased the senior credit support) and faced principal losses and portfolio credit quality deterioration (which decreased the junior credit support). The transaction has paid down $263.83 million to the class A-R debt since our June 22, 2022, rating actions. Following are the changes in the reported overcollateralization (O/C) ratios since the April 30, 2022, trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 208.09% from 131.31%. -- The class C O/C ratio improved to 142.28% from 118.31%. -- The class D O/C ratio improved to 115.97% from 110.47%. -- The class E O/C ratio declined to 104.46% from 106.27%. While paydowns have helped the senior classes, the collateral portfolio's credit quality has slightly deteriorated since our last rating actions and is now more concentrated. Though the collateral obligations with ratings in the 'CCC' category have decreased to $14.21 million as of the February 2025 trustee report, compared with $23.70 million reported as of the April 2022 data that S&P used at the last rating action, the portfolio has amortized significantly and likely incurred some par losses during the period. Consequently, the percentage exposure of the 'CCC' category increased and is now above the maximum allowed by the documents. As a result, the trustee, as per the terms of the CLO documents, haircuts the O/C numerator for this excess, contributing to the decline in that O/C. As of the February 2025 trustee report, the collateral balance with a maturity date after the stated maturity of the transaction represented 5.78% of the portfolio. A CLO concentrated in long-dated assets could be exposed to market value risk at maturity because the collateral manager may have to sell long-dated assets for less than par to repay the CLO's subordinate rated notes when they mature. S&P's analysis took into account the potential market value and/or the settlement-related risk arising out of the potential liquidation of the remaining securities on the transaction's legal final maturity. However, despite the slightly larger concentrations in long-dated assets, the 'CCC' category, and the defaulted collateral, the transaction, especially the senior tranches, has still benefited from both the paydowns and a drop in the weighted average life due to the underlying collateral's seasoning, with 2.88 years reported as of the February 2025 trustee report, compared with 3.59 years reported at the time of S&P's June 2022 rating actions. The upgrades reflect the improved credit support available to the debt at the prior rating levels. S&P said, "Although our cash flow analysis indicated higher ratings for the class C-R and D-R debt, our rating actions reflect the results of our additional sensitivity runs to evaluate the CLO's exposure to lower-quality assets and distressed prices we noticed in the portfolio." The downgrades reflect deteriorated credit quality of the underlying portfolio and a decrease in the credit support available to the class E-R and F-R debt. S&P said, "Although the cash flow results indicated a lower rating for both the class E-R and F-R debt, we limited the downgrades to one notch based on class E-R passing O/C, the likelihood of continued paydowns to improve the O/C, and the relatively low exposure to the 'CCC'/'CCC-'rated collateral. The downgrade on the class F-R debt reflects our view that the class is currently dependent upon favorable business, financial, or economic conditions to meet its contractual obligations of timely interest and ultimate repayment of principal by legal final maturity and thus meets our definition of 'CCC' risk. However, any increase in defaults and/or par losses could lead to potential negative rating actions on the debt in the future." The affirmation reflects adequate credit support at the current rating level, though any further deterioration in the credit support available to the debt could lead to a change in the rating. S&P said, "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. In addition, our analysis 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 all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remains consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch Positive Dryden 30 Senior Loan Fund Class B-R to 'AAA (sf)' from 'AA+ (sf)/Watch Pos' Class C-R to 'AA+ (sf)' from 'A+ (sf)/Watch Pos' Rating Raised Dryden 30 Senior Loan Fund Class D-R to 'BBB+ (sf)' from 'BBB-(sf)' Ratings Lowered And Removed From CreditWatch Negative Dryden 30 Senior Loan Fund Class E-R to 'B (sf)' from 'B+ (sf)/Watch Neg' Class F-R to 'CCC+ (sf)' from 'B- (sf)/Watch Neg' Rating Affirmed Dryden 30 Senior Loan Fund Class A-R: 'AAA (sf)' ELMWOOD CLO 40: S&P Assigns B- (sf) Rating on Class F Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Elmwood CLO 40 Ltd./Elmwood CLO 40 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+' and lower) senior secured term loans. The transaction is managed by Elmwood Asset Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Elmwood CLO 40 Ltd./Elmwood CLO 40 LLC Class A, $630.00 million: AAA (sf) Class B, $130.00 million: AA (sf) Class C (deferrable), $60.00 million: A (sf) Class D-1 (deferrable), $60.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $33.70 million: BB- (sf) Class F (deferrable), $17.75 million: B- (sf) Subordinated notes, $80.00 million: NR NR--Not rated. EXETER SELECT 2025-1: S&P Assigns BB (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Exeter Select Automobile Receivables Trust 2025-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 42.11%, 36.07%, 27.69%, 21.05%, and 18.13% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x coverage of S&P's expected cumulative net loss of 12.00% for classes A, B, C, D, and E, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within its credit stability limits. -- The timely payment of interest and the repayment of principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the collateral's credit risk, and to updated macroeconomic forecast and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Exeter Finance LLC as servicer, along with its view of the company's underwriting and its backup servicing arrangement with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Exeter Select Automobile Receivables Trust 2025-1 Class A-1, $30.00 million: A-1+ (sf) Class A-2, $105.30 million: AAA (sf) Class A-3, $89.50 million: AAA (sf) Class B, $23.41 million: AA (sf) Class C, $37.55 million: A (sf) Class D, $35.03 million: BBB (sf) Class E, $6.73 million: BB (sf) GALAXY 35 CLO: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Galaxy 35 CLO Ltd./Galaxy 35 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 PineBridge Investments LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Galaxy 35 CLO Ltd./Galaxy 35 CLO LLC Class A, $352.00 million: AAA (sf) Class B, $66.00 million: AA (sf) Class C-1 (deferrable), $33.00 million: A (sf) Class C-2 (deferrable), $5.50 million: A (sf) Class D-1 (deferrable), $22.00 million: BBB+ (sf) Class D-2 (deferrable), $5.50 million: BBB (sf) Class D-3 (deferrable), $8.25 million: BBB- (sf) Class E (deferrable), $13.75 million: BB- (sf) Subordinated notes, $49.60 million: Not rated GS MORTGAGE 2021-INV1: Moody's Ups Rating on Cl. B-5 Certs to Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 25 bonds from four US residential mortgage-backed transactions (RMBS). The collateral backing these deals consists of prime jumbo and agency eligible mortgage loans issued by GS Mortgage-Backed Securities Trust. 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: GS Mortgage-Backed Securities Trust 2021-INV1 Cl. B-1, Upgraded to Aa1 (sf); previously on Sep 28, 2023 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Sep 28, 2023 Upgraded to Aa2 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Sep 28, 2023 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jul 11, 2024 Upgraded to A3 (sf) Cl. B-3-A, Upgraded to A2 (sf); previously on Jul 11, 2024 Upgraded to A3 (sf) Cl. B-3-X*, Upgraded to A2 (sf); previously on Jul 11, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jul 11, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jul 11, 2024 Upgraded to Ba3 (sf) Cl. B-X*, Upgraded to A1 (sf); previously on Jul 11, 2024 Upgraded to A2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-HP1 Cl. A-3, Upgraded to Aaa (sf); previously on May 16, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4, Upgraded to Aaa (sf); previously on May 16, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on May 16, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-10*, Upgraded to Aaa (sf); previously on May 16, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Upgraded to Aaa (sf); previously on May 16, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jul 11, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jul 11, 2024 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jul 11, 2024 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Jul 11, 2024 Upgraded to B2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-INV1 Cl. B-1, Upgraded to Aa1 (sf); previously on Jul 11, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jul 11, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jul 11, 2024 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jul 11, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jul 11, 2024 Upgraded to B1 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-LTV1 Cl. B-4, Upgraded to Baa2 (sf); previously on Jul 11, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jul 11, 2024 Upgraded to Ba2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. The transactions Moody's reviewed continue to display strong collateral performance, with cumulative loss under .01% and a small number of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortized. The credit enhancement for each tranche upgraded has grown by, on average, 18.4% since closing. 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 "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 Finalizes BB(low) Rating on C Certs --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-800D (the Certificates) issued by GS Mortgage Securities Corporation Trust 2025-800D: -- Class A at A (low) (sf) -- Class X-CP at A (low) (sf) -- Class X-NCP at A (low) (sf) -- Class X-FL at BB (low) (sf) -- Class B at BBB (low) (sf) -- Class C at 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. HARVEST US 2025-1: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Harvest US CLO 2025-1 Ltd. Entity/Debt Rating ----------- ------ Harvest US CLO 2025-1 Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Harvest US CLO 2025-1 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Investcorp Credit Management US LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.42, versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.6% versus a minimum covenant, in accordance with the initial expected matrix point of 73.2%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 9.25% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Harvest US CLO 2025-1 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. JP MORGAN 2025-DSC1: S&P Assigns Prelim 'B-' Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to J.P. Morgan Mortgage Trust 2025-DSC1's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and non-prime borrowers. The loans are secured by single-family residential properties, planned-unit developments, two- to four-family residential properties, condominiums, townhomes, a cooperative, and five- to 10-unit multifamily residences. The mortgage pool consists of 1,455 business-purpose investment-property loans with a principal balance of approximately $317.2 million as of the cut-off date. The preliminary ratings are based on information as of April 22, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P's outlook is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned J.P. Morgan Mortgage Trust 2025-DSC1(i) Class A-1A, $174,326,000: AAA (sf) Class A-1B, $31,725,000: AAA (sf) Class A-1, $206,051,000: AAA (sf) Class A-2, $30,138,000: AA- (sf) Class A-3, $37,118,000: A- (sf) Class M-1, $16,972,000: BBB- (sf) Class B-1, $12,690,000: BB- (sf) Class B-2, $8,883,000: B- (sf) Class B-3, $5,393,650: Not rated Class A-IO-S, Notional(ii): Not rated Class XS, Notional(iii): Not rated Class A-R, Not applicable: Not rated (i)The collateral and structural information reflect the preliminary private placement memorandum dated April 22, 2025. The preliminary ratings address the ultimate payment of interest and principal, and do not address the payment of the cap carryover amounts. (ii)The notional amount equals to the aggregate stated principal balance of the mortgage loans serviced by NewRez LLC doing business as Shellpoint Mortgage Servicing and Selene Finance L.P., as of the cutoff date. (iii)The notional amount equals the aggregate stated principal balance of loans in the pool as of the cutoff date. JPMBB COMMERCIAL 2015-C29: DBRS Cuts Rating on 2 Cert. Classes to D ------------------------------------------------------------------- DBRS Limited downgraded the credit rating on two classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C29 issued by JPMBB Commercial Mortgage Securities Trust 2015-C29 as follows: -- Class E to D (sf) from C (sf) -- Class F to D (sf) from C (sf) Following the credit rating downgrades, Morningstar DBRS will subsequently discontinue and withdraw its credit ratings on Classes E and F. The credit rating actions follow a loss to the trust that was realized with the March 2025 remittance. The trust incurred a loss of $49.9 million, fully eroding the remainder of the non-rated Class NR, all of Class F, and part of Class E. This loss was attributed to the liquidation of One City Centre loan (Prospectus ID#2). In the January 2025 review, Morningstar DBRS analyzed this loan with a liquidation scenario, assuming a loss of $56.5 million (loss severity of 94.0%). For more information on this transaction, please see the press release dated January 24, 2025. Notes: All figures are in U.S. dollars unless otherwise noted. JPMBB COMMERCIAL 2015-C32: Moody's Cuts Rating on 2 Tranches to B1 ------------------------------------------------------------------ Moody's Ratings has affirmed the ratings on four classes and downgraded the ratings on four classes in JPMBB Commercial Mortgage Securities Trust 2015-C32, Commercial Pass-Through Certificates, Series 2015-C32 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Oct 23, 2023 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Oct 23, 2023 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Oct 23, 2023 Affirmed Aaa (sf) Cl. A-S, Downgraded to Baa2 (sf); previously on Oct 23, 2023 Downgraded to A3 (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Oct 23, 2023 Affirmed Aaa (sf) Cl. B, Downgraded to B1 (sf); previously on Oct 23, 2023 Downgraded to Ba1 (sf) Cl. X-A*, Downgraded to Aa3 (sf); previously on Oct 23, 2023 Downgraded to Aa2 (sf) Cl. X-B*, Downgraded to B1 (sf); previously on Oct 23, 2023 Downgraded to Ba1 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings on four principal and interest (P&I) classes were affirmed because of their significant credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on two P&I classes, Cl. A-S and Cl. B, were downgraded due to higher anticipated losses primarily driven by the exposure to specially serviced loans as well the number of loans with a high Moody's LTV. Twenty-six loans, representing 38% of the pool, are currently in special servicing. The largest specially serviced loan, Civic Open Building loan (9.6% of the pool), is secured by an office property that has seen substantial decreases in both occupancy and cash flow. The second and third largest specially serviced loans, Hilton Suites Chicago Magnificent Mile loan (9.3% of the pool) and Palmer House Retail Shops loan (8.4% of the pool), are already REO. Furthermore, all three specially serviced loans have been deemed non-recoverable by the master servicer and have been given significant appraisal reduction. Moody's also identified three loans, representing approximately 13.9% of the pool, that currently have a Moody's LTV ratio above 130% and are likely to face increased refinance risk at their upcoming loan maturity dates. The two largest high Moody's LTV loans are Gateway Business Park loan (6.7% of the pool) and One Shell Square (4.4%) which are both backed office properties with declining occupancy trends and/or significant lease rollover concerns. Nearly all the remaining loans mature by October 2025 and given the higher interest rate environment and loan performance certain loans may be unable to pay off at their maturity date, which may increase interest shortfall risk for the outstanding classes. The ratings on the two IO (interest-only) classes, Cl. X-A and Cl. X-B, were downgraded due to a decline in the credit quality of their respective referenced classes. Moody's rating action reflects a base expected loss of 30.6% of the current pooled balance, compared to 22.6% at Moody's last reviews. Moody's base expected loss plus realized losses is now 19.6% of the original pooled balance, compared to 15.7% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "US and Canadian Conduit/Fusion Commercial Mortgage-backed Securitizations" published in June 2024. 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, loan concentration, 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 40% to $690.3 million from $1.1 billion at securitization. The certificates are collateralized by 71 mortgage loans ranging in size from less than 1% to 9.6% of the pool, with the top ten loans (excluding defeasance) constituting 55.8% of the pool. One loan, constituting 0.4% of the pool, has an investment-grade structured credit assessment. Five loans, constituting 5.2% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 21, compared to 22 at Moody's last reviews. Thirty-two loans, constituting 43.1% of the pool, are 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. Three loans have been liquidated from the pool, resulting in an aggregate realized loss of $13.8 million (for an average loss severity of 47.7%). Twenty-six loans, constituting 37.9% of the pool, are currently in special servicing. The largest specially serviced loan is the Civic Opera Building Loan ($66.2 million – 9.6% of the pool), which represents a pari-passu portion of a $144.8 million whole loan. The loan is secured by a 915,162 square foot (SF), 44-story office property located in the West Loop of Chicago. The property was constructed in 1929 and most recently renovated in 2015. The property is home to the non-collateral Lyric Opera, a 3,500-seat performance venue. The loan transferred to special servicing in July 2020 due to imminent monetary default at the borrower's request in relation to business disruptions from the coronavirus pandemic. Occupancy rates have decreased to 54% as of September 2024, down from 80% in 2019 and 92% at the time of securitization. An updated appraised value from September 2024 represented a 50% decline from its value at securitization and was 24% below the outstanding loan amount. An appraisal reduction of $40.7 million has been recognized on this loan as of the March 2025 remittance statement. The total loan balance has also incurred more than in $11 million in outstanding advances and the loan has been deemed non-recoverable. Servicer commentary indicates that the lender and borrower are awaiting a court ruling on a motion to add a recourse component to the foreclosure. As of the March 2025 remittance, the loan was last paid through May 2021 and has amortized 11.8% since securitization. The second largest specially serviced loan is the Hilton Suites Chicago Magnificent Mile Loan ($64.4 million – 9.3% of the pool), which is secured by a 345 key full-service hotel located on Chicago's Magnificent Mile. The hotel was built in 1989 and renovated in 2014. The hotel features two F&B outlets, 8,400 SF of meeting space and an indoor pool. Property performance began to deteriorate starting in 2019, due to new hotel supply in the submarket since securitization. The loan transferred to special servicing in May 2020 due to imminent monetary default in relation to business disruptions from the coronavirus pandemic. The lender began the foreclosure process in July 2022, and the loan became REO in April 2023. Based on the servicer commentary, the property is currently not on market for sale, but anticipating a marketing process soon. For the trailing twelve months ending December 2024, the occupancy, average daily rate and revenue per available room (RevPAR) were similar to year-end 2023 at 69.5%, $213.4 and $148.3, respectively. An updated appraised value from February 2024 represented a 45% decline from the value at securitization. As of the March 2025 remittance statement, an appraisal reduction of $24.9 million has been recorded for this loan. Additionally, the total loan balance has accumulated over $12 million in outstanding advances, and the loan has been classified as non-recoverable. As of the March 2025 remittance, the loan was REO and last paid through December 2021 and has amortized 16.6% since securitization. The third largest specially serviced loan is the Palmer House Retail Shops Loan ($57.7 million – 8.4% of the pool), which is secured by the 134,564 SF ground floor interest underneath the non-collateral Palmer House hotel located in Chicago's central loop. The collateral net rentable area (NRA) is approximately 49% parking (166 spaces), 40% retail and 11% office. Property performance had been significantly impacted by the pandemic as the access to the collateral's retail portion is provided through the non-collateral Palmer House Hilton Hotel, which was closed between April 2020 and June 2021. The parking operator (49% of the collateral NRA) exercised their one-time termination option and vacated the property in July 2020. The loan transferred to the special servicer in July 2020 due to delinquent payments and became REO in August 2024. The most recent appraisal from June 2024 valued the property 80% below the value at securitization and as of the March 2025 remittance statement, the master servicer has recognized a 99.7% appraisal reduction based on the current loan balance and the loan has been classified as non-recoverable. As of the March 2025 remittance, the loan was last paid through January 2021 and has amortized 7% since securitization. The other two specially serviced loans are secured by hotel and retail properties that are REO. Both properties have seen significant declines in performance due to tenancy and occupancy issues, with significant appraisal reductions. Moody's estimates an aggregate $167.6 million loss for the specially serviced loans (77% expected loss on average). Additionally, there are 21 small specially serviced loans (6.3% of the pool), secured by multifamily properties in California. These loans recently transferred to special servicing in October 2024 due to non-monetary default, which involved the appointment of a court receiver and ongoing litigation concerning a dispute over the ownership and control of the family real estate business. Based on the collateral performance, Moody's do not expect a loss on these loans. As of the March 2025 remittance statement cumulative interest shortfalls were $25.3 million. 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 and extraordinary trust expenses. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2023 operating results for 97% of the pool, and full or partial year 2024 operating results for 90% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit MLTV is 110%, compared to 106% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 21% to the most recently available net operating income (NOI). Moody's Value reflects a weighted average capitalization rate of 10.3%. Moody's actual and stressed conduit DSCRs are 1.33X and 1.06X, respectively, compared to 1.38X and 1.07X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the U-Haul Portfolio Loan ($2.8 million – 0.4% of the pool), which represents a pari passu portion of an $64.5 million A-note and it is also structured with a $111 million B-note. The loan is secured by a portfolio of 105 U-Haul branded self-storage locations across 35 states. The portfolio contains 2.7 million SF of storage space across 32,500 units. Approximately 41% of the units are climate controlled, and the portfolio also contains 300 RV parking units. As of year-end 2024, the portfolio was 89% occupied, and the NOI has improved significantly since securitization. The loan has amortized 94.5% since securitization and is fully amortizing over its 20-year term. Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and over 4.00X, respectively. The top three conduit loans represent 15.9% of the pool balance. The largest loan is the Gateway Business Park Loan ($46.5 million – 6.7% of the pool), which is secured by a 514,037 SF, office park located in Mount Laurel, NJ, east of the Philadelphia Central Business District (CBD). The collateral consists of eight low-rise suburban office buildings with a granular tenant roster. Property has started to decline since 2022 as several tenants have vacated. Occupancy as of September 2024 was similar to 2023 but lower than 82% at securitization. The loan has amortized 16.9% since securitization. Moody's LTV and stressed DSCR are 149% and 0.72X, respectively, compared to 124% and 0.87X at the last review. The second largest loan is the Frandor Shopping Center Loan ($32.9 million – 4.8% of the pool), which is secured by a grocery anchored shopping center located in Lansing, MI, near the campus of Michigan State University. The property is anchored by national retailers including Kroger, Jo-Ann's, Michaels and TJ Maxx. As of December 2024, the property was 93% occupied, compared to 96% as of December 2023 and 94% at securitization. Property performance has improved since securitization. As of the March 2025 remittance, the loan has amortized 18.5% since securitization. Moody's LTV and stressed DSCR are 90% and 1.14X, respectively, compared to 97% and 1.05X at the last review. The third largest loan is the One Shell Square Loan ($30.0 million – 4.4% of the pool), which represents a pari passu portion of a $104.9 million A-note. The loan is also structured with $20 million of mezzanine debt. The loan is secured by a 1.2 million SF, LEED Gold certified office tower located in the New Orleans, Louisiana CBD. The 51-story building was constructed in 1972 and is the tallest building in Louisiana. The largest tenant, Shell Oil Company, reduced its presence at the property since securitization and announced that they plan to move to a new development. The building was renamed to Hancock Whitney Center when the second largest tenant, Hancock Whitney (17% of NRA), moved their regional headquarters to the property in 2018. As of December 2024 the property was 81% occupied, compared to 89% in December 2020 and 93% at securitization. The property has near-term rollover risk as 18% of the NRA has a scheduled lease expiration in a year as of December 2024. Moody's LTV and stressed DSCR are 153% and 0.72X, respectively, compared to 159% and 0.70X at the last review. MAGNETITE XLV: Fitch Assigns BB+sf Rating on Class E Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Magnetite XLV, Limited. Entity/Debt Rating ----------- ------ Magnetite XLV, Limited A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Magnetite XLV, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by BlackRock Financial Management, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $625 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 have highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.25% first lien senior secured loans and has a weighted average recovery assumption of 74.06%. 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 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 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, and 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, 'AAsf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Magnetite XLV, Limited. 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. MELLO WAREHOUSE 2025-1: DBRS Finalizes B Rating on 2 Classes ------------------------------------------------------------ DBRS, Inc. finalized provisional credit ratings on Mello Warehouse Securitization Notes, Series 2025-1 (the Notes) issued by Mello Warehouse Securitization Trust 2025-1 (MWST 2025-1) as follows: -- $201.0 million Class A at AAA (sf) -- $3.3 million Class B at AA (sf) -- $31.5 million Class C at A (sf) -- $28.1 million Class D at BBB (sf) -- $24.2 million Class E at B (sf) -- $12.0 million Class F at B (sf) The AAA (sf) credit rating reflects 33.00% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), and BBB (sf) credit ratings reflect 31.90%, 21.40%, and 12.05% of credit enhancement, respectively. The B (sf) credit ratings on the Class E and Class F Notes reflect the Long-Term Issuer Rating of the Repo Guarantor. Other than the classes specified above, Morningstar DBRS does not rate any other classes in this transaction. The securitization is backed by a three-year revolving warehouse facility and funded by the issuance of the Notes. The warehouse facility will be sponsored by loanDepot.com, LLC (loanDepot) and consists of a revolving pool of first-lien, fixed- or adjustable-rate eligible mortgage loans originated by loanDepot in accordance with the purchase criteria of Fannie Mae or Freddie Mac or in accordance with the criteria of Ginnie Mae for the guarantee of securities backed by mortgage loans. The characteristics of the revolving pool include a minimum weighted-average (WA) FICO score of 720 and a maximum WA loan-to-value ratio of 85.0%. All the mortgage loans in this warehouse facility may be originated with electronic contracts. The electronic contracts will be held in an electronic vault or in some manner intended to satisfy the requirements to establish control of a transferable record pursuant to the requirements under E-SIGN and Uniform Electronic Transactions Act. This transaction is the 11th warehouse securitization sponsored by loanDepot. Only one of the previously issued securitizations is outstanding and the remaining nine have paid off. U.S. Bank National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Standby Servicer and Securities Intermediary. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as Indenture Trustee, Note Calculation Agent, and Collateral Agent. Wilmington Savings Fund Society, FSB will serve as the Owner Trustee, and Deutsche Bank National Trust Company will serve as the Mortgage Loan Custodian. The Repo Buyer (MWST 2025-1) will enter into a master repurchase agreement (MRA) with the Repo Seller (loanDepot) and the Collateral Agent. The MRA will provide for the transfer by the Repo Seller, against the transfer of the purchase price by the Repo Buyer, of eligible mortgage loans, with a simultaneous agreement by the Repo Buyer to transfer such purchased mortgage loans to the Repo Seller against the transfer of the repurchase price. The Repo Seller will repurchase all purchased mortgage loans no later than 30 days following the related purchase date. However, such loans will automatically be purchased again by the Repo Buyer unless (1) such the loan has already been in the facility for more than 120 days in the aggregate (whether or not consecutive), (2) the loan is purchased by a takeout investor, (3) the loan ceases to be an eligible mortgage loan, or (4) at the expiration of the facility. If any purchased loan exits this transaction and the Repo Seller has not exercised its prepayment option, the Repo Seller will be required to transfer one or more additional eligible mortgage loans and/or cash in exchange for the purchased mortgage loans that have been reacquired by the Repo Seller. The aggregate principal balance of all purchased mortgage loans pledged as collateral plus amounts on deposit in the Repo Buyer's account will at all times be at least equal to the outstanding aggregate balance of the Notes. The minimum amount of eligible mortgage loans purchased by the Repo Buyer will be $30,000,000. The MRA will terminate on the earlier of (1) April 10, 2028, (2) the Repo Seller exercising its right to optional prepayment in full, or (3) the date of the occurrence of a repo event of default. During the revolving period, the Repo Seller will be required to make interest payments to the Notes and additionally post cash or additional eligible mortgage loans to meet any margin deficit. In general, it is expected that the Notes will not receive payments of principal until the end of the revolving period unless the Repo Seller chooses to exercise an optional prepayment. If the Repo Seller defaults under the MRA then the source of interest and principal payments to the Notes is expected to be the purchased mortgage loans that remain in the facility. If an event of default occurs and it has not been waived, the Indenture Trustee will be required to conduct one or more auctions over a four-month period to sell the collateral. The Trustee is not allowed to sell the collateral unless liquation proceeds are adequate to make the Class A, Class B, Class C, Class D, and Class E Notes whole (minimum sale price). If the collateral is not sold, then collections from the purchased mortgages are used to make payments to the Notes. Post default, the transaction employs a sequential-payment structure. LD Holdings Group LLC (LD Holdings), rated B with a Stable trend by Morningstar DBRS, will serve as Repo Guarantor in this transaction. Please refer to the press release "Morningstar DBRS Confirms loanDepot, Inc. Long-Term Issuer Rating of B With a Stable Trend," published September 19, 2024, regarding LD Holdings' Long-Term Issuer Rating. LD Holdings is a holding company that owns majority equity interest in loanDepot and several other affiliated businesses operating in the broader real estate and mortgage sectors. As a Repo Guarantor, LD Holdings will guaranty all the payment obligations of Repo Seller under the MRA. For this transaction, the ratings assigned to the Notes are the higher of (1) the Repo Guarantor's Long-Term Issuer Rating and (2) the ratings of the Notes solely based on the strength of the mortgage loans backing the Notes. At the end of the revolving period, if the Repo Guarantor does not satisfy its obligations, then the ratings of the Notes will be evaluated only on the strength of the mortgage loans backing the Notes. As of the Closing Date, the credit ratings on the Class E and Class F Notes will be based on the Long-Term Issuer Rating of the Repo Guarantor. The coupon rates for the Notes are based on the one-month term Secured Overnight Financing Rate (SOFR). There are replacement provisions in place in the event that SOFR is no longer available, please see the Private Placement Memorandum (PPM) for more details. Maryland Consumer Purpose 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. On February 17, 2025, however, the OFR issued a statement of their support for recently introduced legislation in the Maryland state senate to clarify that a person, including a passive trust, would not need to be licensed as an Installment Lender or a Mortgage Lender so long as the person does not originate, broker, make, or fund mortgage loans or service mortgage loans for others (including by holding mortgage servicing rights). Such legislation also affirmatively indicated that non-consumer mortgage loans are not subject to the initial January 10, 2025, regulation. Additionally, on February 18, 2025, the OFR published updated guidance that pushes back the current enforcement compliance date to July 6, 2025. In a situation where the proposed legislation does not become law and the Issuer fails to obtain the appropriate Maryland licenses, it 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. No more than 5% of the purchased mortgage loans will be secured by mortgaged properties located in Maryland. While the ultimate resolution of this regulation is still unclear, in a sensitivity analysis, Morningstar DBRS ran an additional scenario assuming no recoveries given default on 5% of the pool. Notes: All figures are in US dollars unless otherwise noted. MENLO CLO II: S&P Assigns Prelim B- (sf) Rating on Class F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Menlo CLO II Ltd./Menlo CLO II LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Permira US CLO Manager LLC. The preliminary ratings are based on information as of April 21, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Menlo CLO II Ltd./Menlo CLO II LLC Class A(i), $121.00 million: AAA (sf) Class A loans(i), $127.00 million: AAA (sf) Class B, $56.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $20.00 million: BBB (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class D-3 (deferrable), $3.00 million: BBB- (sf) Class E (deferrable), $13.00 million: BB- (sf) Class F (deferrable), $3.00 million: B- (sf) Subordinated notes, $33.20 million: NR (i)The balance of the class A notes may be increased upon a conversion of all or a portion of the class A loans. No class A notes may be converted into class A loans. NR--Not rated. MORGAN STANLEY 2015-UBS8: DBRS Confirms C Rating on F Certs ----------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-UBS8 issued by Morgan Stanley Capital I Trust 2015-UBS8 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- 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 C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-D at B (sf) -- Class E at B (low) (sf) -- Class F at C (sf) Morningstar DBRS changed the trends on Classes D, E, and X-D to Negative from Stable. The trends on all other classes are Stable with the exception of Class F, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The Negative trends on Classes D and E are the result of the reduced credit support at the bottom of the capital stack because of realized losses for liquidated loans and increased interest shortfalls because of decreased values of select collateral properties backing loans in special servicing. Since Morningstar DBRS' last credit rating action, one loan, which was previously in special servicing, was liquidated from the pool with a realized loss of $12.2 million, generally in line with Morningstar DBRS' expectations. As of the March 2025 remittance, realized trust losses total $37.4 million and have eroded the entirety of the nonrated Classes H and J and approximately 68.8% of Class G, the credit rating on which Morningstar DBRS previously withdrew. The credit rating confirmations reflect the generally favorable collateral mix in this transaction, with loans backed by retail properties representing approximately 40.5% of the pool balance, including two (21.0% of the pool) of the top three loans. The pool also benefits from minimal office exposure, with only three nondefeased loans (12.2% of the pool) being secured by office properties. As indicated by the C (sf) credit rating on the Class F certificate, Morningstar DBRS continues to project losses will be realized through that class as a result of future liquidations, as further discussed below. Given the continued challenges faced by the office sector, Morningstar DBRS analyzed several loans backed by office and other properties that were showing decreased values from issuance or otherwise exhibiting increased risks from issuance with stressed scenarios and/or elevated probability of defaults (PODs) to increase expected losses (ELs) as applicable. Outside of a small concentration of loans of concern, the overall performance of the remaining loans in the pool is generally healthy, with the majority reporting debt service coverage ratios (DSCR) that remain in line with their respective issuance figures, according to the most recent financials. According to the March 2025 remittance, 49 of the original 57 loans remain in the pool, representing a collateral reduction of 20.6% since issuance. Eleven loans, representing 17.8% of the pool, are fully defeased, while nine loans, representing 18.2% of the pool, are on the servicer's watchlist being monitored predominantly for low DSCRs and decreased occupancy rates. In addition, three loans, representing 3.9% of the pool, are in special servicing. For this review, Morningstar DBRS analyzed two of the specially serviced loans, Lafayette Shopping Center (Prospectus ID #19; 1.5% of the pool) and 2424 & 2500 Wilcrest Drive (Prospectus ID #26; 1.2% of the pool) with liquidation scenarios, resulting in projected realized losses of approximately $5.1 million. The largest loan in special servicing, Lafayette Shopping Center, is secured by a 138,341 square foot (sf) retail property in Marietta, Ohio. The loan transferred to special servicing in April 2024 for cash management compliance and, as of the March 2025 remittance, is current on payments. Despite the property achieving an occupancy rate of 94.0% at Q3 2024¿the highest occupancy rate since 2018¿ the loan reported a DSCR of 0.10 times (x), well below breakeven, for the same period. As indicated by the increased occupancy rate, leasing activity has been positive recently, with two tenants, Harbor Freight (13.0 % of net rentable area (NRA)) and Ollies (26.0% of NRA), signing long-term leases. Although the loan transferred to special servicing, an updated appraisal has not been ordered as the loan is not delinquent; however, Morningstar DBRS expects the property's as-is value has likely deteriorated considerably given the historical performance trends. Given the maturity date in November 2025 and the below breakeven DSCR, Morningstar DBRS liquidated the loan from the pool based on a 50% haircut to the June 2015 value of $15.4 million, resulting in a Morningstar DBRS value of $7.7 million and implied loss of approximately $2.8 million. Additionally, Morningstar DBRS used a liquidation scenario for the 2424 & 2500 Wilcrest Drive loan. The loan is secured by two Class B office buildings in Houston and transferred to special servicing in February 2023 for nonmonetary default. Despite the collateral's relatively favorable location, occupancy and net cash flow (NCF) have continued a downward trajectory since issuance with the loan reporting a Q2 2024 occupancy rate of 58.0%, down from the issuance rate of 87.0%. NCF fell to $568,602 as of the trailing 12 months ended June 30, 2024, from $615,014 at YE2023 and $1.3 million at YE2016. Morningstar DBRS liquidated the loan from the pool based on a 60% haircut to the September 2015 value of $14.9 million, resulting in a Morningstar DBRS value of $5.96 million and implied loss of approximately $2.3 million. The largest loan in the pool, 525 Seventh Avenue (Prospectus ID #1; 10.1% of the pool), is secured by a 505,273-sf office property in the Penn Station submarket of Manhattan. No longer on the servicer's watchlist, the loan has rebounded in the past few years, reporting an annualized Q2 2024 NCF of $12.6 million (DSCR of 1.23x), which remains in line with the YE2023 and YE2022 NCFs of $12.1 million (DSCR of 1.18x) and $11.3 million (DSCR of 1.10x), respectively, but well below the issuer's NCF of $16.6 million (DSCR of 1.62x). Per the August 2024 rent roll, the property was 94.1% occupied with average rental rates of $47.50 per square foot (psf). Per Reis, the Penn Station submarket reported a Q4 2024 vacancy rate of 10.8% and effective rent of $63.37 psf. According to the servicer commentary, as of August 2024, the leases of 21 tenants, representing 13.9% of NRA, had expired or were set to expire in the next 12 months. Given the concentration of scheduled rollover in proximity to the maturity date, Morningstar DBRS analyzed the loan utilizing a stressed loan-to-value ratio and elevated POD adjustment, resulting in an EL just over 30% higher than the pool's average EL. 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. MORGAN STANLEY 2024-INV3: Moody's Ups Rating on Cl. B-5 Certs to B2 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings of eight bonds issued by Morgan Stanley Residential Mortgage Loan Trust 2024-INV3. The collateral backing this deal consists of prime jumbo and agency eligible mortgage loans. 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: Morgan Stanley Residential Mortgage Loan Trust 2024-INV3 Cl. B-1, Upgraded to Aa2 (sf); previously on Jun 27, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Jun 27, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Jun 27, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Jun 27, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A2 (sf); previously on Jun 27, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A2 (sf); previously on Jun 27, 2024 Definitive Rating Assigned A3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Jun 27, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Jun 27, 2024 Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, recent performance, and Moody's updated loss expectations on the underlying pool. The transaction Moody's reviewed continues to display strong collateral performance, with no cumulative loss to date and a small number of loans in delinquency. In addition, enhancement levels for the tranches have grown significantly as the pool has prepaid at a faster rate than originally anticipated. The credit enhancement since closing has grown, on average, by 12.6% for the tranches upgraded. No actions were taken on the remaining rated classes in this deal because their expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. 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. MORGAN STANLEY 2025-DSC1: S&P Assigns Prelim 'B' on B-2 Certs ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-DSC1's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties including townhouses, planned unit developments, condominiums, two- to four-family residential properties, and five- to 10-unit residential properties. The pool has 1,242 loans, backed by 1,321 properties, which are ATR-exempt. The preliminary ratings are based on information as of April 23, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty (R&W) framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC (MSMCH) and Morgan Stanley Bank N.A. (MSBNA) and mortgage originators; -- The 100% due diligence results consistent with represented loan characteristics; and S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, which is updated if necessary, when these projections change materially." Preliminary Ratings Assigned Morgan Stanley Residential Mortgage Loan Trust 2025-DSC1(i) Class A-1-A, $220,971,000: AAA (sf) Class A-1-B, $38,000,000: AAA (sf) Class A-1, $258,971,000: AAA (sf) Class A-2, $33,630,000: AA- (sf) Class A-3, $41,041,000: A- (sf) Class M-1, $18,430,000: BBB- (sf) Class B-1, $9,880,000: BB (sf) Class B-2, $11,210,000: B (sf) Class B-3, $6,840,310: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $19,003,310: NR Class PT, $360,999,000: NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $380,002,311. NR--Not rated. NALP BUSINESS 2025-1: DBRS Gives Prov. BB Rating on C Notes ----------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes (collectively, the Notes or Series 2025-1) to be issued by NALP Business Loan Trust 2025-1: -- $155,930,000 Class A Notes at (P) A (low) (sf) -- $23,820,000 Class B Notes at (P) BBB (sf) -- $4,330,000 Class C Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) 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 COVID-19 pandemic scenarios, which were first published in April 2020. (2) The collateral pool loans were sourced, reviewed, and underwritten relying on the same personnel and consistent with practices and on the terms utilized by Newtek (or the Company) for conforming Small Business Administration (SBA) 7(a) loans. (3) For the Expected Final Pool, Morningstar DBRS' stressed cumulative net loss (CNL) hurdle rate of 41.53% in the cash flow scenarios is commensurate with the Class A Notes credit rating of (P) A (low) (sf), the CNL hurdle rate of 35.17% is commensurate with the Class B Notes credit rating of (P) BBB (sf), and the CNL hurdle rate of 27.54% is commensurate with the Class C Notes credit rating of (P) BB (sf). For the Closing Pool, Morningstar DBRS' stressed CNL hurdle rate of 42.27% in the cash flow scenarios is commensurate with the Class A Notes credit rating of (P) A (low) (sf), the CNL hurdle rate of 35.72% is commensurate with the Class B Notes credit rating of (P) BBB (sf), and the CNL hurdle rate of 27.78% is commensurate with the Class C Notes credit rating of (P) BB (sf). The Class A Notes and Class B Notes are rated to the timely payment of interest and ultimate payment of principal by the Maturity Date. The Class C Notes are rated to the ultimate payment of interest and ultimate payment of principal by the Maturity Date. -- Morningstar DBRS did not assign any credit to seasoning of the Fully Funded Pool collateral for the Series 2025-1 transaction of approximately four months as of the Initial Cut-Off Date (the weighted-average (WA) remaining term for the Closing Pool as of the same date was 250 months). -- Morningstar DBRS' stressed CNL hurdle rate was derived using the custom probability of default curve, which was input into the Morningstar DBRS CLO Insight Model. The WA expected cumulative gross default rate assumed by Morningstar DBRS as an input to the Morningstar DBRS CLO Insight Model for the Expected Final Pool was 32.54% and for the Closing Pool was 32.63%. -- Morningstar DBRS used a stressed recovery rate of 29.35% in the cash flow scenarios commensurate with a (P) A (low) (sf) credit rating, 33.40% commensurate with a (P) BBB (sf) credit rating, and 36.22% commensurate with a (P) BB (sf) credit rating for the Expected Final Pool. For the Closing Pool, Morningstar DBRS used a stressed recovery rate of 29.88% in the cash flow scenarios commensurate with a (P) A (low) (sf) credit rating, 34.12% commensurate with a (P) BBB (sf) credit rating, and 36.88% commensurate with a (P) BB (sf) credit rating. The recovery rate assumption was derived primarily based on the value of first-lien commercial real estate (CRE) and residential real estate (RRE) as well as machinery and equipment, as applicable. In some cases, limited recovery credit was given to the appraised value of land and to furniture and fixtures and other assets. No recovery credit was given to non-first-lien assets pledged as collateral, including CRE and RRE properties. (4) Morningstar DBRS' cash flow analysis tested the ability of the transaction to generate cash flows sufficient to service the interest and principal payments on the Class A Notes, Class B Notes, and Class C Notes under two different default timing scenarios and with two different prepayment scenarios beginning in Year 2 for both the Expected Final Pool and the Closing Pool. (5) The transaction's capital structure and form and sufficiency of available credit enhancement. Overcollateralization, cash held in the Reserve Account and Capitalized Interest Account, available excess spread, and other structural provisions create credit enhancement levels that are commensurate with the credit ratings on the Class A Notes, Class B Notes, and Class C Notes. -- The initial overcollateralization as of the closing date will be equal to 15.00% of the aggregate collateral loan balance. -- The replenishable cash reserve account will be funded at 2.00% of the initial Pool Balance. -- The WA coupon for the collateral pool was approximately 13.34% as of the Initial Cut-Off Date for the Closing Pool. As the prefunding loans are already identified, the WA coupon is expected to decrease to 13.30% following the end of the Prefunding Period. All of the loans are floating rate, with the interest rates resetting periodically on the respective Adjustment Date. On each Adjustment Date, the loan rate will be adjusted to equal the sum of the related index and a fixed percentage amount (the Gross Margin). As of the Initial Cut-Off Date, the WA number of months until the next Adjustment Date was approximately 52, ranging from zero to 65 months. In its stressed cash flow scenarios, Morningstar DBRS assumed the current loan rate for each loan until its respective Adjustment Date. After that, the loan rate was the index for each loan as determined by the Morningstar DBRS interest rate curves, plus the Gross Margin. (6) The collateral for the transaction is represented by a discrete, amortizing pool of loans; however, the transaction includes an approximately four-month Prefunding Period, during which already-identified business loans are expected to be added. These business loans comprise loans to eight obligors with a total original loan balance of approximately $32.15 million. The Prefunding Period will begin on the closing date and ends on the earlier of (A) the day before the August 2025 Payment Date, (B) the occurrence of a Trigger Event, and (C) the occurrence and continuance of an unwaived indenture default. -- The prefunded loans are all floating rate and have a WA original term of 292 months. With the exception of three business loans, the obligors of the loans expected to be added during the Prefunding Period have been in business for at least 13 years. The prefunded business loans account for 14.85% of the current collateral balance for the Expected Final Pool. (7) The Expected Final Pool comprises 47 loans to 45 obligors. Two obligors are represented by two loans that are cross-collateralized. For Morningstar DBRS' analysis, the collateral for each such obligor was combined. Other collateral, including but not limited to enterprise value and business valuation, account for more than 50% of the primary collateral type, with CRE accounting for approximately 25% of the primary collateral type (as classified by Newtek) as of the Initial Cut-Off Date. Other primary collateral types include machinery and equipment (13.7%), accounts receivable and inventory (9.8%), and RRE accounting for only approximately 0.7% of the primary collateral. -- Loans representing approximately 46% of the collateral pool have a current loan-to-value ratio (LTV) (as determined by Newtek and adjusted for prior liens) of between 50% and 80%. Loans representing about 80% of the aggregate collateral loan balance have a current LTV of 70% or below. -- California, Florida, and Texas represented the three largest geographical concentrations of approximately 12.9%, 12.0%, and 11.5% of the aggregate collateral loan balance of the Expected Final Pool. The top three obligors in the collateral pool accounted for approximately 20.7% of the total current collateral loan balance of the Closing Pool as of the Initial Cut-Off Date plus the loans expected to be acquired during the Prefunding Period. The largest loans (two loans with $15 million balances) each account for approximately 6.9% of the current borrower balance. Approximately 37.1% of the aggregate current collateral loan balance of the Expected Final Pool was represented by borrowers in the food services and drinking places; educational services; and professional, scientific, and technical services industries. (8) On February 3, 2025, Morningstar DBRS received a surveillance update from Newtek which noted no material changes from the May 2024 operational risk review, with the exception of the addition of a new chief technology officer, which followed the divestiture of Newtek Technology Solutions on January 2, 2025. Newtek is an experienced sponsor of asset-backed securities backed by non-guaranteed interests in SBA 7(a) small business loans, with 15 such transactions completed to date and five currently outstanding. As a result of the update, Morningstar DBRS continues to deem the Company an acceptable originator and servicer of small business loan transactions. Separately, U.S. Bank National Association will be the "warm" Backup Servicer on the transaction. (9) The transaction is supported by an established structure and is consistent with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance" methodology. Legal opinions covering true sale and nonconsolidation will also be provided. Morningstar DBRS' credit ratings on the Class A, Class B, and Class C Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Current Interest on the Class A, Class B, and Class C Notes, and Carryforward Interest on the Class A, Class B, and Class C Notes (other than the portion of Carryforward Interest attributable to interest on unpaid Current Interest with respect to the Class A and Class B Notes);; and the Class Principal Amount on the Class A, Class B, and Class C Notes. Notes: All figures are in U.S. dollars unless otherwise noted. NASSAU 2022-I: Fitch Affirms 'BB+sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has affirmed the ratings on Nassau 2022-I Ltd.'s (Nassau 2022-I) class A-1R, A-2R, B-R, D, and E notes. Fitch has also upgraded the class C-R notes. The class C-R notes were assigned a Positive Rating Outlook following their upgrade, while the Outlooks on the other rated notes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Nassau 2022-I Ltd. A-1R 63171LAG9 LT AAAsf Affirmed AAAsf A-2R 63171LAJ3 LT AAAsf Affirmed AAAsf B-R 63171LAL8 LT AAAsf Affirmed AAAsf C-R 63171LAN4 LT AAsf Upgrade AA-sf D 63171LAE4 LT BBB+sf Affirmed BBB+sf E 63171MAA0 LT BB+sf Affirmed BB+sf KEY RATING DRIVERS Increased Credit Enhancement from Note Amortization The upgrade and Positive Outlook are mainly driven by the note amortization of the class A-1R notes. As of April 2025 reporting, approximately 79.4% of the original class A-1R balance has amortized since the refinancing, resulting in increased credit enhancement levels and break-even default rate (BEDR) cushions against relevant rating stress default levels. The Fitch weighted average rating factor of the portfolio slightly improved to 24.0 (B rating level) from 24.2 (B rating level) since the last review in September 2024. The total obligors have decreased to 119 from 153, increasing the concentration of the top 10 obligors to 18.2% from 14.0% of the portfolio. Exposure to issuers with a Negative Outlook decreased to 18.8% from 20.6% and the exposure to Fitch's watchlist decreased to 8.4% from 8.9%. The Positive Outlook on the class C-R notes indicates a potential upgrade if the amortization continues and outweighs increasing portfolio concentration and potential decline in the credit quality of the pool. Cash Flow Analysis Fitch conducted an updated cash flow analysis based on a stressed portfolio that assumed a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor; the WAL of the portfolio was extended to four years. Fitch affirmed the A-1R, A-2R, B-R, and E notes' ratings in line with their model implied ratings (MIRs) as defined in Fitch's "CLOs and Corporate CDOs Rating Criteria." The class C-R and D notes were rated one notch below their MIR, given the increasing portfolio concentration risk and potential macroeconomic headwinds. In view of deteriorating economic conditions, committee gave greater weight to the downgrade rating sensitivity described below. The Stable Outlooks on the class A-1R, A-2R, B-R, D, and E notes reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in portfolio credit quality in stress scenarios commensurate with each class's rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if the realized and projected portfolio losses are higher than what was assumed at closing and the notes' CE do not compensate for the higher loss expectation than initially assumed; - 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 downgrades of up to four notches, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Except for tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; - 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 upgrades of up to five notches, based on MIRs. 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 Nassau 2022-I Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. NEW MOUNTAIN IV: DBRS Confirms BB(low) Rating on Class D Notes -------------------------------------------------------------- DBRS, Inc. confirms the credit ratings for New Mountain Guardian IV Income Rated Feeder II, Ltd. (the Feeder Fund). These credit ratings include AA (low) for the Class A Senior Secured Deferrable Floating Rate Notes due 2037 (the Class A Notes), A (low) for the Class B Senior Secured Deferrable Floating Rate Notes due 2037 (the Class B Notes), BBB (low) for the Class C Senior Secured Deferrable Floating Rate Notes due 2037 (the Class C Notes), and BB (low) for the Class D Senior Secured Deferrable Floating Rate Notes due 2037 (the Class D Notes). All credit ratings have Stable trends. The aforementioned credit ratings address the ultimate payment of interest and the ultimate payment of principal on or before maturity. KEY CREDIT RATING CONSIDERATIONS CREDIT RATING DRIVERS If the composition of the fund were to be of a higher credit quality than anticipated, or include a higher percentage of senior secured first lien loans to corporate borrowers, the credit rating could be upgraded. The credit rating would be downgraded if the asset analysis assessment is weaker than anticipated which could be driven by: (1) weaker than expected credit risk of investments, (2) lesser diversity of portfolio investments than planned, and/or (3) a persistently lower ACR than anticipated without a credible plan to remediate. CREDIT RATING RATIONALE The Class A Notes, Class B Notes, Class C Notes and Class D Notes (together, the Rated Notes) are issued by the Feeder Fund. The Feeder Fund will also issue unrated Class E Notes and Income Notes. The Feeder Fund invests in New Mountain Guardian IV Income Fund, L.L.C. (NMG Income or the Main Fund) through its purchase of BDC shares in the Main Fund. The Main Fund is an unlevered vehicle that, in combination with New Mountain Guardian IV BDC, L.L.C., is part of the fourth fund (Fund IV) in a series of private credit funds managed by New Mountain Capital, LLC (NMC). NMC focuses on direct lending to U.S. middle and upper middle market companies and intends to pursue the same investment strategy with Fund IV as with its predecessor funds. NMG Income has completed fundraising with a capital raise of $500 million. The largely ramped portfolio has approximately 100 investments totally $452 million. The investment portfolio includes first- and second-lien loans, as well as a small portion of mezzanine loans. NM Income's final draw is by July 5, 2025. Following the final draw, NM Income will have a four-year investment period and a two-year amortization period, with up to two one-year extension options. During the amortization period, interest and principal on the Class A Notes, Class B Notes, Class C Notes, Class D Notes, and Class E Notes will be paid sequentially. The credit ratings on the Rated Notes are supported by the Feeder Fund's BDC shares in the Main Fund, which is considered a strategic investment vehicle managed by NMC. The Main Fund is an unlevered vehicle that is part of Fund IV in a series of funds managed by NMC, where the previous funds have demonstrated a strong investment and performance track record. As part of its surveillance process, Morningstar DBRS analyzed the current investment portfolio, which is largely ramped, and compared this to the expected portfolio that was constructed based on NMC's historical track record in the fund series, and expectations for NMG Income. The portfolio is ramping as expected. For the Class A Notes, Morningstar DBRS utilized specific documentation parameters including eligibility criteria, concentration limits, overcollateralization tests, among other factors to construct a worst-case scenario in assigning the credit rating. Specifically, Morningstar DBRS uses its CLO Insight Model as a tool to analyze the loan portfolio based on investment-level characteristics that drive assumptions around probability of default and recoveries for each investment. These characteristics include the credit quality, domicile, maturity, obligor, industry diversity, and seniority of each debt investment. Morningstar DBRS has privately assessed the credit quality of the debt investments made into the Main Fund, and these results have been in line with expectations. As investments are made within NMG Income, Morningstar DBRS will continue to assess the credit quality of a majority of the investments in the portfolio. These portfolio characteristics are aggregated to determine the fund asset coverage ratio (Fund ACR) ranges applicable to the Rated Notes. The investments within NMG Income, which support net cash proceeds to the Feeder Fund, are expected to benefit from the track record, relationships, and expertise of NMC. NMC has demonstrated a strong historical track record in the private credit sector, specifically with expertise in direct lending to middle market and upper middle market companies based in the U.S. NMC focuses on downside protection and collateral preservation with an average loan-to-value ratio of approximately 35%. While the Main Fund is a business development company (BDC), it has a term and is not intended to be perpetual. It is similar to a GP/LP fund, but with additional regulatory requirements that increase transparency. Benefiting the Feeder Fund, the Main Fund (as a BDC) is required to distribute at least 90% of its income to maintain its BDC status and 98% of its income for beneficial tax treatment. NMG Income utilizes a subscription facility to manage capital calls, with each draw under the subscription line required to be repaid within 6 months. The subscription line has $54 million drawn and the maximum size is $125 million. The advance rate under the subscription loan agreement will not exceed 50% of uncalled capital commitments to the Main Fund. NMC expects to paydown the subscription loan facility once NMG Income is fully called. Notes: All figures are in U.S. dollars unless otherwise noted. NEW RESIDENTIAL 2017-4: Moody's Raises Rating on 9 Tranches to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 217 bonds issued by New Residential Mortgage Loan Trust between 2015 and 2020. The transactions are backed by seasoned performing and modified re-performing residential mortgage loans (RPL). The collateral has multiple servicers and Nationstar Mortgage LLC is the master servicer for all deals. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. The complete rating actions are as follows: Issuer: New Residential Mortgage Loan Trust 2015-1 Cl. B-4, Upgraded to Aa1 (sf); previously on Jun 20, 2024 Upgraded to Aa2 (sf) Cl. B-5, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Issuer: New Residential Mortgage Loan Trust 2015-2 Cl. B-3, Upgraded to Aaa (sf); previously on Jun 20, 2024 Upgraded to Aa1 (sf) Cl. B-4, Upgraded to Aa1 (sf); previously on Jun 20, 2024 Upgraded to Aa2 (sf) Cl. B-5, Upgraded to A1 (sf); previously on Jun 20, 2024 Upgraded to A2 (sf) Issuer: New Residential Mortgage Loan Trust 2016-1 Cl. B-3, Upgraded to Aa1 (sf); previously on Jun 20, 2024 Upgraded to Aa2 (sf) Cl. B-4, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to A2 (sf) Cl. B-5, Upgraded to A3 (sf); previously on Jun 20, 2024 Upgraded to Baa3 (sf) Issuer: New Residential Mortgage Loan Trust 2016-3 Cl. B-3, Upgraded to Aa3 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B-3A, Upgraded to Aa3 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B-3B, Upgraded to Aa3 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B-3C, Upgraded to Aa3 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B3-IOA*, Upgraded to Aa3 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B3-IOB*, Upgraded to Aa3 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B3-IOC*, Upgraded to Aa3 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B-5, Upgraded to Baa2 (sf); previously on Jun 20, 2024 Upgraded to Baa3 (sf) Issuer: New Residential Mortgage Loan Trust 2017-4 Cl. B-2, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B-2B, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B-2C, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B-2-IO*, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B-2-IOA*, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B-2-IOB*, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B-2-IOC*, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to Baa1 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to Baa1 (sf) Cl. B-3B, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to Baa1 (sf) Cl. B-3C, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to Baa1 (sf) Cl. B-3-IOA*, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to Baa1 (sf) Cl. B-3-IOB*, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to Baa1 (sf) Cl. B-3-IOC*, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jun 20, 2024 Upgraded to Ba1 (sf) Cl. B-4A, Upgraded to Baa3 (sf); previously on Jun 20, 2024 Upgraded to Ba1 (sf) Cl. B-4B, Upgraded to Baa3 (sf); previously on Jun 20, 2024 Upgraded to Ba1 (sf) Cl. B-4C, Upgraded to Baa3 (sf); previously on Jun 20, 2024 Upgraded to Ba1 (sf) Cl. B-4-IOA*, Upgraded to Baa3 (sf); previously on Jun 20, 2024 Upgraded to Ba1 (sf) Cl. B-4-IOB*, Upgraded to Baa3 (sf); previously on Jun 20, 2024 Upgraded to Ba1 (sf) Cl. B-4-IOC*, Upgraded to Baa3 (sf); previously on Jun 20, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Sep 28, 2020 Downgraded to B3 (sf) Cl. B-5A, Upgraded to B1 (sf); previously on Sep 28, 2020 Downgraded to B3 (sf) Cl. B-5B, Upgraded to B1 (sf); previously on Sep 28, 2020 Downgraded to B3 (sf) Cl. B-5C, Upgraded to B1 (sf); previously on Sep 28, 2020 Downgraded to B3 (sf) Cl. B-5D, Upgraded to B1 (sf); previously on Sep 28, 2020 Downgraded to B3 (sf) Cl. B-5-IOA*, Upgraded to B1 (sf); previously on Sep 28, 2020 Downgraded to B3 (sf) Cl. B-5-IOB*, Upgraded to B1 (sf); previously on Sep 28, 2020 Downgraded to B3 (sf) Cl. B-5-IOC*, Upgraded to B1 (sf); previously on Sep 28, 2020 Downgraded to B3 (sf) Cl. B-5-IOD*, Upgraded to B1 (sf); previously on Sep 28, 2020 Downgraded to B3 (sf) Cl. B-7, Upgraded to Ba3 (sf); previously on Jun 20, 2024 Upgraded to B2 (sf) Issuer: New Residential Mortgage Loan Trust 2017-5 Cl. B-3, Upgraded to Aaa (sf); previously on Jun 20, 2024 Upgraded to Aa1 (sf) Cl. B-3A, Upgraded to Aaa (sf); previously on Jun 20, 2024 Upgraded to Aa1 (sf) Cl. B-3B, Upgraded to Aaa (sf); previously on Jun 20, 2024 Upgraded to Aa1 (sf) Cl. B-3C, Upgraded to Aaa (sf); previously on Jun 20, 2024 Upgraded to Aa1 (sf) Cl. B3-IOA*, Upgraded to Aaa (sf); previously on Jun 20, 2024 Upgraded to Aa1 (sf) Cl. B3-IOB*, Upgraded to Aaa (sf); previously on Jun 20, 2024 Upgraded to Aa1 (sf) Cl. B3-IOC*, Upgraded to Aaa (sf); previously on Jun 20, 2024 Upgraded to Aa1 (sf) Cl. B-5, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to A3 (sf) Cl. B-5A, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to A3 (sf) Cl. B-5B, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to A3 (sf) Cl. B5-IOA*, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to A3 (sf) Cl. B5-IOB*, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to A3 (sf) Issuer: New Residential Mortgage Loan Trust 2017-6 Class B-4, Upgraded to A1 (sf); previously on Jun 20, 2024 Upgraded to A2 (sf) Class B-4A, Upgraded to A1 (sf); previously on Jun 20, 2024 Upgraded to A2 (sf) Class B-4B, Upgraded to A1 (sf); previously on Jun 20, 2024 Upgraded to A2 (sf) Class B-4C, Upgraded to A1 (sf); previously on Jun 20, 2024 Upgraded to A2 (sf) Class B-5, Upgraded to A3 (sf); previously on Jun 20, 2024 Upgraded to Baa1 (sf) Class B-5A, Upgraded to A3 (sf); previously on Jun 20, 2024 Upgraded to Baa1 (sf) Class B-5B, Upgraded to A3 (sf); previously on Jun 20, 2024 Upgraded to Baa1 (sf) Class B-5C, Upgraded to A3 (sf); previously on Jun 20, 2024 Upgraded to Baa1 (sf) Class B-5D, Upgraded to A3 (sf); previously on Jun 20, 2024 Upgraded to Baa1 (sf) Class B-7, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to A3 (sf) Issuer: New Residential Mortgage Loan Trust 2018-2 Cl. B-5, Upgraded to Aa3 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B-5A, Upgraded to Aa3 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B-5B, Upgraded to Aa3 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B-5C, Upgraded to Aa3 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B-5D, Upgraded to Aa3 (sf); previously on Jun 20, 2024 Upgraded to A1 (sf) Cl. B-7, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to Aa3 (sf) Issuer: New Residential Mortgage Loan Trust 2018-4 Cl. B-3, Upgraded to Aa1 (sf); previously on Jun 20, 2024 Upgraded to Aa2 (sf) Cl. B-3A, Upgraded to Aa1 (sf); previously on Jun 20, 2024 Upgraded to Aa2 (sf) Cl. B-3B, Upgraded to Aa1 (sf); previously on Jun 20, 2024 Upgraded to Aa2 (sf) Cl. B-3C, Upgraded to Aa1 (sf); previously on Jun 20, 2024 Upgraded to Aa2 (sf) Cl. B-4, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to A2 (sf) Cl. B-4A, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to A2 (sf) Cl. B-4B, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to A2 (sf) Cl. B-4C, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to A2 (sf) Cl. B-5, Upgraded to A3 (sf); previously on Jun 20, 2024 Upgraded to Baa2 (sf) Cl. B-5A, Upgraded to A3 (sf); previously on Jun 20, 2024 Upgraded to Baa2 (sf) Cl. B-5B, Upgraded to A3 (sf); previously on Jun 20, 2024 Upgraded to Baa2 (sf) Cl. B-5C, Upgraded to A3 (sf); previously on Jun 20, 2024 Upgraded to Baa2 (sf) Cl. B-5D, Upgraded to A3 (sf); previously on Jun 20, 2024 Upgraded to Baa2 (sf) Cl. B-7, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to Baa2 (sf) Issuer: New Residential Mortgage Loan Trust 2018-5 Cl. B-4, Upgraded to Aaa (sf); previously on Jun 20, 2024 Upgraded to Aa1 (sf) Cl. B-4A, Upgraded to Aaa (sf); previously on Jun 20, 2024 Upgraded to Aa1 (sf) Cl. B-4B, Upgraded to Aaa (sf); previously on Jun 20, 2024 Upgraded to Aa1 (sf) Cl. B-4C, Upgraded to Aaa (sf); previously on Jun 20, 2024 Upgraded to Aa1 (sf) Cl. B-7, Upgraded to Aa1 (sf); previously on Jun 20, 2024 Upgraded to Aa2 (sf) Issuer: New Residential Mortgage Loan Trust 2019-1 Cl. B-3, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa2 (sf) Cl. B-3A, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa2 (sf) Cl. B-3B, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa2 (sf) Cl. B-3C, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa2 (sf) Issuer: New Residential Mortgage Loan Trust 2019-2 Cl. B-3, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa1 (sf) Cl. B-3A, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa1 (sf) Cl. B-3B, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa1 (sf) Cl. B-3C, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa1 (sf) Cl. B-3D, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa1 (sf) Cl. B-5, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A1 (sf) Cl. B-5A, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A1 (sf) Cl. B-5B, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A1 (sf) Cl. B-5C, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A1 (sf) Cl. B-5D, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A1 (sf) Cl. B-7, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to Aa3 (sf) Issuer: New Residential Mortgage Loan Trust 2019-3 Cl. B-2, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to Aa3 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to Aa3 (sf) Cl. B-2B, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to Aa3 (sf) Cl. B-2C, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to Aa3 (sf) Cl. B-2D, Upgraded to Aa2 (sf); previously on Jun 20, 2024 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to A3 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to A3 (sf) Cl. B-3B, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to A3 (sf) Cl. B-3C, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to A3 (sf) Cl. B-3D, Upgraded to A2 (sf); previously on Jun 20, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Jun 20, 2024 Upgraded to Baa2 (sf) Cl. B-4A, Upgraded to A3 (sf); previously on Jun 20, 2024 Upgraded to Baa2 (sf) Cl. B-4B, Upgraded to A3 (sf); previously on Jun 20, 2024 Upgraded to Baa2 (sf) Cl. B-4C, Upgraded to A3 (sf); previously on Jun 20, 2024 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Jun 20, 2024 Upgraded to Ba1 (sf) Cl. B-5A, Upgraded to Baa3 (sf); previously on Jun 20, 2024 Upgraded to Ba1 (sf) Cl. B-5B, Upgraded to Baa3 (sf); previously on Jun 20, 2024 Upgraded to Ba1 (sf) Cl. B-5C, Upgraded to Baa3 (sf); previously on Jun 20, 2024 Upgraded to Ba1 (sf) Cl. B-5D, Upgraded to Baa3 (sf); previously on Jun 20, 2024 Upgraded to Ba1 (sf) Issuer: New Residential Mortgage Loan Trust 2019-4 Cl. B-2, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa1 (sf) Cl. B-2A, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa1 (sf) Cl. B-2B, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa1 (sf) Cl. B-2C, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa1 (sf) Cl. B-2D, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to Aa3 (sf) Cl. B-3A, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to Aa3 (sf) Cl. B-3B, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to Aa3 (sf) Cl. B-3C, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to Aa3 (sf) Cl. B-3D, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to Aa3 (sf) Cl. B-4, Upgraded to A2 (sf); previously on Jul 23, 2024 Upgraded to A3 (sf) Cl. B-4A, Upgraded to A2 (sf); previously on Jul 23, 2024 Upgraded to A3 (sf) Cl. B-4B, Upgraded to A2 (sf); previously on Jul 23, 2024 Upgraded to A3 (sf) Cl. B-4C, Upgraded to A2 (sf); previously on Jul 23, 2024 Upgraded to A3 (sf) Cl. B-5, Upgraded to A3 (sf); previously on Jul 23, 2024 Upgraded to Baa2 (sf) Cl. B-5A, Upgraded to A3 (sf); previously on Jul 23, 2024 Upgraded to Baa2 (sf) Cl. B-5B, Upgraded to A3 (sf); previously on Jul 23, 2024 Upgraded to Baa2 (sf) Cl. B-5C, Upgraded to A3 (sf); previously on Jul 23, 2024 Upgraded to Baa2 (sf) Cl. B-5D, Upgraded to A3 (sf); previously on Jul 23, 2024 Upgraded to Baa2 (sf) Cl. B-7, Upgraded to A2 (sf); previously on Jul 23, 2024 Upgraded to Baa1 (sf) Issuer: New Residential Mortgage Loan Trust 2019-5 Cl. B-3, Upgraded to Aa1 (sf); previously on Jul 23, 2024 Upgraded to A1 (sf) Cl. B-3A, Upgraded to Aa1 (sf); previously on Jul 23, 2024 Upgraded to A1 (sf) Cl. B-3B, Upgraded to Aa1 (sf); previously on Jul 23, 2024 Upgraded to A1 (sf) Cl. B-3C, Upgraded to Aa1 (sf); previously on Jul 23, 2024 Upgraded to A1 (sf) Cl. B-3D, Upgraded to Aa1 (sf); previously on Jul 23, 2024 Upgraded to A1 (sf) Cl. B-4, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A3 (sf) Cl. B-4A, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A3 (sf) Cl. B-4B, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A3 (sf) Cl. B-4C, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A3 (sf) Cl. B-5, Upgraded to A2 (sf); previously on Jul 23, 2024 Upgraded to Baa1 (sf) Cl. B-5A, Upgraded to A2 (sf); previously on Jul 23, 2024 Upgraded to Baa1 (sf) Cl. B-5B, Upgraded to A2 (sf); previously on Jul 23, 2024 Upgraded to Baa1 (sf) Cl. B-5C, Upgraded to A2 (sf); previously on Jul 23, 2024 Upgraded to Baa1 (sf) Cl. B-5D, Upgraded to A2 (sf); previously on Jul 23, 2024 Upgraded to Baa1 (sf) Cl. B-6, Upgraded to Baa1 (sf); previously on Jul 23, 2024 Upgraded to Ba1 (sf) Cl. B-6A, Upgraded to Baa1 (sf); previously on Jul 23, 2024 Upgraded to Ba1 (sf) Cl. B-6B, Upgraded to Baa1 (sf); previously on Jul 23, 2024 Upgraded to Ba1 (sf) Cl. B-6C, Upgraded to Baa1 (sf); previously on Jul 23, 2024 Upgraded to Ba1 (sf) Cl. B-8, Upgraded to A3 (sf); previously on Jul 23, 2024 Upgraded to Ba1 (sf) Issuer: New Residential Mortgage Loan Trust 2019-6 Cl. B-2, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa2 (sf) Cl. B-2A, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa2 (sf) Cl. B-2B, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa2 (sf) Cl. B-2C, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa2 (sf) Cl. B-2D, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A2 (sf) Cl. B-3A, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A2 (sf) Cl. B-3B, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A2 (sf) Cl. B-3C, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A2 (sf) Cl. B-3D, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A2 (sf) Cl. B-4, Upgraded to A1 (sf); previously on Jul 23, 2024 Upgraded to Baa2 (sf) Cl. B-4A, Upgraded to A1 (sf); previously on Jul 23, 2024 Upgraded to Baa2 (sf) Cl. B-4B, Upgraded to A1 (sf); previously on Jul 23, 2024 Upgraded to Baa2 (sf) Cl. B-4C, Upgraded to A1 (sf); previously on Jul 23, 2024 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to A3 (sf); previously on Jul 23, 2024 Upgraded to Ba2 (sf) Cl. B-5A, Upgraded to A3 (sf); previously on Jul 23, 2024 Upgraded to Ba2 (sf) Cl. B-5B, Upgraded to A3 (sf); previously on Jul 23, 2024 Upgraded to Ba2 (sf) Cl. B-5C, Upgraded to A3 (sf); previously on Jul 23, 2024 Upgraded to Ba2 (sf) Cl. B-5D, Upgraded to A3 (sf); previously on Jul 23, 2024 Upgraded to Ba2 (sf) Cl. B-7, Upgraded to A2 (sf); previously on Jul 23, 2024 Upgraded to Ba1 (sf) Issuer: New Residential Mortgage Loan Trust 2019-RPL2 Cl. B-1, Upgraded to Aa1 (sf); previously on Jul 23, 2024 Upgraded to A1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A3 (sf) Cl. M-2, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa1 (sf) Issuer: New Residential Mortgage Loan Trust 2019-RPL3 Cl. B-1, Upgraded to Aa1 (sf); previously on Jul 23, 2024 Upgraded to A2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to Baa2 (sf) Cl. M-2, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa2 (sf) Issuer: New Residential Mortgage Loan Trust 2020-1 Cl. B-2, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa1 (sf) Cl. B-2A, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa1 (sf) Cl. B-2B, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa1 (sf) Cl. B-2C, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa1 (sf) Cl. B-2D, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A1 (sf) Cl. B-3A, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A1 (sf) Cl. B-3B, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A1 (sf) Cl. B-3C, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A1 (sf) Cl. B-3D, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A1 (sf) Cl. B-4, Upgraded to A2 (sf); previously on Jul 23, 2024 Upgraded to A3 (sf) Cl. B-4A, Upgraded to A2 (sf); previously on Jul 23, 2024 Upgraded to A3 (sf) Cl. B-4B, Upgraded to A2 (sf); previously on Jul 23, 2024 Upgraded to A3 (sf) Cl. B-4C, Upgraded to A2 (sf); previously on Jul 23, 2024 Upgraded to A3 (sf) Cl. B-5, Upgraded to Baa1 (sf); previously on Jul 23, 2024 Upgraded to Baa3 (sf) Cl. B-5A, Upgraded to Baa1 (sf); previously on Jul 23, 2024 Upgraded to Baa3 (sf) Cl. B-5B, Upgraded to Baa1 (sf); previously on Jul 23, 2024 Upgraded to Baa3 (sf) Cl. B-5C, Upgraded to Baa1 (sf); previously on Jul 23, 2024 Upgraded to Baa3 (sf) Cl. B-5D, Upgraded to Baa1 (sf); previously on Jul 23, 2024 Upgraded to Baa3 (sf) Cl. B-7, Upgraded to A3 (sf); previously on Jul 23, 2024 Upgraded to Baa2 (sf) Issuer: New Residential Mortgage Loan Trust 2020-RPL1 Cl. B-1, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to A3 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Jul 23, 2024 Upgraded to Baa3 (sf) Cl. M-2, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa3 (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 rating upgrades are a result of the improved loss coverage for the tranches given a continued growth of credit enhancement as the bonds amortize and a steady collateral performance in recent years. The credit enhancement available to the tranches Moody's upgraded showed a one-year increase of 9.3% on average. The loans underlying the pools have fewer delinquencies and lower realized losses than originally anticipated. Each of the deals Moody's reviewed have an average loan seasoning over 200 months. As a result of the long pay history, coupled with the robust home price appreciation that Moody's have seen over the past decade, Moody's believes that the average borrower has built significant equity in their home. This dynamic has supported the lower default numbers over time and, lower cumulative losses given strong recovery values should a borrower default. Cumulative net losses for all deals reviewed are currently below 2%. As a result of the strong performance, Moody's lowered Moody's loss projection for most deals when compared to Moody's prior review in 2024. 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 and credit enhancement. Moody's analysis also considered the relationship of exchangeable bonds to the bonds they could be exchanged for. Principal Methodologies The methodologies used in rating all classes except interest-only classes were "Non-performing and Re-performing Loan Securitizations" published in April 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. NGC CLO 2: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------- S&P Global Ratings assigned its ratings to NGC CLO 2 Ltd./NGC CLO 2 LLC's fixed- and floating-rate debt The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by NGC CLO Manager LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned NGC CLO 2 Ltd./NGC CLO 2 LLC Class X, $4.00 million: AAA (sf) Class A-1, $240.00 million: AAA (sf) Class A-J, $24.00 million: AAA (sf) Class B, $40.00 million: AA (sf) Class C-1 (deferrable), $24.00 million: A (sf) Class C-J (deferrable), $4.00 million: A (sf) Class D-1 (deferrable), $20.00 million: BBB- (sf) Class D-J (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $37.05 million: NR NR--Not rated. OCTAGON INVESTMENT 36: Moody's Cuts Rating on $20MM E Notes to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following note issued by Octagon Investment Partners 36, Ltd.: US$43,750,000 Class C Secured Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aa1 (sf); previously on March 22, 2023 Upgraded to A1 (sf) Moody's have also downgraded the rating on the following notes: US$20,000,000 Class E Secured Deferrable Junior Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on August 3, 2020 Confirmed at Ba3 (sf) Octagon Investment Partners 36, Ltd., originally issued in April 2018, 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 April 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action on the Class C notes is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since February 2024. The Class A-1 notes have been paid down by approximately 46.9% or $126.2 million since then. Based on Moody's calculations, the OC ratio for the Class C notes is currently 127.20%, versus February 2024 levels of 120.17%. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the weighted average rating factor (WARF) and weighted average spread (WAS) have been deteriorating and the current levels are 3052 and 3.11%, respectively, compared to 2806 and 3.47%, respectively, in February 2024. No actions were taken on the Class A-1, Class A-2, Class B, Class D and Class F 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: $324,126,363 Defaulted par: $2,845,598 Diversity Score: 66 Weighted Average Rating Factor (WARF): 3052 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.11% Weighted Average Coupon (WAC): 8.0% Weighted Average Recovery Rate (WARR): 46.78% Weighted Average Life (WAL): 3.54 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 Used for 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. PIKES PEAK 18: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and ratings outlook to Pikes Peak CLO 18. Entity/Debt Rating ----------- ------ Pikes Peak CLO 18 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 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Pikes Peak CLO 18 (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Partners Group US Management CLO LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $370 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 23.7 versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.92% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.83% versus a minimum covenant, in accordance with the initial expected matrix point of 71.4%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-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, 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, 'AAsf' for class C, '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 Pikes Peak CLO 18. 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. PMT LOAN 2025-INV4: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 61 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2025-INV4, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2025-INV4 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aa1 (sf) Cl. A-32, Definitive Rating Assigned Aa1 (sf) Cl. A-33, Definitive Rating Assigned Aa1 (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X7*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X11*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X25*, Definitive Rating Assigned Aaa (sf) Cl. A-X26*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X31*, Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans, assigned on March 31, 2025, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.73%, in a baseline scenario-median is 0.42% and reaches 8.10% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PRESTIGE AUTO 2025-1: S&P Assigns Prelim 'BB-' Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Prestige Auto Receivables Trust 2025-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of April 21, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 61.70%, 56.11%, 44.91%, 36.28%, and 31.70% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1 and A-2 collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.35x, 2.10x, 1.70x, 1.37x, and 1.20x coverage of our expected cumulative net loss of 26.00% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.37x our expected loss level), all else being equal, our preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within our credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios, which we believe are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, our view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A., which does not constrain the preliminary ratings. -- S&P's operational risk assessment of Prestige Financial Services Inc. as servicer, and its view of the company's underwriting and the backup servicing arrangements with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Prestige Auto Receivables Trust 2025-1 Class A-1, $33.00 million: A-1+ (sf) Class A-2, $65.84 million: AAA (sf) Class B, $24.34 million: AA (sf) Class C, $41.14 million: A (sf) Class D, $28.42 million: BBB (sf) Class E, $20.39 million: BB- (sf) PROGRESS RESIDENTIAL 2024-SFR2: DBRS Confirms BB Rating on F Certs ------------------------------------------------------------------ DBRS, Inc. reviewed 20 classes from four U.S. residential mortgage-backed securities (RMBS) transactions. Of the four transactions reviewed, two are classified as home equity line of credits, and one of each are classified as reperforming mortgage and single-family rental. Of the 20 classes reviewed, Morningstar DBRS upgraded its credit ratings on five classes and confirmed its credit ratings on the remaining 15 classes. Progress Residential Trust 2024-SFR2 Single Family Rental Pass Through Certificate Class A AAA (sf) Confirmed Class B AA (high) (sf) Confirmed Class C A (sf) Confirmed Class D BBB (high) (sf) Confirmed Class E1 BBB (sf) Confirmed Class E2 BBB (low) (sf) Confirmed Class F BB (sf) Confirmed Saluda Grade Alternative Mortgage Trust 2024-FIG5 Asset-Backed Securities, Series 2024-FIG5 Class A AAA (sf) Confirmed Class B AA (low) (sf) Confirmed Class C A (low) (sf) Confirmed Class D BBB (low) (sf) Confirmed Class E BB (low) (sf) Confirmed 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 (https://dbrs.morningstar.com/research/435291) or "Rating and Monitoring U.S. Single-Family Rental Securitizations," published on September 30, 2024 (https://dbrs.morningstar.com/research/440087). Notes: All figures are in U.S. dollars unless otherwise noted. PROGRESS RESIDENTIAL 2025-SFR2: DBRS Assigns BB Rating on F1 Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the Single-Family Rental Pass-Through Certificates (the Certificates) issued by Progress Residential 2025-SFR2 Trust (PROG 2025-SFR2 or the Issuer): -- $299.5 million Class A at AAA (sf) -- $53.2 million Class B at AA (sf) -- $41.9 million Class C at A (sf) -- $58.9 million Class D at BBB (sf) -- $21.2 million Class E1 at BBB (sf) -- $23.1 million Class E2 at BBB (low) (sf) -- $36.3 million Class F1 at BB (sf) -- $24.7 million Class F2 at BB (low) (sf) -- $34.6 million Class G at B (low) (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The AAA (sf) credit rating on the Class A certificates reflects 54.35% of credit enhancement provided by subordinate certificates. The AA (sf), A (sf), BBB (sf), BBB (low) (sf), BB (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 46.24%, 39.85%, 27.64%, 24.12%, 18.59%, 14.82%, and 9.55%, respectively, of credit enhancement. The PROG 2025-SFR2 certificates are supported by the income streams and values from 2,286 rental properties, a large portion of which has been acquired through Front Yard merger in January 2021 and previously securitized in the PROG 2021-SFR2. The properties are distributed across eight states and 29 MSAs in the United States. Morningstar DBRS maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by BPO value, 61.8% of the portfolio is concentrated in three states: Georgia (27.6%), Florida (18.0%), and Texas (16.2%). The average BPO value is $288,414. The average age of the properties is roughly 35 years as of the cut-off date. The majority of the properties have three or more bedrooms. The certificates represent a beneficial ownership in an approximately five-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $656.0 million. Morningstar DBRS finalized its provisional credit ratings for each class of Certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses Morningstar DBRS' single-family rental (SFR) subordination analytical tool and is based on Morningstar DBRS' published criteria. Morningstar DBRS developed property-level stresses for the analysis of SFR assets. Morningstar DBRS assigned the provisional credit ratings to each class based on the levels of stress each class can withstand and whether such stresses are commensurate with the applicable credit rating level. Morningstar DBRS' analysis includes estimated base-case net cash flows (NCFs) derived by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The Morningstar DBRS NCF analysis resulted in a minimum debt service coverage ratio higher than 1.0 times. Furthermore, Morningstar DBRS reviewed the participants in the transaction, including the property manager, servicer, and special servicer; these transaction parties are acceptable to Morningstar DBRS. Morningstar DBRS also conducted a legal review and found no material credit rating concerns. Notes: All figures are in U.S. dollars unless otherwise noted. PRPM 2025-RCF2: DBRS Finalizes BB Rating on Class M-2 Notes ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RCF2 (the Notes) to be issued by PRPM 2025-RCF2, LLC (PRPM 2025-RCF2 or the Trust): -- $184.9 million Class A-1 at AAA (sf) -- $19.4 million Class A-2 at AA (low) (sf) -- $13.4 million Class A-3 at A (low) (sf) -- $9.3 million Class M-1 at BBB (low) (sf) -- $5.9 million Class M-2 at BB (sf) The AAA (sf) credit rating on the Class A-1 Notes reflects 26.70% of credit enhancement provided by the subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), and BB (sf) credit ratings reflect 19.00%, 13.70%, 10.00%, and 7.65% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of newly originated and seasoned, performing and reperforming, first-lien residential mortgages, to be funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 841 loans with a total principal balance of $252,239,765 as of the Cut-Off Date (February 28, 2025). Morningstar DBRS calculated the portfolio to be approximately 52 months seasoned on average, though the age of the loans is quite dispersed, ranging from two months to 441 months. Approximately 78.0% of the loans had origination guideline or document deficiencies, which prevented these loans from being sold to Fannie Mae, Freddie Mac, or another purchaser, and the loans were subsequently put back to the sellers. In its analysis, Morningstar DBRS assessed such defects and applied certain penalties, consequently increased expected losses on the mortgage pool. In the portfolio, 16.4% of the loans are modified. The modifications happened more than two years ago for 95.7% of the modified loans. Within the portfolio, 118 mortgages have non-interest-bearing deferred amounts representing 0.9% of the total unpaid principal balance. Unless specified otherwise, all statistics on the mortgage loans in this report are based on the current UPB, including the applicable non-interest-bearing deferred amounts. Based on Issuer-provided information, certain loans in the pool (17.6%) are not subject to or exempt from the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because of seasoning or because they are business-purpose loans. The loans subject to the ATR rules are designated as QM Safe Harbor (42.1%), QM Rebuttable Presumption (2.3%), and Non-Qualified Mortgage (Non-QM; 38.0%) by UPB. BM-SC, LLC. (the Sponsor) acquired the mortgage loans prior to the up-coming Closing Date and, through a wholly owned subsidiary, PRP Depositor 2025-RCF2, LLC (the Depositor), will contribute the loans to the Trust. As the Sponsor, BM-SC, LLC. or one of its majority-owned affiliates will acquire and retain a portion of the Class B Notes and the membership certificate representing the initial overcollateralization amount to satisfy the credit risk retention requirements. PRPM 2025-RCF2 is the tenth "scratch and dent" rated securitization for the Issuer. The Sponsor has securitized many rated and unrated transactions under the PRPM shelf, most of which have been seasoned, reperforming, and nonperforming securitizations. On or before 45 days after the closing date, loans serviced by interim servicers, representing 3.7% of the mortgage loans, will be transferred to SN Servicing Corporation (SNSC), bringing total loans serviced to 55.5% of the pool. Nationstar Mortgage LLC doing business as Rushmore Servicing (Rushmore) will service the remaining 44.5% of the pool. The Servicers will not advance any delinquent principal and interest (P&I) on the mortgages; however, the Servicers are obligated to make advances in respect of prior liens, insurance, real estate taxes, and assessments as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Issuer has the option to redeem the Notes in full at a price equal to the sum of (1) the remaining aggregate Note Amount; (2) any accrued and unpaid interest due on the Notes through the redemption date (including any Cap Carryover); and (3) any fees and expenses of the transaction parties, including any unreimbursed servicing advances (Redemption Price). Such Optional Redemption may be exercised on or after the payment date in April 2027 (Optional Redemption). Additionally, a failure to pay the Notes in full by the Payment Date in April 2030 will trigger a mandatory auction of the underlying certificates on the May 2030 payment date by the Asset Manager or an agent appointed by the Asset Manager. If the auction fails to elicit sufficient proceeds to make-whole the Notes, another auction will follow every four months for the first year and subsequent auctions will be carried out every six months. If the Asset Manager fails to conduct the auction, the holder of more than 50% of the Class M-2 Notes will have the right to appoint an auction agent to conduct the auction. The transaction employs a sequential-pay cash flow structure with a bullet feature to Class A-2 and more subordinate notes on the Expected Redemption Date (Payment Date in April 2029) or the occurrence of a Credit Event. Interest and principal collections are first used to pay interest and any Cap Carryover amount to the Notes sequentially and then to pay Class A-1 until its balance is reduced to zero, which may provide for timely payment of interest on certain rated Notes. Class A-2 and below are not entitled to any payments of principal until the Expected Redemption Date or upon the occurrence of a Credit Event, except for remaining available funds representing net sale proceeds of the mortgage loans. Prior to the Expected Redemption Date or a Credit Event, any available funds remaining after Class A-1 is paid in full will be deposited into a Redemption Account. Beginning on the Payment Date in April 2029, the Class A-1 and the other offered Notes will be entitled to the initial Note Rate plus the step-up note rate of 1.00% per annum. If the Issuer does not redeem the rated Notes in full by the payment date in July 2031, or an Event of Default occurs and is continuing, a Credit Event will have occurred. Upon the occurrence of a Credit Event, accrued interest on Class A-2 and the other offered Notes will be paid as principal to Class A-1 or the succeeding senior Notes until it has been paid in full. The redirected amounts will accrue on the balances of the respective Notes and will later be paid as principal payments. Natural Disasters/Wildfires With regard to any mortgage loan that may have suffered material damage prior to the Closing Date as a result of the Los Angeles Wildfires, the Sponsor will either remove or repurchase the Potentially Affected Wildfire Property, as defined in the Indenture, prior to the Closing Date within ninety (90) days of receipt of evidence and determination by the Sponsor at the Repurchase Price, as defined in the Indenture, and provide notice to the Indenture Trustee of such repurchase. Maryland Consumer Purpose In 2024, the Maryland Appellate Court ruled that a statutory trust that held a defaulted home equity line of credit (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 1.7% of the pool (17 loans) are Maryland consumer-purpose mortgage loans. Notes: All figures are in US dollars unless otherwise noted. PRPM 2025-RPL3: DBRS Gives Prov. BB Rating on Class M-2 Notes ------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2025-RPL3 (the Notes) to be issued by PRPM 2025-RPL3, LLC (PRPM 2025-RPL3 or the Trust): -- $253.0 million Class A-1 at (P) AAA (sf) -- $26.5 million Class A-2 at (P) AA (low) (sf) -- $17.1 million Class A-3 at (P) A (low) (sf) -- $13.0 million Class M-1 at (P) BBB (low) (sf) -- $8.5 million Class M-2 at (P) BB (sf) The (P) AAA (sf) credit rating on the Class A-1 Notes reflects 28.90% of credit enhancement provided by the subordinated notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), and (P) BB (sf) credit ratings reflect 21.45%, 16.65%, 13.00%, and 10.60% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Trust is a securitization of seasoned performing and reperforming, first-lien (one loan is second-lien) residential mortgages, to be funded by the issuance of the Notes. The Notes are backed by 1,784 loans with a total principal balance of $355,814,808 as of the Cut-Off Date (February 28, 2025). The mortgage loans are approximately 95 months seasoned. As of the Cut-Off Date, 76.4% of the loans are current under the Mortgage Bankers Association delinquency method, including 17 (1.1% of the loans) bankruptcy-performing loans. The current delinquency status distribution for this pool is as follows. The number of months clean (consecutively zero times 30 days delinquent) at issuance is stronger relative to other Morningstar DBRS-rated seasoned transactions, over the past 12 months, 67.4% of the mortgage loans have made 12 or more payments. Modified loans make up 24.0% of the portfolio. The modifications happened more than two years ago for 92.5% of the modified loans. Within the pool, 181 mortgages (10.1% of the pool by loan count) have a total noninterest-bearing deferred amount of $2,744,804, which equates to approximately 0.8% of the total principal balance. To satisfy the credit risk retention requirements, as of the Closing Date, the Sponsor or a majority-owned affiliate of the Sponsor, will retain the Membership Certificate, which represent a 100% equity interest in the Issuer, and a requisite amount of the Class B Notes. SN Servicing Corporation (89.3%) and Nationstar Mortgage LLC d/b/a Rushmore Servicing (10.7%) will service the loans in this transaction. The Servicers will not advance any delinquent principal and interest (P&I) on the mortgages; however, the Servicers is obligated to make advances in respect of prior liens, insurance, real estate taxes, and assessments as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Issuer has the option to redeem the Notes in full at a price equal to the sum of (1) the remaining aggregate Note Amount; (2) any accrued and unpaid interest due on the Notes through the redemption date (including any Cap Carryover); and (3) any fees and expenses of the transaction parties, including any unreimbursed servicing advances (Redemption Price). Such Optional Redemption may be exercised on or after the payment date in April 2026. Additionally, a failure to redeem the Notes in full by the Payment Date in April 2029 will trigger a mandatory auction of the underlying certificates (mortgage loans). If the auction fails to elicit sufficient proceeds to make whole the Notes, another auction will follow every four months for the first year and subsequently auctions will be carried out every six months. If the Asset Manager fails to conduct the auction, holders of more than 50% of the Class M-2 Notes will have the right to appoint an auction agent to conduct the auction. The transaction employs a sequential-pay cash flow structure with a bullet feature to Class A-2 and more subordinate notes on either the Expected Redemption Date or post a Credit Event. P&I collections are commingled and are first used to pay interest and any Cap Carryover amount to the Notes sequentially and then to pay Class A-1 until its balance is reduced to zero, which may provide for timely payment of interest on certain rated Notes. Class A-2 and below are not entitled to any payments of principal until the Expected Redemption Date or upon the occurrence of a Credit Event, except for remaining available funds representing net sales proceeds of the mortgage loans. Prior to the Expected Redemption Date or an Event of Default, any available funds remaining after Class A-1 is paid in full will be deposited into a Redemption Account. Beginning on the Payment Date April 2028, the Class A-1 and the other offered Notes will be entitled to its initial Note Rate plus the step-up note rate of 1.00% per annum. If the Issuer does not redeem the rated Notes in full by the payment date in May 2029 or an Event of Default occurs and is continuing, a Credit Event will have occurred. Upon the occurrence of a Credit Event, accrued interest on Class A-2 and the other offered Notes will be paid as principal to Class A-1 or the succeeding senior Notes until it has been paid in full. The redirected amounts will accrue on the balances of the respective Notes and will later be paid as principal payments. MARYLAND CONSUMER PURPOSE In 2024, the Maryland Appellate Court ruled that a statutory trust that held a defaulted home equity line of credit (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 2.7% of the pool (40 loans) are Maryland consumer-purpose mortgage loans. Notes: All figures are in U.S. dollars unless otherwise noted. PRPM 2025-RPL3: Fitch Assigns 'BB-sf' Final Rating on Cl. M-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to PRPM 2025-RPL3, LLC. Entity/Debt Rating Prior ----------- ------ ----- PRPM 2025-RPL3, LLC A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AA-sf New Rating AA-(EXP)sf A-3 LT A-sf New Rating A-(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf M-2 LT BB-sf New Rating BB-(EXP)sf B LT NRsf New Rating NR(EXP)sf CERT LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 1,784 loans with a balance of $355.81 million as of the cutoff date. This will be the fourth PRPM reperforming loan (RPL) transaction rated by Fitch. The notes are secured by a pool of fixed, step-rate and adjustable-rate mortgage loans, some of which have an initial interest-only (IO) period, that are primarily fully amortizing with original terms to maturity of 30 years. The loans are primarily secured by first liens largely on single-family residential properties, units in planned unit developments (PUDs), townhouses, co-ops, condominiums, and manufactured housing. In the pool, 100% of the loans are seasoned performing, non-performing, and re-performing loans. According to Fitch, 6.3% of the loans are nonqualified mortgages (non-QM, or NQM) as defined by the Ability to Repay (ATR) rule (the Rule), 60.4% are safe-harbor or high-priced QM loans and the remaining 33.3% are exempt from the QM rule as they are investment properties or were originated prior to the ATR rule taking effect in January 2014. SN Servicing Corp. (SNSC), rated 'RPS3'/Stable by Fitch, and Nationstar Mortgage LLC, d/b/a Rushmore Servicing and rated 'RSS2'/Stable by Fitch, will service all of the loans in the pool. The majority of the loans in the collateral pool comprise fixed-rate mortgages, though Fitch considered 2.5% of the pool to be comprised of step loans or loans with an adjustable rate. The offered class A and M notes are fixed rate and capped at the available funds cap (AFC). The note rate for the class A-2, A-3, M-1, and M-2, notes will the lesser of (i) the applicable fixed rate per annum set forth in the table above or (ii) the related AFC and interest will accrue on each class of notes (other than the class B notes) on a 30/360 basis. The class B notes will not have a note rate and will not be entitled to any payments of interest. Furthermore, classes A and M have a step-up coupon feature if the deal is not called in April 2028. Fitch was only asked to rate the class A-1, A-2, A-3, M-1, and M-2 notes. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.7% above a long-term sustainable level (versus 11.1% on a national level as of 3Q24, down 0.5% since last quarter, based on Fitch's updated view on sustainable home prices). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices increased 3.8% yoy nationally as of November 2024, despite modest regional declines, but are still being supported by limited inventory. Seasoned Performing, Reperforming, and Non-Performing Credit Quality (Mixed): The collateral consists of 1,784 primarily first-lien, fixed-rate and ARM loans with maturities of mainly 30 years totaling $355.81 million, including deferred balances. Specifically, the pool comprises 97.5% fully amortizing fixed-rate loans, 2.3% fully amortizing ARM loans, and 0.2% step loans that were treated as ARM loans. The pool is seasoned at 94 months per the transaction documents (97 months, as determined by Fitch). The borrowers in this pool have relatively strong credit profiles with a Fitch-determined weighted average (WA) FICO score of 702 (698 WA non-zero FICO, per the transaction documents) and a 43.5% Fitch-determined debt-to-income ratio (DTI), as well as moderate leverage, with an original combined loan-to-value ratio (CLTV) as determined by Fitch of 83.3%, translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 56.4%. In its analysis, 80.4% of the pool consists of loans where the borrower maintains a primary or secondary residence, while 19.6% comprises investor properties or properties where the occupancy status was unknown or vacant. Fitch treated loans with an occupancy status or unknown or vacant as investor occupied. Investor loans have a higher probability of default (PD) than owner occupied homes. In Fitch's analysis, the majority of the loans, 92.8%, are to single-family homes and PUDs, 6.0% to condos, 1.1% to manufactured housing, and 0.1% to co-ops. As such, Fitch treated manufactured properties as multifamily and, as a result, the PD was increased for these loans. According to Fitch, 6.3% of the loans are designated as non-QM loans and 60.4% are safe-harbor or high-priced QM loans, while the remaining 33.3% are exempt from QM status as they are investor occupied or originated prior to January 2014. The pool contains five loans over $1.0 million, with the largest loan at $1.74 million. Fitch considered 45 loans to have subordinate financing due to delinquent (DQ) interest amounts. These DQ interest amounts are not being securitized but are still owed to the trust. For the loans with the DQ interest, the CLTV was increased, which increased both the PD and loss severities (LS) and resulted in higher losses than loans without DQ interest owed with similar collateral characteristics. Fitch viewed all but one of the pool loans as first lien based on data provided in the tape and confirmation from the servicer on the lien position. Around 18.3% of the pool is concentrated in California. The largest MSA concentration is in the Los Angeles MSA at 7.7%, followed by the New York MSA at 6.6% and the Washington MSA at 4.1%. The top three MSAs account for 18.4% of the pool. There was no penalty for geographic concentration. According to Fitch, 76.4% of the pool is current as of the cutoff date. Overall, the pool characteristics reflect RPL collateral; therefore, the pool was analyzed using its RPL model and Fitch extended liquidation timelines as it typically does for RPL pools. No Advancing (Mixed): The servicers will not be advancing DQ monthly payments of principal and interest (P&I). Because P&I advances made on behalf of loans that become DQ and eventually liquidate reduce liquidation proceeds to the trust, the loan-level 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 notes, principal will need to be used to pay for interest accrued on DQ 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 class. Sequential Deal Structure with Overcollateralization (OC) (Mixed): The transaction utilizes a sequential payment structure with no advances of DQ principal or interest. The transaction also includes a structural feature where it reallocates interest from the more junior classes to pay principal on the more senior classes on or after the occurrence of a credit event. The amount of interest paid out as principal to the more senior class(es) is added to the balance of the impacted junior class(es). This feature allows for a faster paydown of the senior classes. Offsetting this positive is the transaction will not write down the bonds due to potential losses or undercollateralization. In periods of adverse performance, the subordinate bonds will continue to be paid interest from available funds at the expense of principal payments that otherwise would support the more senior bonds, while a more traditional structure would have them written down and accruing a smaller amount of interest. The potential for increasing amounts of undercollateralization is partially mitigated by reallocation of available funds on and after the May 2029 payment date. The coupons on the notes are based upon the lower of the AFC or the stated coupon. If the AFC is paid, it is considered a coupon cap shortfall (interest shortfall) and the coupon cap shortfall amount is the difference between interest that was paid (per the AFC) and what should have been paid based on the stated coupon. If the transaction is not called, the coupons step up 100 bps. The class B and the Membership Certificate class will be issued as principal-only (PO) bonds and will not accrue interest. The transaction has overcollateralization (OC), which will provide subordination and protect the classes from losses. Classes will not be written down by realized 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 41.9%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all 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) prepared by Infinity, AMC, and ProTitle. The third-party due diligence described in Form 15E focused on four areas: compliance review, data integrity, servicing review, and title review. Fitch considered this information in its analysis and increased its loss expectations by 250 bps at the 'AAAsf' rating category to account for the due diligence findings. Fitch also received confirmation from the servicer that the lien status and payment history provided in the tape is accurate per its records. There is one second-lien loan in the pool. As a result, Fitch was comfortable relying on the payment history data and the lien status provided in the tape. The title search did note $171,719 (per the 15E) in HOA liens in super lien states, muni/water/sewer/code violations and $311,422 in delinquent taxes. The servicer will need to advance on these liens to maintain the lien position. Fitch increased the LS by the amount of the municipal and code liens, HOA liens in super lien states, and delinquent taxes, but the impact was not material and did not increase the actual LS in any rated stress. There were four loans that had material TRID issues where the statute of limitations has not yet expired. For these loans, Fitch increased the LS by $15,500 per loan to account for these findings. Fitch did not consider this increase in LS to be material as it did not increase Fitch's loss expectations. The custodian is actively tracking down missing documents. In the event a missing document materially delays or prevents a foreclosure, the sponsor will have 120 days to find the document or cure the issue. If the sponsor cannot cure the issue or find the missing documents, they will repurchase the loan at the repurchase price. As such, Fitch only extended timelines for missing documents. 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 Infinity, AMC, and ProTitle to perform the review. Loans reviewed under this engagement were given initial and final compliance grades. 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 do materially affect the overall credit risk of the loans; please 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 PRPM 2025-RPL3 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. RAD CLO 29: Fitch Assigns 'BB-sf' Final Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to RAD CLO 29, Ltd. Entity/Debt Rating Prior ----------- ------ ----- RAD CLO 29, Ltd. A LT NRsf New Rating NR(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary RAD CLO 29, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Irradiant Partners LP. 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 24.00 versus a maximum covenant, in accordance with the initial expected matrix point of 24.00. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.62% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.22% versus a minimum covenant, in accordance with the initial expected matrix point of 68.25%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BBsf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A+sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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. Date of Relevant Committee 14 April 2025 ESG Considerations Fitch does not provide ESG relevance scores for RAD CLO 29, 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. SILVER POINT 2: Fitch Assigns 'BB-sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Silver Point CLO 2, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Silver Point CLO 2, Ltd. A-1-R LT NRsf New Rating A-2 82808EAC5 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B-1 82808EAE1 LT PIFsf Paid In Full AAsf B-2 82808EAG6 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 82808EAJ0 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 82808EAL5 LT PIFsf Paid In Full BBB+sf D-1-R LT BBB-sf New Rating D-2 82808EAN1 LT PIFsf Paid In Full BBB-sf D-2-R LT BBB-sf New Rating E 82808HAA2 LT PIFsf Paid In Full BBsf E-R LT BB-sf New Rating F-R LT NRsf New Rating Transaction Summary Silver Point CLO 2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Silver Point RR Manager, L.P. The transaction originally closed in May 2023, and this will be the first reset. The existing secured notes will be refinanced in whole on April 21, 2025, from proceeds of the new secured notes. Net proceeds from the issuance of the secured notes along with the existing 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 97.2% first-lien senior secured loans and has a weighted average recovery assumption of 73.2%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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 A2R, between 'BB+sf' and 'A+sf' for class BR, between 'B+sf' and 'BBB+sf' for class CR, between less than 'B-sf' and 'BB+sf' for class D1R, and between less than 'B-sf' and 'BB+sf' for class D2R and between less than 'B-sf' and 'B+sf' for class ER. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A2R 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 BR, 'AAsf' for class CR, 'A+sf' for class D1R, and 'A-sf' for class D2R and 'BBB+sf' for class ER. 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 Silver Point CLO 2, 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. SILVER POINT 2: Moody's Assigns B3 Rating to $312,500 Cl. F-R Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of refinancing notes (the Refinancing Notes) issued by Silver Point CLO 2, Ltd. (the Issuer): US$320,000,000 Class A-1-R Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$312,500 Class F-R Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's 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. 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 not senior secured loans or eligible investments. Silver Point RR Manager, L.P. (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 extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and the other six classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; change of Issuer's jurisdiction of incorporation; additions to the CLO's ability to hold workout and restructured assets; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3029 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 45.50% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. SYMETRA CLO 2025-1: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Symetra CLO 2025-1 Ltd./Symetra CLO 2025-1 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 Symetra Investment Management Co. 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 Symetra CLO 2025-1 Ltd./Symetra CLO 2025-1 LLC Class A-1, $256.00 million: AAA (sf) Class A-2, $8.00 million: AAA (sf) Class B, $40.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $16.00 million: BB- (sf) Subordinated notes, $40.00 million: Not rated TOWD POINT 2015-1: Moody's Upgrades Rating on Cl. B Certs to Caa2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 75 bonds from 24 deals issued by Towd Point Mortgage Trust between 2015 and 2019. The transactions are backed by seasoned performing and modified re-performing residential mortgage loans (RPL). The collateral is serviced by multiple servicers. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. The complete rating actions are as follows: Issuer: Towd Point Mortgage Trust 2015-1 Cl. B, Upgraded to Caa2 (sf); previously on Nov 16, 2017 Assigned Ca (sf) Cl. B1, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to A1 (sf) Cl. B2, Upgraded to Caa3 (sf); previously on Nov 16, 2017 Assigned C (sf) Issuer: Towd Point Mortgage Trust 2015-2 Cl. 1-B3, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to A1 (sf) Issuer: Towd Point Mortgage Trust 2015-3 Cl. B3, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to A1 (sf) Cl. B4, Upgraded to Caa3 (sf); previously on Feb 7, 2020 Assigned C (sf) Issuer: Towd Point Mortgage Trust 2015-4 Cl. B3, Upgraded to Aa1 (sf); previously on Jul 3, 2024 Upgraded to A3 (sf) Cl. B4, Upgraded to Ca (sf); previously on Feb 7, 2020 Assigned C (sf) Issuer: Towd Point Mortgage Trust 2015-5 Cl. B3, Upgraded to Aa2 (sf); previously on Jul 3, 2024 Upgraded to Baa1 (sf) Issuer: Towd Point Mortgage Trust 2015-6 Cl. B3, Upgraded to A1 (sf); previously on Jul 3, 2024 Upgraded to Ba1 (sf) Cl. B4, Upgraded to Ca (sf); previously on Feb 7, 2020 Assigned C (sf) Issuer: Towd Point Mortgage Trust 2016-1 Cl. B3, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to A2 (sf) Issuer: Towd Point Mortgage Trust 2016-2 Cl. B2, Upgraded to Aaa (sf); previously on Oct 23, 2023 Upgraded to Aa1 (sf) Cl. B3, Upgraded to A1 (sf); previously on Jul 3, 2024 Upgraded to Baa2 (sf) Issuer: Towd Point Mortgage Trust 2016-3 Cl. B3, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to Aa2 (sf) Cl. B4, Upgraded to Aa3 (sf); previously on Jul 3, 2024 Upgraded to Ba1 (sf) Issuer: Towd Point Mortgage Trust 2016-4 Cl. B4, Upgraded to Aa2 (sf); previously on Jul 3, 2024 Upgraded to Baa1 (sf) Cl. B5, Upgraded to B1 (sf); previously on Feb 7, 2020 Assigned C (sf) Issuer: Towd Point Mortgage Trust 2016-5 Cl. B2, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to Aa2 (sf) Cl. B3, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to A2 (sf) Cl. B4, Upgraded to A2 (sf); previously on Jul 3, 2024 Upgraded to B1 (sf) Issuer: Towd Point Mortgage Trust 2017-1 Cl. B2, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to Aa2 (sf) Cl. B3, Upgraded to Aa2 (sf); previously on Jul 3, 2024 Upgraded to Baa2 (sf) Issuer: Towd Point Mortgage Trust 2017-2 Cl. B2, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to Aa1 (sf) Cl. B3, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to A2 (sf) Issuer: Towd Point Mortgage Trust 2017-3 Cl. B2, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to A1 (sf) Cl. B3, Upgraded to Aa2 (sf); previously on Jul 3, 2024 Upgraded to Baa2 (sf) Issuer: Towd Point Mortgage Trust 2017-6 Cl. B1, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to Aa2 (sf) Cl. B2, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to A2 (sf) Issuer: Towd Point Mortgage Trust 2018-1 Cl. B2, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to A1 (sf) Cl. B3, Upgraded to A1 (sf); previously on Jul 3, 2024 Upgraded to Baa3 (sf) Issuer: Towd Point Mortgage Trust 2018-2 Cl. B1, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to Aa2 (sf) Cl. B2, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to A2 (sf) Issuer: Towd Point Mortgage Trust 2018-5 Cl. A4, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to Aa1 (sf) Cl. A5, Upgraded to Caa1 (sf); previously on Feb 7, 2020 Assigned Caa2 (sf) Cl. B1, Upgraded to A2 (sf); previously on Jul 3, 2024 Upgraded to Baa3 (sf) Cl. B2, Upgraded to A3 (sf); previously on Jul 3, 2024 Upgraded to B1 (sf) Cl. B3, Upgraded to Ba2 (sf); previously on Feb 7, 2020 Assigned C (sf) Cl. B4, Upgraded to Caa3 (sf); previously on Feb 7, 2020 Assigned C (sf) Cl. M1, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to Aa2 (sf) Cl. M2, Upgraded to Aa2 (sf); previously on Jul 3, 2024 Upgraded to A2 (sf) Issuer: Towd Point Mortgage Trust 2018-6 Cl. A4, Upgraded to Aaa (sf); previously on Oct 23, 2023 Upgraded to Aa1 (sf) Cl. A5, Upgraded to Caa1 (sf); previously on Feb 7, 2020 Assigned Caa2 (sf) Cl. B1, Upgraded to Aa2 (sf); previously on Jul 3, 2024 Upgraded to Baa2 (sf) Cl. B2, Upgraded to A3 (sf); previously on Jul 3, 2024 Upgraded to Ba1 (sf) Cl. B3, Upgraded to Baa3 (sf); previously on Jul 3, 2024 Upgraded to Caa1 (sf) Cl. B4, Upgraded to B1 (sf); previously on Feb 7, 2020 Assigned C (sf) Cl. M1, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to Aa2 (sf) Cl. M2, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to A2 (sf) Issuer: Towd Point Mortgage Trust 2019-1 Cl. A4, Upgraded to Aaa (sf); previously on Oct 16, 2023 Upgraded to A1 (sf) Cl. B1, Upgraded to A3 (sf); previously on Jul 3, 2024 Upgraded to Ba2 (sf) Cl. B2, Upgraded to Baa3 (sf); previously on Jul 3, 2024 Upgraded to Caa1 (sf) Cl. B3, Upgraded to Ba1 (sf); previously on Feb 7, 2020 Assigned C (sf) Cl. B4, Upgraded to Caa2 (sf); previously on Feb 7, 2020 Assigned C (sf) Cl. M1, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to A2 (sf) Cl. M2, Upgraded to Aa2 (sf); previously on Jul 3, 2024 Upgraded to Baa2 (sf) Issuer: Towd Point Mortgage Trust 2019-4 Cl. A4, Upgraded to Aaa (sf); previously on Oct 16, 2023 Upgraded to Aa1 (sf) Cl. A5, Upgraded to Aaa (sf); previously on Oct 16, 2023 Upgraded to A1 (sf) Cl. B1, Upgraded to Aa2 (sf); previously on Jul 3, 2024 Upgraded to Baa1 (sf) Cl. B1A, Upgraded to Aa2 (sf); previously on Jul 3, 2024 Upgraded to Baa1 (sf) Cl. B1B, Upgraded to Aa2 (sf); previously on Jul 3, 2024 Upgraded to Baa1 (sf) Cl. B2, Upgraded to A2 (sf); previously on Jul 3, 2024 Upgraded to Baa3 (sf) Cl. M1, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to Aa1 (sf) Cl. M1A, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to Aa1 (sf) Cl. M1B, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to Aa1 (sf) Cl. M2, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to A2 (sf) Cl. M2A, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to A2 (sf) Cl. M2B, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to A2 (sf) Issuer: Towd Point Mortgage Trust 2019-HY1 Cl. B1, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to Aa1 (sf) Cl. B2, Upgraded to Aa1 (sf); previously on Jul 3, 2024 Upgraded to A1 (sf) Issuer: Towd Point Mortgage Trust 2019-HY2 Cl. B1, Upgraded to Aaa (sf); previously on Jul 3, 2024 Upgraded to A1 (sf) Cl. B2, Upgraded to A2 (sf); previously on Jul 3, 2024 Upgraded to Ba1 (sf) Issuer: Towd Point Mortgage Trust 2019-HY3 Cl. B1, Upgraded to Aa2 (sf); previously on Jul 16, 2024 Upgraded to A1 (sf) Cl. B2, Upgraded to Baa1 (sf); previously on Jul 16, 2024 Upgraded to Ba1 (sf) Cl. M2, Upgraded to Aaa (sf); previously on Jul 16, 2024 Upgraded to Aa3 (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. The rating upgrades are a result of the improved loss coverage for the tranches given a continued growth of credit enhancement as the bonds amortize and a steady improvement of collateral performance in recent years. The credit enhancement available to the tranches Moody's upgraded showed a one-year increase of 9.9% on average. The loans underlying the pools have fewer delinquencies and lower realized losses than originally anticipated. Each of the deals Moody's reviewed have an average loan seasoning over 200 months. As a result of the long pay history, coupled with the robust home price appreciation that Moody's have seen over the past decade, Moody's believes that the average borrower has built significant equity in their home. This dynamic has supported the lower default numbers over time and, lower cumulative losses given strong recovery values should a borrower default. Cumulative net losses for all deals reviewed are currently below 3.5% with 20 of the 24 deals seeing cumulative net losses of less than 2%. As a result of the strong performance, Moody's lowered Moody's loss projection for each deal when compared to Moody's prior reviews in 2024. 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 and credit enhancement. Principal Methodologies The methodologies used in these ratings were "Non-performing and Re-performing Loan Securitizations" published in April 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. TRESTLES CLO V: S&P Assigns BB- (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1R, B-1R, C-R, and E-R debt from Trestles CLO V Ltd./Trestles CLO V LLC, a CLO managed by APC Asset Development I LP (Aristotle Pacific Capital LLC) that was originally issued in November 2021. At the same time, S&P withdrew its ratings on the original class A-1, B-1, C, and E debt following payment in full on the April 21, 2025, refinancing date. S&P also affirmed its ratings on the class A-2, B-2, and D debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 21, 2026. -- No additional assets were purchased on the April 2025 refinancing date, and the target initial par amount remains the same. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2025. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class D(which was not refinanced) and E-R debt. Given the overall credit quality of the portfolio and the passing coverage tests, we affirmed our 'BBB- (sf)' rating on the class D debt and assigned a 'BB- (sf)' rating on the class E-R debt (the same rating as on the class E debt prior to withdrawal) after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction. 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." Replacement And Original Debt Issuances Replacement debt -- Class A-1R, $234.50 million: Three-month CME term SOFR + 1.25% -- Class B-1R, $40.00 million: Three-month CME term SOFR + 1.75% -- Class C-R (deferrable), $22.00 million: Three-month CME term SOFR + 2.25% -- Class E-R (deferrable), $14.00 million: Three-month CME term SOFR + 6.50% Original debt -- Class A-1, $234.50 million: Three-month CME term SOFR + 1.17% + CSA(i) -- Class B-1, $40.00 million: Three-month CME term SOFR + 1.65% + CSA(i) -- Class C (deferrable), $22.00 million: Three-month CME term SOFR + 2.10% + CSA(i) -- Class E (deferrable), $14.00 million: Three-month CME term SOFR + 6.35% + CSA(i) (i)The CSA is .26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Trestles CLO V Ltd./Trestles CLO V LLC Class A-1R, $234.50 million: AAA (sf) Class B-1R, $40.00 million: AA (sf) Class C-R (deferrable), $22.00 million: A (sf) Class E-R (deferrable), $14.00 million: BB- (sf) Ratings Withdrawn Trestles CLO V Ltd./Trestles CLO V LLC Class A-1 to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class E to NR from 'BB- (sf)' Ratings Affirmed Trestles CLO V Ltd./Trestles CLO V LLC Class A-2: AAA (sf) Class B-2: AA (sf) Class D: BBB- (sf) Other Debt Trestles CLO V Ltd./Trestles CLO V LLC Subordinated notes, $39.00 million: NR NR--Not rated. VELOCITY COMMERCIAL 2025-2: DBRS Finalizes B Rating on 3 Classes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Certificates, Series 2025-2 (the Certificates) issued by Velocity Commercial Capital Loan Trust 2025-2 (VCC 2025-2 or the Issuer) as follows: -- $253.8 million Class A at AAA (sf) -- $23.4 million Class M-1 at AA (low) (sf) -- $20.2 million Class M-2 at A (low) (sf) -- $43.2 million Class M-3 at BBB (low) (sf) -- $24.1 million Class M-4 at BB (sf) -- $12.8 million Class M-5 at B (high) (sf) -- $9.6 million Class M-6 at B (sf) -- $253.8 million Class A-S at AAA (sf) -- $253.8 million Class A-IO at AAA (sf) -- $23.4 million Class M1-A at AA (low) (sf) -- $23.4 million Class M1-IO at AA (low) (sf) -- $20.2 million Class M2-A at A (low) (sf) -- $20.2 million Class M2-IO at A (low) (sf) -- $43.2 million Class M3-A at BBB (low) (sf) -- $43.2 million Class M3-IO at BBB (low) (sf) -- $24.1 million Class M4-A at BB (sf) -- $24.1 million Class M4-IO at BB (sf) -- $12.8 million Class M5-A at B (high) (sf) -- $12.8 million Class M5-IO at B (high) (sf) -- $9.6 million Class M6-A at B (sf) -- $9.6 million Class M6-IO at B (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The AAA (sf) credit ratings on the Certificates reflect 35.35% of credit enhancement (CE) provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), B (high) (sf), and B (sf) credit ratings reflect 29.40%, 24.25%, 13.25%, 7.10%, 3.85%, and 1.40% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. VCC 2025-2 is a securitization of a portfolio of newly originated and seasoned fixed rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. Eleven of these loans were originated through the U.S. SBA 504 loan program and are backed by first-lien, owner-occupied, commercial real estate. The securitization is funded by the issuance of the Mortgage-Backed Certificates, Series 2025-2 (the Certificates). The Certificates are backed by 906 mortgage loans with a total principal balance of $392,642,688 as of the Cut-Off Date (March 1, 2025). Approximately 45.4% of the pool comprises residential investor loans, about 49.4% are traditional SBC loans, and about 5.1% are the SBA 504 loans mentioned above. Most of the loans in this securitization (80.1%) were originated by Velocity Commercial Capital, LLC (Velocity or VCC). Forty-five loans (19.6%) were originated by New Day Commercial Capital, LLC, a wholly owned subsidiary of Velocity Commercial Capital, LLC, which is wholly owned by Velocity Financial, Inc. One loan was originated by Century Health and Housing Capital, LLC, which is a majority-owned subsidiary of Velocity Financial, Inc. The loans were generally underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (with the exception being the five SBA 504 loans which, per SBA guidelines, were underwritten to the small business cash flows, rather than to the property value). For all of the New Day originated loans, underwriting was based on business cash flows, but loans were secured by real estate. For the SBC and residential investor loans, the lender reviews the mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt-service coverage ratio (DSCR) in underwriting SBC loans with balances more than $750,000 for purchase transactions and more than USD $500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA-RESPA Integrated Disclosure rule. On January 5, 2024, a suit was filed in the U.S. District Court for the Central District of California by Harvest Small Business Finance, LLC and Harvest Commercial Capital, LLC against certain employees of New Day Business Finance LLC and Velocity Commercial Capital, LLC d/b/a New Day Commercial Capital, LLC (New Day) alleging violations of the Defend Trade Secrets Act, the California Uniform Trade Secrets Act and the California Unfair Competition Law. New Day has indicated that it does not believe that this suit is material. PHH Mortgage Corporation (PMC) will service all loans within the pool for a servicing fee of 0.30% per annum. New Day will act as Subservicer for the 45 New Day originated loans (including the 11 SBA 504 loans), Century will subservice the one loan they originated, and PHH will also act as the Backup Servicer for these loans. If New Day fails to service these loans in accordance with the related subservicing agreement, PHH will terminate the subservicing agreement and commence directly servicing such mortgage loans within 30 days. In addition, Velocity will act as a Special Servicer, servicing the loans that defaulted or became 60 or more days delinquent under Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Mortgage Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Mortgage Loan, as described in the transaction documents. The Servicer will fund advances of delinquent principal and interest (P&I) until the advances are deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will act as the Custodian. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class XS Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of REO properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-Off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A CE falling below 10.0% of the loan balance as of the Cut-Off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each class' target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each class' target principal balance, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure 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. COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY--SBC LOANS The collateral for the SBC portion of the pool consists of 299 individual loans secured by 300 commercial and multifamily properties with an average Cut-Off Date loan balance of $649,099. None of the mortgage loans are cross-collateralized or cross-defaulted with each other. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its "North American CMBS Multi-Borrower Rating Methodology" (the CMBS Methodology). The CMBS loans have a weighted-average (WA) fixed interest rate of 10.9%. This is approximately 30 basis points (bps) lower than the VCC 2025-1 transaction, 10 bps lower than the VCC 2024-6 transaction, 20 bps higher than the VCC 2024-5 transaction, 50 bps lower than the VCC 2024-4 transaction, 80 bps lower than the VCC 2024-3 transaction, and 70 bps lower than both of the VCC 2024-2 and VCC 2024-1 transactions. Most of the loans have original term lengths of 30 years and fully amortize over 30-year schedules. However, 18 loans, which represent 9.9% of the SBC pool, have an initial IO period of 60 or 120 months. In addition, one loan, representing 0.8% of the SBC pool, has an original term length of 37 months and is IO for the full loan term. All the SBC loans were originated between September 2024 and February 2025 (100.0% of the Cut-Off Date pool balance), resulting in a WA seasoning of 0.5 months. The SBC pool has a WA original term length of 357 months or approximately 30 years. Based on the original loan amount and the current appraised values, the SBC pool has a WA loan-to-value ratio (LTV) of 60.9%. However, Morningstar DBRS made LTV adjustments to 50 loans that had an implied capitalization rate more than 200 bps lower than a set of minimal capitalization rates established by the Morningstar DBRS Market Rank. The Morningstar DBRS minimum capitalization rates range from 5.0% for properties in Market Rank 8 to 8.0% for properties in Market Rank 1. This resulted in a higher Morningstar DBRS LTV of 67.6%. Lastly, 298 of the 299 loans fully amortize over their respective remaining terms, resulting in 99.2% expected amortization; this amount of amortization is greater than what is typical for CMBS conduit pools. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization rate by year has ranged between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in the CMBS Methodology, the most significant risk to an IO cash flow stream is term default risk. As Morningstar DBRS noted in the CMBS Methodology, for a pool of approximately 63,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 17%, the refinance default rate was 6% (approximately one third of the total default rate), and the term default rate was approximately 11%. Morningstar DBRS recognizes the muted impact of refinance risk on IO certificates by notching the IO credit rating up by one notch from the Reference Obligation credit rating. When using the 10-year Idealized Default Table default probability to derive a probability of default (POD) for a CMBS bond from its credit rating, Morningstar DBRS estimates that, in general, a one-third reduction in the CMBS Reference Obligation POD maps to a tranche credit rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for Morningstar DBRS to reduce the POD in the North American CMBS Insight Model (the CMBS Insight Model) by one notch because refinance risk is largely absent for this SBC pool of loans. Morningstar DBRS' CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS Insight Model was calibrated using loans that have prepayment lockout features. The historical prepayment performance of those loans is close to a 0% conditional prepayment rate (CPR). If the CMBS Insight Model had an expectation of prepayments, Morningstar DBRS would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and Morningstar DBRS expects this pool will have prepayments over the remainder of the transaction. Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The assumption reflects Morningstar DBRS' opinion that, in a rising-interest-rate environment, fewer borrowers may elect to prepay their loan. As a result of higher interest rate and lending spreads, the SBC pool has a significant increase in interest rates compared with prior VCC transactions. Consequently, approximately 65.2% of the loans in the deal (198 SBC loans) have an Issuer net operating income (NOI) debt service coverage ratio (DSCR) less than 1.0 times (x), which is in line with the previous 2025 and 2024 transactions, but a larger composition than the previous VCC transactions in 2023 and 2022. Additionally, although the CMBS Insight Model does not contemplate FICO scores, it is important to point out the WA FICO score of 716 for the SBC loans, which is relatively similar to prior VCC transactions. With regard to the aforementioned concerns, Morningstar DBRS applied a 5.0% penalty to the fully adjusted cumulative default assumptions to account for risks given these factors. The SBC pool is quite diverse based on loan count and size, with an average Cut-Off Date balance of $649,099, a concentration profile equivalent to that of a transaction with 135 equal-size loans, and a top 10 loan concentration of 18.3%. Increased pool diversity helps insulate the higher-rated classes from event risk. The loans are mostly secured by traditional property types (i.e., multifamily, retail, office, and industrial). Of the 299 loans in the SBC pool, 298 fully amortize over their respective remaining loan terms, reducing refinance risk. The SBC pool contains one loan that is collateralized by vacant commercial land, which will be used in the future for a 100-unit multifamily development. There is no lease or cash flow in place to support the debt service for this loan. In addition, the SBC pool contains two loans where an Income Approach to value was not contemplated in the appraisal and an Issuer net cash flow (NCF) was not provided. Morningstar DBRS applied POD penalties to the three loans to mitigate these risks. As classified by Morningstar DBRS for modeling purposes, the SBC pool contains a significant exposure to retail (32.4% of the SBC pool) and office (14.8% of the SBC pool), which are two of the higher-volatility asset types. Loans counted as retail include those identified as automotive and potentially commercial condominium. Combined, retail and office properties represent approximately 47.2% of the SBC pool balance. Morningstar DBRS applied a 20.3% reduction to the NCF for retail properties and a 30.0% reduction to the NCF for office assets in the SBC pool, which is above the average NCF reduction applied for comparable property types in CMBS analyzed deals. Morningstar DBRS did not perform site inspections on loans within its sample for this transaction. Instead, Morningstar DBRS relied upon analysis of third-party reports and online searches to determine property quality assessments. Of the 80 loans Morningstar DBRS sampled, one was Average + quality (3.3% of sample), 23 were Average quality (32.1%), 39 were Average - quality (40.6%), 16 were Below Average quality (21.9%), and one was Poor quality (2.2%). Morningstar DBRS assumed unsampled loans were Average - quality, which has a slightly increased POD level. This is consistent with the assessments from sampled loans and other SBC transactions rated by Morningstar DBRS. Limited property-level information was available for Morningstar DBRS to review. Asset summary reports, property condition reports, Phase I/II environmental site assessment (ESA) reports, and historical cash flows were generally not available for review in conjunction with this securitization. Morningstar DBRS received and reviewed appraisals for sampled loans within the top 32 of the pool, which represent 34.3% of the SBC pool balance. These appraisals were issued between October 2024 and February 2025. Morningstar DBRS was able to perform a loan-level cash flow analysis on 29 loans in the pool. The NCF haircuts for these loans ranged from 0.5% to -92.1%, with an average of -24.3%; however, Morningstar DBRS generally applied more conservative haircuts on the nonsampled loans. ESA reports were neither provided nor required by the Issuer for 297 of the 299 loans; however, 296 loans have an environmental insurance policy that provides coverage to the Issuer and the securitization trust in the event of a claim. The remaining loan is collateralized by vacant commercial land that does not have an environmental product. No probable maximum loss information or earthquake insurance requirements are provided. Therefore, a loss given default penalty was applied to all properties in California to mitigate this potential risk. Morningstar DBRS received limited borrower information, net worth or liquidity information, and credit history. Additionally, the WA interest rate of the deal is 10.9%, which is indicative of the broader increased interest rate environment and represents a large increase over VCC deals in 2022 and early 2023. Morningstar DBRS generally initially assumed loans had Weak sponsorship scores, which increases the stress on the default rate. The initial assumption of Weak sponsorship reflects the generally less sophisticated nature of small balance borrowers and assessments from past small balance transactions rated by Morningstar DBRS. Furthermore, Morningstar DBRS received a 12-month pay history on each loan through February 28, 2025. If any loan has more than two late payments within this period or is currently 30 days past due, Morningstar DBRS applied an additional stress to the default rate. This occurred for one loan, representing 0.8% of the SBC pool balance. SBA 504 LOANS The transaction includes 11 SBA 504 loans, totaling approximately $20.1 million or 5.11% of the aggregate VCC 2025-2 collateral pool. These are owner-occupied, first-lien commercial real estate (CRE)-backed loans, originated via the U.S. Small Business Administration's 504 loan program (SBA 504) in conjunction with community development companies (CDC), made to small businesses, with the stated goal of community economic development. The SBA 504 loans are fixed rate with 360-month original terms and are fully amortizing. The loans were originated between December 10, 2024, and February 12, 2025, via New Day, which will also act as Subservicer of the loans. The total outstanding principal balance as of the Cut-Off Date is approximately $20,136,405, with an average balance of $1,830,582. There are two pairs of loans whereby one property is securing two 504 loans for the same borrower (Affiliated Borrower). We treated these four loans as two. One loan pair totaled approximately $10.7 million, equating to 53.19% of the 504 subpool. The WA interest rate of the 504 loan subpool is 10.12%. The loans are subject to prepayment penalties of 5%,4%, 3%, 2%, and 1%, respectively, in the first five years from origination. These loans are for properties that are owner-occupied by the small business borrower. WA LTV is 29.09%, WA DSCR is 1.63 times (x), and the WA FICO of this subpool is 768. For these loans, Morningstar DBRS applied its "Rating U.S. Structured Finance Transactions" methodology. As there is limited historical information for the originator, we used proxy data from the publicly available SBA data set, which contains several decades of performance data, stratified by industry categories of the small business operators, to derive an expected default rate. Recovery assumptions were derived from the Morningstar DBRS CMBS data set of loss given default stratified by property type, LTV, and Market Rank. These were input into our proprietary model, the Morningstar DBRS CLO Insight Model, which uses a Monte Carlo process to generate stressed loss rates corresponding to a specific credit rating level. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 596 mortgage loans with a total balance of approximately $178.4 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to the No Ratio program guidelines for business-purpose loans. 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 COVID-19 pandemic scenarios, which were first published in April 2020. Notes: All figures are in US dollars unless otherwise noted. VERUS SECURITIZATION 2025-3: S&P Assigns B+ (sf) on B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2025-3's mortgage-backed notes. The note issuance is an RMBS transaction backed by primarily newly originated first- and second-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and non-prime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, condotels, townhouses, mixed-use properties, cooperatives, and five- to 10-unit multifamily residences. The pool has 1,098 loans backed by 1,109 properties, which are qualified mortgage (QM)/non-higher-priced mortgage loans (safe harbor), QM rebuttable presumption loans, non-QM/ability-to-repay (ATR)-compliant loans, and ATR-exempt loans. Of the 1,098 loans, three loans are cross-collateralized loans backed by 14 properties. S&P said, "After we assigned preliminary ratings on April 14, 2025, the issuer added initial exchangeable classes A-1A and A-1B notes, which, together, can be exchanged for exchangeable class A-1 notes and vice versa. In terms of payment priority, when a performance trigger trips, classes A-1A and A-1B receive interest and interest carryforward amounts sequentially, followed by principal from principal remittance amounts sequentially, until their balances become zero. In addition, the class B-1 notes were priced to receive a coupon rate equal to the net weighted average coupon. After analyzing the final coupons and the updated structure, we assigned ratings to the classes that are unchanged from the preliminary ratings we assigned." The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; and S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) Verus Securitization Trust 2025-3 Class A-1, $428,504,000: AAA (sf) Class A-1A, $370,283,000: AAA (sf) Class A-1B, $58,221,000: AAA (sf) Class A-2, $25,035,000: AA+ (sf) Class A-3, $49,487,000: A+ (sf) Class M-1, $37,262,000: BBB+ (sf) Class B-1, $20,668,000: BB (sf) Class B-2, $9,606,000: B+ (sf) Class B-3, $11,645,030: Not rated Class A-IO-S, notional(ii): Not rated Class XS, notional(ii): Not rated Class R, not applicable: Not rated (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal to the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. WELLS FARGO 2017-SMP: Moody's Lowers Rating on Cl. C Certs to B3 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on five classes in Wells Fargo Commercial Mortgage Trust 2017-SMP, Commercial Mortgage Pass-Through Certificates, Series 2017-SMP as follows: Cl. A Certificate, Downgraded to Baa3 (sf); previously on Jun 21, 2024 Downgraded to A2 (sf) Cl. B Certificate, Downgraded to Ba3 (sf); previously on Jun 21, 2024 Downgraded to Baa2 (sf) Cl. C Certificate, Downgraded to B3 (sf); previously on Jun 21, 2024 Downgraded to Ba2 (sf) Cl. D Certificate, Downgraded to Caa3 (sf); previously on Jun 21, 2024 Downgraded to B3 (sf) Cl. E Certificate, Downgraded to C (sf); previously on Jun 21, 2024 Downgraded to Caa3 (sf) RATINGS RATIONALE The ratings on five P&I classes were downgraded primarily due to an increase in Moody's LTV driven by the decline in the loan and property performance. After being extended through December 2025 with a modification that included a substantial equity investment by the borrower into a leasing reserve as well as an implementation of cash management, the floating rate loan transferred to special servicing in April 2024 after the borrower failed to make the April 2024 debt service payment citing challenges in the broader Santa Monica market. The decline in net cash flow (NCF) combined with the significant increase in the loan's debt service as a result of the higher interest rate since 2022 caused the loan's uncapped debt service coverage ratio (DSCR) to drop to well below 1.00X. Moody's expects the NCF to increase as new tenants take occupancy after their lease-related work is completed, the DSCR is still expected to remain below 1.00X and the property faces additional lease rollover through year-end 2026. The property's performance has declined since securitization due to lower occupancy and the property's annualized September 2024 NCF was 10% lower than the year-end 2023 NCF and 47% lower than in 2018. While the property performance is expected to improve from in-place levels after lease-related work is completed utilizing the available cash collateral funds in the leasing reserves, given deterioration of the market fundamentals in Santa Monica, the property is unlikely to generate enough cash flow to fully service the floating rate interest only debt service amount. The downgrades also reflect the potential for higher losses due to the uncertainty around the timing and proceeds from the ultimate resolution given the deterioration of the market fundamentals in Santa Monica. Furthermore, interest shortfalls may also increase due to the recent appraisal reduction amount (ARA) resulting from a recently reported appraisal value that was 15% below the outstanding senior mortgage balance. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. Social risk (IPS S-4) for this transaction is high as Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. The transaction has a high Credit Impact Score of CIS-4. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. 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 or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. DEAL PERFORMANCE As of the March 2025 distribution date, the transaction's certificate balance was $300 million, the same as at securitization. The interest only floating rate loan is secured by Santa Monica Place, a 523,139 square feet (SF) regional mall located in the Santa Monica area of Los Angeles, California, one block away from the Santa Monica beach and Santa Monica Pier. The property was developed in 1980 as an enclosed regional mall, and was renovated in 2007 to demolish much of the existing structure and re-build it as an open-air center. The mall originally had three anchors including Nordstrom, Bloomingdale's, and ArcLight Cinemas. Bloomingdale's and ArcLight Cinemas closed their stores and due to the decline in property performance, the loan was unable to pay off at its original fully extended maturity date in December 2022. The sponsor, Macerich, previously negotiated an additional extension for one year through December 2023 with two one-year extension options through December 2024 and December 2025. As part of the modification and extension, the sponsor funded a cash collateral reserve that now totals more than $30 million to implement a redevelopment of an approximate 150,000 SF portion with an entertainment destination use, high-end fitness, and other retail uses. However, the loan transferred to special servicing again effective April 8, 2024 due to imminent monetary default after the sponsor cited challenges in the broader Santa Monica market. A receivership order was granted by the court in February 2025 that appointed Trigild as receiver for the asset. The combination of higher floating index rates and decline in property performance has caused the property's most recent DSCR to be well below 1.00X. The property has seen continued decline in its occupancy and NCF. The property's total occupancy was 69.5% as of September 2024, down from 81% as of December 2022, 92% as of December 2019, and 89% at securitization. The property's annualized September 2024 NCF was $12.2 million, 10% lower than the 2023 NCF of $13.5 million and 47% lower than the 2018 NCF of $23.1 million. The most recent appraisal from July 2024 showed a 35% decline from October 2022 appraised value and a 59% decline from the appraised value at securitization. The updated appraised value was also 15% lower than the outstanding balance of the senior mortgage, which has caused ARA of $38.5 million as of the March 2025 remittance report. In recent years, market fundamentals in Santa Monica have deteriorated considerably. Tourist and worker flows have not reverted to pre-pandemic levels, reducing consumer spending in the area. Submarket vacancy has steadily risen in recent years to 10.1%, one of the higher rates among submarkets in the metro area. Rents have also seen limited growth in recent years, with average annual gains of 1.3% during the past three years. While the redeveloped space will bring additional rental revenue after lease-related work is completed, there is significant uncertainty around the timing and extent of the property's NCF recovery due to the additional upcoming lease rollover and the deterioration of the market fundamentals in Santa Monica. Moody's NCF was $14.2 million and the first mortgage balance represented a 185% Moody's LTV. Moody's cash flow accounted both the potential rental revenue from the redeveloped space and the potential revenue loss from upcoming lease rollover risk. Moody's stressed DSCR is 0.51x. As of the March 2025 remittance statement, the loan was last paid through its February 2025 payment date and there were outstanding advances totaling approximately $1.4 million. There were outstanding interest shortfalls totaling $703,617 affecting up to Cl. E and no realized losses as of the current distribution date. WELLS FARGO 2018-C44: DBRS Confirms CCC Rating on F-RR Certs ------------------------------------------------------------ DBRS Limited downgraded its credit ratings on eight classes of Commercial Mortgage Pass-Through Certificates, Series 2018-C44 issued by Wells Fargo Commercial Mortgage Trust 2018-C44 as follows: -- Class A-S to AA (sf) from AAA (sf) -- Class X-B to A (high) (sf) from AA (high) (sf) -- Class B to A (sf) from AA (sf) -- Class C to BBB (sf) from A (sf) -- Class X-D to BB (high) (sf) from BBB (high) (sf) -- Class D to BB (sf) from BBB (sf) -- Class E-RR to B (high) (sf) from BB (high) (sf) -- Class F-RR to CCC (sf) from B (sf) Morningstar DBRS confirmed credit ratings on the following classes: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class G-RR to CCC (sf) In addition, Morningstar DBRS changed the trends on Classes B, C, D, E-RR, X-B, and X-D to Stable from Negative. All other trends are Stable with the exception of Classes F-RR and G-RR, 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 E-RR, F-RR, and G-RR in April 2024 to reflect the increased loss projections for the four loans in special servicing at that time, with analyzed liquidation scenarios suggesting realized losses would reduce the unrated Class H-RR certificate by approximately 70%. The challenged outlook for the largest specially serviced loan at the time of that review, Dulaney Center (Prospectus ID#4, 6.2% of the current pool balance), as well as performance and/or expected value declines for several other distressed office assets, were the primary considerations in the trend changes to Negative for Classes B, C, D, X-B, and X-D, as part of the April 2024 review. The credit rating downgrades with this review reflect the increased liquidated loss projections and reduced credit support resulting from updated property valuations and further performance declines for the loans in special servicing. There has been relatively minimal paydown or defeasance since this transaction closed in 2018, a factor that increases the overall impact of the reduced credit support at the bottom of the capital stack in the analysis. Morningstar DBRS' credit rating downgrades are also reflective of the concentration of distressed office assets, which currently comprise 28.6% of the pool balance. Morningstar DBRS applied stressed loan-to-value ratios (LTVs) and probability of default (PD) assumptions to seven office and mixed-use loans (23.0% of the pool), including the Dulaney Center loan in the analysis for this review. Those loans were generally exhibiting elevated credit risks that are expected to continue through the loan maturities in 2028. The weighted average (WA) expected loss (EL) for those loans exceed the pool average by approximately 20%. The credit rating confirmations for the most senior classes in the waterfall reflect an otherwise healthy pool of loans as exhibited by a WA debt service coverage ratio (DSCR) of 1.67 times (x) and the overall stable performance of the retail loans in the pool, which represent approximately 25.0% of the pool and include the largest loan in the pool, Village at Leesburg (Prospectus ID#1, 9.0% of the current pool balance). In addition, the $197.6 million combined certificate balance below the Class A-SB certificate provides significant cushion against realized losses for the most senior classes. As of the March 2025 remittance, 42 of the original 44 loans remained in the pool with an aggregate principal balance of $715.9 million, representing a collateral reduction of 6.6% since issuance. Specially serviced and watch listed loans represent 8.6% and 23.5% of the pool balance, respectively. Loans on the servicer's watchlist are primarily being monitored for low debt service coverage ratios (DSCR) and deferred maintenance. In addition, four loans, representing 5.5% of the pool balance have defeased. The largest contributors to the increased liquidated loss projections are Prince and Spring Street Portfolio (Prospectus ID#9, 4.2% of the current pool balance) and 1442 Lexington Avenue (Prospectus ID#25, 2.8% of the current pool balance) secured by multifamily properties in New York City. Both loans transferred to special servicing for payment default in 2020 amid pandemic hardships and increased expenses. Although both loans continue to exhibit occupancy rates above 80% as of the most recent reporting, the in-place cash flows have not been sufficient to cover debt service since 2019. The trust took title to the 1442 Lexington Avenue property in December 2024; Morningstar DBRS' liquidation scenario for that loan, based on a 35.0% haircut to the September 2024 appraised value, resulted in a full loss to the trust. The relatively conservative haircut reflects the severity of the performance decline as compared with the issuance expectations for the property. The Prince and Spring Street Portfolio loan is in foreclosure, and litigation remains ongoing, according to the servicer. The property was appraised in November 2024 for $50.7 million, unchanged from the July 2023 appraised value but below the issuance appraised value of $66.0 million. Morningstar DBRS applied a 20% haircut to the November 2024 value for that loan, resulting in a 38% loss severity. Total projected losses for both assets increased from $13.9 million at the previous credit rating action to $22.9 million with this review. The lower appraisal haircut as compared with the 1442 Lexington Avenue loan reflects the overall better recent performance trends for the Prince and Spring Street properties by comparison. The other specially serviced loan, 3200 North First Street (Prospectus ID#15, 2.8% of the current pool balance), is secured by an 85,017-sf two-story flex/research and development property in San Jose, California, and transferred to special servicing in November 2023 for imminent monetary default after the property's sole tenant, NextEV NIO, vacated as expected in September 2023. The space is currently being marketed for lease; however, the servicer has indicated there has been no leasing activity or prospective tenants, likely the result of a drop in demand for office space in the suburban submarket in which the property is located. The loan is currently delinquent and due for the August 2024 debt service payment. According to recent servicer commentary, counsel has been engaged, and the sale of the property is underway. The North San Jose/Milpitas submarket of San Jose reported a Q4 2024 average vacancy rate for flex/research properties of 10.5%, according to Reis, an increase from 9.5% a year prior. The property was appraised in December 2024 at $20.6 million, notably below the issuance-derived dark value of $30.3 million and slightly above the $19.8 million loan balance. Morningstar DBRS analyzed the loan with a liquidation scenario by applying a conservative 40% haircut to the December 2024 appraised value, resulting in a loss severity of 48% and a total loss of $9.5 million. The conservative haircut reflects Morningstar DBRS' expectation that the as-is value will likely further decline over the resolution period, and that overall investor demand for the property is likely to be limited should the trust ultimately take title and liquidate the loan. The Dulaney Center loan is secured by two suburban Class A office buildings totaling 316,348 square feet (sf) in Towson, Maryland, about 7.5 miles north of the Baltimore central business district. The loan was in special servicing for a year beginning in October 2023 following the borrower's request for a loan modification. The loan remained current throughout the time in special servicing and ultimately transferred back to the master servicer without a loan modification. The loan remains on the servicer's watchlist for low occupancy and a low DSCR. According to the September 2024 rent roll, the property was 69.3% occupied, a modest increase from 66.9% at YE2023 but a significant decline from the issuance figure of 90.0% as a result of four larger tenant departures in 2021 and 2022. Reis reports Q4 2024 average asking rental and vacancy rates for the Towson/Timonium/Hunt Valley submarket of $24.1 per square foot (psf) and 18.2%, respectively, compared with the Q4 2023 figures of $23.8 per square foot (psf) and 19.1%, and the subject's $28.2 psf and 30.7%. The current tenant roster is granular with the largest tenant, Pessin Katz Law P.A., occupying just 9.2% of the net rentable area (NRA). Eight tenants, representing 11.7% of NRA have leases that recently expired or are scheduled to expire in the next 12 months. The annualized September 30, 2024, financials net cash flow (NCF) of $2.8 million (reflecting a DSCR of 0.95x) is in line with the YE2023 and YE2022 NCF but remains below the $4.4 million Morningstar DBRS NCF. Given the lack of performance improvements since the prior credit rating action, Morningstar DBRS applied a stressed 120.0% LTV and a 35.0% PD adjustment in its analysis, resulting in an expected loss that was more than triple the pool average. 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. WELLS FARGO 2025-DWHP: S&P Assigns B- (sf) Rating on Class F Certs ------------------------------------------------------------------ S&P Global Ratings assigned its 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. S&P said, "The ratings reflect our view of the collateral's historical and projected performance, the sponsor's and the 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." Since the preliminary ratings were issued, the loan's interest rate spread increased to 4.87%, up from 4.25%. As a result, the debt service coverage ratio (DSCR), based on the S&P Global Rating's net cash flow and the actual debt service based on SOFR of 4.34% plus the 4.87% spread, decreased to 0.96x from 1.03x. The DSCR, based on the 2.68% interest rate cap plus the 4.87% spread and our NCF, remains unchanged at 1.17x. Ratings Assigned Wells Fargo Commercial Mortgage Trust 2025-DWHP(i) 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(ii), $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)Eligible horizontal risk retention interest. NR--Not rated. WHITEBOX CLO IV: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1R, B-R, C-R, D-1R, D-2R, and E-R replacement debt from Whitebox CLO IV Ltd./Whitebox CLO IV LLC, a CLO originally issued in March 2023 that is managed by Whitebox Capital Management LLC. The preliminary ratings are based on information as of April 17, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 25, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to April 20, 2026. -- The reinvestment period will be extended to April 20, 2028. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to April 20, 2036. -- Minimal additional assets will be purchased on the April 25, 2025, refinancing date, and the target initial par amount will remain at $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 coverage ratios will be amended. -- No additional subordinated notes will be issued at the refinancing date S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and 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 Whitebox CLO IV Ltd./Whitebox CLO IV LLC Class A-1R, $248 million: AAA (sf) Class A-2R, $16 million: Not rated Class A-3R, $8 million: Not rated Class B-R, $32 million: AA (sf) Class C-R (deferrable), $24 million: A (sf) Class D-1R (deferrable), $24 million: BBB- (sf) Class D-2R (deferrable), $4 million: BBB- (sf) Class E-R (deferrable), $12 million: BB- (sf) Other Outstanding Debt Whitebox CLO IV Ltd./Whitebox CLO IV LLC Subordinated notes, $46 million: Not rated WOODMONT 2018-4: S&P Assigns BB- (sf) Rating on Class E-RR Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-RR, A-2-RR, B-RR, C-RR, D-RR, and E-RR debt from Woodmont 2018-4 Trust, a CLO managed by MidCap Financial Services Capital Management LLC, a subsidiary of Apollo Global Management Inc, that was originally issued in April 2018 and underwent a refinancing in April 2022. At the same time, S&P withdrew its ratings on the outstanding class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt following payment in full on the April 21, 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 replacement class A-1-RR, A-2-RR, B-RR, C-RR, D-RR, and E-RR debt were issued at a lower spread over three-month SOFR than the outstanding debt. -- The stated maturity, reinvestment period, and non-call period were extended three years. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and 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." Ratings Assigned Woodmont 2018-4 Trust Class A-1-RR, $580.00 million: AAA (sf) Class A-2-RR, $40.00 million: AAA (sf) Class B-RR, $60.00 million: AA (sf) Class C-RR (deferrable), $80.00 million: A (sf) Class D-RR (deferrable), $60.00 million: BBB- (sf) Class E-RR (deferrable), $70.00 million: BB- (sf) Ratings Withdrawn Woodmont 2018-4 Trust Class A-1-R to NR from 'AAA (sf)' Class A-2-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 Woodmont 2018-4 Trust Certificates, $110.27 million: NR NR--Not rated. WOODMONT 2023-11: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt from Woodmont 2023-11 Trust, a CLO managed by MidCap Financial Services Capital Management LLC, a subsidiary of Apollo Global Management Inc., that was originally issued in May 2023. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B, C, D, and E debt following payment in full on the April 23, 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 replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt were issued at a lower spread over three-month SOFR than the original debt. -- The replacement class C-R and D-R debt were assigned ratings one notch below the original corresponding debt. -- The stated maturity, reinvestment period, and non-call period were all be extended two years. -- A maximum of 10.00% of the loans in the collateral pool can be covenant-lite. 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." Ratings Assigned Woodmont 2023-11 Trust Class A-1-R, $522.00 million: AAA (sf) Class A-2-R, $36.00 million: AAA (sf) Class B-R, $54.00 million: AA (sf) Class C-R, $72.00 million: A (sf) Class D-R, $54.00 million: BBB- (sf) Class E-R, $54.00 million: BB- (sf) Ratings Withdrawn Woodmont 2023-11 Trust Class A-1 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 'A+ (sf)' Class D to NR from 'BBB (sf)' Class E to NR from 'BB- (sf)' Other Debt Woodmont 2023-11 Trust Certificates, $113.28 million: NR NR--Not rated. [] Moody's Takes Action on 12 Bonds From 3 US RMBS Deals -------------------------------------------------------- Moody's Ratings has upgraded the ratings of 11 bonds and downgraded the rating of 1 bond from three US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by CWABS Asset-Backed Certificates Trust. 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: CWABS Asset-Backed Certificates Trust 2006-9 Cl. 1-AF-6, Upgraded to Caa1 (sf); previously on Jun 17, 2024 Upgraded to Caa2 (sf) Cl. 3-AV-4, Downgraded to Caa1 (sf); previously on May 24, 2018 Upgraded to B1 (sf) Cl. MV-1, Upgraded to Ca (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-10 Cl. 1-A-1, Upgraded to Aa3 (sf); previously on Jun 17, 2024 Upgraded to A3 (sf) Cl. 1-A-2, Upgraded to A1 (sf); previously on Jun 17, 2024 Upgraded to Baa2 (sf) Cl. 1-M-1, Upgraded to Ca (sf); previously on Mar 25, 2009 Downgraded to C (sf) Cl. 2-A-4, Upgraded to Aa3 (sf); previously on Jun 17, 2024 Upgraded to A3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-11 Cl. 1-A-1, Upgraded to Aaa (sf); previously on Jun 17, 2024 Upgraded to A1 (sf) Cl. 1-A-2, Upgraded to Aaa (sf); previously on Jun 17, 2024 Upgraded to Baa1 (sf) Cl. 1-M-1, Upgraded to Ca (sf); previously on Mar 25, 2009 Downgraded to C (sf) Cl. 2-A-4, Upgraded to A1 (sf); previously on Jun 17, 2024 Upgraded to Ba1 (sf) Cl. 2-M-1, Upgraded to Ca (sf); previously on Mar 25, 2009 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. The rating downgrade is the result of missed interest that is unlikely to be recouped. Class 3-AV-4 from CWABS Asset-Backed Certificates Trust 2006-9 has incurred historical principal losses but subsequently recouped those losses, and as a result, missed interest on principal for those periods will not be recouped. 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 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 16 Bonds From 3 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 16 bonds from three US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. Issuer: J.P. Morgan Mortgage Trust 2022-6 Cl. A-19, Upgraded to Aaa (sf); previously on Feb 21, 2023 Upgraded to Aa1 (sf) Cl. A-19-A, Upgraded to Aaa (sf); previously on Feb 21, 2023 Upgraded to Aa1 (sf) Cl. A-19-B, Upgraded to Aaa (sf); previously on May 31, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Upgraded to Aaa (sf); previously on Feb 21, 2023 Upgraded to Aa1 (sf) Cl. A-X-3-B*, Upgraded to Aaa (sf); previously on Feb 21, 2023 Upgraded to Aa1 (sf) Issuer: J.P. Morgan Mortgage Trust 2022-INV1 Cl. B-1, Upgraded to Aa1 (sf); previously on Jun 21, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jun 21, 2024 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Jun 21, 2024 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Jun 21, 2024 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Jun 21, 2024 Upgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Trust 2024-5 Cl. B-2, Upgraded to A2 (sf); previously on Jun 28, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A2 (sf); previously on Jun 28, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A2 (sf); previously on Jun 28, 2024 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Jun 28, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Jun 28, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Jun 28, 2024 Definitive Rating Assigned B3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, recent performance, and Moody's updated loss expectations on the underlying pool. The transactions Moody's reviewed continue to display strong collateral performance, with cumulative loss for the transactions below 0.11% and a small number of loans in delinquency. In addition, enhancement levels for the tranches have grown significantly as the pools amortized. The credit enhancement since closing has grown, on average, by 15.4% for the tranches upgraded. 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 the deals because their expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Moody's analysis also considered the relationship of exchangeable bonds to the bonds they could be exchanged for. 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. [] Moody's Upgrades Ratings on 16 Bonds from 6 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of sixteen bonds from six US residential mortgage-backed transactions (RMBS), backed by Option ARM and Alt-A 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: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-38 Cl. A-2, Upgraded to Caa2 (sf); previously on Nov 23, 2010 Downgraded to C (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Nov 23, 2010 Downgraded to C (sf) Cl. X*, Upgraded to Ca (sf); previously on Dec 20, 2017 Confirmed at C (sf) Issuer: GSAA Home Equity Trust 2006-1 Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Issuer: GSAA Home Equity Trust 2006-3 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 18, 2013 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Issuer: GSAA Home Equity Trust 2006-12 Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Cl. A-2-A, Upgraded to Caa2 (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Cl. A-3-A, Upgraded to Caa2 (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Issuer: GSAA Home Equity Trust 2006-13 Cl. AF-2, Upgraded to Caa2 (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Issuer: GSAA Home Equity Trust 2006-14 Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa3 (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Cl. A-3A, Upgraded to Caa2 (sf); previously on Nov 11, 2010 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 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 25 Bonds From 3 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 25 bonds from three US residential mortgage-backed transactions (RMBS), backed by prime jumbo, agency-eligible and investor 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: Flagstar Mortgage Trust 2021-1 Cl. B, Upgraded to Aa2 (sf); previously on Jun 26, 2024 Upgraded to Aa3 (sf) Cl. B-2, Upgraded to Aa1 (sf); previously on Jun 26, 2024 Upgraded to Aa2 (sf) Cl. B-2-A, Upgraded to Aa1 (sf); previously on Jun 26, 2024 Upgraded to Aa2 (sf) Cl. B-2-X*, Upgraded to Aa1 (sf); previously on Jun 26, 2024 Upgraded to Aa2 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Jun 26, 2024 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Jun 26, 2024 Upgraded to Ba1 (sf) Cl. B-X*, Upgraded to Aa2 (sf); previously on Jun 26, 2024 Upgraded to Aa3 (sf) Issuer: Flagstar Mortgage Trust 2021-2 Cl. B-1, Upgraded to Aaa (sf); previously on Jun 26, 2024 Upgraded to Aa1 (sf) Cl. B-1-A, Upgraded to Aaa (sf); previously on Jun 26, 2024 Upgraded to Aa1 (sf) Cl. B-1-X*, Upgraded to Aaa (sf); previously on Jun 26, 2024 Upgraded to Aa1 (sf) Issuer: Flagstar Mortgage Trust 2021-3INV Cl. A-16, Upgraded to Aaa (sf); previously on May 25, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-17, Upgraded to Aaa (sf); previously on May 25, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-23, Upgraded to Aaa (sf); previously on May 25, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-24, Upgraded to Aaa (sf); previously on May 25, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on May 25, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Upgraded to Aaa (sf); previously on May 25, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-17*, Upgraded to Aaa (sf); previously on May 25, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-24*, Upgraded to Aaa (sf); previously on May 25, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Jun 26, 2024 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Jun 26, 2024 Upgraded to Aa2 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Jun 26, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Jun 26, 2024 Upgraded to Aa3 (sf) Cl. B-2-A, Upgraded to Aa2 (sf); previously on Jun 26, 2024 Upgraded to Aa3 (sf) Cl. B-2-X*, Upgraded to Aa2 (sf); previously on Jun 26, 2024 Upgraded to Aa3 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jun 26, 2024 Upgraded to Ba3 (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. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative losses for each transaction under .01% 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, 32.8% for the non-exchangeable tranches upgraded. No action was taken on the other rated class in these deals because the expected loss on the bond remains commensurate with the current rating, 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. [] Moody's Upgrades Ratings on 25 Bonds From 7 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 25 bonds from seven US residential mortgage-backed transactions (RMBS), backed by 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. Issuer: CWABS Asset-Backed Certificates Trust 2006-23 Cl. 1-A, Upgraded to Aa1 (sf); previously on May 20, 2024 Upgraded to Baa1 (sf) Cl. 2-A-4, Upgraded to Aa1 (sf); previously on May 20, 2024 Upgraded to A2 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-25 Cl. 1-A, Upgraded to A1 (sf); previously on May 28, 2024 Upgraded to Ba2 (sf) Cl. 2-A-4, Upgraded to Aaa (sf); previously on May 28, 2024 Upgraded to A1 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-26 Cl. 1-A, Upgraded to A1 (sf); previously on May 28, 2024 Upgraded to Ba3 (sf) Cl. 2-A-4, Upgraded to Aaa (sf); previously on May 28, 2024 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-13 Cl. 1-A, Upgraded to Aaa (sf); previously on May 14, 2024 Upgraded to A3 (sf) Cl. 1-M-1, Upgraded to Caa2 (sf); previously on Mar 25, 2009 Downgraded to C (sf) Cl. 2-M-1, Upgraded to Caa2 (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-2 Cl. 1-A, Upgraded to Caa1 (sf); previously on Oct 17, 2016 Confirmed at Caa3 (sf) Issuer: DSLA Mortgage Loan Trust 2007-AR1 Cl. 1A-1A, Upgraded to B1 (sf); previously on May 28, 2021 Confirmed at B3 (sf) Cl. 1A-1B, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to C (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 2A-1A, Upgraded to B1 (sf); previously on May 28, 2021 Confirmed at B3 (sf) Cl. 2A-1B, Upgraded to Ca (sf); previously on Dec 23, 2010 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-CW2 Cl. AF-2, Upgraded to Caa1 (sf); previously on Jul 11, 2013 Downgraded to Ca (sf) Cl. AF-3, Upgraded to Caa2 (sf); previously on Aug 9, 2012 Downgraded to Ca (sf) Cl. AF-4, Upgraded to Caa2 (sf); previously on Nov 5, 2010 Downgraded to Ca (sf) Cl. AF-5, Upgraded to Caa2 (sf); previously on Nov 5, 2010 Downgraded to Ca (sf) Cl. AF-6, Upgraded to Caa2 (sf); previously on Nov 5, 2010 Downgraded to Ca (sf) Cl. MV-1, Downgraded to Caa1 (sf); previously on Nov 5, 2024 Downgraded to B2 (sf) Cl. MV-2, Upgraded to Ca (sf); previously on Nov 5, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Some of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rest of the rating upgrades are a result of the improving performance of the related pools, or an increase in credit enhancement available to the bonds. Credit enhancement grew by 11.0% on average for these bonds upgraded over the past 12 months. Moody's analysis also considered the existence of historical interest shortfalls for some of these bonds. 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 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 29 Bonds From 9 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 29 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: New Century Alternative Mortgage Loan Trust 2006-ALT2 Cl. AF-2, Upgraded to Caa2 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Cl. AF-6A, Upgraded to Caa2 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Issuer: Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2006-2 Cl. A1A, Upgraded to Caa1 (sf); previously on Oct 15, 2010 Downgraded to Caa3 (sf) Cl. A1B, Upgraded to Caa2 (sf); previously on Oct 15, 2010 Confirmed at Caa3 (sf) Cl. A1C, Upgraded to Caa2 (sf); previously on Oct 15, 2010 Confirmed at Caa3 (sf) Issuer: Ownit Mortgage Loan Trust 2006-1 Cl. AF-2, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) Cl. AF-3, Upgraded to Caa2 (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) Cl. AF-4, Upgraded to Caa2 (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) Issuer: Ownit Mortgage Loan Trust 2006-6 Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Downgraded to Caa3 (sf) Cl. A-2B, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Jul 14, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Jul 14, 2010 Confirmed at Ca (sf) Issuer: People's Choice PFRMS 2006-1 Cl. 1A2, Upgraded to Ca (sf); previously on Apr 8, 2013 Downgraded to C (sf) Cl. 1A3, Upgraded to Ca (sf); previously on Apr 8, 2013 Affirmed C (sf) Cl. 1A4, Upgraded to Ca (sf); previously on Apr 8, 2013 Affirmed C (sf) Cl. 2A1, Upgraded to Caa3 (sf); previously on Apr 8, 2013 Affirmed Ca (sf) Cl. 2A2, Upgraded to Caa3 (sf); previously on Apr 8, 2013 Affirmed Ca (sf) Issuer: Speciality Underwriting and Residential Finance 2006-AB3 Cl. A-1, Upgraded to Caa1 (sf); previously on Jun 18, 2010 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa1 (sf); previously on Jun 18, 2010 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa2 (sf); previously on Jun 18, 2010 Confirmed at Ca (sf) Issuer: Speciality Underwriting and Residential Finance 2006-BC2 Cl. A-1, Upgraded to Caa1 (sf); previously on Jun 18, 2010 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Jun 18, 2010 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Jun 18, 2010 Confirmed at Ca (sf) Issuer: Specialty Underwriting and Residential Finance Series 2006-BC5 Cl. A-1, Upgraded to Caa1 (sf); previously on Jun 18, 2010 Downgraded to Ca (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Jun 11, 2018 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Jun 11, 2018 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Jun 18, 2010 Confirmed at Ca (sf) Cl. A-2E, Upgraded to Caa3 (sf); previously on Jun 18, 2010 Confirmed at Ca (sf) Issuer: Terwin Mortgage Trust 2007-4HE Cl. A-2, Upgraded to Caa2 (sf); previously on Feb 11, 2011 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 31 Bonds from 12 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 31 bonds from 12 US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: RAMP Series 2005-NC1 Trust Cl. A-I-4, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-II, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: RAMP Series 2006-RS3 Trust Cl. A-4, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Confirmed at Ca (sf) Issuer: RAMP Series 2006-RS6 Trust Cl. A-4, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: RAMP Series 2007-RS2 Trust Cl. A-3, Upgraded to Caa2 (sf); previously on Dec 20, 2018 Upgraded to Ca (sf) Issuer: RASC Series 2004-KS7 Trust Cl. A-I-5, Upgraded to Caa2 (sf); previously on Apr 5, 2011 Downgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Apr 5, 2011 Downgraded to Caa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-I-6, Upgraded to Caa1 (sf); previously on Apr 5, 2011 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Apr 5, 2011 Downgraded to Caa2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-II-A, Upgraded to Caa1 (sf); previously on Apr 5, 2011 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Apr 5, 2011 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-II-B3, Upgraded to Caa1 (sf); previously on Apr 5, 2011 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Apr 5, 2011 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: RASC Series 2005-EMX5 Trust Cl. A-3, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009 Issuer: RASC Series 2006-EMX5 Trust Cl. A-4, Upgraded to Caa3 (sf); previously on Jul 16, 2014 Upgraded to Ca (sf) Issuer: RASC Series 2006-EMX6 Trust Cl. A-4, Upgraded to Caa3 (sf); previously on Jul 16, 2014 Upgraded to Ca (sf) Issuer: RASC Series 2006-EMX7 Trust Cl. A-4, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: RASC Series 2006-EMX9 Trust Cl. A-I-3, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-I-4, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Cl. A-II, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Issuer: RASC Series 2006-KS9 Trust Cl. A-I-4, Upgraded to Caa2 (sf); previously on Jul 16, 2014 Upgraded to Ca (sf) Cl. A-II, Upgraded to Caa1 (sf); previously on Jul 16, 2014 Upgraded to Caa3 (sf) Issuer: RASC Series 2007-EMX1 Trust Cl. A-I-3, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009 Cl. A-I-4, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009 Cl. A-II, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009 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. 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. 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 44 Bonds From 12 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 44 bonds from 12 US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM, subprime, Resecuritized 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: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-31 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 19, 2016 Confirmed at Caa3 (sf) Cl. 1-A-2, Upgraded to Caa2 (sf); previously on Nov 23, 2010 Downgraded to C (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-19 Cl. 1-A-3, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 1-A-7*, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 1-A-8, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 1-A-11, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 1-A-15*, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 1-A-26, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Issuer: CWALT, Resecuritization Pass-Through Certificates, Series 2008-2R Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Jun 4, 2019 Affirmed Caa3 (sf) Cl. 3-A-1, Upgraded to Caa1 (sf); previously on Jun 4, 2019 Affirmed Ca (sf) Cl. 4-A-1, Upgraded to Caa1 (sf); previously on Jun 4, 2019 Affirmed Ca (sf) Issuer: HSI Asset Loan Obligation Trust 2006-2 Cl. I-A-1, Upgraded to Caa3 (sf); previously on Jan 3, 2011 Downgraded to Ca (sf) Cl. I-A-2, Upgraded to Caa2 (sf); previously on Jan 3, 2011 Downgraded to Ca (sf) Cl. I-A-3, Upgraded to Caa3 (sf); previously on Jan 3, 2011 Downgraded to Ca (sf) Cl. I-A-4*, Upgraded to Caa3 (sf); previously on Jan 3, 2011 Downgraded to Ca (sf) Cl. I-A-7, Upgraded to Caa3 (sf); previously on Jan 3, 2011 Downgraded to Ca (sf) Cl. I-A-8*, Upgraded to Caa3 (sf); previously on Jan 3, 2011 Downgraded to Ca (sf) Cl. I-A-11, Upgraded to Ca (sf); previously on Jan 3, 2011 Downgraded to C (sf) Cl. I-A-12*, Upgraded to Ca (sf); previously on Jan 3, 2011 Downgraded to C (sf) Issuer: IndyMac INDB Mortgage Loan Trust 2005-1 Cl. A-1, Upgraded to Caa2 (sf); previously on Apr 30, 2010 Downgraded to Ca (sf) Issuer: IndyMac INDB Mortgage Loan Trust 2006-1 Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 6, 2010 Downgraded to Ca (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR18 Cl. 1-A-2, Upgraded to Caa2 (sf); previously on Dec 1, 2010 Downgraded to C (sf) Cl. 1-X*, Upgraded to Caa3 (sf); previously on Feb 13, 2019 Upgraded to Ca (sf) Cl. 2-A-2A, Upgraded to Caa2 (sf); previously on Dec 1, 2010 Downgraded to C (sf) Cl. 2-A-2B, Upgraded to Caa2 (sf); previously on Dec 1, 2010 Downgraded to C (sf) Cl. 2-A-2C, Upgraded to Caa2 (sf); previously on Dec 1, 2010 Downgraded to C (sf) Cl. 2-X*, Upgraded to Caa3 (sf); previously on Feb 13, 2019 Upgraded to Ca (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR8 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to Ca (sf) Cl. 2-A-1A, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to Caa2 (sf) Cl. 2-A-1B, Upgraded to Caa2 (sf); previously on Dec 1, 2010 Downgraded to C (sf) Cl. A-X-2*, Upgraded to Caa1 (sf); previously on Nov 29, 2017 Confirmed at Caa2 (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR19 Cl. 5-A-1, Upgraded to Caa1 (sf); previously on Oct 12, 2010 Downgraded to Caa2 (sf) Cl. 5-A-2, Upgraded to Caa1 (sf); previously on Oct 12, 2010 Downgraded to Caa2 (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR2 Cl. 1-A-1A, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to Caa3 (sf) Cl. 1-A-1B, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to Caa3 (sf) Cl. 1-A-2, Upgraded to Caa3 (sf); previously on Dec 1, 2010 Downgraded to C (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to Caa2 (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX1 Cl. A-3, Upgraded to Caa2 (sf); previously on Dec 1, 2010 Downgraded to C (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Dec 1, 2010 Downgraded to C (sf) Issuer: MASTR Alternative Loan Trust 2006-1 Cl. A-1, Upgraded to Caa2 (sf); previously on Apr 4, 2013 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Apr 4, 2013 Downgraded to Caa3 (sf) Cl. A-3*, Upgraded to Caa2 (sf); previously on Apr 4, 2013 Downgraded to Caa3 (sf) Cl. A-X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Apr 4, 2013 Affirmed 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, CWALT, Resecuritization Pass-Through Certificates, Series 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 CWALT, Resecuritization Pass-Through Certificates, Series 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 8 Bonds From 4 US RMBS Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of eight bonds from four US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: American Home Mortgage Investment Trust 2004-3 Cl. VI-A1, Upgraded to A1 (sf); previously on Jun 25, 2024 Upgraded to A3 (sf) Cl. VI-A5, Upgraded to A3 (sf); previously on Aug 7, 2023 Upgraded to Ba1 (sf) Issuer: Carrington Mortgage Loan Trust Series 2006-FRE1 Cl. A-3, Upgraded to Aaa (sf); previously on Jul 18, 2024 Upgraded to Aa1 (sf) Cl. A-4, Upgraded to Aa1 (sf); previously on Jul 18, 2024 Upgraded to A1 (sf) Cl. M-1, Upgraded to Caa2 (sf); previously on Apr 29, 2010 Downgraded to C (sf) Issuer: HarborView Mortgage Loan Trust 2005-1 Cl. 1-A, Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to Caa3 (sf) Cl. 2-A1B, Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to C (sf) Issuer: IMC Home Equity Loan Trust 1998-7 A, Currently Rated A1 (sf); previously on March 21, 2022 Upgraded to A1 (sf) A, Underlying Rating: Upgraded to Caa1 (sf); previously on Sep 24, 2014 Downgraded to Ca (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. 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 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 104 Classes From 40 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 104 ratings from 40 U.S. RMBS transactions issued between 2000 and 2007. The review yielded 30 upgrades, 19 downgrades, 53 affirmations, and two withdrawals. A list of Affected Ratings can be viewed at: https://tinyurl.com/594jkr9x Analytical Considerations 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 and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Historical and/or outstanding missed interest payments, or interest shortfalls; -- Credit-related reductions in interest; -- Principal write-downs; -- Small loan count; and -- Available subordination and/or overcollateralization. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. See the ratings list for the specific rationale associated with each of the classes with rating transitions. "The upgrades primarily reflect the classes' increased credit support. As a result, the upgrades indicate our assessment of the classes' ability to withstand a higher level of projected losses than we had previously anticipated. "The downgrades primarily our assessment of the principal write-downs' affect on the classes during recent remittance periods. We lowered our ratings to 'D (sf)' on 17 classes that were rated either 'CCC (sf)' or 'CC (sf)' before the the rating action. "The affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We withdrew our ratings on two classes from one transaction due to the small remaining loan count on the related structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. 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