250504.mbx

250504.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, May 4, 2025, Vol. 29, No. 123 Headlines 280 PARK AVENUE 2017-280P: Fitch Affirms B- Rating on HRR Certs 720 EAST 2023-I: S&P Assigns Prelim BB- (sf) Rating on E-R Notes AFFIRM ASSET 2024-A: DBRS Confirms BB Rating on Class E Notes AIMBRIDGE ACQUISITION: Moody's Assigns 'Caa1' CFR, Outlook Stable APEX CREDIT 12: Fitch Assigns 'BB-sf' Rating on Class E Notes APIDOS CLO XXXIII: Fitch Assigns 'BB-sf' Rating on Cl. E-R-2 Notes APIDOS CLO XXXIII: Moody's Assigns B3 Rating to $500,000 F-R2 Notes BANK5 2025-5YR14: Fitch Assigns B-sf Final Rating on Cl. J-RR Certs BAY 2025-LIVN: Fitch Assigns 'B(EXP)sf' Rating on Class HRR Certs BAYARD PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes BBCMS TRUST 2015-VFM: S&P Lowers Class D Certs Rating to 'BB+(sf)' BENEFIT STREET XXX: S&P Assigns BB-(sf) Rating on Class E-R Notes BENEFIT STREET XXXI: S&P Assigns BB- (sf) Rating on Cl. E-R Notes BLACK DIAMOND 2025-1: S&P Assigns Prelim BB-(sf) Rating on E Notes BRYANT PARK 2025-26: S&P Assigns BB- (sf) Rating on Class E Notes BX TRUST 2021-VIEW: DBRS Confirms B(high) Rating on G Certs CARLYLE US 2025-1: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes CBAMR 2018-6: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes CHASE HOME 2025-4: Moody's Assigns B3 Rating to Cl. B-5 Certs CLERMONT PARK: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes COOPR RESIDENTIAL 2025-CES1: Fitch Assigns 'B' Rating on B-2 Certs DIAMETER CAPITAL 10: S&P Assigns BB- (sf) Rating on Class E Notes DIAMOND INFRASTRUCTURE 2021-1: Fitch Affirms BB Rating on 1C Debt DRYDEN 40 SENIOR: Moody's Cuts Rating on $33MM Cl. E-R Notes to B1 EAGLE RE 2021-2: Moody's Hikes Rating on Cl. M-2 Certs from Ba1 EAGLEVIEW: S&P Lowers ICR to 'SD' on Distressed Debt Exchange EFMT 2025-INV2: S&P Assigns Prelim B- (sf) Rating on B-2 Certs EMPOWER CLO 2025-1: S&P Assigns Prelim BB- (sf) Rating on E Notes FLATIRON RR 30: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes GCAT 2025-NQM1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs GENERATE CLO 19: S&P Assigns Prelim BB- (sf) Rating on E Notes GOLDENTREE LOAN 24: Fitch Assigns 'B+sf' Rating on Class F Notes GOLUB CAPITAL 48(B)-R: Fitch Assigns BB-sf Rating on Cl. E-R Notes GREAT LAKES VI: S&P Assigns BB- (sf) Rating on Class E-R Notes GS MORTGAGE 2015-GC30: DBRS Cuts Class X-D Certs Rating to B GS MORTGAGE 2025-PJ4: DBRS Gives Prov. B(low) Rating on B5 Notes HARVEST US 2025-1: Fitch Assigns BB-sf Final Rating on Cl. E Notes HILTON USA 2016-SFP: DBRS Confirms C Rating on 2 Classes HOMES 2025-NQM2: S&P Assigns Prelim B (sf) Rating on B-2 Certs IMSCI 2013-3: Fitch Affirms Dsf Rating on Class G Debt INCREF 2025-FL1: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes JP MORGAN 2021-NYAH: Moody's Lowers Rating on Cl. D Certs to Ba1 JP MORGAN 2025-3: Fitch Assigns B-sf Final Rating on Cl. B-2 Certs JP MORGAN 2025-DSC1: S&P Assigns B- (sf) Rating on B-2 Certs MORGAN STANLEY 2014-C18: DBRS Confirms C Rating on Class F Certs MORGAN STANLEY 2015-C20: DBRS Confirms B Rating on X-E Certs MORGAN STANLEY 2025-DSC1: S&P Assigns B (sf) Rating on B-2 Certs MORGAN STANLEY 2025-HX1: S&P Assigns B (sf) Rating on B-2 Certs MSBAM COMMERCIAL 2012-CKSV: DBRS Cuts Class CK Certs Rating to B OCTAGON 61: Fitch Assigns 'B-sf' Rating on Class F-R Notes PIKES PEAK 18: Fitch Assigns 'BB-sf' Final Rating on Class E Notes PREFERRED TERM IV: Moody's Ups Rating on $341MM M Notes from Ba1 PRESTIGE AUTO 2025-1: S&P Assigns BB- (sf) Rating on Class E Notes PROVIDENT BANK 1998-4: Moody's Cuts Rating on 2 Tranches to Caa2 PRPM 2025-RPL3: DBRS Finalizes BB Rating on Class M2 Notes RCKT MORTGAGE 2025-CES4: Fitch Assigns 'Bsf' Rating on 3 Tranches SEQUOIA MORTGAGE 2025-4: Fitch Assigns B- Rating on Class B5 Certs SOUND POINT 2025-2: Fitch Assigns 'BB-sf' Rating on Class E Notes TRAPEZA CDO XIII: Moody's Upgrades Rating on 2 Tranches from Ba2 TRUPS FINANCIALS 2018-1: Moody's Ups Rating on Cl. C Notes From Ba1 TVC MORTGAGE 2025-RRTL1: DBRS Gives Prov. B (low) on M2 Notes VMC FINANCE 2021-FL4: DBRS Confirms CCC Rating on F Notes WELLS FARGO 2019-C50: Fitch Lowers Rating on 2 Tranches to CCsf WFRBS COMMERCIAL 2014-C22: Fitch Lowers Rating on Cl. F Certs to C WHITEBOX CLO IV: S&P Assigns BB- (sf) Rating on Class E-R Notes [] DBRS Reviews 764 Classes From 33 US RMBS Transactions [] Moody's Takes Action on 15 Bonds from 9 US RMBS Deals [] Moody's Takes Action on 38 Bonds From 13 US RMBS Deals [] Moody's Takes Action on 7 Bonds From 6 US RMBS Deals [] Moody's Upgrades Ratings on 17 Bonds From 8 US RMBS Deals [] Moody's Upgrades Ratings on 32 Bonds from 11 US RMBS Deals [] Moody's Upgrades Ratings on 37 Bonds From 11 US RMBS Deals [] S&P Discontinues Ratings on 25 Classes From 12 U.S. Deals [] S&P Takes Various Actions on 527 Classes From 347 US RMBS Deals ********* 280 PARK AVENUE 2017-280P: Fitch Affirms B- Rating on HRR Certs --------------------------------------------------------------- Fitch Ratings has affirmed the ratings of seven classes of 280 Park Avenue 2017-280P Mortgage Trust Commercial Mortgage Pass-Through Certificates. The Rating Outlooks for classes C and D were revised to Stable from Negative. The Outlooks for classes E, F, and HRR remain Negative. Entity/Debt Rating Prior ----------- ------ ----- 280 Park Avenue Trust 2017-280P A 90205FAA8 LT AAAsf Affirmed AAAsf B 90205FAG5 LT AA-sf Affirmed AA-sf C 90205FAJ9 LT A-sf Affirmed A-sf D 90205FAL4 LT BBB-sf Affirmed BBB-sf E 90205FAN0 LT BB-sf Affirmed BB-sf F 90205FAQ3 LT Bsf Affirmed Bsf HRR 90205FAS9 LT B-sf Affirmed B-sf KEY RATING DRIVERS The affirmations and revision of Outlooks to Stable for classes C and D reflect the continued performance stabilization of the property, including improved occupancy and positive leasing momentum since Fitch's last rating action. The Negative Outlooks for classes E, F and HRR reflect the potential for downgrades if net cash flow (NCF) deteriorates beyond Fitch's view of sustainable performance. This could occur with limited to no leasing progress or if new leasing occurs at rates significantly below recent leasing activity. Additionally, Fitch has concerns regarding the refinanceability of the loan given the aggregate level of outstanding debt and Fitch's stressed debt service coverage ratio (DSCR) of 0.77x on the total trust debt. However, if property performance improves or remains stable and the prospects for refinancing/payoff are more certain, the Negative Outlooks may be revised to Stable. Improving Occupancy: In-place property occupancy has improved to 90.4% as of YE 2024 from 86.5% in early 2024. The increase in occupancy can be attributed to the expansion of GIC (4% to 8% of NRA) within the building and a new lease with Elliot Management (1.8% of NRA). Occupancy at the property has been historically strong at 93.4% as of December 2023, 94.6% as of December 2022, and 94% as of December 2021 and December 2020. Fitch Net Cash Flow: Fitch's updated sustainable NCF of $70.7 million is in line with Fitch's NCF of $70.5 million at the last rating action and 1.6% below Fitch's issuance NCF of $71.9 million. Fitch's analysis incorporates leases in place per the YE 2024 rent roll, with credit for near-term contractual rent steps, tenants expected to take occupancy, and tenants in a rent abatement period. Fitch's sustainable long-term occupancy assumption of 90.4% (in line with the current occupancy) and average in-place rents for the office tenants at $105 psf, are both above the submarket, reflecting the strong collateral quality and position in the market. According to Costar, the submarket vacancy and average asking rents were 12.7% and $98.40 psf, respectively. Fitch maintained a stressed capitalization rate of 7.5% from the last rating action, compared to 7.0% at issuance, to factor increased office sector concerns and Fitch cap rates for comparable properties. The servicer-reported YE 2024 NCF DSCR was 0.60x, compared with 1.16x in 2023, 2.48x in 2022 and 4.61x in 2021 for the interest-only loan. The decline in NCF in 2024 can be mostly attributed to several tenants being in a free rent period along with a drop in expense reimbursements, and an increase in real estate taxes. Additionally, the large increase in debt service from increases in LIBOR/SOFR contributed to the decline in DSCR. Loan Modification/Extension: The loan was transferred to the special servicer in December 2023 due to the upcoming loan maturity in September 2024 and transferred back to the master servicer in July 2024. In April 2024, a modification and extension agreement were executed that included an extension of the maturity date from September 2024 to September 2026, with a required $100 million equity contribution to cover operating, leasing and capital expenditures shortfalls. There are two additional one-year extension options until September 2027 and September 2028, each requiring additional capital contributions. Guarantors also delivered a recourse guaranty to the lender that includes standard bankruptcy carve-outs (not included at origination). Creditworthy Tenancy: Over 24% of the NRA is leased to creditworthy tenants, including Franklin Templeton, GIC, Orix USA, Wells Fargo Advisors (Wells Fargo & Company is rated A+/F1/Outlook Stable). Institutional Sponsorship: The loan is sponsored by SL Green (BB+/Stable) and Vornado (BB+/Stable), both of which are major New York City landlords. High Fitch Leverage: The $ 1.075 billion mortgage loan ($851 psf) has a Fitch stressed DSCR and loan-to-value of 0.77x and 114.0%, respectively, compared to 0.84x and 104.7% at issuance, and 0.77x and 114.4% at the last rating action in May 2024. High-Quality Asset in Strong Location: The collateral consists of a fee simple interest in a 1.3 million-sf, LEED Gold certified, class A office building located on Park Avenue between 48th and 49th Streets in the Plaza office submarket of Midtown Manhattan. The collateral consists of a 33-story east tower, a 43-story west tower and a 17-story base building that connects the east and west towers. The east tower was initially built in 1961, while the west tower was completed in 1968. The property was formerly known as the Bankers Trust Building. At issuance, Fitch assigned a property quality grade of 'A'. The building holds a LEED-Gold designation, which has a positive impact on the ESG score for Waste & Hazardous Materials Management; Ecological Impacts. The largest tenants are PJT Partners (21.3% of NRA through June 2041), Franklin Templeton Investments (10.2% through October 2031), GIC (7.9% through July 2040), Investcorp International (6.0% through May 2035), and Antares Capital LP. (6.0%, through 2034). The street-level retail space at issuance was fully leased to Starbucks, Four Seasons Restaurant, and Scottrade, which have all vacated. The Four Seasons space was re-leased to Fasano Restaurant through 2030 with percentage rent lease terms. The restaurant opened in February 2022 and Baretto (bar and lounge space on the second floor) opened in July 2022. The Starbucks space has been leased to Felix Chrystie Street until October 2034. Capital Improvements: The sponsor acquired the property in 2011 and has spent $142.5 million ($113 psf) on the redevelopment of the building. The redevelopment included a complete redesigning of the lobby and exterior plaza, installing a new breezeway, redeveloping the public plazas, repositioning the retail space, upgrading the elevators, electrical and plumbing systems, and installing a modern HVAC system. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades may be possible if leasing momentum slows or reverses course, or if new leasing occurs at rates significantly below the submarket, resulting in performance below Fitch's expectations of sustainable performance. Downgrades may be possible in the event the loan transfers to the special servicer for not being able to refinance before the fully extended September 2028 modified maturity date and it results in a workout that is prolonged or incurs fees/expenses that affect the trust. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are not considered likely given that the single-event risk and the current ratings reflect Fitch's view of sustainable performance but they are possible with significant and sustained leasing that contributes to stabilized performance, including occupancy well in excess of 90% and new leasing on vacant floors well above the average building rate of $105 psf, and the prospect for refinance/payoff is more certain. 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 280 Park Avenue Trust 2017-280P has an ESG Relevance Score of '4' [+] for Waste & Hazardous Materials Management; Ecological Impacts due to the collateral's sustainable building practices including green building certificate credentials, which has a positive impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. 720 EAST 2023-I: S&P Assigns Prelim BB- (sf) 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-R, and E-R debt from 720 East CLO 2023-I Ltd./720 East CLO 2023-I LLC, a CLO managed by Northwestern Mutual Investment Management Co. LLC that was originally issued in March 2023. The preliminary ratings are based on information as of April 24, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 29, 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 29, 2027. -- The reinvestment period will be extended to April 15, 2030. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to April 15, 2038. -- No additional assets will be purchased on the April 29, 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 is July 15, 2025. -- The required minimum overcollateralization ratios will be amended. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio provided, 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 720 East CLO 2023-I Ltd./720 East CLO 2023-I LLC Class A-1-R, $320.00 million: AAA (sf) Class A-2-R, $20.00 million: AAA (sf) Class B-R, $40.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-R (deferrable), $25.00 million: BBB (sf) Class E-R (deferrable), $25.00 million: BB- (sf) Other Debt 720 East CLO 2023-I Ltd./720 East CLO 2023-I LLC Subordinated notes, $44.40 million: Not rated AFFIRM ASSET 2024-A: DBRS Confirms BB Rating on Class E Notes ------------------------------------------------------------- DBRS, Inc. confirmed five credit ratings from Affirm Asset Securitization Trust 2024-A. -- Class A notes AAA (sf) Confirmed -- Class B Notes AA (sf) Confirmed -- Class C Notes A (sf) Confirmed -- Class D Notes BBB (sf) Confirmed -- Class E Notes BB (sf) Confirmed The credit rating actions are based on the following analytical considerations: -- Transaction capital structure and the form and sufficiency of available credit enhancement. The current level of hard credit enhancement and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining cumulative net loss assumptions at a multiple of coverage commensurate with the credit ratings. -- The credit rating actions are the result of collateral performance to date and Morningstar DBRS' assessment of future performance assumptions. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: 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. Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Distribution Amount and the related Note Balance. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (April 10, 2025). AIMBRIDGE ACQUISITION: Moody's Assigns 'Caa1' CFR, Outlook Stable ----------------------------------------------------------------- Moody's Ratings assigned a Caa1 corporate family rating and Caa1-PD probability of default rating to Aimbridge Acquisition Co., Inc. (Aimbridge). There is no change to the debt ratings of Aimbridge, including its backed senior secured first out term loan rating of B2 and the backed senior secured second out term loan rating of Caa1. At the same time, Moody's withdrew the ratings of Aimbridge Hospitality Holdings, LLC, including its CFR at Caa1, PDR at Caa1-PD and stable outlook. The outlook at Aimbridge is unchanged at stable. A comprehensive review of all credit ratings for the respective issuer(s) has been conducted during a rating committee. RATINGS RATIONALE Aimbridge's Caa1 CFR reflects its position as the largest third party hotel management company with about double the number of properties under management than the next closest competitor. Aimbridge's ratings also benefit from its good diversification in terms of geography, brands, and hotel owners. Under normal conditions the company will benefit from strong free cash flow due in part to its minimal capital expenditure requirements. The company's ratings are constrained by its small scale in terms of net revenue and earnings relative to similarly rated peers, which makes the company more vulnerable to macroeconomic downturns than larger, better capitalized companies. The ratings also reflect the risk to the company's recovery in 2026 – revenue improvement is dependent upon the addition of new properties, reduction in the pace of properties lost and improved profitability – given the current macroeconomic headwinds. The lodging industry as a whole has not yet been impacted by declining consumer confidence, but it will face pressured demand if the economic downturn worsens. Aimbridge's revenue and earnings in 2025 will be pressured by elevated churn experienced over the past three years, resulting in modest net revenue and EBITDA of below $350 million and $50 million, respectively. Moody's projects the company's new management team will be able to improve revenue and earnings in 2026 through property growth, better operations, cost cutting initiatives and higher RevPAR. Moody's projects that Aimbridge will have sufficient liquidity to cover cash burn of approximately $50 million in 2025 before turning to about breakeven in 2026. The stable outlook reflects Aimbridge's adequate liquidity which will be sufficient to cover cash burn in 2025. Credit metrics will not improve materially until 2026 at the earliest, when debt/EBITDA improves to around 5.0x and free cash flow approaches breakeven. Aimbridge's liquidity is adequate with post-transaction cash of about $140 million which will be sufficient to cover Moody's projections of cash burn of about $50 million in 2025. The company has no access to a committed revolving credit facility. There are no near term maturities, the company's term loans mature in 2030, and there is no mandatory amortization on either term loan. The second out term loan has a paid-in-kind (PIK) feature until the first quarter of 2026. If at that time cash exceeds $75 million, the PIK interest converts to cash interest. There are no financial maintenance covenants in the credit agreement. Alternate forms of liquidity are modest as the company is a hotel management company and does not own any hotels. Per Moody's Loss Given Default for Speculative-Grade Companies methodology (LGD Methodology), the B2 rating on the senior secured first out term loan, two notches above the CFR, reflects the material amount of debt below it in the debt waterfall including the second out term loan and unsecured claims. There is a one notch downward override to the first out term loan given the amount of unsecured claims that may not provide a benefit to the first out lenders in a default scenario. The Caa1 rating of the second out reflects the aforementioned unsecured claims below it in the waterfall and the first out debt ahead of it. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Ratings could be upgraded if liquidity improves and the company is able to generate sustained positive free cash flow. Ratings could also improve if earnings growth is sufficient to support debt/EBITDA sustained below 7x. Ratings could be downgraded if liquidity deteriorates from Moody's current expectations with free cash flow not approaching breakeven in 2026, or the recovery prospects are lower than Moody's currently expects. Aimbridge Acquisition Co., Inc., through its subsidiaries Aimbridge Hospitality Holdings, LLC and KIHR Holdings, Inc., is the largest third-party hotel operator, with over 1,000 properties across North America, EMEA and LATAM. The company is currently owned by its previous lender base, some of whom are more traditional private equity firms. The company is private and does not file public financials. Net revenue was about $417 million for the 12 months ended September 30, 2024. The principal methodology used in these ratings was Business and Consumer Services published in November 2021. APEX CREDIT 12: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apex Credit CLO 12 Ltd. Entity/Debt Rating ----------- ------ Apex Credit CLO 12 Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B-1 LT AAsf New Rating B-2 LT AAsf New Rating C-1 LT A+sf New Rating C-2 LT A+sf New Rating D-1 LT BBB+sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Apex Credit CLO 12 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Apex Credit Partners 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 21.65, versus a maximum covenant, in accordance with the initial expected matrix point of 28. 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 97.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.04% versus a minimum covenant, in accordance with the initial expected matrix point of 73.1%. 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 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-2, between 'BB+sf' and 'A+sf' for class B-1, between 'BB+sf' and 'A+sf' for class B-2, between 'Bsf' 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 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-1, 'AAAsf' for class B-2, 'AA+sf' for class C, 'A+sf' for class D-1, and '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, 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 Apex Credit CLO 12 Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. APIDOS CLO XXXIII: Fitch Assigns 'BB-sf' Rating on Cl. E-R-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO XXXIII. Entity/Debt Rating ----------- ------ Apidos CLO XXXIII A1-R-2 LT NRsf New Rating A2-R-2 LT AAAsf New Rating B-R-2 LT AAsf New Rating C-R-2 LT Asf New Rating D1-R-2 LT BBB-sf New Rating D2-R-2 LT BBB-sf New Rating E-R-2 LT BB-sf New Rating F-R-2 LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary The transaction is similar to Apidos CLO LII, which closed in March 2025. Both capital structures are very similar, although XXXIII is a larger deal. Additionally, the credit enhancement levels were relatively in line, as were the weighted average rating factors and weighted average recovery rates. The portfolio's weighted average spread decreased from Apidos LII to Apidos XXXIII, and the cost of funding increased. 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 97.21% first-lien senior secured loans and has a weighted average recovery assumption of 74.45%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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 A2-R-2, between 'BB+sf' and 'A+sf' for class B-R-2, between 'B+sf' and 'BBB+sf' for class C-R-2, between less than 'B-sf' and 'BB+sf' for class D1-R-2, and between less than 'B-sf' and 'BB+sf' for class D2-R-2 and between less than 'B-sf' and 'B+sf' for class E-R-2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A2-R-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-R-2, 'AAsf' for class C-R-2, 'Asf' for class D1-R-2, and 'A-sf' for class D2-R-2 and 'BBBsf' for class E-R-2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Apidos XXXIII. 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 in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. APIDOS CLO XXXIII: Moody's Assigns B3 Rating to $500,000 F-R2 Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Apidos CLO XXXIII (the Issuer): US$289,280,000 Class A-1-R2 Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$500,000 Class F-R2 Mezzanine 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% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans, senior secured bonds, high yield bonds or senior secured notes. CVC Credit Partners, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the six other classes of secured notes and additional subordinated 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 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: $452,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2969 Weighted Average Spread (WAS): 3.06% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. BANK5 2025-5YR14: Fitch Assigns B-sf Final Rating on Cl. J-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BANK5 2025-5YR14 commercial mortgage pass-through certificates, series 2025-5YR14 as follows: Entity/Debt Rating Prior ----------- ------ ----- BANK5 2025-5YR14 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-S LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf D LT BBB+sf New Rating BBB+(EXP)sf E LT BBB-sf New Rating BBB-(EXP)sf F-RR LT BB+sf New Rating BB+(EXP)sf G-RR LT BB-sf New Rating BB-(EXP)sf J-RR LT B-sf New Rating B-(EXP)sf K-RR LT NRsf New Rating NR(EXP)sf X-A LT AAAsf New Rating AAA(EXP)sf X-B LT A-sf New Rating A-(EXP)sf X-D LT BBB-sf New Rating BBB-(EXP)sf - $5,730,000 class A-1 'AAAsf'; Outlook Stable; - $120,500,000 class A-2 'AAAsf'; Outlook Stable; - $492,876,000 class A-3 'AAAsf'; Outlook Stable; - $619,106,000a class X-A 'AAAsf'; Outlook Stable; - $88,444,000 class A-S 'AAAsf'; Outlook Stable; - $44,222,000 class B 'AA-sf'; Outlook Stable; - $33,166,000 class C 'A-sf'; Outlook Stable; - $165,832,000a class X-B 'A-sf'; Outlook Stable; - $9,950,000b class D 'BBB+sf'; Outlook Stable; - $13,488,000b class E 'BBB-sf'; Outlook Stable; - $23,438,000ab class X-D 'BBB-sf'; Outlook Stable; - $14,151,000bc class F-RR 'BB+sf'; Outlook Stable; - $11,055,000bc class G-RR 'BB-sf'; Outlook Stable; - $12,161,000bc class J-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $38,694,752bc class K-RR. (a)Notional amount and interest only. (b)Privately placed and pursuant to Rule 144a. (c) Horizontal risk retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 25 loans secured by 72 commercial properties having an aggregate principal balance of $884,437,753 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Morgan Stanley Mortgage Capital Holdings LLC, JPMorgan Chase Bank, National Association and Bank of America, National Association. The master servicer is Trimont LLC, and the special servicer is Torchlight Loan Services, LLC. The certificates will follow a sequential paydown structure. Since Fitch published its expected ratings on March 26, 2025, a change has occurred. The balances for classes A-2 and A-3 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-2 class was expected to be in the range of $0-$300,000,000, and the initial aggregate certificate balance of the A-3 class was expected to be in the range of $313,376,000- $613,376,000. The final class balances for classes A-2 and A-3 are $120,500,000 and $492,876,000, respectively. The balances for classes E, F-RR, and X-D were finalized. At the time the expected ratings were published, the class E balance range was expected to be in the range of $12,241,000-$14,744,000, the expected class F-RR balance range is $12,895,000-$15,398,000, and the class X-D balance range is $22,191,000-$24,694,000. The final class balances for classes E, F-RR and X-D are $13,488,000, $14,151,000, and $23,438,000, respectively. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on 18 loans totaling 91.8% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $83.7 million represents a 13.5% decline from the issuer's aggregate underwritten NCF of $96.7 million. Fitch Leverage: The pool's Fitch leverage is in line with recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 100.0% is lower than the 2025 YTD five-year multiborrower transaction average of 100.8% and higher than the 2024 five-year multiborrower transaction average of 95.2%. The pool's Fitch NCF debt yield (DY) of 9.5% is higher than the 2025 YTD average of 9.6% and lower than the 2024 average of 10.2%. Higher Office Concentration: Loans secured by office properties (designated by Fitch) represent 31.5% of the pool, above the YTD 2025 and 2024 five-year multiborrower averages of 22.9% and 21.3%, respectively. Two of the five largest loans in the pool are secured by office properties. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans represent 66.2% of the pool, which is worse than both the 2025 YTD five-year multiborrower average of 62.4% and the 2024 average of 60.2%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 19.2. 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: 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. 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 lists below indicate the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBB-sf'/'BB+sf'/'B-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'/'Bsf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The lists below indicate the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBB-sf'/'BB+sf'/'B-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'Asf'/'A-sf'/'BBB+sf'/'BBB-sf'/'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 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. BAY 2025-LIVN: Fitch Assigns 'B(EXP)sf' Rating on Class HRR Certs ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BAY 2025-LIVN Mortgage Trust, Commercial Mortgage Pass-Through Certificates: - $218,000,000 class A 'AAA(EXP)sf'; Outlook Stable; - $38,500,000 class B 'AA-(EXP)sf'; Outlook Stable; - $30,500,000 class C 'A-(EXP)sf'; Outlook Stable; - $43,000,000 class D 'BBB-(EXP)sf'; Outlook Stable; - $65,500,000 class E 'BB-(EXP)sf'; Outlook Stable; - $12,950,000 class F 'B+(EXP)sf'; Outlook Stable; - $21,550,000a class HRR 'B(EXP)sf'; Outlook Stable; (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Transaction Summary The BAY 2025-LIVN Mortgage Trust, Commercial Mortgage Pass-Through Certificates, (BAY 2025-LIVN), represent the beneficial interests in a trust that holds a five-year, fully extended, floating-rate, interest-only mortgage loan with an original principal balance of $430.0 million ($237,941 per unit). The loan is secured by the borrower's fee simple interest in a portfolio of 75 multifamily properties located across San Francisco and Oakland, CA, with a total of 1,759 units all built prior to 1979 and thus subject to San Francisco and Oakland's rent control ordinances. Mortgage loan proceeds along with $132.6 million of sponsor equity are being used to acquire the portfolio for $540.5 million, pay closing costs of $15.2 million, fund upfront reserves of $6.7 million and fund $2.3 million of working capital needs. The sellers assembled the portfolio from 2018 to 2021 and invested about $175.8 million ($99,930 per unit) into capital improvements and unit renovations at the properties. The loan will have an initial term of two years followed by three one-year extension options. The borrower is required to purchase an interest rate cap with a notional amount equal to the full loan amount and a strike rate based on the one-month Term SOFR. The bond certificates will follow a sequential-pay structure with no pro rata pay. The initial 25% of the original loan balance ($107.5 million) is freely prepayable with no spread maintenance premium. Voluntary prepayments will be applied pro rata for the initial 25% of the original loan balance and sequentially thereafter. The loan is expected to be co-originated by German American Capital Corporation and Wells Fargo Bank, National Association, which will act as mortgage loan sellers and sponsors of the trust. Midland Loan Services A Division of PNC Bank, N.A. will act as the master servicer with MF1 Loan Services, LLC as special servicer. Computershare Trust Company, N.A. will act as trustee and Deutsche Bank National Trust Company will act as certificate administrator. Park Bridge Lender Services LLC will act as operating advisor. The transaction is scheduled to close on May 6, 2025. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings estimates stressed net cash flow (NCF) for the portfolio at $30.1 million. This is 11.8% lower than the issuer's underwritten NCF. Fitch applied a 7.25% cap rate to derive a Fitch value of about $414.8 million. High Overall Fitch Leverage: The $430.0 million trust loan equates to a debt of about $244,457 per unit with a Fitch debt service coverage ratio (DSCR) of 0.85x, loan-to-value ratio (LTV) of 103.7% and debt yield of 7.0%. The loan represents around 76.4% of the appraised value of $562.6 million. The Fitch market LTV at 'Bsf' (the lowest Fitch-rated non-investment grade tranche) is 94.3%. The Fitch market LTV is based on a blend of the Fitch cap rate and the portfolio's market cap rate of 5.94%. Rent Controlled Units with Below-Market Rents: The portfolio consists of units built before 1975, making them subject to rent control ordinances in San Francisco and Oakland, which limit rent increases for occupied units. About 62% of the units have rents below market levels, with overall rents 28.8% lower than market rates according to appraisal. The sponsor intends to continue renovating vacated units and re-leasing them at market rates. Institutional Sponsorship and Property Management: Acquisition sponsor Pacific Coast Capital Partners (PCCP) is an established investment manager for its global investors with offices in New York, San Francisco, Atlanta and Los Angeles. PCCP's investment management team comprises more than 140 originations, asset management, loan servicing, accounting, reporting, investor relations, compliance and administrative professionals, with a diverse set of capabilities including acquisitions, underwriting, asset management, workouts and distressed equity and debt investing. The firm has raised, invested or managed $41.6 billion of institutional capital across 1,246 investments since it was founded in 1998. Veritas Investments, founded in 2007, is a real estate management company that specializes in operating mixed-use multifamily and retail properties in San Francisco. The firm's current portfolio comprises 200 buildings and 5,000 units largely concentrated in the San Francisco and Bay area region. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: AAAsf /AA-sf/A-sf/BBB-sf/BB-sf/B+sf/Bsf; - 10% NCF Decline: AAsf/A-sf/BBB-sf/BBsf/Bsf/B-sf/CCC+sf. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet debt service obligations. The list below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: AAAsf /AA-sf/A-sf/BBB-sf/BB-sf/B+sf/Bsf; - 10% NCF Increase: AAAsf/AAsf/A+sf/BBBsf/BBsf/BB-sf/BB-sf. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BAYARD PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Bayard Park CLO Ltd./Bayard Park CLO LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Blackstone Liquid Credit Strategies LLC. The preliminary ratings are based on information as of April 24, 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 Bayard Park CLO Ltd./Bayard Park CLO LLC Class A, $30.00 million: AAA (sf) Class A-1L(i), $0.00 million: AAA (sf) Class A-1L loans(i), $206.25 million: AAA (sf) Class A-2L loans, $76.25 million: AAA (sf) Class B-1, $50.00 million: AA (sf) Class B-2, $15.00 million: AA (sf) Class C (deferrable), $32.50 million: A (sf) Class D-1 (deferrable), $22.50 million: BBB+ (sf) Class D-2 (deferrable), $7.50 million: BBB- (sf) Class D-3 (deferrable), $2.50 million: BBB- (sf) Class E (deferrable), $17.50 million: BB- (sf) Subordinated notes, $50.00 million: Not rated (i)The class A-1L loans are convertible into class A-1L notes. BBCMS TRUST 2015-VFM: S&P Lowers Class D Certs Rating to 'BB+(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its rating on one class of commercial mortgage pass-through certificates from BBCMS Trust 2015-VFM, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on five classes from the transaction. This is a U.S. stand-alone (single-borrower) CMBS transaction that is backed by a fixed-rate, amortizing mortgage loan. The loan is secured by the borrower's fee and leasehold interests in a portion of Vintage Faire Mall, an enclosed regional shopping mall located in Modesto, Calif. Rating Actions The downgrade on the class D certificates and the affirmations on the class A-1, A-2, B, and C certificates (despite higher model-indicated ratings on classes B, C, and D) primarily reflect: -- S&P said, "Our qualitative consideration that the borrower may encounter difficulty refinancing the loan upon its maturity in March 2026 due to observed higher market risk premium required for class B regional malls in the current environment. We assessed that, due to the collateral property's lower perceived market value (which we assess at $258.9 million compared with the appraised value of $512.0 million in 2015), the borrower will likely need to contribute capital to pay off the loan in full next year." -- S&P's revised expected-case value, which is 10.2% lower than the value it derived in its last published review in June 2022, partially offset by the loan's amortization. The trust loan balance has paid down 8.3% and 22.3% since our last review and at issuance, respectively. -- S&P's observation that although the collateral property's reported net cash flow (NCF) and occupancy levels have generally been stable to increasing over the past five years, new tenants are signing leases for shorter terms and at lower base rents. -- S&P's affirmation on the class X interest-only (IO) certificates is based on its criteria for rating IO securities, in which the rating on the IO security would not be higher than that of the lowest-rated reference class. The notional amount of the class X certificates references classes A-1 and A-2. S&P said, "We will continue to monitor the performance of the collateral property and loan, as well as the borrower's ability to refinance the loan by its maturity date. If we receive information that differs materially from our expectations, we may revisit our analysis and take additional rating actions as we determine appropriate." Property-Level Analysis The collateral property consists of a portion (692,693 sq. ft.) of Vintage Faire Mall, a 1.1 million-sq.-ft. enclosed two-level regional mall in Modesto, Calif. The property was built in 1977 and last renovated in 2008. It is located approximately 90 miles east of San Francisco. The property, which has been owned by an affiliate of The Macerich Co., the sponsor, since 1996, has no direct competitors within a 25-mile radius. The collateral property is anchored by JCPenney (163,163 sq. ft.) and Macy's Men & Home (88,967 sq. ft.). Non-collateral anchors at the property include Furniture City (154,518 sq. ft.), Macy's Woman's & Children (148,000 sq. ft.), Dick's Sporting Goods (46,322 sq. ft.), and Dave & Buster's (34,685 sq. ft.). Since S&P's June 2022 review, the collateral property continued to report stable to increasing occupancy and NCF levels. According to the January 2025 rent roll, the collateral property was 96.2% occupied after adjusting for known tenant movements. The five largest tenants comprised 44.5% of net rentable area (NRA): -- JCPenney (23.7% of NRA; 2.9% of gross rent, as calculated by S&P Global Ratings; June 2030 lease expiration). According to the master servicer, Berkadia Commercial Mortgage LLC, the tenant recently extended its lease by five years from 2025 to 2030. -- Macy's Men's & Home (12.9%; 1.5%; December 2026). -- Bob's Discount Furniture (4.8%; 2.1%; May 2032). -- Q Luv (1.7%; 1.1%; April 2026). -- Rainbow (1.4%; 1.1%; December 2026). The collateral property faces elevated tenant rollover in 2025 (15.6% of NRA; 28.4% of gross rent, as calculated by S&P Global Ratings), 2026 (22.9%; 16.8%), and 2027 (12.6%; 18.2%). According to the Dec. 31, 2024, tenant sales report, the property's inline sales were $588 per sq. ft. with a 13.3% occupancy cost (excluding Apple and tenants not reporting rolling 12-month sales figures), as calculated by S&P Global Ratings. In our June 2022 review, S&P calculated a $654 per sq. ft. in-line sales and a 10.7% occupancy cost (excluding Apple and tenants not reporting rolling 12-month sales figures). According to CoStar, the Modesto retail submarket, where the subject property is located, had a 2.5% vacancy rate and a $25.79 per sq. ft. average asking rent as of year-to-date April 2025. CoStar projects vacancy of up to 3.0% through 2029, with average asking rent growing to $28.28 per sq. ft. This compares with a 3.8% in-place vacancy rate, a $34.59 per sq. ft. base rent, and a $48.11 per sq. ft. gross rent, as calculated by S&P Global Ratings. S&P said, "In our current analysis, assuming an 85.0% occupancy, a $48.11 per sq. ft. gross rent, and a 23.1% operating expense ratio, we derived an S&P Global Ratings long-term sustainable NCF of $23.4 million, unchanged from our June 2022 review. Utilizing an S&P Global Ratings capitalization rate of 8.50% (which is up 100 basis points from our June 2022 review to account for the perceived higher market risk premium for class B malls) and adjusting for California Proposition 13, we arrived at an S&P Global Ratings expected-case value of $258.9 million, which is 10.2% lower than in our June 2022 review and 49.4% below the issuance appraisal value. This yielded an S&P Global Ratings' loan-to-value ratio of 84.1% on the current trust balance." Table 1 Servicer-reported collateral performance 2024(i) 2023(i) 2022(i) Occupancy rate (%) 98.9 99.0 96.8 Net cash flow (mil. $) 26.1 25.2 23.8 Debt service coverage (x) 1.73 1.67 1.58 Appraisal value (mil. $) 512.0 512.0 512.0 (i)Reporting period. Table 2 S&P Global Ratings' key assumptions Current review Last published review At issuance (April 2025)(i) (June 2022)(i) (March 2015)(i) Trust balance (mil. $) 217.7 237.5 280.0 Occupancy rate (%) 85.0 85.5 88.0 Net cash flow (mil. $) 23.4 23.4 23.4 Capitalization rate (%) 8.50 7.50 6.50 California Proposition 13 Adjustment (16.5) (23.2) (34.8) Value (mil. $) 258.9 288.3 325.3 Loan-to-value ratio (%)(ii) 84.1 82.4 86.1 (i)Review period. (ii)On the trust balance at the time of the review. Transaction Summary As of the April 11, 2025, trustee remittance report, the mortgage loan has a $217.7 million balance, down from $237.5 million as of our June 2022 review and $280.0 million at issuance. The loan amortizes on a 30-year schedule, pays an annual fixed interest rate of 3.49%, and matures on March 6, 2026. To date, the trust has not incurred any principal losses. Rating Lowered BBCMS Trust 2015-VFM Class D to 'BB+ (sf)' from 'BBB- (sf)' Ratings Affirmed BBCMS Trust 2015-VFM Class A-1: AAA (sf) Class A-2: AAA (sf) Class B: AA- (sf) Class C: A- (sf) Class X: AAA (sf) BENEFIT STREET XXX: 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-1-R, D-2-R, and E-R debt from Benefit Street Partners CLO XXX Ltd./Benefit Street Partners CLO XXX LLC, a CLO managed by BSP CLO Management LLC that was originally issued in February 2023. At the same time, S&P withdrew its ratings on the original class A, B-1, B-2, C, D, and E debt following payment in full on the April 25, 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-1-R, and E-R debt was issued at a lower spread than the original debt. -- The replacement class D-2-R debt was issued at a coupon. -- The non-call period was extended to April 25, 2027. -- The stated maturity was extended to April 25, 2038. -- The reinvestment period was extended to April 25, 2030. -- No additional subordinated notes were issued on the April 25, 2025, refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Benefit Street Partners CLO XXX Ltd./ Benefit Street Partners CLO XXX LLC Class A-1-R, $267.75 million: AAA(sf) Class A-2-R, $8.50 million: AAA(sf) Class B-R, $46.75 million: AA(sf) Class C-R (deferrable), $25.50 million: A(sf) Class D-1-R (deferrable), $25.50 million: BBB-(sf) Class D-2-R (deferrable), $4.25 million: BBB-(sf) Class E-R (deferrable), $12.75 million: BB-(sf) Ratings Withdrawn Benefit Street Partners CLO XXX Ltd./ Benefit Street Partners CLO XXX LLC Class A to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Benefit Street Partners CLO XXX Ltd./ Benefit Street Partners CLO XXX LLC Subordinated notes, $38.97 million: NR NR--Not rated. BENEFIT STREET XXXI: S&P Assigns BB- (sf) Rating on Cl. 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-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. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B-1, B-2, C, D, and E debt following payment in full on the April 25, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 25, 2027. -- The reinvestment period was extended to April 25, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended by approximately two years to April 25, 2038. -- No additional assets were purchased on the April 25, 2025, refinancing date, and the target initial par amount remains at $500 million. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is July 25, 2025. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. 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) Ratings Withdrawn Benefit Street Partners CLO XXXI Ltd./ Benefit Street Partners CLO XXXI LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 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 Benefit Street Partners CLO XXXI Ltd./ Benefit Street Partners CLO XXXI LLC Subordinated notes, $40.5 million: NR NR--Not rated. BLACK DIAMOND 2025-1: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Black Diamond CLO 2025-1 Ltd./Black Diamond CLO 2025-1 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 Black Diamond CLO 2025-1 Adviser LLC, a subsidiary of Black Diamond Capital Management. The preliminary ratings are based on information as of April 25, 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, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Black Diamond CLO 2025-1 Ltd./Black Diamond CLO 2025-1 LLC Class A-1, $240.00 million: AAA (sf) Class A-2, $16.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C-1 (deferrable), $18.00 million: A (sf) Class C-2 (deferrable), $6.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $40.00 million: Not rated BRYANT PARK 2025-26: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Bryant Park Funding 2025-26 Ltd./Bryant Park Funding 2025-26 LLC's floating- and fixed-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 Marathon Asset Management L.P. 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 Bryant Park Funding 2025-26 Ltd. / Bryant Park Funding 2025-26 LLC Class A, $244.00 million: AAA (sf) Class B-1, $52.00 million: AA+ (sf) Class B-2, $16.00 million: AA (sf) Class C (deferrable), $16.00 million: A (sf) Class D-1 (deferrable), $19.00 million: BBB+ (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class D-3 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $36.00 million: Not rated BX TRUST 2021-VIEW: DBRS Confirms B(high) Rating on G Certs ----------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-VIEW issued by BX Trust 2021-VIEW as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (high) (sf) -- Class X-NCP at AA (sf) -- Class D at AA (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (high) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the collateral property's overall stable to improving performance since issuance. Although occupancy declines in 2021 and 2022 drove in-place cash flows below the Morningstar DBRS Net Cash Flow (NCF) figure derived at issuance, performance has since stabilized, and the property's occupancy rate has increased significantly in the last year with several lease signings, as further described below. The transaction benefits from strong sponsorship, the collateral retail property's location within a dense urban area, and a tenant roster primarily composed of national tenants and strong anchor draws. The underlying loan for the transaction is a first mortgage secured by the fee-simple interest in a 509,500-square-foot (sf) portion of The Shops at Skyview, a retail complex in downtown Flushing, Queens. The property, constructed in 2010, consists of two retail buildings, known as the West Retail building and the East Retail building, and a parking garage. The West Retail building is anchored by BJ's Wholesale Club (BJ's), and the East Retail building is anchored by a noncollateral tenant, Target. The servicer reported an occupancy rate of 86.0% at year-end (YE) 2024, up from the reported occupancy rate of 81.0% at YE2023. As of April 2025, the largest collateral tenants are BJ's, Marshalls, Sky Foods, and Burlington; the former second-largest collateral tenant, Best Buy, vacated its space at lease expiry in February 2025. In 2024, national tenants Sephora, Bath & Body Works, Foot Locker, and GNC were added to the property's tenant roster. Recently, multiple news outlets reported that three new tenants were signed: Round1 Bowling & Arcade (Round1), Sky Zone Trampoline Park (Sky Zone) and Jongro BBQ. Information provided by the servicer shows executed leases for Round1 and Jongro BBQ for just under 80,000 sf combined, with leases beginning in July 2026 and March 2025, respectively. A Commercial Observer article dated April 1, 2025, reported the Sky Zone space will be 49,733 sf and will be on the fifth floor of the West Retail building. Morningstar DBRS has requested confirmation of the property's leased rate with these new tenants, and the servicer's response is pending as of the date of this press release. Outside of Marshalls (approximately 9.0% of the collateral sf at issuance; lease expires October 31, 2025), scheduled rollover is relatively minimal over the next few years. The floating-rate loan had a two-year initial term, with three 12-month extension options, and pays interest only (IO) through the fully extended maturity date of June 2026. Morningstar DBRS expects the borrower will exercise the final 12-month extension option through June 2026 in the coming months. The loan documents also stipulate that the borrower maintain an interest rate protection agreement with a strike price of 2.50%, and as of the commencement date of any extension, equal to the greater of 2.50% and the yearly rate of interest that yields a debt service coverage ratio of no less than 1.10 times. The borrower used whole loan proceeds to refinance existing debt of $306.0 million and contributed approximately $44.8 million of cash equity at closing, demonstrating a strong commitment to the property. The loan sponsors are two affiliates of Blackstone Inc., a real estate investment group with $1.1 trillion in assets under management as of YE2024. The servicer reported a YE2024 NCF figure of $27.4 million, up from the YE2023 figure of $22.5 million. The cash flow growth in 2024 was primarily the result of increased revenues following the increase in the property's occupancy rate from a low of 75.0% at YE2021. Morningstar DBRS expects cash flow growth to continue given the recent lease signings and high occupancy rate expected to be achieved once all new tenants are in place. Given the sustained trend of cash flow growth for the past few years, the Morningstar DBRS Value was updated with this credit rating action to reflect a Morningstar DBRS NCF figure of $22.0 million (based on the YE2023 NCF figure with a haircut of 2.0%). The 7.0% capitalization rate applied at issuance was maintained for a resulting Morningstar DBRS Value of $314.7 million, a -28.4% variance from the issuance as-is appraised value of $440.0 million. The Morningstar DBRS Value results in a loan-to-value (LTV) of 90.6% on the full loan amount of $285.0 million and 77.4% on the investment-grade rated portion of the capital stack (Classes A, B, C, D, and E). The LTV Sizing analysis reflected qualitative adjustments totaling 4.5% for market fundamentals, property quality, and cash flow volatility. The resulting LTV Sizing Benchmarks supported the credit rating confirmations with this review. 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. CARLYLE US 2025-1: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Carlyle US CLO 2025-1, Ltd. Entity/Debt Rating ----------- ------ Carlyle US CLO 2025-1, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Carlyle US CLO 2025-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Partners Manager LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.52 versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.43% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.32% versus a minimum covenant, in accordance with the initial expected matrix point of 71.20%. Portfolio Composition (Positive): The largest three industries may comprise up to 42.5% 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-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle 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 any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CBAMR 2018-6: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the CBAMR 2018-6, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- CBAMR 2018-6, Ltd. A-1-R 12481XAN0 LT PIFsf Paid In Full AAAsf A-2-R 12481XAQ3 LT PIFsf Paid In Full AAAsf A-L LT AAAsf New Rating A-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT A+sf New Rating D-1R2 LT BBB+sf New Rating D-2R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating F-R2 LT NRsf New Rating X-R2 LT AAAsf New Rating Transaction Summary CBAMR 2018-6, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CBAM CLO Management, LLC. The transaction previously reset in December 2019. The CLO's secured notes will be refinanced on April 30, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $1 billion of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.86% first-lien senior secured loans and has a weighted average recovery assumption of 72.36%. 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 40.25% of the portfolio balance in aggregate while the top five obligors can represent up to 10% 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 'AAAsf' for class X-R2, between 'BBB+sf' and 'AA+sf' for class A-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BBB-sf' for class D-1R2, and between less than 'B-sf' and 'BB+sf' for class D-2R2 and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R2 and class A-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'A+sf' for class D-1R2, and 'A-sf' for class D-2R2 and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 CBAMR 2018-6. 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. CHASE HOME 2025-4: Moody's Assigns B3 Rating to Cl. B-5 Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 44 classes of residential mortgage-backed securities (RMBS) issued by Chase Home Lending Mortgage Trust 2025-4, and sponsored by JPMorgan Chase Bank, N.A. (JPMCB). The securities are backed by a pool of prime jumbo (99.96% by balance) residential mortgages and a single GSE-eligible loan originated and serviced by JPMorgan Chase Bank, N.A. The complete rating actions are as follows: Issuer: Chase Home Lending Mortgage Trust 2025-4 Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-B, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X2*, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X3*, Definitive Rating Assigned Aa1 (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-14-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.40%, in a baseline scenario-median is 0.19% and reaches 5.69% 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. CLERMONT PARK: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Clermont Park CLO Ltd./Clermont Park CLO LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Blackstone Liquid Credit Strategies LLC. The preliminary ratings are based on information as of April 24, 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 Clermont Park CLO Ltd./Clermont Park CLO LLC Class A-1L loans, $210.00 million: AAA (sf) Class A-2L loans, $105.00 million: AAA (sf) Class B-1, $50.00 million: AA (sf) Class B-2, $15.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $3.00 million: BBB- (sf) Class E (deferrable), $17.00 million: BB- (sf) Subordinated notes, $48.00 million: Not rated COOPR RESIDENTIAL 2025-CES1: Fitch Assigns 'B' Rating on B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to COOPR Residential Mortgage Trust 2025-CES1. Entity/Debt Rating Prior ----------- ------ ----- COOPR 2025-CES1 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary An updated structure was provided to reflect the final coupons following the publication of the presale. There were no changes to the bond balances, nor the credit enhancement (CE) levels for each class. Fitch reran the cashflow analysis and confirmed no changes from the expected to final ratings for each tranche. 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 dba 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. 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 of the loans are of a primary residence, cashout refinance loans, and originated through a retail channel. Additionally, 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 has 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 in which 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 basis points (bps), subject to the net WAC, after the 48th payment date. 180-Day Chargeoff 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 chargeoff 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. 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 thirdparty 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. DIAMETER CAPITAL 10: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 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 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. DIAMOND INFRASTRUCTURE 2021-1: Fitch Affirms BB Rating on 1C Debt ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings for Diamond Infrastructure Funding, Series 2021-1. The Rating Outlooks for all classes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Diamond Infrastructure Funding, Series 2021-1 1A 25265LAA8 LT Asf Affirmed Asf 1B 25265LAC4 LT BBB-sf Affirmed BBB-sf 1C 25265LAE0 LT BB-sf Affirmed BB-sf Transaction Summary The transaction is an issuance of notes backed by a pool of wireless tower sites. The notes are backed by mortgages representing approximately 90% of the annualized run rate net cash flow (ARRNCF) on the tower sites and guaranteed by the direct parent of the borrower issuer. This guarantee is secured by a pledge and first-priority perfected security interest in 100% of the equity interest of the borrowers which own or lease 2,352 wireless communication sites. The notes are structured as interest-only until each series' respective anticipated repayment date (ARD). If the notes are unable to refinance on or prior to the ARD, all excess cash flow will be swept to pay down principal. The ratings reflect a structured finance analysis of the cash flows from the ownership interest in cellular sites, not an assessment of Diamond Infrastructure Inc.'s corporate default risk. KEY RATING DRIVERS Net Cash Flow and Trust Leverage: Annualized Run Rate Net Cash Flow (ARRNCF) on the pool is $65.9 million, up approximately 1.2% since the last review and 6.7% since the June 2021 issuance of notes. Moreover, the debt multiple relative to Issuer NCF on the rated classes is 10.10x down from the multiple at issuance of 10.80x. Fitch has not redetermined Fitch Net Cash Flow and Maximum Potential Leverage as there have not been material migrations in the performance, cash flow or collateral asset characteristics. Credit Risk Factors: The major factors impacting Fitch's determination of cash flow and Maximum Potential Leverage (MPL) include: the large and diverse collateral pool, creditworthy customer base with limited historical churn, long-term contracts with minimum fixed payment, market position of the operator, capability of the operator, limited operational requirements, high barriers to entry and transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for tower space, similar to most wireless tower transactions, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date over 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology will be developed that renders obsolete the current transmission of wireless signals through cellular sites. Wireless service providers (WSPs) currently depend on towers to transmit their signals and continue to invest in this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of higher site expenses, lease churn, or the development of an alternative technology for the transmission of wireless signal could lead to downgrades or revisions of Rating Outlooks to Negative from Stable. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing cash flow without an increase in corresponding debt from contractual lease escalators, new tenant leases, or lease amendments could lead to upgrades. However, upgrades are unlikely given the provision to issue additional debt, increasing leverage without the benefit of additional collateral. Upgrades may also be limited because the ratings are capped at 'Asf' due to the risk of technological obsolescence. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Diamond Infrastructure Funding, Series 2021-1 has an ESG Relevance Score of '4' for Transaction & Collateral Structure due to several factors, including the issuer's ability to issue additional notes, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DRYDEN 40 SENIOR: Moody's Cuts Rating on $33MM Cl. E-R Notes to B1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Dryden 40 Senior Loan Fund: US$30,000,000 Class C-R2 Mezzanine Secured Deferrable Floating Rate Notes due 2031, Upgraded to Aa1 (sf); previously on May 13, 2024 Assigned Aa3 (sf) US$33,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2031, Upgraded to Baa2 (sf); previously on August 31, 2020 Confirmed at Baa3 (sf) Moody's have also downgraded the ratings on the following notes: US$33,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2031, Downgraded to B1 (sf); previously on August 31, 2020 Confirmed at Ba3 (sf) US$12,000,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2031, Downgraded to Caa3 (sf); previously on August 31, 2020 Downgraded to Caa2 (sf) Dryden 40 Senior Loan Fund, originally issued in July 2015, refinanced in August 2018, and partially refinanced in May 2024, 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 August 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since April 2024. The Class A-R2 notes have been paid down by approximately 32% or $91.7 million and the Class A Loans have been paid down by approximately 32% or $27.0 million since then. Based on Moody's calculations, the OC ratios for the Class C-R2 and Class D-R notes are currently 122.59% and 112.21%, respectively, versus April 2024 levels of 118.36% and 110.68%, respectively. The downgrade rating actions on the Class E-R and Class F-R notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio and decrease in OC ratios. Based on Moody's calculations, the transaction has incurred par losses of approximately $6.5 million since April 2024. Furthermore, based on Moody's calculations, the OC ratios for the Class E-R and Class F-R notes are currently 103.46% and 100.60%, respectively, versus April 2024 levels of 103.94% and 101.65%, respectively. No actions were taken on the Class A-R2 notes, Class A Loans and Class B-R2 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: $436,396,534 Defaulted par: $7,003,501 Diversity Score: 81 Weighted Average Rating Factor (WARF): 2711 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.96% Weighted Average Recovery Rate (WARR): 47.33% Weighted Average Life (WAL): 3.7 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. EAGLE RE 2021-2: Moody's Hikes Rating on Cl. M-2 Certs from Ba1 --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 11 bonds from two US mortgage insurance-linked note (MILN) transactions. These transactions were issued to transfer to the capital markets the credit risk of private mortgage insurance (MI) policies issued by the ceding insurer on a portfolio of residential mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Eagle Re 2021-1 Ltd. Cl. B-1, Upgraded to Aa2 (sf); previously on Jun 18, 2024 Upgraded to Baa1 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jun 18, 2024 Upgraded to Baa2 (sf) Cl. M-2, Upgraded to Aa1 (sf); previously on Jun 18, 2024 Upgraded to A2 (sf) Cl. M-2A, Upgraded to Aaa (sf); previously on Jun 18, 2024 Upgraded to A1 (sf) Cl. M-2B, Upgraded to Aaa (sf); previously on Jun 18, 2024 Upgraded to A2 (sf) Cl. M-2C, Upgraded to Aa1 (sf); previously on Jun 18, 2024 Upgraded to A3 (sf) Issuer: Eagle Re 2021-2 Ltd. Cl. M-1C, Upgraded to Aa3 (sf); previously on Jun 18, 2024 Upgraded to Baa1 (sf) Cl. M-1C-1, Upgraded to Aaa (sf); previously on Jun 18, 2024 Upgraded to A3 (sf) Cl. M-1C-2, Upgraded to Aa2 (sf); previously on Jun 18, 2024 Upgraded to Baa1 (sf) Cl. M-1C-3, Upgraded to A1 (sf); previously on Jun 18, 2024 Upgraded to Baa2 (sf) Cl. M-2, Upgraded to A3 (sf); previously on Jun 18, 2024 Upgraded to Ba1 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative losses for each transaction under .02% 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, 109% for the non-exchangeable tranches upgraded. Principal Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. EAGLEVIEW: S&P Lowers ICR to 'SD' on Distressed Debt Exchange ------------------------------------------------------------- S&P Global Ratings lowered its issuer credit rating on EagleView Technology Corp. to 'SD' (selective default) from 'CCC' and its issue-level rating on its first- and second-lien term loans to 'D' from 'CCC+' and 'CC', respectively. S&P said, "We plan to review EagleView's new capital structure, business prospects, and liquidity as soon as practicable. At that time, we expect to raise our issuer credit rating on the company to 'CCC+'." EagleView recently completed a debt exchange at par with support from its existing lenders. The exchange transaction followed an extended period of negative cash flow generation and tightening liquidity for the company. S&P Global Ratings views the transaction as distressed and tantamount to default because it provided EagleView's lenders with less than they were originally promised under the credit agreement, including subordinating the claims of the first-lien term loan in the waterfall to the super-priority revolver, the conversion of the second-lien term loan lenders to a more-junior ranking, and the switch to payment-in-kind (PIK) interest payments from cash payments on the second-lien term loan. S&P said, "We view EagleView's debt exchange transaction as distressed and tantamount to a default. As part of the transaction, a parent ("TopCo") of the company raised $140 million of new money debt from its existing second-lien lenders in the form of a first-lien term loan that is pari passu with the subordinated sponsor-provided $30 million term loan (both issued by TopCo). EagleView largely paid off and replaced the existing $85 million revolving credit facility (RCF) with a new $42.5 million super-priority RCF, partially reduced its existing $629 million first-lien term loan to a new $591 million first-lien term loan (both at EagleView level), and exchanged its $172 million second-lien term loan at par issued by TopCo while converting the interest payments to PIK instead of cash. The company also extended the maturities of all the debt in its capital structure to 2028. "Under the proposed transaction, we do not believe EagleView's lenders will receive sufficient compensation based on current trading prices, the extended maturity dates, and the subordination of the first-lien term loan to the revolver (previously pari passu with the revolver in the waterfall). Additionally, the company's second-lien lenders now rank below the new money first-lien term loan in the waterfall. We believe if the transaction had not occurred, EagleView would face a higher risk of a conventional default because of its stretched cash flow coverage of payments, imminent maturities, and weak liquidity. "We will evaluate the company's revised capital structure and its recent strategic initiatives over the next few days and expect to raise our issuer credit rating to 'CCC+'. This transaction improves EagleView's liquidity, and we expect cashflow to improve as cash interest on the second-lien term loan is now converted to PIK. Nevertheless, we still view EagleView's capital structure as unsustainable primarily because of its very high leverage and its weak total interest coverage. We would likely require EagleView to return its leverage to sustainable levels and improve its cash flow, such that we believe it will generate positive cash flow even after deducting PIK interest, before raising our rating above the 'CCC+' level." EFMT 2025-INV2: S&P Assigns Prelim B- (sf) Rating on B-2 Certs -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to EFMT 2025-INV2'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 an interest-only period), secured primarily by single-family residential properties, including townhomes, planned-unit developments, condominiums, two- to four-family units, condotels, mixed use, five- to 10-unit multifamily residential properties, and manufactured housing to prime and nonprime borrowers. The pool consists of 1,248 ATR-exempt residential mortgage loans backed by 1,314 properties, including 17 cross-collateralized loans backed by 83 properties. The preliminary ratings are based on information as of April 25, 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 credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The reviewed mortgage aggregator, Ellington Financial Inc., and the originators; -- The 100% due diligence results consistent with represented loan characteristics; 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, which is updated if necessary, when these projections change materially. Preliminary Ratings Assigned(i) EFMT 2025-INV2 Class A-1, $218,538,000: AAA (sf) Class A-2, $31,985,000: AA- (sf) Class A-3, $44,088,000: A- (sf) Class M-1, $19,883,000: BBB- (sf) Class B-1, $14,523,000: BB- (sf) Class B-2, $9,855,000: B- (sf) Class B-3, $6,916,076: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. (ii)Notional amount equals the loans' aggregate stated principal balance as of the cutoff date. NR--Not rated. N/A--Not applicable. EMPOWER CLO 2025-1: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Empower CLO 2025-1 Ltd./Empower 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 Empower Capital Management LLC. The preliminary ratings are based on information as of April 24, 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 Empower CLO 2025-1 Ltd./Empower CLO 2025-1 LLC Class A(i), $206.00 million: AAA (sf) Class A-L loans(i), $50.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C, $24.00 million: A (sf) Class D-1, $24.00 million: BBB- (sf) Class D-2, $4.00 million: BBB- (sf) Class E, $12.00 million: BB- (sf) Subordinated notes, $40.00 million: Not rated (i)All or a portion of the class A-L loans can be converted into class A notes. Upon such conversion, the class A-L loans will be decreased by such converted amount with a corresponding increase in the class A notes. No class A note or any other class of notes may be converted into class A-L loans. FLATIRON RR 30: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Flatiron RR CLO 30 Ltd. Entity/Debt Rating ----------- ------ Flatiron RR CLO 30 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 Notes LT NR(EXP)sf Expected Rating Transaction Summary Flatiron RR CLO 30 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Flatiron RR 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 23.16, 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 98.36% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.78% versus a minimum covenant, in accordance with the initial expected matrix point of 75.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, 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-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, and 'Asf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Flatiron RR CLO 30 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. GCAT 2025-NQM1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GCAT 2025-NQM1 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien and fixed- and adjustable-rate residential mortgage loans, some with interest-only periods. The pool is primarily ability-to-repay (ATR) exempt (42.12% by balance), and non-qualified mortgage (non-QM) loans (37.92% by balance). In addition, 18.26% of the mortgage loans (by balance) are QM/safe harbor, and 1.69% of the mortgage loans (by balance) are QM/higher-priced mortgage loans. The asset pool is composed of 764 mortgage loans with a principal balance of approximately $438.181 million as of the cutoff date. The preliminary ratings are based on information as of April 25, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty framework; -- The mortgage aggregator, Blue River Mortgage V LLC, and the mortgage originators; and -- S&P's economic 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. Preliminary Ratings Assigned(i) GCAT 2025-NQM1 Trust Class A-1, $347,039,000: AAA (sf) Class A-2, $18,623,000: AA (sf) Class A-3, $42,503,000: A (sf) Class M-1, $14,022,000: BBB- (sf) Class B-1, $5,696,000: BB (sf) Class B-2, $6,354,000: B (sf) Class B-3, $3,943,975: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, not applicable: NR (i)The preliminary ratings address S&P's expectation for the ultimate payment of interest and principal. (ii)The notional amount equals the aggregate stated principal balance of the loans. NR--Not rated. GENERATE CLO 19: S&P Assigns Prelim BB- (sf) Rating on E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Generate CLO 19 Ltd./Generate CLO 19 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Generate Advisors LLC, a subsidiary of Kennedy Lewis Investment Management LLC. The preliminary ratings are based on information as of April 25, 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 Generate CLO 19 Ltd./Generate CLO 19 LLC Class A, $123.00 million: AAA (sf) Class A-L loans(i), $129.00 million: AAA (sf) Class B, $52.00 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), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $40.00 million: Not rated (i)The class A-L loans are convertible into class A notes but no notes are ever convertible into loans. GOLDENTREE LOAN 24: Fitch Assigns 'B+sf' Rating on Class F Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to GoldenTree Loan Management US CLO 24, Ltd. Entity/Debt Rating Prior ----------- ------ ----- GoldenTree Loan Management US CLO 24, Ltd. A LT NRsf New Rating NR(EXP)sf A-J LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB+sf New Rating BBB+(EXP)sf D-J LT BBB-sf New Rating BBB-(EXP)sf D-M LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F LT B+sf New Rating B+(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf Transaction Summary GoldenTree Loan Management US CLO 24, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLM III, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. The model-implied rating for the initial matrix point for class D-J is 'BB+'. This is due to a 10bps failure in the 95% floating-rate assets and 5% fixed-rate assets stress portfolio from the interpolation of the WARR from the matrix. The failure level is marginal given the significant number and range of analytical assumptions used. All the non-interpolated points are passing 'BBB-sf' stress across the entire matrix. 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 24.27, 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 99.82% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.48% versus a minimum covenant, in accordance with the initial expected matrix point of 68.6%. Portfolio Composition (Positive): The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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-J, 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, between less than 'B-sf' and 'BB+sf' for class D-M, between less than 'B-sf' and 'BB+sf' for class D-J, and between less than 'B-sf' and 'BB-sf' for class E and between less than 'B-sf' and 'B+sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-J notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D, 'Asf' for class D-M, 'A-sf' for class D-J, and 'BBB+sf' for class E and 'BB+sf' for class F. 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 GoldenTree Loan Management US CLO 24, 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. GOLUB CAPITAL 48(B)-R: Fitch Assigns BB-sf Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital Partners CLO 48(B)-R, Ltd. Reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital Partners CLO 48(B)-R, Ltd. A-1 38177DAA6 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-2 38177DAE8 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Golub Capital Partners CLO 48(B)-R, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by OPAL BSL LLC. The secured notes and subordinated notes will be refinanced on April 24, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.84, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.17% versus a minimum covenant, in accordance with the initial expected matrix point of 75.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 51% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 Golub Capital Partners CLO 48(B)-R, 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. GREAT LAKES VI: S&P Assigns BB- (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class X-R, A-1R, A-1R-L, A-2R, B-R, C-R, D-R, and E-R debt from Great Lakes CLO VI LLC, a CLO managed by BMO Asset Management Corp. that was originally issued in December 2021. At the same time, S&P withdrew its ratings on the original class A-X, A, B, C, D, and E debt following payment in full on the April 24, 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 majority of replacement notes by dollar amount were issued at a lower spread than the original notes. -- All replacement classes were issued at a floating rate. -- The stated maturity and reinvestment periods for the replacement debt were extended 3.5 years. -- No additional subordinated notes were issued on the refinancing date. -- The class X-R debt was issued in connection with this refinancing and is expected to be paid down using interest proceeds during the first 17 payment dates beginning with the payment date in July 2025. 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 Great Lakes CLO VI LLC Class X-R, $26.50 million: AAA (sf) Class A-1R, $57.77 million: AAA (sf) Class A-1R-L loans, $150.00 million: AAA (sf) Class A-2R, $10.94 million: AAA (sf) Class B-R, $29.16 million: AA (sf) Class C-R (deferrable), $29.16 million: A (sf) Class D-R (deferrable), $21.87 million: BBB- (sf) Class E-R (deferrable), $20.05 million: BB- (sf) Ratings Withdrawn Great Lakes CLO VI LLC Class A-X to NR from 'AAA (sf)' 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 Great Lakes CLO VI LLC Subordinated notes, $45.00 million: Not rated NR--Not rated. GS MORTGAGE 2015-GC30: DBRS Cuts Class X-D Certs Rating to B ------------------------------------------------------------ DBRS, Inc. downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2015-GC30 issued by GS Mortgage Securities Trust 2015-GC30 as follows: -- Class X-D to B (sf) from BBB (low) (sf) -- Class D to B (low) (sf) from BBB (low) (sf) -- Class E to CCC (sf) from B (high) (sf) -- Class F to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 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 PEZ at A (low) (sf) Morningstar DBRS changed the trends on Classes C and PEZ to Negative from Stable. The trends on Class D and Class X-D remain Negative. Classes E and F have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The remaining classes have Stable trends. The credit rating downgrades on Classes D, E, and F reflect Morningstar DBRS' increased cumulative liquidated loss projections for the loans in special servicing, primarily driven by the two largest loans, Selig Office Portfolio (Prospectus ID#2, 19.8% of the pool) and Bank of America Plaza (Prospectus ID#5, 7.1% of the pool). Since the last credit rating action in May 2024, the Selig Office Portfolio loan was transferred to special servicing ahead of the April 2025 maturity. In addition, an updated appraisal was received for the Bank of America Plaza loan, indicating an 88.4% value decline from the issuance appraised amount. Morningstar DBRS liquidated all three specially serviced loans in the analysis for this review, with total liquidated losses of $92.3 million considered based on conservative haircuts to the most recent appraised values. Those losses would fully erode the remaining balance of the unrated Class G, as well as Classes F and E and a portion of Class D, supporting the credit rating downgrades. In addition to the specially serviced loans, Morningstar DBRS identified six performing loans, representing 13.8% of the pool, that have elevated refinance risk because of poor performance, collateral located in soft submarkets, and/or low investor demand for the collateral property type. These loans and all the remaining loans in the pool are scheduled to mature by May 2025, a factor considered for the Negative trends on Classes C and D. The largest loan in special servicing is the Selig Office Portfolio, which is secured by a portfolio of nine office buildings totaling 1.6 million square feet (sf) throughout Seattle. The subject loan of $123.0 million represents a pari passu portion of a $379.1 million whole loan, with the additional senior notes secured in the Morningstar DBRS-rated BMARK 2021-B23 and CGCMT 2015-GC31 transactions and the non-Morningstar DBRS-rated CGCMT 2015-GC29 and GSMS 2015-GC32 transactions. According to the servicer, discussions are under way regarding a potential loan extension; however, nothing has been finalized to date. Occupancy has been declining in recent years and was most recently reported at 65.0% as of YE2024, compared with the issuance occupancy rate of 92.3%. For the same time periods, the loan reported a debt service coverage ratio of 1.87 times (x) and 2.22x, respectively. Office properties within the Central Seattle submarket reported an average vacancy rate of 21.0% in Q4 2024, according to a Reis report. Given the low in-place occupancy rate, the loan was analyzed with a liquidation scenario based on a stressed value analysis. As the servicer has not provided updated appraisals to date, Morningstar DBRS referenced updated appraisals for similar Seattle office properties (also owned by the subject loan sponsor) in other Morningstar DBRS-rated CMBS transactions. Based on those comparable values, a haircut of 67% was applied to the October 2020 appraisal for the subject portfolio of $740.0 million, with the analyzed liquidation scenario resulting in a loss severity of more than 40%, or approximately $51.6 million. The second-largest loan in special servicing is Bank of America Plaza, a 742,244-sf office property in St. Louis' central business district. The loan transferred to special servicing in June 2023 for imminent monetary default following the lease expiry of the largest tenant, Bank of America (previously 29.8% of the net rentable area), in June 2023. Bank of America renewed only 22.5% of its space; however, servicer commentary indicates the tenant negotiated for rent abatements. According to the servicer's reporting, the property reported an occupancy of 51.0% at Q3 2024, a significant decline from the March 2023 occupancy of 83.4%. As performance and occupancy have continued to decline, the borrower has indicated it will not continue to fund any shortfalls, and CBRE has been appointed as receiver. Morningstar DBRS considered a liquidation scenario based on a 15% haircut to the $8.4 million December 2024 appraisal (sharply below the issuance appraised value of $72.5 million), resulting in a projected loss severity approaching 88.4%. 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. GS MORTGAGE 2025-PJ4: DBRS Gives Prov. B(low) Rating on B5 Notes ---------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2025-PJ4 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2025-PJ4 (the Issuer): -- $259.6 million Class A-1 at (P) AAA (sf) -- $259.6 million Class A-2 at (P) AAA (sf) -- $259.6 million Class A-3 at (P) AAA (sf) -- $194.7 million Class A-4 at (P) AAA (sf) -- $194.7 million Class A-5 at (P) AAA (sf) -- $194.7 million Class A-6 at (P) AAA (sf) -- $155.8 million Class A-7 at (P) AAA (sf) -- $155.8 million Class A-8 at (P) AAA (sf) -- $155.8 million Class A-9 at (P) AAA (sf) -- $38.9 million Class A-10 at (P) AAA (sf) -- $38.9 million Class A-11 at (P) AAA (sf) -- $38.9 million Class A-12 at (P) AAA (sf) -- $103.8 million Class A-13 at (P) AAA (sf) -- $103.8 million Class A-14 at (P) AAA (sf) -- $103.8 million Class A-15 at (P) AAA (sf) -- $64.9 million Class A-16 at (P) AAA (sf) -- $64.9 million Class A-17 at (P) AAA (sf) -- $64.9 million Class A-18 at (P) AAA (sf) -- $19.5 million Class A-19 at (P) AAA (sf) -- $19.5 million Class A-20 at (P) AAA (sf) -- $19.5 million Class A-21 at (P) AAA (sf) -- $279.2 million Class A-22 at (P) AAA (sf) -- $279.2 million Class A-23 at (P) AAA (sf) -- $279.2 million Class A-24 at (P) AAA (sf) -- $279.2 million Class A-25 at (P) AAA (sf) -- $279.2 million Class A-X-1 at (P) AAA (sf) -- $259.6 million Class A-X-2 at (P) AAA (sf) -- $259.6 million Class A-X-3 at (P) AAA (sf) -- $259.6 million Class A-X-4 at (P) AAA (sf) -- $194.7 million Class A-X-5 at (P) AAA (sf) -- $194.7 million Class A-X-6 at (P) AAA (sf) -- $194.7 million Class A-X-7 at (P) AAA (sf) -- $155.8 million Class A-X-8 at (P) AAA (sf) -- $155.8 million Class A-X-9 at (P) AAA (sf) -- $155.8 million Class A-X-10 at (P) AAA (sf) -- $38.9 million Class A-X-11 at (P) AAA (sf) -- $38.9 million Class A-X-12 at (P) AAA (sf) -- $38.9 million Class A-X-13 at (P) AAA (sf) -- $103.8 million Class A-X-14 at (P) AAA (sf) -- $103.8 million Class A-X-15 at (P) AAA (sf) -- $103.8 million Class A-X-16 at (P) AAA (sf) -- $64.9 million Class A-X-17 at (P) AAA (sf) -- $64.9 million Class A-X-18 at (P) AAA (sf) -- $64.9 million Class A-X-19 at (P) AAA (sf) -- $19.5 million Class A-X-20 at (P) AAA (sf) -- $19.5 million Class A-X-21 at (P) AAA (sf) -- $19.5 million Class A-X-22 at (P) AAA (sf) -- $279.2 million Class A-X-23 at (P) AAA (sf) -- $279.2 million Class A-X-24 at (P) AAA (sf) -- $279.2 million Class A-X-25 at (P) AAA (sf) -- $279.2 million Class A-X-26 at (P) AAA (sf) -- $14.9 million Class B-1 at (P) AA (low) (sf) -- $14.9 million Class B-1A at (P) AA (low) (sf) -- $14.9 million Class B-X-1 at (P) AA (low) (sf) -- $3.9 million Class B-2 at (P) A (low) (sf) -- $3.9 million Class B-X-2 at (P) A (low) (sf) -- $3.9 million Class B-2A at (P) A (low) (sf) -- $3.6 million Class B-3 at (P) BBB (low) (sf) -- $1.9 million Class B-4 at (P) BB (low) (sf) -- $611,000 Class B-5 at (P) B (low) (sf) -- $259.6 million Class A-1L Loans at (P) AAA (sf) -- $259.6 million Class A-2L Loans at (P) AAA (sf) -- $259.6 million Class A-3L Loans at (P) AAA (sf) Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-1L, A-2L, and A-3L are super-senior notes or loans. These classes benefit from additional protection from the senior support note (Class A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-26, B-X-1, and B-X-2 are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, and B-2 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. The Class A-1L, A-2L, and A-3L Loans are loans that may be funded at the Closing Date as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 8.60% of credit enhancement provided by subordinated notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.70%, 2.40%, 1.20%, 0.55%, and 0.35% credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This securitization is a portfolio of first-lien, fixed-rate, prime residential mortgages funded by the issuance of the Notes. The Notes are backed by 247 loans with a total principal balance of $305,502,708 as of the Cut-Off Date. The pool consists of first-lien, fully amortizing, fixed-rate mortgages with original terms to maturity of 30 years. The weighted-average original combined loan-to-value for the portfolio is 69.8%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage rule subject to the average prime offer rate designation. The mortgage loans are originated by PennyMac Loan Services, LLC (21.4%); CMG Mortgage, Inc. doing business as (dba) CMG Financial (12.2%); and various other originators, each comprising less than 10.0% of the pool. The mortgage loans will be serviced by PennyMac Loan Services, LLC (51.7%); Newrez LLC dba Shellpoint Mortgage Servicing (48.1%); and United Wholesale Mortgage, LLC (0.2%). Nationstar Mortgage LLC dba Mr. Cooper Master Servicing will act as the Master Servicer. Computershare Trust Company, N.A. will act as Paying Agent, Loan Agent, and Custodian and Collateral Trustee. Computershare Delaware Trust Company will act as Delaware Trustee. Pentalpha Surveillance LLC will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allows for the issuance of the Class A-1L, A-2L, and A-3L Loans, which are the equivalent of ownership of Class A-1, A-2, and A-3 Notes, respectively. These classes are issued in the form of a loan made by the investor instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these classes are elected. 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. Notes: All figures are in U.S. dollars unless otherwise noted. HARVEST US 2025-1: Fitch Assigns BB-sf Final Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Harvest US CLO 2025-1 Ltd. Entity/Debt Rating Prior ----------- ------ ----- Harvest US CLO 2025-1 Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBBsf New Rating BBB(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf 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 70.7%. The minimum WARR covenant at the time of presale was 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 weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and '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. Date of Relevant Committee 16 April 2025 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 any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. HILTON USA 2016-SFP: DBRS Confirms C Rating on 2 Classes -------------------------------------------------------- DBRS Limited downgraded its credit ratings on five classes of the Commercial Mortgage Pass-Through Certificates, Series 2016-SFP issued by Hilton USA Trust 2016-SFP as follows: -- Class A to C (sf) from BBB (high) (sf) -- Class B to C (sf) from BB (high) (sf) -- Class C to C (sf) from B (high) (sf) -- Class X-NCP to C (sf) from CCC (sf) -- Class D to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class E at C (sf) -- Class F at C (sf) All classes have credit ratings that typically do not carry trends in Commercial Mortgage-Backed Securities (CMBS) credit ratings. The collateral for the underlying loan consists of two full-service hotels located in San Francisco's Union Square. Morningstar DBRS previously downgraded all classes in August 2024 based on Morningstar DBRS' projected liquidated amount for the loan, which has been in special servicing since June 2023. Based the Morningstar DBRS Value of $553.7 million, Morningstar DBRS estimated a liquidated loss of approximately $240.0 million would be realized at disposition, eroding the entire balance of Classes E and F and partially eroding Class D. For more information on that credit rating action, please see the press release dated August 27, 2024, on the Morningstar DBRS website. Since Morningstar DBRS' last credit rating action, collateral performance has remained depressed and, in November 2024, the master servicer determined that the outstanding monthly payment advances were nonrecoverable and stopped advancing interest to the entire capital stack. As of April 2025, cumulative interest shortfalls totaled $22.3 million, including $3.6 million on Class A, exceeding Morningstar DBRS' maximum tolerance for all credit rating categories and supporting the credit rating downgrades made with this review. No updated appraised value has been provided to Morningstar DBRS or otherwise within the Investor Reporting Package (IRP) since the loan's initial transfer to special servicing, despite ongoing delinquency since June 2023. However, the Appraisal Reduction Amount (ARA) reported in the April 2025 remittance was $374.6 million, an increase from the July 2024 ARA of $198.8 million at Morningstar DBRS' last review. The ARA calculation typically considers the sum of the principal balance, outstanding advances, and immediate expenses due against 90% of the appraised value amount. Based on the inputs available in the IRP, which do not include the servicer's estimate of immediate expenses due, Morningstar DBRS estimates a value of approximately $488.8 million was considered by the special servicer as part of the April 2025 ARA calculation. A receiver has been working to stabilize operations at both hotels with a goal of selling the properties by the court-ordered deadline of March 31, 2025. According to the April 2025 servicer commentary, a purchase and sale agreement for the collateral was executed on March 28, 2025, and is contingent on the loan being modified, extended, and assumed by the buyer. The loan assumption will reportedly require the contribution of additional equity to fund operating shortfalls as well as renovations to increase the value of the collateral hotels. The most recent financials reported for the collateral portfolio are as of YE2024, which showed an in-place debt service coverage ratio of -1.13 times (x) and a net cash flow of -$34.2 million. These figures compare with the YE2023 figures of 0.03x and $941,066, respectively. 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. HOMES 2025-NQM2: S&P Assigns Prelim B (sf) Rating on B-2 Certs -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to HOMES 2025-NQM2 Trust's series 2025-NQM2 mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans, including some loans with interest-only features, secured by single-family residences, townhouses, planned-unit developments, condominiums, condotels, two- to four-family homes, and manufactured housing properties to both prime and nonprime borrowers. The pool has 731 loans, which are QM safe harbor (APOR), QM rebuttable presumption (APOR), ATR-exempt loans and non-QM/ATR-compliant loans. The preliminary ratings are based on information as of April 30, 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; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The mortgage aggregator and mortgage originators; -- The pool's geographic concentration; 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. Preliminary Ratings(i) Assigned HOMES 2025-NQM2 Trust Class A-1, $257,368,000: AAA (sf) Class A-1A, $220,758,000: AAA (sf) Class A-1B, $36,610,000: AAA (sf) Class A-2, $25,993,000: AA (sf) Class A-3, $39,355,000: A (sf) Class M-1, $15,926,000: BBB (sf) Class B-1, $11,715,000: BB(sf) Class B-2, $9,702,000: B (sf) Class B-3, $6,040,780: Not rated Class A-IO-S, notional(ii): Not rated Class X, notional(ii): Not rated Class R, not applicable: Not rated (i)The collateral and structural information in this report reflects the preliminary private placement memorandum received on April 29, 2024. The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. IMSCI 2013-3: Fitch Affirms Dsf Rating on Class G Debt ------------------------------------------------------ Fitch Ratings has affirmed all 15 classes for three Canadian CMBS conduit transactions from the 2013 to the 2016 vintages. One Rating Outlook class in the Institutional Mortgage Securities Canada Inc. (IMSCI) IMSCI 2015-6 transaction remains Negative. All other Rating Outlooks remain Stable. Five Outlook classes remain Stable and two remain Negative in IMSCI 2016-7. All currencies are denominated in Canadian Dollars (CAD). Entity/Debt Rating Prior ----------- ------ ----- Institutional Mortgage Securities Canada Inc. 2013-3 F 45779BAV1 LT CCCsf Affirmed CCCsf G 45779BAW9 LT Dsf Affirmed Dsf Institutional Mortgage Securities Canada Inc. 2015-6 B 45779BDB2 LT AAAsf Affirmed AAAsf C 45779BDC0 LT AAAsf Affirmed AAAsf D 45779BDD8 LT A+sf Affirmed A+sf E 45779BDE6 LT BBBsf Affirmed BBBsf F 45779BDJ5 LT BBsf Affirmed BBsf G 45779BDK2 LT Bsf Affirmed Bsf Institutional Mortgage Securities Canada Inc. 2016-7 A-2 45779BEB1 LT AAAsf Affirmed AAAsf B 45779BED7 LT AAAsf Affirmed AAAsf C 45779BDX4 LT AAAsf Affirmed AAAsf D 45779BDY2 LT AA-sf Affirmed AA-sf E 45779BDZ9 LT A-sf Affirmed A-sf F 45779BDU0 LT BBB-sf Affirmed BBB-sf G 45779BDV8 LT BBsf Affirmed BBsf KEY RATING DRIVERS Loss Expectations/Pool Concentration: All three transactions have experienced significant paydown from loan payoffs since issuance. The aggregate balance of the IMSCI 2013-3 transaction has been reduced to $5.19 million, or 2.1% of the original balance, with three loans remaining. The IMSCI 2015-6 transaction has 15 loans remaining in the pool and has been paid down by 87.9% since issuance, while the IMSCI 2016-7 transaction has 19 loans remaining in the pool and has been paid down by 67.5% since issuance. Due to the 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 Fitch Loans of Concern (FLOCs) to repay these classes. The composition of IMSCI 2013-3 includes three multifamily loans that have been granted extensions through December 2025 (the original maturity dates were in May 2018). All three properties are in Fort McMurray in Alberta, Canada, and have experienced cash flow deterioration since issuance and low debt service coverage ratios, primarily caused by the declining Alberta energy sector. Performance deterioration was further exacerbated by the Fort McMurray wildfires in 2016, floods in 2020, and pandemic-related impacts. The loans are 100% recourse to the sponsor, Lanesborough REIT (LREIT). The transaction has two remaining classes, both with distressed ratings, reflecting the concentration risk, adverse selection and underperformance of the remaining three loans. Fitch's current ratings incorporate a 'Bsf' rating case loss of 18.6%, compared with 17.2% at the prior rating action. The affirmations in the IMSCI 2015-6 transaction reflect generally stable performance since Fitch's prior review, improving credit enhancement, and expectation of payoff as loans reach maturity. The Negative Outlook for Class G reflects refinance concerns and uncertain renewal status for expiring leases. Fitch's current ratings incorporate a 'Bsf' rating case loss of 7.8%, compared with 4.2% at the prior rating action. Five loans have been designated as FLOCs (71.1% of the pool) and no loans are in special servicing. The increase in loss expectation is due to the binary risk caused by the five retail FLOC loans with single-tenant grocers with upcoming lease expirations in five years. Affirmations in the IMSCI 2016-7 transaction reflect generally stable performance since Fitch's prior review, coupled with continued amortization. Fitch's current ratings incorporate a 'Bsf' rating case loss of 2.06%, compared with 2.12% at the prior rating action. Eight loans have been designated as FLOCs (50.7% of the pool) and no loans are in special servicing. The Negative Outlooks on classes F and G reflect increasing concentration within the pool, adverse selection and continued underperformance of maturing retail FLOCs, including Sobeys Brantford (12.9% of the pool) and Place La Citiere (4.3%). The loans mature in July and May 2025, respectively. Inconsistent reporting has also contributed to uncertainty surrounding the status of lease renewal and refinancing. Loan Attributes/Recourse: The ratings reflect strong Canadian commercial real estate loan performance, including a low delinquency rate and low historical losses, as well as positive loan attributes, such as short amortization schedules, additional guarantors and recourse to the borrowers. All remaining loans in the IMSCI 2013-3 transaction contain a recourse provision. All remaining loans in the IMSCI 2015-6 transaction are non-recourse. In the IMSC 2016-7 transaction, seven loans comprising 49% of outstanding principal balance have full or partial recourse to the borrower/sponsor. Change to Credit Enhancement: As of the April 2025 distribution date, the transactions' pool balances have been reduced significantly since issuance, ranging from 67.5% in IMSCI 2016-7, 87.9% in IMSCI 2015-6, and 97.9% in IMSC 2013-3. Cumulative interest shortfalls of $101,879 are affecting class G and $164,138 for the non-rated Class H in the IMSCI 2013-3 transaction. Realized losses of $101,810 are impacting class G and $5,007,401 is affecting the non-rated class H. In the IMSCI 2015-6 transaction, cumulative interest shortfalls of $607 are affecting the non-rated Class H. In the IMSCI 2016-7 transaction, cumulative interest shortfalls of $20,185 are affecting the non-rated Class H. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf', 'AAsf' and 'Asf' category rated classes are not likely, but could occur if deal-level expected losses increase significantly or with the likelihood of interest shortfalls to impact the 'AAAsf' rated classes. Downgrades to 'BBBsf' and 'BBsf' category rated classes, which currently have Negative Outlooks, are possible with higher expected losses from FLOCs or if loans are unable to refinance and default at maturity. Notable FLOCs include South Hill Shopping Center (38.2% of the pool) in the IMSCI 2015-6 transaction, and Sobeys Brantford and Place La Citiere in the IMSCI 2016-7 transaction. Downgrades to distressed ratings of 'CCCsf' through 'Csf' would occur as losses become more certain or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade While not expected due to increasing concentrations and adverse selection, upgrades to 'AAsf' and 'Asf' category rated classes are possible with increased credit enhancement resulting from amortization and paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' and 'BBsf' category rated classes would be limited based on sensitivity to concentrations of the pools, including maturity dates. Upgrades to distressed ratings of 'CCCsf' through 'Csf' are not expected but possible with better-than-expected values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. INCREF 2025-FL1: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to INCREF 2025-FL1 LLC as follows: Entity/Debt Rating ----------- ------ INCREF 2025-FL1 LLC A LT AAA(EXP)sf Expected Rating A-S 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 BBB-(EXP)sf Expected Rating F LT BB-(EXP)sf Expected Rating G LT B-(EXP)sf Expected Rating Income Notes LT NR(EXP)sf Expected Rating - $706,068,000a class A 'AAAsf'; Outlook Stable; - $129,344,000a class A-S 'AAAsf'; Outlook Stable; - $91,302,000a class B 'AA-sf'; Outlook Stable; - $71,520,000a class C 'A-sf'; Outlook Stable; - $42,608,000a class D 'BBBsf'; Outlook Stable; - $22,825,000a class E 'BBB-sf'; Outlook Stable; - $42,608,000b class F 'BB-sf'; Outlook Stable; - $30,434,000b class G 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $80,650,326b Income Notes. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, estimated to be 12.625% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,176,059,326 and does not include future funding. The expected ratings are based on information provided by the issuer as of April 29, 2025. Transaction Summary The notes represent the beneficial interest in the trust, the primary assets of which are 28 loans secured by 98 commercial properties with an aggregate principal balance of $1,176,059,326 as of the cutoff date and $41.3 million held in cash to be used during the ramp period. The pool does not include $131.8 million of expected future funding. The loans were contributed to the trust by INCREF CLO Seller LLC. The servicer is expected to be KeyBank National Association, and the special servicer is expected to be Bellwether Asset Services, LLC. The trustee is expected to be Wilmington Trust, National Association and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on all 20 loans in the pool. Fitch's resulting aggregate net cash flow (NCF) of $69.5 million represents a 11.0% decline from the issuer's aggregate underwritten NCF of $78.1 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the prorated trust portion of any pari passu loan. Fitch Leverage: The pool has higher leverage compared to recent CRE-CLO transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 135.1% is below the 2025 YTD CRE-CLO average of 137.9%. The pool's Fitch NCF debt yield (DY) of 6.5% is in line with the 2025 YTD CRE-CLO average of 6.6%. Higher Pool Concentration: The pool concentration is in line with the recently rated Fitch CRE-CLO transactions. The top 10 loans make up 62.4% of the pool, which is higher than the 2025 YTD CRE-CLO average of 60.5%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 17.2. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. No Amortization: The pool is 100% comprised of interest-only loans. This is worse than the 2025 YTD CRE-CLO average of 90.9%, based on fully extended loan terms. As a result, the pool is expected to have zero principal paydown by the maturity of the loans. By comparison, the average scheduled paydowns for Fitch-rated U.S. CRE-CLO transactions in 2024 and 2023 were 0.6% and 1.7%, respectively. Shorter-Duration Loans: Loans with five-year terms constitute 87.5% 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 attributable to the shorter window of exposure to potentially adverse economic conditions. Fitch considered loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/lower than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBB-sf'/'BBsf'/'Bsf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including the Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JP MORGAN 2021-NYAH: Moody's Lowers Rating on Cl. D Certs to Ba1 ---------------------------------------------------------------- Moody's Ratings has affirmed the rating on one class and downgraded the ratings on three classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH, Commercial Mortgage Pass-Through Certificates, Series 2021-NYAH as follows: Cl. A, Affirmed Aaa (sf); previously on Nov 2, 2021 Definitive Rating Assigned Aaa (sf) Cl. B, Downgraded to A1 (sf); previously on Feb 9, 2022 Upgraded to Aa2 (sf) Cl. C, Downgraded to Baa1 (sf); previously on Feb 9, 2022 Upgraded to A1 (sf) Cl. D, Downgraded to Ba1 (sf); previously on Feb 9, 2022 Upgraded to Baa1 (sf) RATINGS RATIONALE The rating on one class, Cl. A was affirmed because of the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, are within acceptable ranges. The collateral is secured by 31 multifamily properties with a total of 53 buildings located within the New York City boroughs and Cl. A could withstand significant declines in market value across the portfolio prior to a risk of principal loss. The ratings on three classes, Cl. B, Cl. C and Cl. D, were downgraded due to the loan's delinquent status and the low debt service coverage ratio (DSCR) due to declines in expected cash flow from securitization and the significant increase in the floating interest rate in recent years. While the loan was last paid through its March 2025 payment date as of the April 2025 remittance, the mortgage loan DSCR has been below 1.00X since 2023 and the total debt DSCR (inclusive of the mezzanine debt) has been below 0.60X. Approximately 87% of the portfolio is secured by rent stabilized/rent controlled units and the increase in rental revenue since securitization has been offset by increases in operating expenses. Through year-end 2024, the portfolio's revenue has increased 7% while operating expenses increased approximately 21% as compared to the July 2021 levels. As a result, the portfolio's net operating income (NOI) was 8% lower over the same period. The senior P&I classes Moody's rates benefit from portfolio diversity and credit support in the form of subordinate mortgage debt balance and could withstand further material declines in market value of the portfolio prior to a risk of principal loss. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and the quality and geographic diversity of the properties, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. 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 views 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 a significant improvement in loan performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or increase in interest shortfalls. DEAL PERFORMANCE As of the April 2025 distribution date, the transaction's aggregate certificate balance remains unchanged at $506.3 million, the same as securitization. There is additional mezzanine debt of $93.7 million held outside the trust. The interest only floating rate loan had an initial maturity date in June 2024 with a fully extended maturity of June 2026. However, the loan transferred to special servicing in October 2024 after being unable to payoff or extend at its initial maturity date and was last paid through its March 2025 payment date. The interest only floating-rate loan is secured by the borrowers' fee simple interests or, with respect to the Riverton property, beneficial interest in a portfolio of 31 multifamily properties located within New York City, across 10 submarkets in Manhattan, Brooklyn, Queens and Bronx. The portfolio contains a total of 53 buildings that house a combined 3,531 apartment units and 23 commercial units. At securitization the portfolio's unit mix was comprised of 3,069 rent stabilized or controlled units (86.9% of the unit count) and 436 fair market units (12.3% of the unit count). The fair market units were not impacted by the June 2019 NYC Rent Regulation Law (Housing Stability and Tenant Protection Act of 2019). However, given 86.9% of the multifamily units are rent stabilized/controlled, limited rent growth has been outpaced by inflationary expense growth, thus negatively impacting net cash flow available for debt service and there is potential for this trend to continue. The top five submarkets represented by Allocated Mortgage Loan Amount ("ALA") are Central Queens, East Harlem, Northwest Queens, Prospect Park and Northeast Queens. Central Queens represents 30.8% of ALA (981 units), East Harlem represents 30.5% of ALA (1,229 units), Northwest Queens represents 8.5% of ALA (316 units), Northeast Queens represents 7.3% ALA (265 units) and Prospect Park represents 7.0% of ALA (205 units). Construction dates for the portfolio's improvements vary between 1924 and 1964, with an average year built of 1937. While portfolio revenue has increased since securitization, the portfolio's operating expenses have significantly outpaced the increase in revenue causing the net operating income to decline through year-end 2024. Furthermore, due to a combination of both the decline in cash flow and significant increase in the loan's floating interest rate since 2022, the loan's DSCR has decreased from approximately 2.33X and 1.51X, on the mortgage loan and total debt (inclusive of mezzanine loan), respectively, to only 0.67X and 0.51X, respectively, as of December 2024. Since the loan has passed its original maturity date and has not been extended, there is currently no interest rate cap agreement in place. There have not been any updated appraisal values reported on the appraisals and servicer commentary indicates they are evaluating all resolution options. Moody's net cash flow (NCF) is now $24.8 million and the first mortgage balance of $506.3 million represents Moody's LTV of 168.2% (not including outstanding advances). The Adjusted Moody's LTV ratio for the first mortgage balance is 157.8% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Taking into consideration the additional $93.7 million mezzanine loan, the Moody's Total Debt LTV would increase to 199.3% based on Moody's Value and the Adjusted Moody's Total Debt LTV ratio is 187.0%. There are outstanding loan advances and accrued unpaid interest totaling approximately $3.4 million causing the aggregate mortgage loan exposure to be $509.7 million. Moody's first mortgage stressed debt service coverage ratio (DSCR) at a 9.25% constant is 0.53X compared to 0.57X at Moody's last reviews. There are outstanding interest shortfalls totaling $1.1 million affecting up to Cl. KRR and no losses have been realized as of the current distribution date. JP MORGAN 2025-3: Fitch Assigns B-sf Final Rating on Cl. B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to JP Morgan Mortgage Trust 2025-3 (JPMMT 2025-3). Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2025-3 A-1 LT AAAsf New Rating AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1C LT AAAsf New Rating AAA(EXP)sf A-1D LT AAAsf New Rating AAA(EXP)sf A-1M 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 B-1 LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 309 loans with a balance of $418.41 million as of the cutoff date. This represents the fourth prime transaction on the JPMMT shelf in 2025 and first Fitch rated JPMMT transaction in 2025. This is the first prime transaction to have a modified sequential structure rather than a senior subordinate shifting interest structure that has historically been seen in prime transactions. Fitch typically sees modified sequential structures in non-qualified mortgage transactions and sees the structure as having several positive features that is more supportive of providing credit protection to the rated classes than a shifting interest structure. Fitch views a modified sequential structure as being supportive of timely interest being paid to the 'AAAsf' rated classes and ultimate interest being paid to the classes assigned 'AAsf'- 'Bsf' category ratings since principal is able to be used to pay interest. The certificates are secured by mortgage loans originated mainly by United Wholesale Mortgage LLC (UWM), which is assessed as an 'Above Average' originator by Fitch, as well as PennyMac Loan Services, which is assessed as an 'Acceptable' originator by Fitch. The remaining originators are contributing less than 10% each to the transaction. The loans are serviced by UWM (53.5%), which is not rated by Fitch, but Cenlar rated 'RPS2' by Fitch is the subservicer; JPMorgan Chase Bank, National Association (JPMCB) (27.5%), rated 'RPS1-'/Stable by Fitch; PennyMac Loan Services (13.4%), rated 'RPS2-'/Stable by Fitch; and PennyMac Corporation (5.6%), rated 'RPS2-'/Stable by Fitch. Per the transaction documents, 100% of the loans are designated as Safe Harbor (APOR) Qualified Mortgage loans (SHQM). Class A-1B, class A-1C, class A-1D, class A-1M, class A-2 and class A-3 certificates are fixed rate, are capped at the net weighted average coupon (WAC) and have a step-up feature. The pass-through rate for class M-1 certificates will be a per annum rate equal to the lesser of (i) the applicable fixed rate for such class of certificates, determined at the time of pricing, or (ii) the net WAC rate for the related distribution date. The class B-1-B, B-2 and B-3 certificates are based on the net WAC. On any distribution date after the step-up date where the aggregate unpaid interest carryover amount for class A certificates is greater than zero, payments to the class A step-up interest carryover reserve account will be prioritized over payment of interest/unpaid interest payable to class B-3 certificates. Since the presale was published, market conditions changed. As a result of pricing, the transaction was restructured to account for current market conditions. The structure remained the same; however, balances, coupons and credit enhancement (CE) changed for some classes (B-1 and B-2). Fitch analyzed the changes to the transaction and confirmed that each Fitch-rated class still had sufficient CE to pass the rating stresses in their previously assigned expected ratings. As a result, there are no changes to the final ratings from the expected ratings that were previously assigned. The updated CEs are as follows: - Class A-1: CE: 11.30%, 'AAAsf'; - Class A-1A: CE: 15.00%, 'AAAsf'; - Class A-1B: CE: 15.00%, 'AAAsf'; - Class A-1C: CE: 15.00%, 'AAAsf'; - Class A-1D: CE: 15.00%, 'AAAsf'; - Class A-1M: CE: 11.30%, 'AAAsf'; - Class A-2: CE: 6.20%, 'AA-sf'; - Class A-3: CE: 2.60%, 'A-sf'; - Class M-1: CE: 1.30%, 'BBB-sf'; - Class B-1: CE: 0.75%, 'BB-sf'; - Class B-2: CE: 0.40%, 'B-sf'; - Class B-3: CE: 0.0% 'NRsf''. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.0% above a long-term sustainable level (versus 11.1% on a national level as of 3Q24, down 0.5% since the prior quarter, based on Fitch's updated view on sustainable home prices). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 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 309 fixed-rate, fully amortizing loans totaling $418.41 million. In total, 100% of the loans qualify as SHQM. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at approximately five months in aggregate, according to Fitch, and three months per the transaction documents. The borrowers have a strong credit profile, with a 765 FICO and a 38.1% debt-to-income (DTI) ratio, according to Fitch. Per the transaction documents, the WA original and current FICO is 765, with a nonzero original DTI of 38.13%. A large percentage of the loans have a borrower with a Fitch-derived FICO score equal to or above 750. Fitch determined that 73.9% of the loans have a borrower with a Fitch-determined FICO score equal to or above 750. Based on Fitch's analysis of the pool, the original WA combined loan-to-value ratio (CLTV) is 73.5%, which translates to a sustainable LTV ratio (sLTV) of 81.3%. Per the transaction documents and Fitch's analysis, nonconforming loans constitute 91.4% of the pool, while the remaining 8.6% represent conforming loans. All the loans are designated as QM loans, with 51.3% of the pool originated by a retail and correspondent channel based on Fitch's analysis of the pool. Of the pool, 100% comprises loans where the borrower maintains a primary or secondary residence (92.2% primary and 7.8% secondary). Single-family homes and planned unit developments (PUDs) constitute 89.6% of the pool, condominiums make up 4.8% and the remaining 5.7% are multifamily. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (77.7%), cashout refinances (13.9%) and rate-term refinances (8.4%). Fitch views favorably that no loans are for investment properties and a majority of mortgages are purchases. A total of 215 loans in the pool are over $1.0 million, and the largest loan is approximately $4.23 million. There are 19 loans in the transactions that have an interest rate buy down feature. Fitch did not increase its loss expectations on these loans since they were underwritten to the full interest rate. Of the pool loans, 37.1% are concentrated in California, followed by Florida and Arizona. The largest MSA concentration is in the Los Angeles MSA (16.9%), followed by the San Diego MSA (6.3%) and the Phoenix MSA (5.6%). The top three MSAs account for 28.9% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Furthermore, 0.1% of the borrowers were viewed by Fitch as having a prior credit event within the past seven years. Additionally, two loans have a junior lien in conjunction with a first lien mortgage. First lien mortgages constitute 100% of the pool (no second lien loans are in the pool). All loans in the pool are current as of the cutoff date. Loan Count Concentration (Negative): The loan count for this pool is 309 loans, which results in a weighted average number (WAN) of 262 loans. Due to the WAN being less than 300, a loan count concentration penalty was applied. The loan count concentration penalty applies when the WAN of loans is less than 300. The loan count concentration for this pool results in a 1.06x penalty, which increases loss expectations by 52 bps at the 'AAAsf' rating category. Full Advancing (Mixed): The servicers will provide full advancing for the life of the transaction; each servicer is expected to advance delinquent principal and interest (P&I) on loans that entered into a pandemic-related forbearance plan. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is unable to do so. If the master servicer is unable to advance, then the securities administrator (Citibank) will advance as needed. Modified Sequential-Payment Structure (Neutral): The transaction has a modified sequential-payment structure that distributes collected principal pro rata among the class A certificates while excluding the mezzanine and subordinate certificates from principal until all the class A certificates are reduced to zero. To the extent that either a cumulative loss trigger event or a delinquency trigger event occurs in a given period, principal will be distributed first to class A-1B, A-1C, and A-1D then to A-1M and then to A-2 and A-3 certificates until they are reduced to zero. Once the A classes are paid in full, principal will be then allocated first to M-1 then to B-1 and then to B-2 and finally to B-3. Like other modified sequential structures, interest is prioritized over the payment of principal in the principal water fall with interest being paid first prior to principal. The interest waterfall is sequential with the class A receiving current interest and unpaid interest first. Both of these features are supportive of timely interest being paid to the 'AAAsf' rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. However, excess spread will be reduced on and after the distribution date in May 2029, since the class A certificates have a step-up coupon feature, whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. Additionally, on any distribution date occurring on or after the distribution date in May 2029 on which the aggregate unpaid interest carryover amount for class A certificates is greater than zero, payments to the interest carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 certificates in both the interest and principal waterfalls. This feature is supportive of the 'AAAsf' rated certificates being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. Losses will be allocated reverse sequentially, with class B-3 taking losses first. Once the class A-2 is written off, the losses will be allocated to the A1 classes. The A-1M class will take losses first once the A-2 is written off and once the A-1M is written off, losses will be allocated pro-rata among the A-1B, A-1C, and A-1D classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.36% at the 'AAAsf' stress due to 100% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations JPMMT 2025-3 has an ESG Relevance Score of '4+' for Transaction Parties and Operational Risk. Operational risk is well controlled for in JPMMT 2025-3, including strong transaction due diligence, an 'Above Average' aggregator, 53.5% of the pool originated by and 'Above Average' originator, and 27.5% of the pool being serviced by a 'RPS1-' servicer which results in a reduction in expected losses and is relevant to the rating. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JP MORGAN 2025-DSC1: S&P Assigns B- (sf) Rating on B-2 Certs ------------------------------------------------------------ S&P Global Ratings assigned its 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 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 our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially. 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 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 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. MORGAN STANLEY 2014-C18: DBRS Confirms C Rating on Class F Certs ---------------------------------------------------------------- DBRS, Inc. confirmed credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C18 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 as follows: -- Class X-B at BBB (low) (sf) -- Class D at BB (high) (sf) -- Class E at CCC (sf) -- Class F at C (sf) Additionally, Morningstar DBRS changed the trends on Class X-B and Class D to Stable from Negative. Class E and Class F do not carry a trend as these classes have credit ratings that typically do not carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations and Stable trends reflect the loss expectations through the repayment and/or disposition of the three remaining loans in the pool. The original deal balance of $1.03 billion was reduced to just under $51.0 million as of the March 2025 remittance, with two of the three remaining loans past their respective 2024 maturity dates and in special servicing and the performing loan, backed by a retail property in Fairfax, VA (Prospectus ID #9, Turnpike Shopping Center, 53.1% of the pool), scheduled to mature in July 2026. Both specially serviced loans are backed by office property types in San Francisco (Prospectus ID #16, 25 Taylor, 33.2% of the pool) and the Washington, D.C. suburb of Chantilly, VA (Prospectus ID #31, Lafayette Center, 13.7% of the pool). In the liquidation scenarios for both loans, a 30.0% haircut was applied to the 2024 appraised values, with a loss severity of 79.0% for the 25 Taylor loan and a loss severity of 48% for the Lafayette Centre loan. Total projected liquidated losses of $16.7 million would erode the remainder of the unrated Class G certificate and most of the Class F certificate, supporting the C (sf) credit rating for that class. The implied reduction in credit support, as well as the long-term history of outstanding interest shortfalls through the Class E certificate, supported the credit rating confirmations for Class D and Class E. Although Morningstar DBRS expects the Class D will be fully repaid, the unknown resolution timeline for the two specially serviced loans was also considered as part of the credit rating confirmation for that class, as the servicer could decide to withhold interest payments across the capital stack if property values further deteriorate or other risks become elevated through the remainder of the life of the deal. The trends for Class X-B and Class D were changed to Stable as interest shortfalls are expected to remain contained to the Class E certificate for the next 12 months. The largest remaining loan in the pool, Turnpike Shopping Center, benefits from a stable occupancy and cash flow history for the collateral retail property, which is well located within a densely populated suburban area. The largest tenants are all national brands and include Ross Dress for Less, PetSmart and Dollar Tree. None of the top three tenants are scheduled to expire until three years past the loan maturity, in 2029. As of the YE2024 financials, the servicer reported net cash flow (NCF) of $2.9 million, compared with the Issuer's NCF figure of $2.6 million. The property's occupancy rate was reported at 95.0% for the period, up from a low of 86.0% reported for YE2021. The debt service coverage ratio (DSCR) at YE2024 was healthy, at 1.46 times (x), compared with 1.40x at YE2023 and the Issuer's DSCR of 1.27x. Given the tenant composition, favorable location, and generally stable operating performance over the last several years, Morningstar DBRS expects the loan will repay at or near the scheduled 2026 maturity date. 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 2015-C20: DBRS Confirms B Rating on X-E Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C20 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 as follows: -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-E at B (sf) -- Class E at B (low) (sf) -- Class F at CCC (sf) All trends are Stable, except for Class F, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations and Stable trends reflect Morningstar DBRS' outlook for the remaining loans in the pool. As the pool continues to wind down, Morningstar DBRS considered a stressed recoverability analysis, the results of which indicated that realized losses would be contained to the Class F certificate. Since the last credit rating action, 63 loans have repaid from the trust including 22 loans that were previously defeased. Interest shortfalls, which are contained to the CCC (sf)-rated Class F certificate, increased to $1.6 million as of March 2025 compared with approximately $660,000 at the previous review in April 2024. To date, there have been realized losses of approximately $11.6 million, contained to the nonrated Class G certificate. As of the March 2025 remittance, seven of the original 88 loans remain in the pool with a trust balance of $80.7 million, reflecting a collateral reduction of 93.0% since issuance. The transaction is exposed to adverse selection given that four of the remaining loans, representing 72.5% of the current pool balance, are in special servicing. Loans secured by retail properties account for 48.9% of the pool, followed by lodging properties at 29.7% and office properties at 21.5%. The largest loan in the pool, Ashford Portfolio - Palm Desert, CA (Prospectus#10; 24.4% of the current pool balance), is secured by the borrower's fee-simple interest in a portfolio of one extended-stay hotel and one limited-service hotel totaling 281 keys in Palm Desert, California, within the Coachella Valley. The loan transferred to special servicing in November 2023 after the borrower failed to comply with cash management requirements. A site inspection conducted in January 2025 revealed that the portfolio was 66.0% occupied, relatively in line with historical standards. According to the most recent financial reporting available, the property generated $3.5 million of net cash flow (NCF) as of year-end (YE) 2023 with a debt service coverage ratio (DSCR) of 4.43 times (x), an increase from the issuance figures of $2.6 million and 1.74x, respectively. The servicer indicated that the borrower received a short-term maturity extension, and the loan is expected to be fully repaid by April 2025. The 33 West 46th Street loan (Prospectus ID#12; 21.5% of the current pool balance) is secured by a 42,525-square foot (sf) Class B office property in Midtown Manhattan, New York. The loan transferred to special servicing in August 2020 following a payment default and the trust ultimately took title to the property via foreclosure in July 2024. Operating performance at the property has consistently declined since issuance, with the loan's DSCR remaining well below breakeven since YE2021. The property was approximately 53.0% occupied as of December 2024 with the top three tenants--Dana Jane Saltzman MD (lease expiration in March 2038), Industrial Medicine Associates (lease expiration in May 2034), and Popular Gems & Jewelry Inc. (lease expiration in November 2035) --combining for more than 30.0% of the net rentable area (NRA). Scheduled lease rollover at the property is limited with only one lease, representing approximately 4.4% of the NRA, scheduled to roll within the next 12 months. The property is in the Grand Central submarket, which had a vacancy rate of 12.3% as of December 2024 according to Reis. The most recent appraisal dated December 2024 valued the property at $16.1 million, a 12.0% decline from the January 2023 appraised value of $18.3 million and a 38.1% decline from the issuance appraised value of $26.0 million. In its analysis for this review, Morningstar DBRS maintained a conservative approach given the pool's concentrated status, which exposes the remaining classes to adverse selection risks, and applied a 40.0% haircut to the most recent appraised value, resulting in a loss severity that exceeded 60.0%. The two remaining loans in special servicing are Bradhurst Court (Prospectus #16; 21.2% of the current pool balance) and La Quinta - Dallas Fort Worth, TX (Prospectus #72; 5.2% of the current pool balance). The Bradhurst Commons loan is secured by a 90,280-sf grocery-anchored shopping center in the Harlem neighborhood of Manhattan. The loan transferred to special servicing in November 2024 because of imminent monetary default. The shopping center was 100% occupied as of September 2024, with cash flow in line with issuance expectations. The servicer noted that the borrower agreed to enter into a forbearance agreement to extend the loan maturity for two years. The La Quinta - Dallas Fort Worth, TX loan is secured by a 76-room hotel property in Bedford, Texas. The loan transferred to the special servicer because of a failure to provide financial statements and comply with cash management provisions. The loan failed to repay at its January 2025 maturity date; however, the special servicer indicated that a negotiated settlement for a full payoff is reportedly in process. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2025-DSC1: S&P Assigns B (sf) Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its 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. After S&P assigned preliminary ratings on April 23, 2025, the class B-1 certificate rate was priced at a net weighted average coupon rate. After analyzing the final coupons, it assigned ratings for all classes, which are unchanged from the preliminary ratings S&P assigned. The 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 framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A., 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." 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 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. MORGAN STANLEY 2025-HX1: S&P Assigns B (sf) Rating on B-2 Certs --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-HX1's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed-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, and two- to four-family residential properties. The pool consists of 787 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability to repay (ATR)-compliant, and ATR-exempt loans. The 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 framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A.; -- The reviewed mortgage originator, HomeXpress Mortgage Corp.; -- The 100% due diligence results consistent with represented loan characteristics; 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, which is updated if necessary, when these projections change materially. Ratings Assigned Morgan Stanley Residential Mortgage Loan Trust 2025-HX1(i) Class A-1-A, $183,991,000: AAA (sf) Class A-1-B, $29,942,000: AAA (sf) Class A-1, $213,933,000: AAA (sf) Class A-2, $25,750,000: AA- (sf) Class A-3, $27,846,000: A- (sf) Class M-1, $12,725,000: BBB- (sf) Class B-1, $6,737,000: BB (sf) Class B-2, $7,485,000: B (sf) Class B-3, $4,941,338: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class R-PT, $14,975,338: NR Class PT, $284,442,000: NR Class R, Not applicable: NR (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 the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $299,417,338. NR--Not rated. MSBAM COMMERCIAL 2012-CKSV: DBRS Cuts Class CK Certs Rating to B ---------------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2012-CKSV issued by MSBAM Commercial Mortgage Securities Trust 2012-CKSV as follows: -- Class A-2 to A (sf) from AAA (sf) -- Class X-A to A (high) (sf) from AAA (sf) -- Class X-B to BBB (sf) from AA (low) (sf) -- Class B to BBB (low) (sf) from A (high) (sf) -- Class C to B (high) (sf) from BBB (low) (sf) -- Class CK to B (sf) from BBB (low) (sf) -- Class D to CCC (sf) from B (high) (sf) Morningstar DBRS also changed the trends on all classes to Negative from Stable, except for Class D because it has a credit rating that does not typically carry a trend in commercial mortgage-backed security (CMBS) credit ratings. The subject transaction is backed by two separate mortgage loans on two regional mall properties known as Clackamas Town Center (Clackamas) and Sunvalley Shopping Center (Sunvalley). All classes except for Class CK are pooled certificates backed by both loans; Class CK is backed by the subordinate B note debt on the Clackamas property. The credit rating downgrades reflect updates to the Morningstar DBRS Values for both collateral malls following the special servicer's final approval of an updated appraisal for Clackamas, which showed a value decline of more than $100.0 million since the previous appraisal in 2022. Both loans have been approved for maturity extensions beyond the initial 2022 maturity dates over the past few years, with both sponsors contributing principal paydown at required intervals as part of the terms. The pooled certificate balances declined by slightly more than $80.0 million as of the March 2025 remittance, with the Clackamas and Sunvalley principal balances representing 57.8% and 42.2% of the pooled trust balance, respectively. The Negative trends reflect Morningstar DBRS' view that the as-is values of both collateral malls could further deteriorate over the remaining life of the transaction. The Clackamas loan is sponsored by an affiliate of Brookfield Property Partners L.P. (Brookfield; rated BBB (low) with a Stable trend), which acquired the Portland, Oregon, area mall as part of its acquisition of GGP Inc. in 2018. The loan recently transferred back to the special servicer in October 2024 as part of the ongoing negotiations between the sponsor and the special servicer to address the extended October 2024 maturity date. The special servicer recently finalized the January 2025 appraisal obtained as part of that process, which showed an as-is value of $230.0 million, down from the October 2022 appraised value of $342.0 million. The primary driver for the value decline between the appraisals is that the appraiser used a capitalization (cap) rate of 9.0% in January 2025, up from 7.0% in 2022. Other contributing factors were comparable property sales since 2022 and declines in sales per square foot for the mall. The servicer reported that negotiations are ongoing regarding the loan maturity and, as of the March 2025 reporting, the loan was reportedly current on monthly payments. The servicer's reporting showed a generally stable performance for the Clackamas property, which Morningstar DBRS generally views as the stronger of the two collateral malls in this transaction. At YE2023, the net cash flow (NCF) was reported at $22.5 million, down from $23.1 million at YE2022 but up from the NCF reported for 2020 and 2021. The debt service coverage ratio (DSCR) was relatively consistent at 2.56 times (x) for YE2023 and 2.34x for Q3 2024. Clackamas is one of two regional malls in Portland and its occupancy rate has consistently been reported at or higher than 96.0% for the past several years. None of the subject mall's department store anchors, which currently include Macy's, Macy's Home Store, and JCPenney, are collateral in the transaction. A fourth anchor, Nordstrom, has been dark since 2020. The other regional mall in Portland, Washington Square, is approximately 20 miles west of Clackamas and is owned and operated by Macerich Real Estate Co. Washington Square is anchored by Nordstrom, JCPenney, and Macy's, and is superior to Clackamas in terms of tenant mix, surrounding area incomes, and overall aesthetic. The Morningstar DBRS Value for Clackamas was $275.9 million when credit ratings were assigned in 2020. The Morningstar DBRS NCF of $21.4 million in 2020 was based on a haircut to the YE2019 NCF, given the cash flow declines in 2020, and a cap rate of 7.75% was applied. Morningstar DBRS' analysis included the Morningstar DBRS Value of $275.9 million for credit rating actions between 2020 and 2024 as the figure was more conservative than that in the October 2022 appraisal, and the in-place cash flows continued to hover near the Morningstar DBRS NCF derived in 2020. However, given the appraisal's approach in January 2025, which included a significantly higher cap rate than Morningstar DBRS used, the valuation approach was updated with this review to reflect a Morningstar DBRS NCF of $18.4 million, approximately $4.0 million lower than the YE2023 NCF of $22.5 million, and a cap rate of 10.0% (a 100-basis point stress to the appraiser's baseline cap rate). The resulting Morningstar DBRS Value of $184.0 million represents a haircut of 22.0% to the January 2025 appraised value of $230.0 million and a more than 30.0% decline from the Morningstar DBRS Value derived in 2020. The implied loan-to-value (LTV) ratio on the total debt amount of $186.8 million ($165.0 million senior debt and $21.8 million junior debt) is 101.5% compared with the implied LTV of 81.0% in the January 2025 appraisal. The Sunvalley property is in Concord, California, and is approximately 20 miles northwest of Oakland, California. Simon Property Group, Inc. (Simon) acquired the loan-sponsor affiliate, Taubman Centers, Inc., in 2020. The sponsor recently exercised a 12-month extension option to push the maturity to September 2025. The mall is anchored by Sears, Macy's, Macy's Men's/Home, and JCPenney and, despite generally healthy occupancy rates since issuance, the property never fully recovered from the cash flow declines that began amid the coronavirus pandemic in 2020. Most recently, the servicer reported a YE2024 NCF of $13.7 million with a DSCR of 1.19x, down from $15.9 million and 1.34x, respectively, at YE2023. Prior to this credit rating action, the Morningstar DBRS Value was most recently updated as part of the May 2023 credit rating action to reflect a Morningstar DBRS NCF of $14.1 million and a cap rate of 9.25%. The resulting Morningstar DBRS Value of $152.2 million represents a haircut of 10.5% to the November 2022 appraised value of $170.0 million. Given the appraised value decline with a significantly increased cap rate in the appraiser's analysis for the Clackamas property as of January 2025, the Morningstar DBRS Value for the Sunvalley property was also updated as part of this review. Based on Sunvalley's generally inferior sales performance, location, and overall property quality, Morningstar DBRS applied a cap rate of 11.0% to the Morningstar DBRS NCF of $13.4 million, which was based on a haircut of 2.0% to the YE2024 NCF. The resulting Morningstar DBRS Value of $121.9 million implies an LTV of 112.5% and a haircut of 28.3% to the August 2022 appraised value of $170.0 million (most recent value obtained by the special servicer). Morningstar DBRS updated its LTV Sizing to reflect its updated Morningstar DBRS Values for each property as described above. Morningstar DBRS applied qualitative adjustments totaling 1.0% for favorable property quality in the LTV Sizing for Clackamas. The LTV Sizing for Sunvalley included a -1.5% adjustment for cash flow volatility and a 1.0% adjustment for market fundamentals for a total adjustment of -0.50%. The resulting LTV Sizing Benchmarks supported the credit rating downgrades and trend change to Negative from Stable to reflect the possibility that the collateral property values could continue to decline and that risks could generally continue to increase if Simon or Brookfield ultimately decides to walk away from their respective assets. 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. OCTAGON 61: Fitch Assigns 'B-sf' Rating on Class F-R Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Octagon 61, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Octagon 61, Ltd. X-R LT AAAsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AA+sf New Rating C-R LT Asf New Rating D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT B-sf New Rating Transaction Summary Octagon 61, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Octagon Credit Investors, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.63, 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 96.83% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.33% versus a minimum covenant, in accordance with the initial expected matrix point of 73.4%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'AAsf' for class B-R, between 'B-sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R and less than 'B-sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R, and 'BBB+sf' for class E-R and 'BB+sf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Octagon 61, 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. PIKES PEAK 18: Fitch Assigns 'BB-sf' Final Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Ratings Outlooks to Pikes Peak CLO 18. Entity/Debt Rating Prior ----------- ------ ----- Pikes Peak CLO 18 A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D 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 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 25.0. 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 71.40%. 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. Date of Relevant Committee 21 April 2025 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. PREFERRED TERM IV: Moody's Ups Rating on $341MM M Notes from Ba1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Preferred Term Securities IV, Ltd.: US$341,000,000 Class M Floating Rate Mezzanine Notes due 2031 (current balance $9,809,682.73), Upgraded to Baa2 (sf); previously on June 6, 2017 Upgraded to Ba1 (sf) Preferred Term Securities IV, Ltd., issued in December 2001, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The rating action is primarily a result of the continued deleveraging of the Mezzanine Notes. The Mezzanine Notes have paid down by approximately 4% or $0.4 million since March 2024, using excess interest proceeds. Based on Moody's calculations, the OC ratio for the Mezzanine Notes has improved to 326.4%, from 309.7% in March 2024. After paying the interest on the Mezzanine Notes, 30% of the remaining interest proceeds is used to pay down the principal of the Mezzanine Notes. The Mezzanine Notes will also benefit from the use of proceeds from redemptions of any assets in the collateral pool. The rating also reflects the concentrated nature of the transaction's portfolio and the continued partial dependency on the largest TruPS obligor in portfolio. A default by the largest obligor could cause the Mezzanine Notes' principal plus interest shortfalls to grow over time. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, 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: $25 million (and an Accreted Value of the FHLMC Principal Strip of $7.0mm) Defaulted/deferring par: $0 Weighted average default probability: 2.66% (implying a WARF of 476) Weighted average recovery rate upon default of 10% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating TruPS CDOs" published in July 2024. Factors that Would Lead to an Upgrade or Downgrade of the Rating 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 portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. PRESTIGE AUTO 2025-1: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The availability of approximately 61.93%, 56.35%, 45.37%, 36.84%, and 32.19% 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 S&P's 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 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, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and its 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 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 our sector benchmark. -- The transaction's payment and legal structures. 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) PROVIDENT BANK 1998-4: Moody's Cuts Rating on 2 Tranches to Caa2 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings of Class A-6 and A-7 issued by Provident Bank Home Equity Loan Trust 1998-4. The collateral backing this deal consists of subprime mortgages. The complete rating actions are as follows: Issuer: Provident Bank Home Equity Loan Trust 1998-4 Cl. A-6, Downgraded to Caa2 (sf); previously on Mar 5, 2025 Upgraded to B3 (sf) Cl. A-7, Downgraded to Caa2 (sf); previously on Mar 5, 2025 Upgraded to B2 (sf) RATINGS RATIONALE The rating action is driven by the fact the collateral pool backing the transaction has decreased to an effective number below the threshold established in the US RMBS Surveillance Methodology. Moody's does not maintain ratings on US RMBS securities in a structure where the effective number of borrowers has reduced below the threshold. However, Cl. A-6 and A-7 have the benefit of support provided by a certificate guarantee. As such, the ratings now reflect the rating of the support provider, MBIA Insurance Corporation. Principal Methodologies The principal methodology used in this rating was "Guarantees, Letters of Credit and Other Forms of Credit Substitution Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: An upgrade or downgrade of the support provider's rating could lead to the upgrade or downgrade of the ratings. PRPM 2025-RPL3: DBRS Finalizes BB Rating on Class M2 Notes ---------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RPL3 (the Notes) issued by PRPM 2025-RPL3, LLC (PRPM 2025-RPL3 or the Trust): -- $253.0 million Class A-1 at AAA (sf) -- $26.5 million Class A-2 at AA (low) (sf) -- $17.1 million Class A-3 at A (low) (sf) -- $13.0 million Class M-1 at BBB (low) (sf) -- $8.5 million Class M-2 at BB (sf) The AAA (sf) credit rating on the Class A-1 Notes reflects 28.90% of credit enhancement provided by the subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), and 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. Notes: All figures are in US dollars unless otherwise noted. RCKT MORTGAGE 2025-CES4: Fitch Assigns 'Bsf' Rating on 3 Tranches ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES4 (RCKT 2025-CES4). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2025-CES4 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAsf New Rating AA(EXP)sf A-5 LT Asf New Rating A(EXP)sf A-6 LT BBBsf New Rating BBB(EXP)sf B-1A LT BBsf New Rating BB(EXP)sf B-X-1A LT BBsf New Rating BB(EXP)sf B-1B LT BBsf New Rating BB(EXP)sf B-X-1B LT BBsf New Rating BB(EXP)sf B-X-2A LT Bsf New Rating B(EXP)sf B-2B LT Bsf New Rating B(EXP)sf XS LT NRsf New Rating NR(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf The notes are supported by 5,504 closed-end second-lien (CES) loans with a total balance of approximately $500 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. Fitch has withdrawn the expected rating of 'AAA(sf)' for the previous class A-1L notes as the loan was not funded at close and is no longer being offered. 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 11.0% 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 5,504 loans totaling approximately $500 million and seasoned at about three months in aggregate as calculated by Fitch (one month, per the transaction documents) — taken as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile, including a WA Fitch model FICO score of 746, a debt-to-income ratio (DTI) of 40% and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 75%. Of the pool, 99.2% of the loans are of a primary residence and 0.8% represent investor properties or second homes, and 87.6% of loans were originated through a retail channel. In addition, 70.5% of loans are designated as safe-harbor qualified mortgages (SHQMs) and 10.9% are higher-priced qualified mortgages (HPQMs). Given the 100% loss severity (LS) assumption, no additional penalties were applied for the HPQM loan status. Second-Lien Collateral (Negative): The entire collateral pool comprises CES loans originated by Rocket Mortgage. Fitch assumed no recovery and a 100% LS 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 has a typical sequential payment structure. Principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow is derived from remaining amounts after allocation of the interest and principal priority of payments. These amounts will be applied as principal, first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) 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 Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, 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 assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC. The third-party due diligence described in Form 15E focused on credit, regulatory compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% PD credit to the 20% of the pool by loan count in which diligence was conducted. This adjustment resulted in a 15bps reduction to the 'AAAsf' expected loss. ESG Considerations RCKT 2025-CES4 has an ESG Relevance Score of '4+' for Transaction Parties & Operational Risk due to lower operational risk considering the R&W, transaction due diligence results, as well as originator and servicer quality, which has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SEQUOIA MORTGAGE 2025-4: Fitch Assigns B- Rating on Class B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2025-4 (SEMT 2025-4). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2025-4 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf B1X LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 390 loans with a total balance of approximately $471.5 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. Since the publishing of the expected ratings and Fitch's Presale on April 8, there have been no changes to the collateral profile and cash flow structure and the final ratings are unchanged. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 390 loans totaling approximately $471.5 million and seasoned at about four months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted average (WA) Fitch model FICO score of 781 and a 35.5% debt-to-income ratio (DTI). The borrowers also have moderate leverage, with an 80.9% sustainable loan-to-value ratio (sLTV) and a 71.7% mark-to-market combined LTV ratio (cLTV). Overall, 92.0% of the pool loans are for a primary residence, while 8.0% are loans for second homes; 60.0% of the loans were originated through a retail channel. In addition, 100.0% of the loans are designated as safe-harbor qualified mortgage (SHQM) loans. Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.9% above a long-term sustainable level (versus 11.1% on a national level as of 3Q24, down 0.5% since the prior quarter). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 3.8% yoy nationally as of November 2024, despite modest regional declines, but are still being supported by limited inventory. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. After the credit support depletion date, principal will be distributed sequentially — first to the super-senior classes (A-9, A-12 and A-18) concurrently on a pro rata basis and then to the senior-support A-21 certificate. SEMT 2025-4 will feature the servicing administrator (RRAC), following initial reductions in the class A-IOS strip and servicing administrator fees, obligated to advance delinquent P&I to the trust until deemed nonrecoverable. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates, and absent the full advancing, bonds can be vulnerable to missed payments during periods of adverse performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 42.1% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 24bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2025-4 has an ESG Relevance Score of '4[+]' for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2025-4 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SOUND POINT 2025-2: Fitch Assigns 'BB-sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Sound Point CLO 2025-2, Ltd. Entity/Debt Rating ----------- ------ Sound Point CLO 2025-2, Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Sound Point CLO 2025-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Point CLO C-MOA, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $350 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 22.62 versus a maximum covenant, in accordance with the initial expected matrix point of 25.34. 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 94.73% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.88% versus a minimum covenant, in accordance with the initial expected matrix point of 70.96%. 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% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, '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. ESG Considerations Fitch does not provide ESG relevance scores for Sound Point CLO 2025-2, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. TRAPEZA CDO XIII: Moody's Upgrades Rating on 2 Tranches from Ba2 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Trapeza CDO XIII, Ltd.: US$97,000,000 Class A-2a Senior Secured Floating Rate Notes due 2042, Upgraded to Aaa (sf); previously on February 13, 2020 Upgraded to Aa1 (sf) US$5,000,000 Class A-2b Senior Secured Fixed/Floating Rate Notes due 2042, Upgraded to Aaa (sf); previously on February 13, 2020 Upgraded to Aa1 (sf) US$21,000,000 Class A-3 Senior Secured Floating Rate Notes due 2042, Upgraded to Aa1 (sf); previously on May 26, 2021 Upgraded to Aa2 (sf) US$65,000,000 Class B Secured Deferrable Floating Rate Notes due 2042, Upgraded to Aa3 (sf); previously on May 26, 2021 Upgraded to A2 (sf) US$58,000,000 Class C-1 Secured Deferrable Floating Rate Notes due 2042, Upgraded to Baa3 (sf); previously on May 26, 2021 Upgraded to Ba2 (sf) US$5,000,000 Class C-2 Secured Deferrable Fixed/Floating Rate Notes due 2042, Upgraded to Baa3 (sf); previously on May 26, 2021 Upgraded to Ba2 (sf) Trapeza CDO XIII, Ltd., issued in August 2007, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes over time, and the resulting increase in the transaction's over-collateralization (OC) ratios. The Class A-1 notes have paid down by approximately 12.5% or $11.3 million since a year ago, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-2, Class A-3, Class B and Class C notes have improved to 236.6%, 212.0%, 160.4% and 129.7%, respectively, from April 2024 levels of 228.6%, 206.1%, 157.9% and 128.7%, respectively. The Class A-1 notes will continue to benefit from the use of proceeds from redemptions of any assets or recoveries on defaulted assets in the collateral pool. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, 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: $427.91 million Defaulted/deferring par: $44 million Weighted average default probability: 10.6% (implying a WARF of 1147) Weighted average recovery rate upon default of 10% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. No action was taken on the Class A-1 notes because its expected loss remains commensurate with its current rating, after taking into account the CDO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 2024. Factors that Would Lead to an Upgrade or Downgrade of the Rating: 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 portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. TRUPS FINANCIALS 2018-1: Moody's Ups Rating on Cl. C Notes From Ba1 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by TruPS Financials Note Securitization 2018-1 Ltd: US$360,790,000 Class A-1 Senior Secured Floating Rate Notes due 2039 (current balance $237,006,253.10), Upgraded to Aa1 (sf); previously on February 3, 2020 Upgraded to Aa2 (sf) US$23,700,000 Class A-2 Senior Secured Fixed-Floating Rate Notes due 2039 (current balance $15,568,746.91), Upgraded to Aa1 (sf); previously on February 3, 2020 Upgraded to Aa2 (sf) US$12,100,000 Class B Mezzanine Deferrable Fixed-Floating Rate Notes due 2039, Upgraded to Aa3 (sf); previously on February 3, 2020 Upgraded to A2 (sf) US$71,250,000 Class C Mezzanine Deferrable Floating Rate Notes due 2039, Upgraded to Baa2 (sf); previously on February 3, 2020 Upgraded to Ba1 (sf) TruPS Financials Note Securitization 2018-1 Ltd, issued in May 2018, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). RATINGS RATIONALE The rating actions are primarily a result of the ongoing deleveraging of the Class A-1 and Class A-2 notes ("the Class A notes") and the resulting increase in the transaction's over-collateralization (OC) ratios. The Class A notes have collectively paid down by approximately 1.6% or $4.2 million since a year ago, using principal proceeds from a previously deferring asset that has now paid off in full. Based on Moody's calculations, the OC ratios for the Class A, Class B and Class C notes have improved to 160.68%, 153.33% and 120.81%, respectively, from April 2024 levels of 158.07%, 150.96% and 119.33%, respectively. The Class A notes will continue to benefit from the pro-rata use of principal proceeds from any assets in the collateral pool, and starting in March 2026 are expected to benefit from a share of excess interest due to the turbo feature. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, 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: $405.8 million Weighted average default probability: 5.65% (implying a WARF of 709) Weighted average recovery rate upon default of 10.0% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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 portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. TVC MORTGAGE 2025-RRTL1: DBRS Gives Prov. B (low) on M2 Notes ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-RRTL1 (the Notes) to be issued by TVC Mortgage Trust 2025-RRTL1 (TVC 2025-RRTL1 or the Issuer) as follows: -- $160.9 million Class A1 at (P) A (low) (sf) -- $14.3 million Class A2 at (P) BBB (low) (sf) -- $15.3 million Class M1 at (P) BB (low) (sf) -- $16.6 million Class M2 at (P) B (low) (sf) The (P) A (low) (sf) credit rating reflects 25.15% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 18.50%, 11.40%, and 3.70% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a two-year revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Mortgage-Backed Notes, Series 2025-RRTL1 (the Notes). As of the Initial Cut-Off Date, the Notes are backed by -- 290 mortgage loans with a total principal balance of approximately $205,737,832. -- Approximately $9,262,168 in the Accumulation Account. -- Approximately $2,191,247 in the Pre-funding Interest Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. TVC 2025-RRTL1 represents the second rated RTL securitization (but fifth overall) issued by the Sponsor, Temple View Capital Funding, LP (TVC). TVC will own the mortgage servicing rights, and Temple View Capital, LLC, an affiliate of the sponsor, will act as Loan Administrator. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTL with original terms to maturity primarily of six to 24 months. The loans may also include extension options, which can lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include: -- A minimum non-zero weighted-average (NZ WA) FICO score of 725. -- A maximum NZ WA Loan-to-Cost ratio of 82.5%. -- A maximum NZ WA As-Repaired Loan-to-Value ratio of 69.0%. RTL FEATURES RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or small balance commercial properties (the latter is ineligible for inclusion in the TVC revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Loan Administrator. In the TVC 2025-RRTL1 revolving portfolio, RTLs may be: Fully funded: -- With no obligation of further advances to the borrower, or -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction draw requests upon the satisfaction of certain conditions. Partially funded: -- With a commitment to fund borrower-requested draws for approved construction, repairs, restoration, and protection of the property (Rehabilitation Disbursement Requests) upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the TVC 2025-RRTL1 eligibility criteria, unfunded commitments are limited to 40% of the portfolio by the assets of the Issuer, which includes (1) the unpaid principal balance (UPB) and (2) amounts in the Accumulation Account and Payment Account. Cash Flow Structure and Draw Funding The transaction employs a sequential-pay cash flow structure. During the reinvestment period, the Notes will generally be IO. After the reinvestment period, principal will be applied to pay down the Notes, sequentially. If the Issuer does not redeem the Notes by the payment date in October 2027, the Class A1 and A2 fixed rates will step-up by 1.000% the following month. There will be no advancing of delinquent (DQ) principal or interest on any mortgage by the Servicer or any other party to the transaction. However, the Servicer is obligated to fund Servicing Advances which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. Such Servicing Advances will be reimbursable from collections and other recoveries prior to any payments on the Notes. The Loan Administrator, or the Servicer, will satisfy Rehabilitation Disbursement Requests by, (1) for loans with funded commitments, directing release of funds from the Rehab Escrow Account to the applicable borrower; or (2) for loans with unfunded commitments, (A) advancing funds on behalf of the Issuer (Disbursement Request Advances) or (B) directing the release of funds from the Accumulation Account. Amounts on deposit in the Accumulation Account may be used to reimburse the Loan Administrator or the Sponsor, as applicable, for such advances. The Accumulation Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the reinvestment period, amounts held in the Accumulation Account, along with the mortgage collateral, must be sufficient to maintain a minimum CE of approximately 3.70% (the initial subordination) to the most subordinate rated class. TVC 2025-RRTL1 incorporates this via the Maximum Effective Advance Test during the reinvestment period, which if breached, redirects available funds to pay down the Notes, sequentially, prior to replenishing the Accumulation Account, to maintain CE for all tranches. A Pre-Funding Interest Account is in place to help cover two months of interest payments to the Notes. Such account is funded upfront in an amount equal to $2,191,247. On the payment dates occurring in May and June 2025, the Paying Agent will withdraw a specified amount to be included in the available funds. The transaction also employs the Expense Reserve Account, which will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. Historically, RTL originations reviewed by Morningstar DBRS have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated TVC's historical mortgage repayments relative to draw commitments and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of the presale report for more details. OTHER TRANSACTION FEATURES Optional Redemption On any date after the earlier of (1) the Payment Date following the termination of the Reinvestment Period or (2) the date on which the aggregate Note Amount falls to 25% or less of the initial Closing Date Note Amount, the Issuer, at its option, may purchase all of the outstanding Notes at the Redemption Price (par plus interest and fees). Repurchase Option The Sponsor will have the option to repurchase any DQ or defaulted mortgage loan at the Repurchase Price (par plus interest and fees). During the reinvestment period, if the Sponsor repurchases DQ or defaulted loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ or default trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. Sales of Mortgage Loans The Issuer may sell a mortgage loan under the following circumstances: -- The Sponsor is required to repurchase a loan because of a material breach, a diligence defect, or a material document defect. -- The Sponsor elects to exercise its Repurchase Option. -- An optional redemption occurs. -- The Issuer sells a mortgage loan in an arm's length transaction at the Repurchase Price or sells an REO property at fair market value (FMV). -- The Issuer sells a mortgage loan to an affiliate at FMV but such price must be at least par plus interest. -- Voluntary repurchases and sales may not exceed 10.0% of the cumulative UPB of the mortgage loans (Repurchase Limit). U.S. Credit Risk Retention As the Sponsor, TVC, or one or more majority-owned affiliates will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities (in this case, the entirety of the Class XS Notes) to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool contains loans secured by properties that are located within certain disaster areas (such as those impacted by the Greater Los Angeles wildfires). Although many RTL already have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicers follow standard protocol, which includes a review of the impacted area, borrower outreach, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with R&W specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. Notes: All figures are in U.S. dollars unless otherwise noted. VMC FINANCE 2021-FL4: DBRS Confirms CCC Rating on F Notes --------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on two classes of notes issued by VMC Finance 2021-FL4 LLC (the Issuer) as follows: -- Class E to BB (high) (sf) from BBB (low) (sf) -- Class G to C (sf) from CCC (sf) Morningstar DBRS also confirmed its credit ratings on the remaining classes of notes as follows: -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class F at CCC (sf) All trends are Stable. With this credit rating action, the trend on Class E was changed to Stable from Negative. Class F and Class G have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. The credit rating downgrade to Class G reflects the increased Morningstar DBRS loss expectations for the transaction as four loans, representing 49.9% of the current trust balance are delinquent and in special servicing, including three loans, representing 33.6% of the current trust balance, which are Real Estate Owned (REO). All four loans are secured by office properties. While the resolution timeline for each loan may be extended given the lender's desire to stabilize the assets and increase property value prior to asset sales, Morningstar DBRS notes an extended timeline may result in increased costs and greater uncertainty. In its analysis of these four loans, Morningstar DBRS assumed each loan would ultimately resolve with a realized loss to the trust with individual loan loss severities ranging between approximately 20.0% to 90.0%. The projected cumulative losses are expected to erode the entire outstanding $65.3 million first loss piece, Class H, as well as a portion of Class G. As a result of the expected reduction in credit support to the transaction, Morningstar DBRS downgraded the credit rating of Class E as the bond no longer exhibits investment-grade credit characteristics. As of March 2025 reporting, the transaction consists of nine loans, totaling $355.4 million. Since issuance, there has been collateral reduction of 61.2%, including an additional 9.9% since the previous Morningstar DBRS credit rating action in July 2024. In August 2024, the Wakefield loan (Prospectus ID#18, 2.0% of the current trust balance), was modified and extended to June 2026, which, also included a principal curtailment of $2.0 million and the loan was written down by $14.7 million. Additionally, the Columbus Center loan ($67.4 million), which was previously specially serviced, was paid in full with the March 2025 remittance, including the repayment of $3.6 million in interest shortfalls to Class F. The transaction is subject to adverse selection as eight loans, representing 89.8% of the current trust balance are secured by office properties. The remaining loan is secured by a limited-service hotel property in Washington D.C. While the hotel is stabilized, the loan is not expected to be repaid until April 2026 as according to the collateral manager, the borrower provided notice to exercise the loan's final one-year maturity extension option. The largest loan in special servicing, One Financial Plaza (Prospectus ID#4, 16.4% of the current trust balance), is secured by a 28-story office tower in Fort Lauderdale, Florida. The loan transferred to special servicing February 2024 with debt service paid through July 2024. According to the collateral manager, it is pursuing foreclosure with plans to take title to the property. The original business plan was to utilize $3.0 million of loan future funding to finance accretive leasing costs to increase occupancy and rental rates. As of the January 2025 rent roll, the property was 86.2% occupied, which compares favorably with the occupancy rate of 80.5% for Class A office properties in the Fort Lauderdale submarket at YE2024, according to Reis. While the occupancy rate is stable, the value of the property has declined significantly from closing as the March 2024 appraised value of $61.5 million, represents a 27.6% decline from the $85.0 million valuation at closing. The Q4 2024 update from the collateral manager notes a previous purchase and sale agreement was never executed and that capital expenditure (capex) items totaling $1.7 million needed to be addressed. Morningstar DBRS believes the lender will likely complete the capex work and monitor tenant rollover risk prior to listing the asset for sale, which could prolong the sale process. The current outstanding loan exposure totals $61.5 million, and in its analysis, Morningstar DBRS included additional forward-looking advances as well as a haircut to the March 2024 property valuation. The resulting loan loss severity was in excess of 20.0%. The second largest loan in special servicing, River Forum (Prospectus ID#9, 14.4% of the current trust balance), is secured by a two-building, mid-rise office property in Portland, Oregon. The loan transferred to special servicing January 2024 with debt service paid through April 2024. The loan became REO in July 2024. The original business plan was to utilize $9.8 million of loan future funding to equally finance capex and accretive leasing costs to increase occupancy and rental rates. While $8.7 million of future funding was advanced to the borrower before the loan defaulted, it was unable to materially increase occupancy. As of the December 2024 rent roll, the property was 63.1% occupied, below the occupancy rate of 80.1% for office properties in the John's Landing/Barbur Boulevard submarket as of Q4 2024, according to Reis. The April 2024 appraised value of $40.6 million, represents a 29.9% decline from the $57.9 million valuation at closing. According to the Q4 2024 update from the collateral manager, the property has seen positive leasing momentum into 2025, and there are several capex projects that need to be addressed. Morningstar DBRS believes the lender will focus on completing necessary capex and focus on increasing the occupancy rate prior to marketing the property for sale with no definitive timetable known at this time. The current outstanding loan exposure totals $55.0 million, and in its analysis, Morningstar DBRS included additional forward-looking advances as well as a haircut to the March 2024 property valuation. The resulting loan loss severity was near 50.0%. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2019-C50: Fitch Lowers Rating on 2 Tranches to CCsf --------------------------------------------------------------- Fitch Ratings has downgraded seven and affirmed eight classes of Wells Fargo Commercial Mortgage Trust 2019-C50 (WFCM 2019-C50). Classes D, E and X-D were assigned Negative Rating Outlooks following their downgrades while the Outlooks were revised to Negative from Stable for affirmed classes C and X-B. Fitch also affirmed 15 classes of Wells Fargo Commercial Mortgage Trust 2019-C49 (WFCM 2019-C49) and revised the Outlook for class E-RR to Negative from Stable. The Outlook for classes F-RR and G-RR remain Negative. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2019-C49 A-3 95001WAY4 LT AAAsf Affirmed AAAsf A-4 95001WBA5 LT AAAsf Affirmed AAAsf A-5 95001WBB3 LT AAAsf Affirmed AAAsf A-S 95001WBE7 LT AAAsf Affirmed AAAsf A-SB 95001WAZ1 LT AAAsf Affirmed AAAsf B 95001WBF4 LT AA-sf Affirmed AA-sf C 95001WBG2 LT A-sf Affirmed A-sf D 95001WAC2 LT BBB-sf Affirmed BBB-sf E-RR 95001WAE8 LT BBB-sf Affirmed BBB-sf F-RR 95001WAG3 LT BBsf Affirmed BBsf G-RR 95001WAJ7 LT B-sf Affirmed B-sf H-RR 95001WAL2 LT CCCsf Affirmed CCCsf X-A 95001WBC1 LT AAAsf Affirmed AAAsf X-B 95001WBD9 LT A-sf Affirmed A-sf X-D 95001WAA6 LT BBB-sf Affirmed BBB-sf WFCM 2019-C50 A-4 95001XBA3 LT AAAsf Affirmed AAAsf A-5 95001XBB1 LT AAAsf Affirmed AAAsf A-S 95001XBC9 LT AAAsf Affirmed AAAsf A-SB 95001XAZ9 LT AAAsf Affirmed AAAsf B 95001XBD7 LT AA-sf Affirmed AA-sf C 95001XBE5 LT A-sf Affirmed A-sf D 95001XAJ5 LT BBB-sf Downgrade BBBsf E 95001XAL0 LT BB-sf Downgrade BBsf F 95001XAN6 LT CCCsf Downgrade B-sf G 95001XAQ9 LT CCsf Downgrade CCCsf X-A 95001XBF2 LT AAAsf Affirmed AAAsf X-B 95001XBG0 LT A-sf Affirmed A-sf X-D 95001XAA4 LT BB-sf Downgrade BBsf X-F 95001XAC0 LT CCCsf Downgrade B-sf X-G 95001XAE6 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 7.7% in WFCM 2019-C50 and 6.2% in WFCM 2019-C49. Fitch Loans of Concerns (FLOCs) comprise 13 loans (30.1% of the pool) in WFCM 2019-C50, including six specially serviced loans (13.3%); and 15 loans (27.1%) in WFCM 2019-C49, including three specially serviced loans (3.6%) and one loan expected to imminently transfer (Merge Office; 2.2%). The downgrades in WFCM 2019-C50 are driven by increased overall pool loss expectations since Fitch's prior rating action primarily driven by 839 Broadway (2.7%) and the specially serviced InnVite Hospitality Portfolio (2.3%). The Negative Outlooks reflect the potential for higher than expected losses from InnVite Hospitality Portfolio and the specially serviced loan 24 Commerce Street (1.8%), as well as performance and refinancing concerns from office FLOCs (or loans with large office components), particularly Crown Center Office Park (5.0%) and The Colonnade Office Complex (3.4%). The affirmations in WFCM 2019-C49 reflect generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks reflect the potential for higher than expected losses from Merge Office (2.2%, imminent expected transfer) and performance and refinancing concerns for FLOCs Dominion Tower (2.0%) and Radisson Yuma (1.8%). The InnVite Hospitality Portfolio loan, secured by five hotels in Ohio, is the largest contributor to overall loss expectations in WFCM 2019-C50 and the second largest increase in loss expectations since Fitch's prior rating action. The loan transferred to special servicing in May 2020 due to payment default because of the Covid-19 pandemic. The court has granted the lender's request for a receivership and the special servicer is working to complete property improvement plans and other capital expenditure needs of the hotels, including the rebranding of two assets (including one in bankruptcy) due to expired franchise agreements with Best Western. The borrower has placed three of five hotels into Chapter 11 bankruptcy protection and the lender restarted foreclosure process on two hotels that are not in bankruptcy. The receiver is marketing all the assets for sale. Fitch's 'Bsf' rating case loss of 66% (prior to concentration add-ons) reflects a stress to the most recently reported appraisal reflecting a stressed value of approximately $31,000/key. The 24 Commerce Street loan is the second largest contributor to overall loss expectations in WFCM 2019-C50 and is secured by a 171,892-sf, landmarked historic office building in downtown Newark, NJ. The loan transferred to special servicing in May 2020 for imminent monetary default and the property is REO following a foreclosure sale that was completed in November 2024. The December 2024 rent roll shows 51.5% occupancy compared to 68.6% per the December 2023 rent roll and 84% at underwriting. Former top tenants ACBB - Bits, LLC (8.7% NRA, December 2023), FDF Holdings LLC (7.7% NRA, October 2033) and Pennoni Associates (4.6% NRA, July 2023) have vacated at or prior to their respective lease expirations driving occupancy lower. According to CoStar, comparable office properties in the Newark office submarket had 7.0% vacancy and 4.6% availability rates and market asking rent of $32.90 compared to 10.5%, 8.7%, and $28.50 at Fitch's prior review. The total submarket had 10.2% vacancy and 13.1% availability rates and market asking rent of $33.54 compared to 12%, 13.6%, and $32.98 at Fitch's prior review. Fitch's 'Bsf' rating case loss of 84% (prior to concentration add-ons) reflects a stress to the most recently reported appraisal reflecting a stressed value of $46/sf. The 839 Broadway loan, secured by a 46,228-sf mixed-use property Brooklyn, NY, is the third largest contributor to overall loss expectations in WFCM 2019-C50 and the largest increase in loss expectations since Fitch's prior rating action. The loan is a FLOC due to the low DSCR and continued underperformance since issuance. The subject NOI remains below levels at underwriting due to the largest tenant, Bond Collective (shared office space provider), continues to struggle. Per the servicer, the tenant did not make full rent payments from March-June and has been experiencing challenges with maintaining membership. The loan, initially transferred to the special servicer in March 2021 due to imminent monetary default amid the COVID-19 pandemic, returned as a corrected mortgage in June 2023 after a settlement agreement was negotiated and closed in January 2023. As of September 2024, occupancy and DSCR were reported to be 100% and 0.81x, respectively. Fitch's 'Bsf' rating case loss of 42% (prior to concentration add-ons) reflects the annualized September 2024 NOI and a 9% cap rate as well as an elevated probability of default due to the loan's underperformance. The Crown Center Office Park loan, secured by a 341,965-sf office park in Fort Lauderdale, FL, is a FLOC due to recent and expected occupancy declines. Occupancy declined to 75.6% per the December 2024 rent roll from 88% at YE 2023 as the former third largest tenant, State of Florida Department of Children and Families (9.5%), terminated its lease. Occupancy is expected to fall further to approximately 65.8% as the largest tenant, Community Loan Servicing, LLC (13.7%, August 2025, 16% of annual base rents) is renewing and reducing space by approximately 28% to 13,000-sf. According to CoStar, comparable office properties in the Cypress Creek office submarket had 11.2% vacancy and 16.4% availability rates and market asking rent of $30.55 compared to 9.7%, 14.9% and $28.19 at Fitch's prior rating action. The total submarket had 10.1% vacancy and 17.2% availability rates and market asking rent of $31.56 compared to 11.2%, 18.2% and $31.27 at Fitch's prior rating action. Per the December 2024 rent roll, the subject property had average in-place rent of $18.28 psf. Fitch's 'Bsf' rating case loss of 3% (prior to concentration add-ons) reflects a 15% stress to the YE 2024 NOI and a 10% cap rate. The Colonnade Office Complex loan transferred to special servicing in September 2023 due to imminent monetary default before its February 2024 maturity. A UCC foreclosure by the mezzanine lender in May 2024 led to discussions on extending the maturity date. The lender is seeking foreclosure and receivership, while a court-appointed receiver handles lease renewals and new leases. The loan is secured by a 1,080,180-sf suburban office in Addison, TX, built in 1983 and renovated in 2017. As of February 2025, the property is 77% occupied. USP Texas L.P., occupying 11.8% NRA, has 62% of its space (79,746-sf, 7% of total NRA) on the sublease market since moving out in 2019. Per the servicer, three tenants are subleasing, with discussions on converting to direct leases and active negotiations are underway with large tenants to backfill vacant space. Google Inc. (5.2%. February 2026) is expected to renew, with lease extension documents in process. According to CoStar, comparable office properties in the Quorum/Bent Tree office submarket had 23.6% vacancy and 26.5% availability rates and market asking rent of $33.43 compared to 22.8%, 25.5%, and $32.95 at Fitch's prior rating action. The total submarket had 21.5% vacancy and 23.8% availability rates and market asking rent of $29.81 compared to 20.8%, 24.3%, and $29.08 at Fitch's prior rating action. Fitch's 'Bsf' rating case loss of 1% (prior to concentration add-ons) reflects a stress to the most recently reported appraisal and accounts for special servicing fees. The Merge Office loan, secured by a three-property multi-tenant office campus containing 129,655-sf in Westminster (Orange County), CA, is the largest contributor to overall loss expectations in WFCM 2019-C49 and the largest increase in loss expectations since Fitch's prior rating action. Servicer reporting indicates an impending transfer of the loan to special servicing. The loan has experienced frequent delinquencies of less than one month. It was reported as 30 days delinquent in the November 2024 remittance, escalated to 60 days delinquent in February 2025, returned to being 30 days delinquent as of the March remittance and is now less than one month as of the April remittance. Low occupancy and declining NOI are due to the departure of the largest tenant Universal Care (25.7% of NRA) at lease expiration December2022. Per the YE 2023 rent roll, the property was 63.9% occupied and rollover consisted of 18.8% in 2024 (nine tenants including top five tenant Saxon Psychology at 5.9% of NRA), 9.8% in 2025 (three tenants) and 7.2% in 2026 (three tenants). Fitch requested a leasing update for upcoming rollover, but none was provided. Per Fitch research, there is 41,162-sf of vacant space for direct lease across all three properties implying a current 31.1% vacancy rate. Fitch's 'Bsf' rating case loss of 33% (prior to concentration add-ons) reflects a 10% stress to the annualized September 2023 NOI and a 10% cap rate. Annualized September 2023 NOI is 33% below YE 2022, 26% below YE 2021 and 20% below Fitch issuance NCF. The Dominion Tower loan, secured by a 403,276-sf office building located in Norfolk, VA's CBD, is the second largest contributor to overall loss expectations and the second largest increase in loss expectations in WFCM 2019-C49 since Fitch's prior rating action. Per the June 2024 rent roll, the property was 78.3% occupied with lease rollover of 4.2% in 2024, 11% in 2025, and 22.4% in 2026. The top tenant, Trader Interactive, (9.7%; expires in December 2025), was subleasing to CMG CMA (a regional shipping company). However, according to CoStar, all of Trader Interactive's space is now vacant and available for lease, suggesting CMG CMA likely moved to its headquarters nearby. If Trader Interactive does not renew its lease, occupancy would fall to 68.6%. According to CoStar, comparable properties in the Downtown Norfolk submarket had 21.3% vacancy and 25.9% availability rates and market asking rent of $26.65 compared to 18.1%, 23.2% and $27.10 at Fitch's prior rating action. The total Downtown Norfolk submarket had 12.4% vacancy and 15.0% availability rates and market asking rent of $24.51 compared to 12.2%, 15.3% and $24.81 at Fitch's prior rating action. Fitch's 'Bsf' rating case loss of 29% (prior to concentration add-ons) reflects a 25% stress to the YE 2023 NOI and a 10% cap rate as well as an elevated probability of default due to the expected decline in occupancy. The Radisson Yuma loan is the third largest contributor to overall loss expectations in WFCM 2019-C49 and the third largest increase in loss expectations since Fitch's prior rating action. The loan is a FLOC given the decline in NOI and the property's underperformance compared to its comp set. The TTM September 2024 NOI is 59% below YE 2022 and 37% below Fitch issuance NCF. Per the servicer, the lower NOI is driven partly by the acquisition of the Radisson brand by Choice Hotels in August 2022, which resulted in a change in booking patterns that has negatively impacted occupancy. The property continues to underperform its comp set. STR reporting for the TTM ending September 2024 showed occupancy, ADR and RevPAR of 51% (75% penetration), $129 (88% penetration) and $66 (66% penetration), compared to the TTM ending December 2023 showing 50% (71% penetration), $133 (87% penetration) and $67 (62% penetration). Fitch's 'Bsf' rating case loss of 31% (prior to concentration add-ons) reflects a 15% stress to the TTM September 2024 NOI and a 11.25% cap rate as well as an elevated probability of default. Increased Credit Enhancement (CE): As of the March remittance report, the aggregate balances of the WFCM 2019-C50 and WFCM 2019-C49 transactions have been reduced by 13.1% and 6.9%, respectively, since issuance. Cumulative interest shortfalls for WFCM 2019-C50 are $4.9 million affecting rated classes E, F, and G as well as non-rated classes H and VRR. Cumulative interest shortfalls for WFCM 2019-C49 are $2.1 million affecting the non-rated class K-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from further potential declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to the 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories, especially those with Negative Outlooks, may occur should performance of the FLOCs deteriorate further or if more loans than expected default during the term and/or at or prior to maturity. These FLOCs include 839 Broadway, InnVite Hospitality Portfolio, 24 Commerce Street, Crown Center Office Park and The Colonnade Office Complex in WFCM 2019-C50 and Merge Office, Dominion Tower and Radisson Yuma in WFCM 2019-C49. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, particularly those with Negative Outlooks, could occur with higher than expected losses from continued underperformance of the aforementioned FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings of 'CCCsf' or 'CCsf' 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 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs, including 839 Broadway, InnVite Hospitality Portfolio, 24 Commerce Street, Crown Center Office Park and The Colonnade Office Complex in WFCM 2019-C50 and Merge Office, Dominion Tower and Radisson Yuma in WFCM 2019-C49. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WFRBS COMMERCIAL 2014-C22: Fitch Lowers Rating on Cl. F Certs to C ------------------------------------------------------------------ Fitch Ratings has downgraded nine classes of WFRBS Commercial Mortgage Trust Series 2014-C22 (WFRBS 2014-C22) commercial mortgage trust pass-through certificates. Classes A-S, X-A, B and C were assigned Negative Outlooks after their downgrades. Fitch has downgraded 10 classes of WFRBS Commercial Mortgage Trust 2014-C23 (WFRBS 2014-C23) commercial mortgage pass-through certificates. Classes A-S, X-A, B, C and PEX were assigned Negative Outlooks after their downgrades. Fitch has also affirmed three classes of JPMCC Commercial Mortgage Securities Trust 2013-C16 (JPMCC 2013-C16). The Outlooks on classes D and E remain Negative. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2013-C16 D 46641BAP8 LT BBsf Affirmed BBsf E 46641BAR4 LT Bsf Affirmed Bsf F 46641BAT0 LT CCCsf Affirmed CCCsf WFRBS 2014-C22 A-S 92890KBC8 LT AAsf Downgrade AAAsf B 92890KBF1 LT BBB-sf Downgrade A-sf C 92890KBG9 LT BB-sf Downgrade BBB-sf D 92890KAJ4 LT CCCsf Downgrade B-sf E 92890KAL9 LT CCsf Downgrade CCCsf F 92890KAN5 LT Csf Downgrade CCsf X-A 92890KBD6 LT AAsf Downgrade AAAsf X-C 92890KAA3 LT CCsf Downgrade CCCsf X-D 92890KAC9 LT Csf Downgrade CCsf WFRBS 2014-C23 A-S 92939HBA2 LT AAsf Downgrade AAAsf B 92939HBB0 LT BBBsf Downgrade Asf C 92939HBC8 LT BBsf Downgrade BBBsf D 92939HAJ4 LT CCCsf Downgrade B-sf E 92939HAL9 LT CCsf Downgrade CCCsf F 92939HAN5 LT Csf Downgrade CCCsf PEX 92939HBD6 LT BBsf Downgrade BBBsf X-A 92939HBE4 LT AAsf Downgrade AAAsf X-C 92939HAA3 LT CCsf Downgrade CCCsf X-D 92939HAC9 LT Csf Downgrade CCCsf KEY RATING DRIVERS Pool Concentration; Adverse Selection: The rating actions reflect the distressed status or underperformance of the remaining collateral, decreased collateral quality, challenging office market conditions and potential protracted loan workouts that can impair recoveries upon disposition. The downgrades to the A-S classes in WFRBS 2014-C22 and WFRBS 2014-C23 also reflect the potential for interest shortfalls. The Negative Outlooks reflect the potential for downgrades should recovery expectations on the specially serviced loans worsened due to continued performance declines, prolonged workouts and/or growing loan exposures. These three transactions are concentrated with seven or fewer loans/assets remaining, with all the loans specially serviced or previously modified. Due to these factors, Fitch conducted a look-through analysis to determine the loans' expected recoveries and losses to assess the outstanding classes' ratings relative to credit enhancement (CE). The JPMCC 2013-C16 transaction has four loans remaining, all of which are in special servicing. The WFRBS 2014-C22 transaction has seven loans remaining, six of which are special serviced (72.7% of the pool). The WFRBS 2014-C23 transaction has five loans remaining, four of which are in special servicing (75.4%). Both the WFRBS 2014-C22 and WFRBS 2014-C23 transactions have exposure to the Columbus Square Portfolio loan, which has been modified and extended to 2027. Largest Contributors to Loss Expectations: The largest contributor to overall loss expectations in both WFRBS 2014-C22 and WFRBS 2014-C23 is the specially serviced Bank of America Plaza loan, which is secured by a 1.4 million-sf, LEED Gold certified, office building located in downtown Los Angeles, CA. Major tenants include Capital Group Companies (24.5% of the NRA, lease expiration of February 2033) and Bank of America (14.6%, June 2029). The property has a reported occupancy of 66.7% as of March 2025. The loan transferred to special servicing in July 2024 for imminent maturity default as the sponsor, Brookfield, was expected to be unable to pay off the loan at its September 2024 scheduled maturity date. Per recent servicer commentary, the special servicer has had preliminary modification discussions with the borrower, but a resolution remains unclear. Fitch's expected loss of 58% for both transactions includes a discount to the most recent reported appraisal value reflecting a stressed value of $170 psf, which is inline with comparable properties in a challenging office submarket. The second largest contributor to loss in WFRBS 2014-C22 is the specially serviced Stamford Plaza Portfolio loan (21.8% of the pool). The loan is secured by four office properties totaling 982,483-sf located in the Stamford, CT CBD. Occupancy as of third quarter 2024 was 62%, compared to 69% at YE 2023, 65.2% at YE 2022, 82% at YE 2018 and 90% at issuance. Due to the occupancy decline, the NOI DSCR has remained below 1.00x since YE 2018. The loan matured in August 2024 and was not paid off at maturity. Per recent servicer commentary, the loan is currently in cash management and the borrower has engaged a workout advisor. Fitch's current loss expectations of approximately 41% reflects a 15% haircut to YE 2023 cash flow due to potential rollover and the stressed office submarket and a 10% stressed cap rate. Additional specially serviced loans in WFRBS 2014-C22 include Offices at Broadway Station (11.5% of the pool), 81 Washington Avenue (1.5%), Parkside Development Company (1.3%) and Rite Aid Portfolio (0.5%). The Offices at Broadway Station loan is secured by a 315,053-sf office property located in Denver, CO. The loan was transferred to special servicing in April 2024 for imminent maturity default. The reported property occupancy was 82% as of YE 2024. The loan is being dual tracked for foreclosure and potential modification of the loan per recent servicer commentary. Fitch's loss expectations of approximately 34% reflects a 12% stressed cap rate and 20% haircut to the trailing 12-month third quarter 2024 NOI due to occupancy, dark space and office submarket concerns. Additional specially serviced loans in WFRBS 2014-C23 are DC Metro Mixed Use Portfolio (16.2% of the pool) and 677 Broadway (8.8%). The DC Metro Mixed-Use Portfolio consists of 12 remaining mixed-use properties located throughout the Washington, D.C. area. The loan transferred to special servicing in July 2024 for imminent maturity default. The loan has partially paid down due to releases, with the 856 Rockville Pike and 717 6th St properties sold and proceeds applied to the loan balance. Fitch's loss of approximately 29% reflects a 9.25% cap rate and 10% haircut to annualized third-quarter 2024 cash flow due to occupancy concerns and potential rollover. The 677 Broadway loan is secured by a 177,039-sf office property located in Albany, NY. The loan was previously modified with its maturity extended one additional year to September 2025. Per recent servicer commentary, the borrower and lender closed on a loan modification in April 2025 that extended the maturity date an additional year to September 2026 in exchange for an upfront equity contribution to be used towards future leasing expenses. The March 2025 occupancy was 78%, well below the 96% at issuance; however, occupancy is expected to increase to xxx% in the near term due to recent leasing. Fitch's loss expectations of approximately 30% reflects a haircut to the most recent appraisal value, reflecting a stressed value of $97 psf. The WFRBS 2014-C22 and WFRBS 2014-C23 transactions both have exposure to the Columbus Square Portfolio loan. A loan modification was executed in March 2024 with terms that include an extension of the loan's maturity date to August 2027 (from August 2024) and the implementation of a cash trap to hyper-amortize the loan through the extended maturity. Columbus Square is an approximately 536,888-sf mixed-use property located on Manhattan's Upper West side, anchored by Whole Foods (about 24% of the NRA), a private school (9.3%) and TJ Maxx (8.2%). Several major retailers have vacated over the years; however, the sponsor has been able to backfill the space, and the property is currently 99.1% occupied. Fitch's expected loss of 7.1% reflects the YE 2023 NOI with a 7.5% haircut and 9% cap rate. The four remaining loans in the JPMCC 2013-C16 transaction are all office loans that have been in special servicing: Energy Centre (46.5% of the pool), 1615 L Street (30.3%), Riverview Office Tower (14.7%), and 121 Champion Way (8.5%). The Energy Centre loan is expected to be modified and extended to 2026 and returned to the master servicer. The 1615 L Street loan (30.3% of the pool) is the largest contributor to loss and the largest increase in loss since Fitch's prior rating action in JPMCC 2013-C16. The loan, secured by a 417,383-sf office building in downtown Washington DC, transferred to special servicing in August 2023 and is in foreclosure. As of February 2025, the property was reported as 50.3% leased. Fitch's loss expectations of approximately 74% reflects a haircut to the most recent appraisal value due to the loan's foreclosure status and low operating performance resulting in a stressed value of $85 psf. The Riverview Office Tower loan is the second largest contributor to loss in JPMCC 2013-C16. The loan is secured by a 235,000-sf suburban office building in Bloomington, MN and is in foreclosure. Per servicer commentary, the receiver continues to market the property for lease. As of March 2024, the reported property occupancy was 37%. Fitch's loss expectations of approximately 58% reflects a haircut to the most recent appraisal value due to its depressed occupancy and foreclosure status resulting in a stressed value of $32 psf. Changes in Credit Enhancement: As of the March 2025 distribution date, the aggregate balance for JPMCC 2013-C16 has been reduced by 90% to $113.4 million from $1.14 billion at issuance. The aggregate balance for WFRBS 2014-C22 has been reduced by 72.1% to $415 million from $1.49 billion at issuance. The aggregate balance for WFRBS 2014-C23 has been reduced by 70.6% to $276.8 million from $940.8 million at issuance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes rated in the 'AAsf' and 'BBBsf' categories could occur if the Columbus Square Portfolio loan in WFRBS 2014-C22 and WFRBS 2014-C23 does not pay off at its extended maturity and/or loss expectations increase significantly on larger specially serviced loans including Bank of America Plaza, Stamford Plaza Portfolio and Offices at Broadway Station in WFRBS 2014-C22 and Bank of America Plaza, DC Metro Mixed Use Portfolio and 677 Broadway in WFRBS 2014-C23. Downgrades to classes rated in the 'BBsf' and 'Bsf' category and distressed rated classes will occur with higher expected losses from specially serviced loans and/or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'BBBsf' categories are not anticipated but may be possible with significantly better-than-expected recoveries on specially serviced loans upon disposition. Upgrades to 'BBsf' and 'Bsf' category and distressed rated classes are not anticipated given the adverse selection for each transaction and concentration of defaulted loans. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WHITEBOX CLO IV: 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-R, C-R, D-1R, D-2R, and E-R debt from Whitebox CLO IV Ltd./Whitebox CLO IV LLC, a CLO managed by Whitebox Capital Management LLC that was originally issued in March 2023. At the same time, S&P withdrew its ratings on the original class A-1, B, C, D, and E debt following payment in full on the April 25, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 20, 2026. -- The reinvestment period was extended to April 20, 2028. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to April 20, 2036. -- Minimal additional assets were purchased on the April 25, 2025, refinancing date, and 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 coverage ratios were amended. -- No additional subordinated notes were issued on the April 25, 2025, 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." Ratings Assigned Whitebox CLO IV Ltd./Whitebox CLO IV LLC Class A-1R, $248 million: AAA (sf) 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) Ratings Withdrawn Whitebox CLO IV Ltd./Whitebox CLO IV LLC Class A-1 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Whitebox CLO IV Ltd./Whitebox CLO IV LLC Class A-2R, $16 million: NR Class A-3R, $8 million: NR Subordinated notes, $46 million: NR NR--Not rated. [] DBRS Reviews 764 Classes From 33 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 764 classes from 33 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 33 transactions reviewed, 24 are classified as prime mortgage transactions, eight are classified as mortgage insurance linked note transactions and one is classified as an agency credit-risk transfer transaction. Of the 764 classes reviewed, Morningstar DBRS upgraded its credit ratings on 33 classes and confirmed its credit ratings on 731 classes. The Affected Ratings are available at https://bit.ly/4k3jLmR The Issuers are: Eagle Re 2021-2 Ltd. CSMC Trust 2015-1 Bellemeade Re 2021-3 Ltd. Bellemeade Re 2022-2 Ltd. Home Re 2022-1 Ltd. Oaktown Re VII Ltd. CSMLT 2015-1 Trust Radnor Re 2022-1 Ltd. Bellemeade Re 2022-1 Ltd. CSMC Trust 2013-HYB1 CSMC Trust 2015-3 Radnor Re 2021-2 Ltd. CSMLT 2015-2 Trust CSMC Trust 2014-IVR2 CSMC Trust 2013-IVR3 CSMC Trust 2013-IVR4 J.P. Morgan Mortgage Trust 2017-4 J.P. Morgan Mortgage Trust 2024-4 J.P. Morgan Mortgage Trust 2019-5 J.P. Morgan Mortgage Trust 2024-5 Chase Home Lending Mortgage Trust 2024-6 Chase Home Lending Mortgage Trust 2024-4 Chase Home Lending Mortgage Trust 2024-5 J.P. Morgan Mortgage Trust 2023-3 J.P. Morgan Mortgage Trust 2019-LTV3 J.P. Morgan Mortgage Trust 2019-LTV2 Connecticut Avenue Securities Trust 2024-R03 WinWater Mortgage Loan Trust 2016-1 WinWater Mortgage Loan Trust 2015-A WinWater Mortgage Loan Trust 2014-1 WinWater Mortgage Loan Trust 2015-4 WinWater Mortgage Loan Trust 2015-5 WinWater Mortgage Loan Trust 2014-3 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update" published on March 26, 2025 (https://dbrs.morningstar.com/research/450604). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in U.S. dollars unless otherwise noted. [] Moody's Takes Action on 15 Bonds from 9 US RMBS Deals -------------------------------------------------------- Moody's Ratings has upgraded the ratings of ten bonds and downgraded the ratings of five bonds from nine US residential mortgage-backed transactions (RMBS), backed by subprime 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: Argent Securities Inc., Series 2005-W2 Cl. M-2, Downgraded to Caa1 (sf); previously on Nov 7, 2018 Upgraded to B2 (sf) Cl. M-3, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: FBR Securitization Trust 2005-5 Cl. M-2, Upgraded to Aaa (sf); previously on Mar 7, 2023 Upgraded to Aa2 (sf) Cl. M-3, Upgraded to B1 (sf); previously on Mar 7, 2023 Upgraded to Caa3 (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FFH4 Cl. M-2, Downgraded to Caa1 (sf); previously on Jul 15, 2019 Upgraded to B2 (sf) Cl. M-3, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: Fremont Home Loan Trust 2005-A Cl. M3, Upgraded to Aaa (sf); previously on Nov 22, 2019 Upgraded to Aa1 (sf) Cl. M4, Upgraded to Ba1 (sf); previously on Nov 22, 2019 Upgraded to Caa1 (sf) Issuer: Long Beach Mortgage Loan Trust 2005-WL1 Cl. I/II-M4, Downgraded to Caa1 (sf); previously on Oct 25, 2019 Upgraded to B2 (sf) Cl. I/II-M5, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Downgraded to C (sf) Issuer: MortgageIT Trust 2005-2 Cl. 1-A-2, Upgraded to Aaa (sf); previously on Mar 7, 2023 Upgraded to Aa2 (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2006-C Cl. M-1, Downgraded to Caa1 (sf); previously on Oct 10, 2019 Upgraded to B2 (sf) Issuer: Soundview Home Loan Trust 2006-WF2 Cl. M-2, Downgraded to Caa1 (sf); previously on Dec 17, 2018 Upgraded to B3 (sf) Issuer: Structured Asset Securities Corp Trust 2006-BC1 Cl. A2, Upgraded to B1 (sf); previously on Feb 28, 2019 Upgraded to B3 (sf) Cl. A6, Upgraded to Caa1 (sf); previously on Feb 28, 2019 Upgraded to Caa2 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. 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. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, 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 8.2% 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. The upgrades also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. The rating downgrades are the result of outstanding credit interest shortfalls that are unlikely to be recouped. Each of the downgraded bonds has a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. 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 these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Action on 38 Bonds From 13 US RMBS Deals --------------------------------------------------------- Moody's Ratings has upgraded the ratings of 37 bonds and downgraded the rating of 1 bond from 13 US residential mortgage-backed transactions (RMBS), backed by Alt-A and Subprime mortgages issued by various 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: Nationstar Home Equity Loan Asset-Backed Certificates, Series 2007-C Cl. 2-AV-4, Upgraded to Aaa (sf); previously on Aug 15, 2024 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on May 5, 2010 Downgraded to C (sf) Issuer: RAMP Series 2004-KR2 Trust Cl. M-I-2, Upgraded to Aaa (sf); previously on Feb 2, 2024 Upgraded to A1 (sf) Cl. M-I-3, Upgraded to Caa1 (sf); previously on Apr 5, 2011 Downgraded to Ca (sf) Cl. M-II-1, Upgraded to Aaa (sf); previously on Feb 2, 2024 Upgraded to A3 (sf) Cl. M-II-2, Upgraded to Caa1 (sf); previously on Apr 5, 2011 Downgraded to Ca (sf) Issuer: RAMP Series 2004-RS1 Trust M-II-1, Upgraded to Aaa (sf); previously on Aug 15, 2024 Upgraded to Aa1 (sf) M-II-2, Upgraded to Caa1 (sf); previously on Mar 19, 2018 Upgraded to Ca (sf) Issuer: RAMP Series 2004-RS2 Trust Cl. M-I-1, Upgraded to Aaa (sf); previously on Feb 1, 2024 Upgraded to Aa3 (sf) Cl. M-I-2, Upgraded to Caa2 (sf); previously on Mar 30, 2011 Downgraded to C (sf) Issuer: RAMP Series 2005-RS4 Trust Cl. M-6, Upgraded to Aaa (sf); previously on Feb 27, 2024 Upgraded to A1 (sf) Cl. M-7, Upgraded to Caa3 (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: RASC Series 2005-AHL2 Trust Cl. M-2, Upgraded to Aa3 (sf); previously on Jan 30, 2024 Upgraded to A1 (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on Mar 28, 2017 Upgraded to Ca (sf) Issuer: RASC Series 2005-KS1 Trust Cl. M-3, Upgraded to A1 (sf); previously on Jan 30, 2024 Upgraded to Ba2 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: RASC Series 2005-KS10 Trust Cl. M-3, Upgraded to Aaa (sf); previously on Jan 30, 2024 Upgraded to A1 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Jan 30, 2024 Upgraded to Ca (sf) Issuer: RASC Series 2005-KS5 Trust Cl. M-7, Upgraded to A1 (sf); previously on Jun 29, 2023 Upgraded to Baa2 (sf) Cl. M-8, Upgraded to Ca (sf); previously on Mar 5, 2013 Affirmed C (sf) Issuer: Renaissance Home Equity Loan Trust 2002-3 Cl. A, Currently Rated A1 (sf); previously on Mar 21, 2022 Upgraded to A1 (sf) Cl. A, Underlying Rating: Upgraded to A1 (sf); previously on Apr 9, 2012 Downgraded to A2 (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed A1, Outlook Stable on July 10, 2024) Cl. B, Upgraded to Caa2 (sf); previously on Mar 7, 2011 Downgraded to C (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Aug 8, 2017 Upgraded to B1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Apr 9, 2012 Downgraded to C (sf) Issuer: Residential Asset Securitization Trust 2006-A2 Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 20, 2018 Downgraded to Ca (sf) Cl. A-2*, Upgraded to Caa1 (sf); previously on Jul 20, 2018 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on Jul 20, 2018 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Jul 20, 2018 Downgraded to Ca (sf) Cl. A-6*, Upgraded to Caa2 (sf); previously on Jul 20, 2018 Downgraded to Ca (sf) Cl. A-7, Upgraded to Caa2 (sf); previously on Jul 20, 2018 Downgraded to Ca (sf) Cl. A-9, Upgraded to Caa2 (sf); previously on Jul 20, 2018 Downgraded to Ca (sf) Cl. A-X*, Upgraded to Caa2 (sf); previously on Jul 20, 2018 Downgraded to Ca (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Jul 20, 2018 Downgraded to Ca (sf) Issuer: Residential Asset Securitization Trust 2006-A3CB Cl. A-1, Upgraded to Caa3 (sf); previously on Jul 20, 2018 Downgraded to Ca (sf) Cl. A-X*, Upgraded to Caa3 (sf); previously on Jul 20, 2018 Downgraded to Ca (sf) Cl. PO, Upgraded to Caa3 (sf); previously on Jul 20, 2018 Downgraded to Ca (sf) Issuer: Residential Asset Securitization Trust 2006-R1 Cl. A-1, Upgraded to Caa3 (sf); previously on Jun 4, 2019 Affirmed Ca (sf) Cl. A-2, Upgraded to Caa3 (sf); previously on Jun 4, 2019 Affirmed Ca (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Residential Asset Securitization Trust 2006-R1 is a repackaged transactions and Moody's upgrades are driven by upgraded ratings on the underlying bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, 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 11.3% on average for these bonds upgraded over the past 12 months. The upgrades also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. The rating downgrade for Cl. M-1 from Renaissance Home Equity Loan Trust 2002-3 is the result of outstanding credit interest shortfalls that are unlikely to be recouped. This bond has a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. No action was taken on the other rated classes in these deals because their expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all deals except Residential Asset Securitization Trust 2006-R1 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 Takes Action on 7 Bonds From 6 US RMBS Deals ------------------------------------------------------- Moody's Ratings has upgraded the ratings of five bonds and downgraded the ratings of two bonds from six US residential mortgage-backed transactions (RMBS), backed by manufactured housing 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: Bombardier Capital Mortgage Securitization Corp 1998-A M, Upgraded to A1 (sf); previously on Aug 21, 2024 Upgraded to Ba3 (sf) Issuer: Conseco Finance Securitizations Corp. Series 2000-1 Cl. A-5, Upgraded to Ca (sf); previously on Mar 15, 2017 Downgraded to C (sf) Issuer: Conseco Finance Securitizations Corp. Series 2000-2 Cl. A-6, Upgraded to Ca (sf); previously on Mar 15, 2017 Downgraded to C (sf) Issuer: Conseco Finance Securitizations Corp. Series 2000-5 Cl. A-6, Downgraded to C (sf); previously on Dec 15, 2011 Confirmed at Ca (sf) Cl. A-7, Downgraded to C (sf); previously on Mar 30, 2009 Downgraded to Ca (sf) Issuer: Conseco Finance Securitizations Corp. Series 2002-1 Class M-2, Upgraded to Caa3 (sf); previously on Mar 15, 2017 Downgraded to C (sf) Issuer: Deutsche Financial Capital Securitization LLC, Series 1998-I Class B-1, Upgraded to Ca (sf); previously on Apr 8, 2004 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 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. The rating upgrade on Class M issued by Bombardier Capital Mortgage Securitization Corp 1998-A is a result of an increase in credit enhancement available to the bond. Class M has seen strong growth in credit enhancement since Moody's last reviews, which is the key driver for this upgrade. The credit enhancement has grown by 44.3% for the upgraded tranche over the last 12 months. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, and the potential impact of any collateral volatility on the model output. 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 17 Bonds From 8 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 17 bonds from eight US residential mortgage-backed transactions (RMBS), backed by subprime, Alt-A, and Option ARM mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-58 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 22, 2016 Upgraded to Caa2 (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Nov 23, 2010 Downgraded to C (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-81 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 22, 2016 Upgraded to Caa2 (sf) Cl. A-2, Upgraded to Ca (sf); previously on Dec 9, 2010 Downgraded to C (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-IM1 Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 22, 2013 Confirmed at Caa3 (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Nov 23, 2010 Downgraded to C (sf) Issuer: IXIS Real Estate Capital Trust 2006-HE1 Cl. A-3, Upgraded to Caa1 (sf); previously on Jan 9, 2013 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Aug 2, 2010 Downgraded to Ca (sf) Issuer: IXIS Real Estate Capital Trust 2006-HE3 Cl. A-2, Upgraded to Caa2 (sf); previously on Jan 9, 2013 Downgraded to Ca (sf) Issuer: IXIS Real Estate Capital Trust 2007-HE1 Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 2, 2010 Downgraded to Ca (sf) Issuer: Merrill Lynch Alternative Note Asset Trust, Series 2007-A2 Cl. A-1, Upgraded to Caa3 (sf); previously on Oct 1, 2010 Downgraded to Ca (sf) Cl. A-2A, Upgraded to Caa2 (sf); previously on Oct 1, 2010 Downgraded to Ca (sf) Cl. A-3A, Upgraded to Caa2 (sf); previously on Oct 1, 2010 Downgraded to Ca (sf) Cl. A-3B, Upgraded to Caa3 (sf); previously on Oct 1, 2010 Downgraded to Ca (sf) Cl. A-3C, Upgraded to Caa3 (sf); previously on Oct 1, 2010 Downgraded to Ca (sf) Issuer: Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR2 Cl. A-2, Upgraded to Caa1 (sf); previously on Dec 9, 2015 Upgraded to Ca (sf) Cl. A-3, Upgraded to Ca (sf); previously on Dec 9, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's 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 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 32 Bonds from 11 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 32 bonds from 11 US residential mortgage-backed transactions (RMBS), backed by 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: GSAA Home Equity Trust 2006-15, Asset-Backed Certificates, Series 2006-15 Cl. AF-2, Upgraded to Caa3 (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Cl. AF-4, Upgraded to Caa3 (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Cl. AF-5, Upgraded to Caa3 (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Cl. AF-6, Upgraded to Caa3 (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Issuer: GSAA Home Equity Trust 2006-16, Asset-Backed Certificates, Series 2006-16 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-3-A, Upgraded to Caa2 (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Issuer: GSAA Home Equity Trust 2006-17 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 Ca (sf) Issuer: GSAA Home Equity Trust 2006-18 Cl. AF-6, Upgraded to Caa3 (sf); previously on Aug 16, 2012 Downgraded to Ca (sf) Cl. AV-1, Upgraded to Caa1 (sf); previously on Aug 16, 2012 Downgraded to Ca (sf) Issuer: GSAA Home Equity Trust 2006-19 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-3-A, Upgraded to Caa2 (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Issuer: GSAA Home Equity Trust 2006-6 Cl. AF-2, Upgraded to Caa1 (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Cl. AF-6, Upgraded to Caa2 (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Issuer: GSAA Home Equity Trust 2006-7 Cl. AF-2, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. AF-3, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. AF-4A, Upgraded to Caa1 (sf); previously on Aug 23, 2012 Upgraded to Caa3 (sf) Cl. AF-5B, Upgraded to Ca (sf); previously on Dec 23, 2010 Downgraded to C (sf) Issuer: GSAA Home Equity Trust 2006-9 Cl. A-2, Upgraded to Caa3 (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Cl. A-4-A, Upgraded to Caa2 (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Issuer: GSAA Home Equity Trust 2007-2 Cl. AV1, Upgraded to Caa1 (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Issuer: GSAA Home Equity Trust 2007-3 Cl. 1A1A, Upgraded to Caa1 (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Cl. 1A2, Upgraded to Caa3 (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Cl. 2A1A, Upgraded to Caa1 (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Cl. A4A, Upgraded to Caa2 (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Issuer: GSAA Home Equity Trust 2007-4 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 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 37 Bonds From 11 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of thirty-seven bonds from eleven US residential mortgage-backed transactions (RMBS), backed by subprime 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: Merrill Lynch Alternative Note Asset Trust, Series 2007-A3 Cl. A-1, Upgraded to Caa3 (sf); previously on Oct 1, 2010 Downgraded to Ca (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Oct 1, 2010 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Oct 1, 2010 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa2 (sf); previously on Oct 1, 2010 Downgraded to Ca (sf) Issuer: Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-5 Cl. 1-A, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 2-A2, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 2-A3, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2006-AHL1 Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 19, 2010 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa2 (sf); previously on Jul 19, 2010 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on Jul 19, 2010 Confirmed at Ca (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2006-MLN1 Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 19, 2010 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Jul 19, 2010 Downgraded to Ca (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2006-RM1 Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 19, 2010 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Ca (sf); previously on Jul 19, 2010 Downgraded to C (sf) Cl. A-2D, Upgraded to Ca (sf); previously on Mar 17, 2009 Downgraded to C (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2006-RM3 Cl. A-1A, Upgraded to Caa2 (sf); previously on Jul 19, 2010 Confirmed at Ca (sf) Cl. A-1B, Upgraded to Ca (sf); previously on Jul 19, 2010 Downgraded to C (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Jul 19, 2010 Confirmed at Ca (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2006-RM4 Cl. A-1, Upgraded to Caa2 (sf); previously on Jul 19, 2010 Confirmed at Ca (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Jul 19, 2010 Downgraded to C (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Jul 19, 2010 Downgraded to C (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Jul 19, 2010 Downgraded to C (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Jul 19, 2010 Downgraded to C (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2006-RM5 Cl. A-1, Upgraded to Caa3 (sf); previously on Jul 19, 2010 Downgraded to C (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Jul 19, 2010 Downgraded to C (sf) Cl. A-2B, Upgraded to Ca (sf); previously on Jul 19, 2010 Downgraded to C (sf) Cl. A-2C, Upgraded to Ca (sf); previously on Jul 19, 2010 Downgraded to C (sf) Cl. A-2D, Upgraded to Ca (sf); previously on Jul 19, 2010 Downgraded to C (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2006-WMC2 Cl. A-1, Upgraded to Caa2 (sf); previously on Jul 19, 2010 Confirmed at Ca (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Jul 19, 2010 Downgraded to C (sf) Cl. A-2C, Upgraded to Ca (sf); previously on Jul 19, 2010 Downgraded to C (sf) Cl. A-2D, Upgraded to Ca (sf); previously on Jul 19, 2010 Downgraded to C (sf) Issuer: Merrill Lynch Mortgage Investors Trust Series 2006-HE3 Cl. A-2, Upgraded to Caa2 (sf); previously on Jul 19, 2010 Downgraded to Ca (sf) Issuer: Merrill Lynch Mortgage Investors Trust Series 2006-HE4 Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 19, 2010 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Nov 7, 2012 Downgraded to C (sf) Cl. A-2C, Upgraded to Ca (sf); previously on Jul 19, 2010 Downgraded to C (sf) Cl. A-2D, Upgraded to Ca (sf); previously on Jul 19, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's 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 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. [] S&P Discontinues Ratings on 25 Classes From 12 U.S. Deals ------------------------------------------------------------ S&P Global Ratings discontinued its 'D (sf)' ratings on 25 classes of commercial mortgage pass-through certificates from 12 U.S. CMBS transactions. S&P said, "We discontinued these ratings according to our surveillance and withdrawal policies. We had previously lowered the ratings on these classes to 'D (sf)' because of accumulated interest shortfalls that we believed would remain outstanding for an extended period or, in the case of the interest-only certificates, our interest-only criteria. "We view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria for the classes within this review." Rating list Rating Issuer Series Class CUSIP To From BANK 2017-BNK6 2017-BNK6 X-F 060352AR2 NR D (sf) BANK 2017-BNK6 2017-BNK6 F 060352AZ4 NR D (sf) BFLD Trust 2020-EYP 2020-EYP B 05493AAG5 NR D (sf) BFLD Trust 2020-EYP 2020-EYP D 05493AAL4 NR D (sf) BFLD Trust 2020-EYP 2020-EYP C 05493AAJ9 NR D (sf) COMM 2012-CCRE4 Mortgage Trust 2012-CCRE4 A-M 12624QAT0 NR D (sf) COMM 2012-CCRE4 Mortgage Trust 2012-CCRE4 X-A 12624QAS2 NR D (sf) COMM 2012-CCRE4 Mortgage Trust 2012-CCRE4 A-3 12624QAR4 NR D (sf) COMM 2018-HCLV Mortgage Trust 2018-HCLV D 20048KAG2 NR D (sf) COMM 2018-HCLV Mortgage Trust 2018-HCLV E 20048KAJ6 NR D (sf) COMM 2019-521F Mortgage Trust 2019-521F E 20048GAL0 NR D (sf) COMM 2019-521F Mortgage Trust 2019-521F F 20048GAN6 NR D (sf) GS Mortgage Securities Corp. Trust 2018-RIVR 2018-RIVR A 36255WAA3 NR D (sf) GS Mortgage Securities Corp. Trust 2018-TWR 2018-TWR X-NCP 36251SAG3 NR D (sf) GS Mortgage Securities Corp. Trust 2018-TWR 2018-TWR D 36251SAN8 NR D (sf) GS Mortgage Securities Corp. Trust 2018-TWR 2018-TWR C 36251SAL2 NR D (sf) GS Mortgage Securities Corp. Trust 2018-TWR 2018-TWR B 36251SAJ7 NR D (sf) GS Mortgage Securities Corp. Trust 2018-TWR 2018-TWR E 36251SAQ1 NR D (sf) GS Mortgage Securities Corp. Trust 2021-ROSS 2021-ROSS D 36264YAJ9 NR D (sf) GSCG Trust 2019-600C 2019-600C A 36260TAA3 NR D (sf) HMH Trust 2017-NSS 2017-NSS D 40390AAG6 NR D (sf) J.P. Morgan Chase Commercial Mortgage Securities Trust 2015-FL7 2015-FL7 D 46644PAG4 NR D (sf) J.P. Morgan Chase Commercial Mortgage Securities Trust 2015-FL7 2015-FL7 X-EXT 46644PAL3 NR D (sf) Morgan Stanley Capital I Trust 2018-BOP 2018-BOP D 61768FAL4 NR D (sf) Morgan Stanley Capital I Trust 2018-BOP 2018-BOP X-EXT 61768FAE0 NR D (sf) NR--Not rated. [] S&P Takes Various Actions on 527 Classes From 347 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 527 classes from 347 U.S. RMBS transactions issued between 1997 and 2008. The review yielded 268 downgrades and 259 discontinuances. A list of Affected Ratings can be viewed at: https://tinyurl.com/4ybdzajf S&P said, "The rating actions reflect our analysis of the transactions' interest shortfalls and/or missed interest payments on the affected classes. We lowered our ratings in accordance with "S&P Global Ratings Definitions," published Dec. 2, 2024, which imposes a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying our ratings definitions, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments (e.g., interest on interest) and if the missed interest payments will be repaid by the maturity date." In instances where the class does receive additional compensation for outstanding interest shortfalls, S&P's analysis considers the likelihood that the missed interest payments, including the capitalized interest, would be reimbursed under our various rating scenarios. In this review, 230 classes from 169 transactions were affected (described in the ratings list as "Ultimate repayment of missed interest unlikely at higher rating levels."). S&P said, "In instances where the class does not receive additional compensation for outstanding interest shortfalls, our analysis focuses on our expectations regarding the length of the interest payment interruptions. We lowered our ratings on 38 classes from 20 transactions due to the interest shortfall (described in the ratings list as "Interest shortfall."). "In accordance with our surveillance and withdrawal policies, we discontinued 259 ratings from 172 transactions that had observed interest shortfalls or missed interest payments during recent remittance periods. We had previously lowered our rating on these classes to 'D (sf)' because of principal losses, accumulated interest shortfalls, missed interest payment, and/or credit related reductions in interest due to loan modification. We view a subsequent upgrade to a rating higher than 'D (sf)' unlikely under the relevant criteria within this review (described in the ratings list as "Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria."). "We will continue to monitor our ratings on securities that experience interest shortfalls and/or missed interest payments, and we will further adjust our ratings as we consider appropriate." ********* 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. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The single-user TCR subscription rate is $1,400 for six months or $2,350 for twelve months, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each per half-year or $50 annually. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***