250518.mbx

250518.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 18, 2025, Vol. 29, No. 137 Headlines A&D MORTGAGE 2025-NQM2: S&P Assigns B- (sf) Rating on B-2 Certs ACCESS GROUP 2002-1: Moody's Lowers Rating on 2 Tranches to Ba2 AGL CLO 40: Fitch Assigns 'BB+sf' Rating on Class E Notes APIDOS CLO XXIX: Fitch Assigns 'BB(EXP)sf' Rating on Cl. E-R Notes APIDOS CLO XXIX: Moody's Assigns (P)B3 Rating to $500,000 F-R Notes BALLYROCK CLO 23: S&P Assigns BB- (sf) Rating on Class D-R Notes BANK 2017-BNK9: Fitch Lowers Rating on Two Tranches to 'B-sf' BBCMS MORTGAGE 2025-5C34: DBRS Gives Prov. BB Rating on GRR Certs BLACK DIAMOND 2025-1: S&P Assigns BB- (sf) Rating on Class E Notes BRAVO 2025-NQM4: DBRS Gives Prov. B(low) Rating on B2 Notes BRIDGECREST 2025-2: S&P Assigns Prelim 'BB'(sf) Rating on E Notes BSPDF 2025-FL2: Fitch Assigns 'B-(EXP)sf' Rating on Class H Notes BX TRUST 2017-CQHP: DBRS Cuts Class E Certs Rating to C CARLYLE GLOBAL 2014-1: S&P Raises Cl. E-R Notes Rating to 'B(sf)' CARLYLE US 2025-1: Fitch Assigns BB-sf Final Rating on Cl. E Notes CBA COMMERCIAL 2006-2: Moody's Ups Rating on Cl. A Certs to Caa2 CBAM LTD 2019-10: Moody's Affirms Ba3 Rating on $25.5MM E Notes CD 2017-CD3: Fitch Lowers Rating on Three Tranches to 'BBsf' CHASE HOME 2025-4: DBRS Gives Prov. B(low) Rating on B5 Certs CHASE HOME 2025-5: Fitch Assigns B-(EXP)sf Rating on Cl. B-5 Certs COMM 2013-CCRE6: Moody's Lowers Rating on Cl. D Certs to B2 CONN'S RECEIVABLES 2024-A: Fitch Lowers Rating on Cl. B Notes to B CONSOLIDATED COMMUNICATIONS 2025-1: Fitch Gives BB-(EXP) on C Notes CRESTLINE DENALI XV: Moody's Affirms Ba3 Rating on $16MM E-1 Notes DRYDEN 37 SENIOR: Moody's Cuts Rating on $8.75MM FR Notes to Caa3 ELMWOOD CLO 41: S&P Assigns Prelim B- (sf) Rating on Class F Notes EXETER 2025-3: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes FIGRE TRUST 2025-PF1: DBRS Gives Prov. B(low) Rating on F Notes GENERATE CLO 19: S&P Assigns BB- (sf) Rating on Class E Notes GLS AUTO 2025-2: S&P Assigns BB (sf) Rating on Class E Notes GOLDENTREE LOAN 25: Fitch Assigns 'B-sf' Rating on Class F Notes GREAT WOLF 2024-WLF2: DBRS Confirms BB(high) Rating on HRR Certs GREYSTONE CRE 2025-FL4: Fitch Assigns B-(EXP) Rating on Cl. G Notes INCREF 2025-FL1: Fitch Assigns 'B-sf' Final Rating on Class G Notes INVESCO US 2023-2: Fitch Assigns 'BB-sf' Rating on Class E-R Notes JP MORGAN 2025-CCM2: DBRS Gives Prov. B(low) Rating on B5 Certs JPMBB COMMERCIAL 2015-C30: DBRS Confirms C Rating on 3 Classes JPMCC 2019-COR4: Fitch Lowers Rating on Class F-RR Certs to 'B+sf' LENDMARK FUNDING 2025-1: S&P Assigns Prelim 'BB' Rating on E Notes LHOME 2025-RTL2: DBRS Gives Prov. B(low) Rating on M2 Notes MAPS TRUST 2021-1: Moody's Raises Rating on Class C Notes from Ba1 MF1 2025-FL19: Fitch Assigns 'B-(EXP)sf' Rating on Three Tranches MOA 2020-H1 E: Fitch Lowers Rating on Class E-RR Certs to 'Bsf' MPOWER EDUCATION 2025-A: DBRS Gives Prov. BB(low) Rating on C Notes NALP BUSINESS 2025-1: DBRS Finalizes BB Rating on C Notes OAKTREE CLO 2023-1: S&P Assigns BB- (sf) Rating on Cl. E-R Notes PALMER SQUARE 2022-3: Moody's Ups Rating on $40MM D-R Notes to Ba1 RATE MORTGAGE 2024-J1: Moody's Ups Rating on Cl. B-4 Certs From Ba1 RCKT MORTGAGE 2025-CES5: Fitch Assigns B(EXP) Rating on 6 Tranches ROCKFORD TOWER 2017-2: Moody's Affirms Ba3 Rating on Cl. E-R Notes SANTANDER 2025-NQM2: S&P Assigns Prelim B (sf) Rating on B-2 Notes SEQUOIA MORTGAGE 2025-S1: Fitch Assigns BB(EXP) Rating on B5 Certs SIXTH STREET 28: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes SOUND POINT IX: Moody's Cuts Rating on $24.5MM E-RR Notes to B2 SREIT 2021-FLWR: DBRS Confirms B(low) Rating on Class F Certs STARWOOD RETAIL 2014-STAR: DBRS Confirms C Rating on 5 Classes SYMPHONY CLO 38: S&P Assigns BB- (sf) Rating on Class E-R Notes SYMPHONY CLO 48: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes TRUPS FINANCIALS 2018-2: Moody's Ups Ratings on Cl. B Notes to Ba1 TVC MORTGAGE 2025-RRTL1: DBRS Finalizes B(low) Rating on M2 Notes VENTURE CLO XVIII: Moody's Cuts Rating on $29MM E-R Notes to Caa3 VERTICAL BRIDGE 2024-1: Fitch Affirms 'BB-sf' Rating on Cl. F Notes WELLS FARGO 2015-C27: DBRS Confirms C Rating on 4 Classes [] Moody's Takes Action on 20 Bonds From 10 US RMBS Deals [] Moody's Upgrades Ratings on 11 Bonds From 4 US RMBS Deals [] Moody's Upgrades Ratings on 15 Bonds from 6 US RMBS Deals [] Moody's Upgrades Ratings on 33 Bonds from 13 US RMBS Deals [] S&P Takes Various Actions on 85 Classes From 21 US RMBS Deals []S&P Takes Various Actions on 44 Classes From Seven US CLO Deals ********* A&D MORTGAGE 2025-NQM2: S&P Assigns B- (sf) Rating on B-2 Certs --------------------------------------------------------------- S&P Global Ratings assigned its ratings to A&D Mortgage Trust 2025-NQM2's mortgage-backed certificates. The certificates are backed by first- and second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers. The loans are secured by single-family residential properties, planned unit developments, condominiums, two- to four-family residential properties, mixed-use properties, manufactured housing, five- to 10-unit multifamily residences, and condotels. The pool consists of 1,136 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. S&P said, "After we assigned preliminary ratings on May 6, 2025, the bond sizes were updated for all rated classes. The resized bonds reflect a higher or unchanged credit enhancement for all rated classes. After analyzing the updated bond structure, we assigned final ratings that are unchanged from the preliminary ratings we assigned for all classes." 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 originator, A&D Mortgage LLC; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's U.S. economic outlook, which considers its current projections for economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P update its outlook as necessary when these projections change materially. Ratings Assigned(i) A&D Mortgage Trust 2025-NQM2 Class A-1A, $251,734,000: AAA (sf) Class A-1B, $42,666,000: AAA (sf) Class A-1, $294,400,000: AAA (sf) Class A-2, $30,294,000: AA (sf) Class A-3, $37,547,000: A+ (sf) Class M-1A, $18,346,000: BBB+ (sf) Class M-1B, $14,294,000: BBB- (sf) Class B-1, $14,506,000: BB- (sf) Class B-2, $10,454,000: B- (sf) Class B-3, $6,827,007: NR Class A-IO-S, Notional(viii): NR Class X, Notional(ii): NR Class R, N/A: 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 $426,668,007. N/A--Not applicable. NR--Not rated. ACCESS GROUP 2002-1: Moody's Lowers Rating on 2 Tranches to Ba2 --------------------------------------------------------------- Moody's Ratings has downgraded five tranches of notes from Access Group Inc. Federal Student Loan Asset-Backed Notes, (2002 Trust Indenture). The securitization is backed by student loans originated under the Federal Family Education Loan Program (FFELP) that are guaranteed by US government for a minimum of 97% of defaulted principal and accrued interest. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating action is as follows: Issuer: Access Group Inc. Federal Student Loan Asset-Backed Notes, (2002 Trust Indenture) Senior Ser. 2002-1 Cl. A-3, Downgraded to Ba2; previously on Aug 7, 2024 Downgraded to Ba1 Senior Ser. 2002-1 Cl. A-4, Downgraded to Ba2; previously on Aug 7, 2024 Downgraded to Ba1 Senior Ser. 2003-1 Cl. A-4, Downgraded to Ba2; previously on Aug 7, 2024 Downgraded to Ba1 Senior Ser. 2003 Cl. A-5, Downgraded to Ba2; previously on Aug 7, 2024 Downgraded to Ba1 Senior Ser. 2003-1 Cl. A-6, Downgraded to Ba2; previously on Aug 7, 2024 Downgraded to Ba1 RATINGS RATIONALE The rating action reflects updated performance of the transaction and updated expected loss on the tranches across Moody's cash flow scenarios. Moody's quantitative analysis derives the expected loss of the tranches using 28 cash flow scenarios with weights accorded to each scenario and also consider losses that highly rated securities incur in each scenario. No actions were taken on the other rated classes in this deal because its expected losses remains commensurate with its 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 "FFELP Student Loan Securitizations" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the rating if the paydown speed of the loan pool increases as a result of declining borrower usage of deferment, forbearance and IBR, increasing voluntary prepayment rates, or prepayments with proceeds from sponsor repurchases of student loan collateral. Moody's could also upgrade the ratings owing to a build-up in credit enhancement. Down Moody's could downgrade the rating if the paydown speed of the loan pool declines as a result of lower than expected voluntary prepayments, and higher than expected deferment, forbearance and IBR rates, which would threaten full repayment of the class by its final maturity date. In addition, because the US Department of Education guarantees at least 97% of principal and accrued interest on defaulted loans, Moody's could downgrade the rating of the notes if it were to downgrade the rating on the United States government. AGL CLO 40: Fitch Assigns 'BB+sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 40 Ltd. Entity/Debt Rating ----------- ------ AGL CLO 40 Ltd. A-1 LT NRsf New Rating A-L1 LT NRsf New Rating A-L2 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AA+sf New Rating C LT A+sf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary AGL CLO 40 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.7% first lien senior secured loans and has a weighted average recovery assumption of 73.58%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'B+sf' and 'BBB+sf' for class C notes, between less than 'B-sf' and 'BB+sf' for class D-1 notes, and between less than 'B-sf' and 'BB+sf' for class D-2 notes and between less than 'B-sf' and 'BB-sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'AA+sf' for class C notes, 'A+sf' for class D-1 notes, and 'A-sf' for class D-2 notes and 'BBB+sf' for class E notes. Key Rating Drivers and Rating Sensitivities are further described in the new issue report. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 40 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. APIDOS CLO XXIX: Fitch Assigns 'BB(EXP)sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Apidos CLO XXIX reset transaction. Entity/Debt Rating ----------- ------ Apidos CLO XXIX A-1-R LT AAA(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA+(EXP)sf Expected Rating C-R LT A+(EXP)sf Expected Rating D-1-R LT BBB-(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB(EXP)sf Expected Rating F-R LT NR(EXP)sf Expected Rating Transaction Summary Apidos CLO XXIX (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CVC Credit Partners U.S. CLO Management LLC, which originally closed in June 2018. The existing secured notes will be redeemed in full on the closing date. 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', 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 97.66% first lien senior secured loans and has a weighted average recovery assumption of 73.07%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and '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, 'AA+sf' 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 assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Apidos CLO XXIX. 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 XXIX: Moody's Assigns (P)B3 Rating to $500,000 F-R Notes ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to two classes of refinancing notes (the Refinancing Notes) to be issued by Apidos CLO XXIX (the Issuer): US$338,250,000 Class A-1-R Senior Secured Floating Rate Notes due 2037, Assigned (P)Aaa (sf) US$500,000 Class F-R Mezzanine Deferrable Floating Rate Notes due 2038, Assigned (P)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 96.0% of the portfolio must consist of first lien senior secured loans and up to 4.0% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. CVC Credit Partners US CLO Management LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the 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; change of Issuer's jurisdiction of incorporation 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: $550,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2975 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8.1 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. BALLYROCK CLO 23: S&P Assigns BB- (sf) Rating on Class D-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A1A loan and class A1A-R, A1B-R, A2-R, B-R, C1-R, C2-R, and D-R debt from Ballyrock CLO 23 Ltd./ Ballyrock CLO 23 LLC, a CLO managed by Ballyrock Investment Advisors LLC that was originally issued in February 2023. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B, C, and D debt following payment in full on the May 9, 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 to April 25, 2038. -- The target initial par amount remains at $450.00 million. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is July 25, 2025. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "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 Ballyrock CLO 23 Ltd./Ballyrock CLO 23 LLC Class A1A-R, $137.42 million: AAA (sf) Class A1A Loan, $146.08 million: AAA (sf) Class A1B-R, $9.00 million: AAA (sf) Class A2-R, $49.50 million: AA (sf) Class B-R (deferrable), $27.00 million: A (sf) Class C1-R (deferrable), $22.50 million: BBB (sf) Class C2-R (deferrable), $4.50 million: BBB- (sf) Class D-R (deferrable), $15.75 million: BB- (sf) Ratings Withdrawn Ballyrock CLO 23 Ltd./Ballyrock CLO 23 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AA (sf)' Class B (deferrable) to NR from 'A (sf)' Class C (deferrable) to NR from 'BBB- (sf)' Class D (deferrable) to NR from 'BB- (sf)' Other Debt Ballyrock CLO 23 Ltd./Ballyrock CLO 23 LLC Subordinated notes, $41.00 million: NR NR--Not rated. BANK 2017-BNK9: Fitch Lowers Rating on Two Tranches to 'B-sf' ------------------------------------------------------------- Fitch Ratings has downgraded eight and affirmed five classes of BANK 2017-BNK8 Commercial Mortgage Pass-Through Certificates, Series 2017-BNK8. Classes B, C, D, X-B and X-D were assigned Negative Rating Outlooks following their downgrades. The Outlook for class A-S remained Negative. Fitch has also downgraded nine and affirmed five classes of BANK 2017-BNK9 Commercial Mortgage Pass-Through Certificates, Series 2017-BNK9. Classes B, C, D, X-B and X-D were assigned Negative Outlooks following their downgrades. The Outlook for class A-S remained Negative. Entity/Debt Rating Prior ----------- ------ ----- BANK 2017-BNK9 A-3 06540RAD6 LT AAAsf Affirmed AAAsf A-4 06540RAE4 LT AAAsf Affirmed AAAsf A-S 06540RAH7 LT AAAsf Affirmed AAAsf A-SB 06540RAC8 LT AAAsf Affirmed AAAsf B 06540RAJ3 LT A-sf Downgrade AA-sf C 06540RAK0 LT BBsf Downgrade BBBsf D 06540RAU8 LT B-sf Downgrade BB-sf E 06540RAW4 LT CCCsf Downgrade B-sf F 06540RAY0 LT CCsf Downgrade CCCsf X-A 06540RAF1 LT AAAsf Affirmed AAAsf X-B 06540RAG9 LT A-sf Downgrade AA-sf X-D 06540RAL8 LT B-sf Downgrade BB-sf X-E 06540RAN4 LT CCCsf Downgrade B-sf X-F 06540RAQ7 LT CCsf Downgrade CCCsf BANK 2017-BNK8 A-3 06650AAD9 LT AAAsf Affirmed AAAsf A-4 06650AAE7 LT AAAsf Affirmed AAAsf A-S 06650AAH0 LT AAAsf Affirmed AAAsf A-SB 06650AAC1 LT AAAsf Affirmed AAAsf B 06650AAJ6 LT A-sf Downgrade AA-sf C 06650AAK3 LT BBB-sf Downgrade A-sf D 06650AAU1 LT Bsf Downgrade BBsf E 06650AAW7 LT CCCsf Downgrade B-sf F 06650AAY3 LT CCsf Downgrade CCCsf X-A 06650AAF4 LT AAAsf Affirmed AAAsf X-B 06650AAG2 LT A-sf Downgrade AA-sf X-D 06650AAL1 LT Bsf Downgrade BBsf X-E 06650AAN7 LT CCCsf Downgrade B-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses have increased since Fitch's prior rating action to 7.5% for BANK 2017-BNK8 and 9.0% in BANK 2017-BNK9 from 5.1% and 6.8%, respectively, at their last rating actions. The BANK 2017-BNK8 transaction includes eight Fitch Loans of Concern (FLOCs; 41.9% of the pool), including one specially serviced loan, Park Square (10.3%). The BANK 2017-BNK9 transaction has 12 FLOCs (51.0%), including three specially serviced loans (23.7%). BANK 2017-BNK8: The downgrades in BANK 2017-BNK8 reflect increased pool loss expectations since Fitch's prior rating action, driven primarily by continued performance declines of the specially serviced Park Square office loan (10.3%) and the 1235 South Clark Street office loan (7.7%). The Negative Outlooks in BANK 2017-BNK8 reflect the potential for further downgrades if performance of these office FLOCs continues to deteriorate and/or if updated valuations of the specially serviced Park Square loan decline beyond expectations. Additionally, the office concentration in the pool is 51.3%. BANK 2017-BNK9: The downgrades in BANK 2017-BNK9 reflect increased pool loss expectations since Fitch's prior rating action, driven primarily by higher expected losses on the specially serviced Park Square office loan (6.9%), Duane Morris Plaza office loan (12.1%), Crystal Glen Office Center (1.8%) and REO BWI Airport Marriott asset (4.8%). The Negative Outlooks in BANK 2017-BNK9 reflect possible further downgrades should performance of the aforementioned FLOCs continue to deteriorate and with lower recovery expectations of the specially serviced Park Square loan and REO BWI Airport Marriott asset. Largest Increases in Loss: The largest increase in loss since Fitch's last rating action in both the BANK 2017-BNK8 and BANK 2017-BNK9 transactions is the specially serviced Park Square loan (10.3%). The loan, which is secured by a 500,000-sf office building located in Boston, MA, transferred to the special servicer in September 2024 due to imminent monetary default. The property's occupancy declined in 2022 after WeWork (previously 27.2% of the NRA, lease expiration July 2032) terminated its lease and vacated the property. The termination included a payment of $2.7 million, which was deposited with the lender. The property's largest tenants include HNTB Corporation (5.9% of NRA, leased through December 2027), Anaqua Inc (5.1%, October 2026) and Hercules Capital Inc (3.5%, August 2031). The property was 42.8% occupied as of the December 2024 servicer-provided rent roll, compared to 50.9% at March 2024, 48.3% at YE 20203, 52.9% at YE 2022 and 86.1% at YE 2021. Occupancy declined between March and December 2024 due to Akeneo, Inc (previously 9.0% of NRA) vacating its space at the property; the tenant was on a month-to-month lease. Near term lease rollover includes 2.9% of the NRA in 2025 across four leases and 3.4% of the NRA in 2026 across five leases. The servicer-reported NOI DSCR was 0.12x as of YE 2024 compared to 0.30x at YE 2023, 1.10x at YE 2022, and 1.76x at YE 2021. The loan was reported as 90+ days delinquent as of the April 2025 remittance and reported $67,635 in total reserves for the same period. According to CoStar, the property lies within the Back Bay office submarket of Boston, MA. As of 1Q25, submarket asking rents averaged $58.87 psf and the vacancy rate was 13.5%. Fitch's 'Bsf' case loss of 40.0% (prior to a concentration adjustment) reflects a Fitch-stressed value of $194 psf, down from $558 psf at the time of the issuance appraisal value. Fitch's 'Bsf' rating case loss for this loan at the prior rating action was 18.9%. The second largest increase in loss since Fitch's last rating action in BANK 2017-BNK8 is the 1235 South Clark Street loan (7.7%), which is secured by a 384,906-sf office building located Arlington, VA. The property's largest tenants include the Department of Defense (combined, 32.0% of NRA, with 17% leased through February 2032 and 15% leased through April 2027), Earth Treks Crystal City (9.1%, June 2031), and General Dynamics Information (5.5%, October 2028). The Department of Defense leases are guaranteed by the U.S. government (AA+/F1+/Stable). Occupancy declined to 73.4% as of the servicer-provided December 2024 rent roll from 97.4% at YE 2023 due to the second largest tenant, International Justice Mission (previously 20.2% of NRA,) vacating its space at the property upon lease expiry in March 2024. Near term lease rollover in 2025 includes 11.6% of the NRA across 12 tenants, and 7.5% in 2026 across eight tenants. The loan, which is currently cash managed, reported $5.8 million or approximately $15 psf in total reserves as of April 2025 remittance. According to CoStar, the property lies within the Crystal City office submarket of the Virginia, VA market area. As of 1Q25, submarket asking rents averaged $41.33 psf and the vacancy rate was 29.4%. Fitch's 'Bsf' case loss of 10.1% (prior to a concentration adjustment) is based on a 9.50% cap rate and 20% stress to the YE 2023 NOI, and factors in an increased probability of default due to the loan's heightened maturity default risk. The second largest increase in loss since Fitch's last rating action in BANK 2017-BNK9 is the specially serviced Duane Morris Plaza loan (12.1%), also the largest loan in the pool. The loan, which is secured by a 617,476-sf office building located in downtown Philadelphia, PA., transferred to the special servicer in January 2025 upon a borrower request for a loan modification to allow for the funding and execution of a lease modification with Duane Morris. According to the servicer, the amendment to the Duane Morris lease incorporates the tenant's downsizing from 241,022-sf (39% of the NRA) to 195,757-sf (32%) through March 2039. The total cost of the tenant improvements and leasing commissions is expected to be approximately $26.0 million, with the borrower funding $11.5 million. In addition, the maturity date of the loan was extended by 24-months to November 2029 from November 2027, with one additional 12-month extension option through November 2030 subject to a debt yield test. Per the servicer-provided February 2025 rent roll, other major tenants include Guy Carpenter & Company f/k/a JLT RE (10.2%, April 2030), Convene (7.4%, June 2029), Volpe & Koenig (5.1%, February 2031), and RSM US, LLP (4.2%, May 2026). Occupancy was reported at 87.7% as of the servicer-provided February 2025 rent roll and the servicer-reported NOI DSCR was 2.29x as of YE 2024. Fitch's 'Bsf' case loss of 6.6% (prior to a concentration adjustment) is based on a 9.50% cap rate and 15% stress to the YE 2024 NOI. The third largest increase in loss since Fitch's last rating action in BANK 2017-BNK9 is the Crystal Glen Office Centre loan (1.8%), which is secured by a 241,547-sf office property located in Novi, MI. The property's largest tenants include RGN-Novi LLC (8.3% of NRA, leased through July 2033), Dexter Axle Company (5.5%, December 2027), Murate Electronics (5.3% of NRA, February 2031) and Nagase Plastics Americas Corp (3.8%, June 2026). Occupancy declined to 71.9% as of the servicer-provided December 2024 rent roll from 76.9% at YE 2023 and 72.3% at YE 2022. The servicer-provided NOI DSCR was 1.74x as of YE 2024, compared to 2.03x at YE 2023, and 1.83x at YE 2022. Fitch's 'Bsf' case loss of 22.1% (prior to a concentration adjustment) is based on a 11.0% cap rate and 10.0% stress to the YE 2024 NOI and factors an increased probability of default due to the loan's heightened maturity default risk. The fourth largest increase in loss since Fitch's last rating action in BANK 2017-BNK9 is the specially serviced BWI Airport Marriott asset (4.8%), a 315-key, full-service hotel located in Linthicum Heights, MD. The loan transferred to the special servicer in November 2020 due to imminent monetary default as a result of the COVID-19 pandemic. A foreclosure sale took place in April 2023 and the asset became REO. Per the servicer, a resolution of the asset is expected at the end of 3Q25. According to the TTM March 2025 STR report, the hotel reported an occupancy, ADR and RevPAR of 77.4%, $132.05, and $106.87, respectively. The RevPAR penetration rate was 109.5% for the same period. Fitch's 'Bsf' case loss of 49.2% (prior to a concentration adjustment) is based on a 20% stress to the most recent December 2024 appraisal valuation. Increase in Credit Enhancement (CE): As of the April 2025 distribution date, the aggregate pool balances of the BANK 2017-BNK8 and BANK 2017-BNK9 transactions have been reduced by 14.0% and 17.3%, respectively, since issuance. The BANK 2017-BNK8 transaction includes four loans (15.6% of the pool) that have fully defeased. Six loans (7.8%) are fully defeased in BANK 2017-BNK9. Principal Loss and Interest Shortfalls: To date, the BANK 2017-BNK8 transaction has not incurred any realized principal losses. The BANK 2017-BNK9 transaction has incurred $6.6 million in realized losses which has been absorbed by the non-rated class G. Interest shortfalls totaling $267,466 are impacting the non-rated class G and risk retention class RRI in the BANK 2017-BNK8 transaction, and interest shortfalls totaling $2.8 million are impacting the non-rated class G and risk retention class RRI in the BANK 2017-BNK9 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch does not expect downgrades to the senior 'AAAsf' rated classes due to their increasing CE from expected continued amortization and loan repayments and their position in the capital structure. However, downgrades may occur if deal-level losses increase significantly, or interest shortfalls affect these classes. Downgrades to the junior 'AAAsf' rated classes with Negative Outlooks in BANK 2017-BNK8 and BANK 2017-BNK9 are possible if FLOC performance and/or recovery expectations deteriorate further, particularly for the specially serviced Park Square loan in both transactions, as well as 1235 South Clark Street in BANK 2017-BNK8 and Duane Morris Plaza, Crystal Glen Office Center and REO BWI Airport Marriott in BANK 2017-BNK9. Downgrades are also possible if expected losses increase and there is limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated 'AAsf' and 'Asf' could occur if deal level losses increase significantly from outsized losses on the larger aforementioned FLOCs, or if more loans than expected experience performance deterioration or default. Downgrades to classes with Negative Outlooks rated 'BBBsf', 'BBsf' and 'Bsf' are possible if FLOC performance deteriorates further, there are additional transfers to special servicing, or if certainty of losses on the specially serviced loans and/or FLOCs increases. Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur if additional loans transfer to special servicing or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated 'AAsf' and 'Asf' may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs, particularly the specially serviced Park Square loan in both transactions, as well as 1235 South Clark Street in BANK 2017-BNK8 and Duane Morris Plaza, Crystal Glen Office Center and REO BWI Airport Marriott in BANK 2017-BNK9. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BBCMS MORTGAGE 2025-5C34: DBRS Gives Prov. BB Rating on GRR Certs ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-5C34 (the Certificates) to be issued by BBCMS Mortgage Trust 2025-5C34 (the Trust): -- Class A-1 at (P) AAA (sf) -- Class A-2 at (P) AAA (sf) -- Class A-3 at (P) AAA (sf) -- Class X-A at (P) AAA (sf) -- Class A-S at (P) AAA (sf) -- Class B at (P) AA (high) (sf) -- Class C at (P) A (high) (sf) -- Class X-B at (P) AA (low) (sf) -- Class X-D at (P) A (low) (sf) -- Class X-F at (P) BBB (sf) -- Class D at (P) A (low) (sf) -- Class E at (P) BBB (high) (sf) -- Class F at (P) BBB (low) (sf) -- Class G-RR at (P) BB (sf) All trends are Stable. Classes X-B, X-D, X-F, D, E, F, and G-RR will be privately placed. The collateral for the BBCMS Mortgage Trust 2025-5C34 transaction consists of 37 fixed-rate loans secured by 66 commercial and multifamily properties with an aggregate cut-off date balance of $783.14 million. One loan (Uber Headquarters), representing 4.3% of the pool, is shadow-rated investment grade by Morningstar DBRS. The conduit pool was analyzed to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS NCF and their respective constants, the initial Morningstar DBRS WA DSCR of the pool was 1.33x. The WA Morningstar DBRS Issuance LTV of the pool was 63.1%, and the loan is scheduled to amortize to a WA Morningstar DBRS Balloon LTV of 63.0% at maturity. These credit metrics are based on the A-note balances. Excluding the shadow-rated loans, the deal still exhibits a reasonable WA Morningstar DBRS Issuance LTV of 63.7% and a WA Morningstar DBRS Balloon LTV of 63.5%. However, 11 loans, representing 30.8% of the allocated pool balance, exhibit a Morningstar DBRS Issuance LTV in excess of 67.6%, a threshold generally indicative of above-average default frequency. Additionally, 19 loans, representing 59.4% of the allocated pool balance, exhibit a Morningstar DBRS DSCR below 1.25x, a threshold indicative of a higher likelihood of midterm default. The transaction has a sequential-pay pass-through structure. Five loans, representing 15.5% of the pool, are in areas with Morningstar DBRS Market Ranks of 7, which is indicative of dense urban areas that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Additionally, seven loans, representing 25.0% of the allocated pool balance, are in areas with Morningstar DBRS Market Ranks of 5 or 6. Markets with these rankings benefit from lower default frequencies than less dense suburban, tertiary, and rural markets. New York is the predominant urban market represented in the deal. Another 10 loans, representing 35.2% of the pool, are in MSA Group 3, which represents the best-performing group among the top 25 MSAs in historical CMBS default rates. 14 loans, representing 34.5% of the pool, have Morningstar DBRS Issuance LTVs below 60.9%, a threshold historically indicative of relatively low-leverage financing and generally associated with below-average default frequency. Even with the exclusion of the shadow-rated loan, Uber Headquarters, which represents 4.3% of the pool, the transaction exhibits a WA Morningstar DBRS Issuance LTV of 63.7%. There are five loans in the pool (The Wave, Tampa Redstone Portfolio, Mia East, Arlington Village, and Villa Hills Apartments) with Morningstar DBRS LTVs equal to or above 70.0%., which represents 17.6% of the pool. Nine loans, representing 29.9% of the pool, received a property quality assessment of Average+ or Above Average, with only six loans, representing 13.3% of the pool, receiving a property quality assessment of Average (-) or Below Average. Higher quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in a more stable performance. Uber Headquarters, representing 4.3% of the pool, exhibited credit characteristics consistent with an investment-grade shadow rating of AA. In today's challenging interest-rate environment, debt service payments have nearly doubled from mid-2022. Elevated interest rates have severely constrained DSCRs, and the subject transaction has a WA Morningstar DBRS DSCR of 1.33x, or 1.30x when excluding shadow-rated loans. While adequate to service debt, the ratio is considerably lower than historical conduit transactions and provides for a smaller cushion should cash flows be disrupted. Loans with lower DSCRs receive a POD penalty in the Morningstar DBRS model. Thirty-four loans, or 96.6% of the 37 loans in the pool are structured with IO payment structures and do not benefit from any amortization. The three remaining loans do not have interest-only payment periods and are on 25 or 30-year amortization schedules. One of the IO loans, Uber Headquarters, representing 4.3% of the pool, is shadow-rated investment grade by Morningstar DBRS. The IO loans have a WA Morningstar DBRS LTV of 63.2%, indicative of moderately low leverage and effectively loans that have been pre-amortized. Seven loans, representing 20.2% of the pool are in areas with Morningstar DBRS Market Ranks of 6 or higher, while five loans representing 15.5% of the pool are in areas with Morningstar DBRS Market Ranks of 7. These urban markets benefit from increased liquidity even during times of economic stress. Thirty-three loans, representing 96.6% of the total pool balance, are refinancing or recapitalizing existing debt and may not have a 3rd-party acquisition price to support the value conclusion. Acquisition financing typically includes a meaningful cash investment from the sponsor on an agreed upon price and aligns the interests more closely with those of the lender, whereas refinance transactions may be cash-out transactions that reduce the borrower's commitment to a property. Refinance loans tended to have additional stresses due to low implied cap rates relative to historical trends. Morningstar DBRS identified eight loans, totaling 24.0% of the pool to be Weak of Bad (Litigious) for reasons that may include lower net worth and liquidity, a history of prior loan defaults, or a lack of experience in commercial real estate. Of the loans assigned a Sponsorship Score of Weak or Bad (Litigious), which increases the POD in Morningstar DBRS' model, three of the loans had a Morningstar DBRS LTV below 60.9%, a threshold historically indicative of relatively low-leverage financing and generally associated with below-average default frequency. These loans have a WA Morningstar DBRS LTV of 49.7%. Twenty-eight of the 37 loans in the pool exhibit negative leverage, defined as the Issuer's implied cap rate (Issuer's NCF divided by the appraised value), less the current interest rate. On average, the transaction exhibits -1.02% of negative leverage. While cap rates have been increasing over the last few years, they have not in most cases surpassed the current interest rates. In the short-term, this suggests borrowers are willing to have their equity returns reduced in order to secure financing. Longer term should interest rates hold steady, the loans in this transaction could be subject to negative value adjustments that may affect the borrower's ability to refinance their loans. Notes: All figures are in U.S. dollars unless otherwise noted. BLACK DIAMOND 2025-1: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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 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. 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: NR NR--Not rated. BRAVO 2025-NQM4: DBRS Gives Prov. B(low) Rating on B2 Notes ----------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-NQM4 (the Notes) to be issued by BRAVO Residential Funding Trust 2025-NQM4 (the Trust) as follows: -- $294.6 million Class A-1A at (P) AAA (sf) -- $48.9 million Class A-1B at (P) AAA (sf) -- $343.5 million Class A-1 at (P) AAA (sf) -- $32.5 million Class A-2 at (P) AA (high) (sf) -- $37.6 million Class A-3 at (P) A (high) (sf) -- $27.4 million Class M-1 at (P) BBB (high) (sf) -- $17.3 million Class B-1A at (P) BBB (low) (sf) -- $14.2 million Class B-1B at (P) BB (low) (sf) -- $31.5 million Class B-1 at (P) BB (low) (sf) -- $8.8 million Class B-2 at (P) B (low) (sf) Class A-1 and B1 are exchangeable notes while Class A-1A, A-1B, B-1A, and B-1B are initial exchangeable notes. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit rating on the Class A-1A and A-1B Notes reflect 39.70% and 29.70% of credit enhancement provided by subordinated Notes. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and B (low) credit ratings reflect 23.05%, 15.35%, 9.75%, 6.20%, 3.30%, and 1.50% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and non-prime first-lien residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2025-NQM4 (the Notes). The Notes are backed by 886 loans with a total principal balance of approximately $488,579,288 as of the Cut-Off Date (March 31, 2025). The pool is, on average, five months seasoned with loan ages ranging from two to eleven months. Arc Home Loans LLC originated 23.2% and the remaining 76.8% were originated by various originators, each comprising less than 10% of the mortgage loans. Approximately 52.6% of the loans will be serviced by Citadel Servicing Corporation, and47.4% of the loans will be serviced by Nationstar Mortgage LLC d/b/a Rushmore Servicing. ServiceMac, LLC (ServiceMac) will sub-service all of the Citadel serviced loans. Nationstar Mortgage LLC (Nationstar) will act as Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS), will act as Indenture Trustee, Paying Agent, and Owner Trustee. Computershare Trust Company, N.A. (rated BBB with a Stable trend by Morningstar DBRS) will act as Custodian. As of the Cut-Off Date, 99.7% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 49.9% of the loans by balance are designated as non-QM. Approximately 40.3% of the loans in the pool made to investors for business purposes or were underwritten by a Community Development Financial Institution (CDFI) and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Remaining loans subject to the ATR rules are designated as QM Safe Harbor (9.3%), and QM Rebuttable Presumption (1.3%) by UPB. There will be no advancing of delinquent principal or interest on any mortgage loan by the servicers or any other party to the transaction; however, each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible horizontal residual interest consisting of a portion of the Class B-3 Notes and 100% of the Class XS Notes, collectively representing at least 5.0% of the aggregate fair value of the Notes (other than the Class SA, and Class R Notes) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The holder of the Trust Certificates may, at its option, on or after the earlier of (1) the payment date in April 2028 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Notes at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the Mortgage Bankers Association (MBA) method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). In the case of a Credit Event, principal proceeds will be allocated to cover interest shortfalls on the Class A-1 and then in reduction of the Class A-1 note balance, before a similar allocation of funds to the Class A-2 (IPIP). For the Class A-3 Notes (only after a Credit Event) and for the mezzanine and subordinate classes of notes (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior notes have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1A, A-1B, A-2, A-3, M-1, B-1A and B-1B (if applicable). Of note, the Class A-1A, A-1B, A-2, and A-3 Notes coupon rates step up by 100 basis points on and after the payment date in May 2029. Interest and principal otherwise payable to the Class B-3 Notes as accrued and unpaid interest may be used to pay the Class A-1A, A-1B, A-2, and A-3 Notes Cap Carryover Amounts after the Class A coupons step up. Natural Disasters/Wildfires The mortgage pool contains loans secured by mortgage properties that are located within certain disaster areas (such as those impacted by the Greater Los Angeles wildfires). The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections (PDI) for any property located in a known disaster zone prior to the transactions closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. To the extent that a PDI was ordered prior to closing, but notice of material damages were not available until after closing, the sponsor will repurchase the related loan/loans within 90 days of notification. The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties (including events such as fire, windstorm, flood, earth movement, and hurricane). Maryland Consumer Purpose Loans In 2024, the Maryland Appellate Court ruled that a statutory trust that held a defaulted HELOC must be licensed as both an Installment Lender and a Mortgage Lender under Maryland law prior to proceeding to foreclosure on the HELOC. On January 10, 2025, the Maryland Office of Financial Regulation ("OFR") issued emergency regulations that apply the decision to all secondary market assignees of Maryland consumer-purpose mortgage loans, and specifically require "passive trusts" that acquire or take assignment of Maryland mortgage loans that are serviced by others to be licensed. While the emergency regulations became effective immediately, OFR indicated that enforcement would be suspended until April 10, 2025. The emergency regulations will expire on June 16, 2025, and the OFR has submitted the same provisions as the proposed, permanent regulations for public comment. Failure of the Issuer to obtain the appropriate Maryland licenses may result in the Maryland OFR taking administrative action against the Issuer and/or other transaction parties, including assessing civil monetary penalties and issuing a cease and desist order. Further, there may be delays in payments on, or losses in respect of, the Notes if the Issuer or Servicer cannot enforce the terms of a Mortgage Loan or proceed to foreclosure in connection with a Mortgage Loan secured by a Mortgaged Property located in Maryland, or if the Issuer is required to pay civil penalties. Approximately 0.6% of the pool (7 loans) are Maryland consumer-purpose mortgage loans. While the ultimate resolution of this regulation is still unclear, Morningstar DBRS, in its analysis, considered a scenario in which these properties had no recoveries given default. Notes: All figures are in US dollars unless otherwise noted. BRIDGECREST 2025-2: S&P Assigns Prelim 'BB'(sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Bridgecrest Lending Auto Securitization Trust 2025-2's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of May 12, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 64.69%, 59.33%, 50.30%, 38.27%, and 34.26% credit support (hard credit enhancement and a haircut to excess spread) for the class A (A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios. These credit support levels provide at least 2.30x, 2.10x, 1.70x, 1.37x, and 1.25x coverage of S&P's expected cumulative net loss of 27.00% 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 preliminary 'A-1+ (sf)', 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A-1, A-2/A-3, B, C, D, and E notes, respectively, will be within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios that S&P believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the subprime auto loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the U.S. auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A. (A+/Stable/A-1), which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Bridgecrest Acceptance Corp. as servicer, along with our view of the originator's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. (BBB/Stable/--). -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Bridgecrest Lending Auto Securitization Trust 2025-2(i) Class A-1, $50.200 million ($62.700 million if incrementally upsized; $83.300 million if maximum upsized): A-1+ (sf) Class A-2, $91.224 million ($114.060 million if incrementally upsized; $151.470 million if maximum upsized): AAA (sf) Class A-3, $60.816 million ($76.040 million if incrementally upsized; $100.980 million if maximum upsized): AAA (sf) Class B, $48.128 million ($60.160 million if incrementally upsized; $79.900 million if maximum upsized): AA (sf) Class C, $60.672 million ($75.840 million if incrementally upsized; $100.725 million if maximum upsized): A (sf) Class D, $89.600 million ($112.000 million if incrementally upsized; $148.750 million if maximum upsized): BBB (sf) Class E, $34.049 million ($42.561 million if incrementally upsized; $56.526 million if maximum upsized): BB (sf) (i)The interest rate, and base, incremental upsize, or maximum upsize amount for each class will be determined on the pricing date. BSPDF 2025-FL2: Fitch Assigns 'B-(EXP)sf' Rating on Class H Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BSPDF 2025-FL2 Issuer, LLC as follows: - $505,323,000a class A 'AAAsf'; Outlook Stable; - $118,505,000a class A-S 'AAAsf'; Outlook Stable; - $61,488,000a class B 'AA-sf'; Outlook Stable; - $49,191,000a class C 'A-sf'; Outlook Stable; - $29,067,000a class D 'BBBsf'; Outlook Stable; - $14,534,000a class E 'BBB-sf'; Outlook Stable; - $11,180,000b class F 'BB+sf'; Outlook Stable; - $16,769,000b class G 'BB-sf'; Outlook Stable; - $19,006,000b class H 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $69,314,445b class J. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, estimated to be 13.000% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $794,377,445 and does not include future funding. The expected ratings are based on information provided by the issuer as of May 8, 2025. Transaction Summary The notes are collateralized by 38 loans secured by 62 commercial properties having an aggregate principal balance of $794,377,445 as of the cut-off date. The pool may also include ramp-up collateral interest of $100.0 million. The pool includes two delayed close loans totaling $84.1 million, which are expected to close within 90 days following the closing date. The loans and interests securing the notes will be owned by BSPDF 2025-FL2 Issuer, LLC, as issuer of the notes. The servicer is expected to be Situs Asset Management LLC and the special servicer is expected to be BSP Special Servicer, LLC. The trustee and the note administrator are expected to be U.S. Bank Trust Company, National Association. The notes are expected to follow a sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 43.2% of the loans by balance, cash flow analysis on 88.3% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 30 loans in the pool (88.2% by balance). Fitch's resulting aggregate net cash flow (NCF) of $31.8 million represents a 11.95% decline from the issuer's aggregate underwritten NCF of $36.1 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Lower Fitch Leverage: The pool has lower leverage compared to recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value (LTV) ratio of 135.7% is better than both the 2025 YTD and 2024 CRE CLO averages of 137.9% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 6.9% is better than both the 2025 YTD and 2024 CRE CLO averages of 6.6% and 6.5%, respectively. Lower Pool Concentration: The pool is more diverse than any Fitch-rated CRE CLO transaction. The top 10 loans make up 50.9% of the pool, which is lower than both the 2025 YTD and 2024 CRE CLO averages of 60.5% and 70.5%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 28.0. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: The pool 26.4% comprises IO loans, based on fully extended loan terms. This is better than both the 2025 YTD and 2024 CRE CLO averages of 90.9% and 56.8%, respectively. As a result, the pool is expected to have 1.2% principal paydown by fully extended maturity of the loans. By comparison, the average scheduled paydowns for Fitch‐rated U.S. CRE CLO transactions during 2025 YTD and 2024 were 0.2% and 0.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'B+sf'/'B-sf'/'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria". Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Recovery Rating Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BX TRUST 2017-CQHP: DBRS Cuts Class E Certs Rating to C ------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2017-CQHP issued by BX Trust 2017-CQHP as follows: -- Class A to AA (sf) from AAA (sf) -- Class B to BBB (sf) from AA (sf) -- Class C to BB (sf) from A (low) (sf) -- Class X-EXT to B (high) (sf) from BBB (low) (sf) -- Class D to B (sf) from BB (high) (sf) -- Class E to C (sf) from B (sf) In addition, Morningstar DBRS confirmed the following credit rating: -- Class F at C (sf) Morningstar DBRS changed the trends on Classes A, B, and C to Negative from Stable, while the trends on Classes X-EXT and D continue to be Negative. Classes E and F have credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS). The credit rating downgrades and Negative trends reflect Morningstar DBRS' view that the capitalization (cap) rates implied by the most recent appraised values and the most recently reported cash flows for each collateral hotel property are likely well below market, with revenue per available room (RevPAR) growth slowing or reversing for two of the three properties, suggesting the achieved sale prices could be significantly depressed by comparison. The servicer most recently reported an annualized Q3 2023 net cash flow figure of $7.6 million for the remaining three hotels in the portfolio, with an implied cap rate of 3.1% (with a range of 2.0% to 4.7%) on the combined February 2024 appraised values of $247.2 million. Comparatively, the appraiser's cap rates ranged from 8.0% to 8.7% for the as-is value estimates. The RevPAR figures shown in the reporting provided to Morningstar DBRS as of the trailing 12-month (T-12) period ended December 31, 2024, showed that the Philadelphia and Chicago hotels had RevPAR growth of approximately $7.00 and $20.00, respectively, over the T-12 periods ended September 30, 2023, and the San Francisco hotel saw a RevPAR decline of $3.00 over the same period. While these figures suggest the combined 2024 cash flow figures should show growth over the Q3 2023 figures provided to date, all three hotels remain well below pre-coronavirus pandemic RevPAR performance and the appraiser's stabilized RevPAR figures for each. One of the original collateral hotels, Club Quarters Hotel Boston, was liquidated from the trust in January 2025, with a sale price of $75.0 million, slightly above the $74.4 million appraised value as of February 2024. The Boston property's RevPAR growth trend over the past few years has been relatively favorable as compared with the other three properties, particularly the Club Quarters Hotels in San Francisco and Philadelphia. After repaying servicer advances and other trust expenses, a principal paydown of $31.4 million was applied with the January 2025 remittance; interest shortfalls totaling approximately $475,500 were repaid to the Class F and RR Interest certificateholders. As of the April 2025 remittance, the servicer is paying all interest due, with relatively nominal amounts outstanding for Class F from previous shortfall periods. The April 2025 reporting shows a trust exposure of $246.2 million, inclusive of $2.6 million in outstanding interest advances, with $8.0 million reported in the replacement reserve account. A 10.0% haircut to the February 2024 appraised values yields a value of $222.5 million. Given that Morningstar DBRS expects the achieved sales prices could be significantly lower than the February 2024 appraised values, particularly for the San Francisco and Philadelphia properties, the continued growth of interest shortfalls that could reduce principal repayment when the properties are disposed was a consideration for the credit rating downgrades at the top of the capital stack. As mentioned above, according to the February 2024 appraisals, the aggregate as-is value of the remaining collateral declined to $247.2 million, representing a 14.5% decline from the October 2022 appraised values for those same properties and a 27.6% decline from the issuance appraised values. The original $273.7 million loan, along with $61.3 million of mezzanine debt and $8.1 million of sponsor equity, refinanced $336.1 million in existing debt and paid closing costs. The sponsor for this loan is Blackstone Real Estate Partners VII, L.P. (Blackstone). The underlying loan was initially collateralized by a single loan secured by a portfolio of four Club Quarters Hotels totaling 1,228 keys across four major U.S. cities: San Francisco (346 keys; 39.4% of allocated loan amount (ALA)), Chicago (429 keys; 26.4% of ALA), Boston (178 keys; 18.2% of ALA), and Philadelphia (275 keys; 16.0% of ALA). The loan transferred to the special servicer in June 2020 and has remained in special servicing and delinquent on payments since that time. Early in the workout process, it was reported that Blackstone advised the special servicer that it was not willing to inject additional capital to fund operating expenses or debt service payments. The trust took title to the Boston property in February 2024 and, as of the April 2025 commentary, the special servicer reported that foreclosure is being pursued for the remaining three properties. In the analysis for this review, Morningstar DBRS derived a stressed value of $173.0 million, based on a 30.0% haircut to the February 2024 appraised values. Previously, Morningstar DBRS was considering a 15.0% haircut to the February 2024 appraised values for the portfolio; however, because of the factors as previously described in the low implied cap rates and the RevPAR trends continuing to show lags from the stabilized figures, a higher haircut was warranted. The previous qualitative adjustments in the LTV Sizing of -0.5% for cash flow volatility because of the collateral's reliance on business travel and 1.25% for market fundamentals because of the hotels' locations in prime central business district markets (net positive adjustment of 0.75%) were not applied with this review given the continued performance lags and concerns about investor appetite for the hotels amid the current environment. The resulting LTV Sizing Benchmarks supported the credit rating downgrades with this review. Although the loan is in special servicing and the trust is expected to ultimately take title of the remaining three properties and liquidate the remaining assets, the timeframe for the final resolution remains unknown. In a hypothetical liquidation scenario based on the $173.0 million Morningstar DBRS Value, Morningstar DBRS projected liquidated losses of $88.4 million, with a loss severity of 36.7% and losses contained to the Class E and F certificates. The loss severity and likelihood of liquidated losses reaching classes further up in the capital stack is notably sensitive to further stresses to the Morningstar DBRS Value and/or increased interest shortfalls through the remainder of the workout period given the relatively skinny Class C and D balances. These factors were also considered in the rationale for the credit rating downgrades 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 GLOBAL 2014-1: S&P Raises Cl. E-R Notes Rating to 'B(sf)' ----------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-R-2, C-R-2, and D-R debt from Carlyle Global Market Strategies CLO 2014-1 Ltd. and removed the class B-R-2 and C-R-2 ratings from CreditWatch, where we had placed them with positive implications on March 14, 2025. At the same time, S&P lowered its rating on the class E-R debt and removed it from CreditWatch, where S&P had placed it with negative implications on March 14, 2025. S&P also affirmed its rating on the class A-1-R-2 debt from the same transaction. The transaction is a U.S. CLO that was originally issued in March 2014 and refinanced in April 2018. It is managed by Carlyle CLO Management LLC. The rating actions follow S&P's review of the transaction's performance using data from the April 2025 trustee report. S&P said, "We had placed the ratings on the class B-R-2 and C-R-2 debt on CreditWatch positive primarily due to the increased overcollateralization (O/C) support from material senior notes paydowns. At the same time, we placed our rating on the class E-R debt on CreditWatch negative primarily due to the decline in its O/C levels (likely due to a combination of par losses and increased O/C haircuts since the October 2021 rating action) and failing cash flows. "Since our last rating action in October 2021, the transaction exited its reinvestment period in April 2023, and the class A-1-R-2 debt was paid down by approximately $328.59 million, reducing the outstanding balance to 23.05% of its original balance. The large senior note paydowns did not fully offset the increased exposure to 'CCC' haircuts, defaulted asset haircuts, and par loss since the last rating action, leading to an improvement in overall credit support, except for the class E O/C ratio." The reported O/C levels (excluding the large paydown on the April 2025 payment date, which is yet to reflect in the April 2025 O/C ratio calculations) compared to the August 2021 trustee report show that: -- The class A/B O/C ratio improved to 158.32% from 129.23%. -- The class C O/C ratio improved to 129.84% from 117.93%. -- The class D O/C ratio improved to 115.82% from 111.38%. -- The class E O/C ratio declined to 104.38% from 105.43%. -- The collateral portfolio's credit quality has slightly deteriorated since S&P's last rating action. Collateral obligations with ratings in the 'CCC' category have increased, both in absolute and relative terms. As reported in the April 7, 2025, trustee report, 'CCC' concentration stands at $36.50 million, compared to $35.08 million reported in the Aug. 6, 2021, trustee report. Though this increase, in absolute terms, does not seem significant, amortization has decreased the collateral balance; therefore, the increase in terms of percentage is more pronounced. As per the April 2025 trustee report, the 'CCC' concentration is at 9.90% of the portfolio, which is up from 5.2% of the portfolio in August 2021. However, despite the slightly larger concentrations in 'CCC' category, the transaction has benefited from a drop in the weighted average life due to the underlying collateral's seasoning, with 3.01 years reported in the April 2025 trustee report, compared with 4.90 years reported at the time of our last rating action. The upgrades reflect the improved credit support at the prior rating levels. Although S&P's cash flow analysis indicated a higher rating for the class D-R debt, our rating action reflects additional sensitivity runs that consider the portfolio's exposures to defaulted assets, assets in the 'CCC' rating category, and assets trading at low market values to offset future potential negative credit migration in the underlying collateral. The cash flow results indicate a lower rating for the class E-R debt. However, S&P views the overall credit seasoning as an improvement to the transaction and considered the credit support available to the class E-R debt in its decision. The class E-R debt has remained current on interest and have a stable reported O/C levels but further increases in defaults or par losses could lead to negative rating actions on the class E-R debt in the future. The affirmed rating on the class A-1-R-2 debt reflects adequate credit support at the current rating levels. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis and other qualitative factors as applicable demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch Positive Carlyle Global Market Strategies CLO 2014-1 Ltd. Class B-R-2 to 'AAA (sf)' from 'AA (sf)/Watch Pos' Class C-R-2 to 'AA+ (sf)' from 'A (sf)/Watch Pos' Rating Raised Carlyle Global Market Strategies CLO 2014-1 Ltd. Class D-R to 'BBB (sf)' from 'BBB- (sf)' Rating Lowered And Removed From CreditWatch Negative Carlyle Global Market Strategies CLO 2014-1 Ltd. Class E-R to 'B (sf)' from 'B+ (sf)/Watch Neg' Rating Affirmed Carlyle Global Market Strategies CLO 2014-1 Ltd. Class A-1-R-2: 'AAA (sf)' CARLYLE US 2025-1: Fitch Assigns BB-sf Final Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Carlyle US CLO 2025-1, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2025-1, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf 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 26.00. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 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. Date of Relevant Committee 24-Apr-2025 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. CBA COMMERCIAL 2006-2: Moody's Ups Rating on Cl. A Certs to Caa2 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on one class in CBA Commercial Assets, Small Balance Commercial Mortgage Pass-Through Certificates Series 2006-2 as follows: Cl. A, Upgraded to Caa2 (sf); previously on Feb 8, 2019 Affirmed Caa3 (sf) RATINGS RATIONALE The rating on Cl. A was upgraded based on Moody's expectations of loss-given-default based on losses experienced and expected future losses as a percent of the original bond balance. Cl. A has already experienced a 10% loss as result of previously liquidated loans and its outstanding balance been reduced to 3% of its original balance. Moody's rating action reflects a base expected loss of 42.2% of the current pooled balance, compared to 19.5% at Moody's last reviews. Moody's base expected loss plus realized losses is now 24.6% of the original pooled balance, compared to 25.5% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in this rating 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 RATING: 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 amortization or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include an increase in realized and expected losses from the remaining loans. DEAL PERFORMANCE As of the April 25, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $3.1 million from $130.5 million at securitization. The certificates are collateralized by 14 mortgage loans ranging in size from less than 1% to 27% of the pool, with the top ten loans (excluding defeasance) constituting 91% of the pool. Ninety-three loans have been liquidated from the pool, resulting in an aggregate realized loss of $30.8 million. Six loans, representing 56% of the pool, are either in special servicing or have been identified as troubled loans. These specially serviced and troubles loans are secured by a mix of property types. Moody's estimates an aggregate loss of $1.3 million (a 75% expected loss on average) from these specially serviced and troubled loans. As of the April 2025 remittance statement cumulative interest shortfalls were $1.8 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. CBAM LTD 2019-10: Moody's Affirms Ba3 Rating on $25.5MM E Notes --------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by CBAM 2019-10, Ltd.: US$20.5M Class C-R Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Feb 13, 2024 Upgraded to Aa3 (sf) US$25.8M Class D-R Deferrable Floating Rate Notes, Upgraded to Baa1 (sf); previously on Apr 20, 2021 Assigned Baa3 (sf) Moody's have also affirmed the ratings on the following notes: US$248M (Current outstanding amount US$147.5M) Class A-1-R Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 20, 2021 Assigned Aaa (sf) US$39.5M Class B-R Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 13, 2024 Upgraded to Aaa (sf) US$25.5M Class E Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Aug 19, 2020 Confirmed at Ba3 (sf) CBAM 2019-10, Ltd., originally issued in April 2019 and partially refinanced in April 2021, is a collateralised loan obligation (CLO) backed by a portfolio of broadly syndicated senior secured US corporate loans. The portfolio is managed by CBAM CLO Management LLC. The transaction's reinvestment period ended in April 2024. RATINGS RATIONALE The rating upgrades on the Class C-R and D-R notes are primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the payment date in July 2024. The affirmations on the ratings on the Class A-1-R, B-R and E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1-R notes have paid down by approximately USD100.5 million 40.5% in the last 12 months. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated April 2025[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 142.5%, 130.6%, 118.2% and 108.0% compared to July 2024[2] levels of 133.3%, 124.6%, 115.2% and 107.2% respectively. Moody's notes that the April 2025 principal payments are not reflected in the reported OC ratios. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD289.5 million Defaulted Securities: USD1.0 million Diversity Score: 67 Weighted Average Rating Factor (WARF): 3001 Weighted Average Life (WAL): 3.6 years Weighted Average Spread (WAS): 3.0% Weighted Average Coupon (WAC): N/A Weighted Average Recovery Rate (WARR): 46.8% Par haircut in OC tests and interest diversion test: None The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. CD 2017-CD3: Fitch Lowers Rating on Three Tranches to 'BBsf' ------------------------------------------------------------ Fitch Ratings has downgraded 12 and affirmed four classes of CD 2017-CD3 Mortgage Trust Commercial Mortgage Pass-Through Certificates. Fitch has also assigned Negative Outlooks to classes A-S, X-A, B, X-B, V-A, and V-B following their downgrades. The Rating Outlook for affirmed class A-4 was revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- CD 2017-CD3 Mortgage Trust Series 2017-CD3 A-3 12515GAC1 LT AAAsf Affirmed AAAsf A-4 12515GAD9 LT AAAsf Affirmed AAAsf A-AB 12515GAE7 LT AAAsf Affirmed AAAsf A-S 12515GAF4 LT Asf Downgrade AAsf B 12515GAG2 LT BBsf Downgrade BBBsf C 12515GAH0 LT CCCsf Downgrade BBsf D 12515GAM9 LT CCsf Downgrade CCCsf E 12515GAP2 LT Csf Downgrade CCsf F 12515GAR8 LT Csf Affirmed Csf V-A 12515GAX5 LT Asf Downgrade AAsf V-B 12515GAZ0 LT BBsf Downgrade BBBsf V-C 12515GBB2 LT CCCsf Downgrade BBsf V-D 12515GBD8 LT CCsf Downgrade CCCsf X-A 12515GAJ6 LT Asf Downgrade AAsf X-B 12515GAK3 LT BBsf Downgrade BBBsf X-D 12515GAV9 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Increased Loss Expectations; Valuation Declines: The downgrades reflect an in increase expected losses since the prior rating action, primarily driven by higher losses and declining valuations of the specially serviced loans (five loans, 18.8% of the pool). Fitch identified 19 loans (50.9% of the pool) as Fitch Loans of Concern (FLOCs), which includes the loans in special servicing. Fitch's loss expectations reflect an increase in pool-level 'Bsf' rating case loss to 21.5% from 14.9% at the last rating action. Given the high percentage of specially serviced loans and large concentration of loan maturities, excluding specially serviced loans, in 2026 (38.6%) and early 2027 (29.2%), Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their current status and collateral quality and ranked them by their perceived likelihood of repayment and/or loss expectation. This analysis contributed to the downgrades and the Negative Outlook for class A-4. The Negative Outlook on classes A-S, X-A, B, X-B, V-A and V-B reflect the pool's high exposure to FLOCs, including office FLOCs totaling 29% of the pool, with occupancy and cash flow concerns, coupled with deteriorating valuations, increasing exposures and/or prolonged workouts of specially serviced loans. Further downgrades are expected with continued deteriorations or higher certainty of loss as loans approach maturity or fail to refinance at maturity. Largest Contributor to Loss Expectations: The largest contributor to overall loss expectations is the real estate owned (REO) 229 West 43rd Street Retail Condo (8.7% of the pool), a 245,132-sf retail condominium located in Manhattan's Time Square district. The loan transferred to special servicing in December 2019 for imminent monetary default. The property experienced tenancy issues even before the pandemic. With tenants in the entertainment and tourism industries, the property sustained further declines when the pandemic began. As of February 2025, the property was 32.3% occupied by two tenants: Bowlmor (31.6% of the NRA; July 2034 lease expiration), and Los Tacos No.1 (0.7%; December 2028). A receiver was appointed in March 2021 and then a foreclosure action was filed. The loan became REO in late May 2024. Fitch's 'Bsf' rating case loss rose to 114% (before concentration add-ons) due to large loan exposure, a discount on the latest appraisal by the servicer, and a 90% value decline from the appraised value at issuance. The second largest contributor to overall loss expectations is the 681 Fifth Avenue loan (5.5% of the pool), which is secured by a mixed-use retail and office property located in the Manhattan Plaza District in New York, NY, which lost tenant Tommy Hilfiger (27.3% of the NRA, 78% of total base rent) in 2023. The reported YE 2024 occupancy was 52%. The loan is in foreclosure with a receiver in place per servicer commentary. Fitch's 'Bsf' rating case loss of 70% (prior to concentration add-ons) reflects a discount on the latest appraisal value by the servicer and a 76% value decline from the appraised value at issuance. The third largest contributor to loss expectations is the specially serviced 16 E 40th Street loan (2.7% of the pool), which is secured by a 96,182-sf office property located in midtown Manhattan, built in 1911, and renovated in 2005. The loan transferred to special servicing in May 2023 due to monetary default with the property now in foreclosure. Physical occupancy is reportedly 42% as of YE 2024. Fitch's 'Bsf' rating case loss of 63% (prior to concentration add-ons) reflects a discount on the latest appraisal value by the servicer and a 64% value decline from the appraised value at issuance The fourth largest contributor to loss expectations is the specially serviced 166 Geary Street loan (2.4% of the pool), which is secured by a 12,713-sf retail property located in San Francisco, CA and includes ground and second-floor retail underneath 35,000-sf of non-collateral office space. The loan transferred to special servicing in April 2021 due to imminent monetary default. Physical occupancy is reportedly 42% as of YE 2024. Fitch's 'Bsf' rating case loss of 63% (prior to concentration add-ons) reflects a stress to the latest servicer reported appraised value, which reflects a decline of approximately 62% from the appraised value at issuance. Changes to Credit Enhancement: As of the April 2025 remittance report, the pool's aggregate balance has been paid down by 13.6% to $1.15 billion from $1.33 billion at issuance. Two loans (1.3% of the pool) have been defeased. Six loans (8.6% of the original pool balance) have been disposed of with no loss. Interest shortfalls of $21.7 million are currently affecting classes D, E, F, G and the VRR interest classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the 'AAAsf' rated classes with Stable Outlooks are not currently expected as these classes are expected to pay off due to paydown from loan repayments and continued amortization, as well as any recoveries from disposed assets, but may occur should interest shortfalls affect these classes. Downgrades to the 'AAAsf', 'Asf' and 'BBsf' rated classes with Negative Outlooks may occur if expected losses increase on FLOCs, including Summit Place Wisconsin, 111 Livingston Street, 1384 Broadway, 5400 Fulton and Prudential Plaza and/or if workout times are prolonged for the specially serviced loans potentially impairing recoveries and leading to increased exposures. Downgrades to classes rated 'CCCsf' and below may occur as losses are incurred and/or with a greater certainty of loss on the specially serviced assets. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'Asf' category may be possible with significantly increased credit enhancement (CE), coupled with stable-to-improved pool-level loss expectations and sustained improved performance on the FLOCs, including 1384 Broadway, 111 Livingston Street, Prudential Plaza, Summit Place Wisconsin and 5400 Fulton. Classes would not be upgraded above 'AA+sf' if there is a likelihood for interest shortfalls. Upgrades to 'BBsf' rated classes are not likely given the FLOC exposure but are possible if recoveries and specially serviced loans and FLOCs are significantly higher than expected and there is sufficient CE to the classes. Additionally, upgrades could be limited based on sensitivity to concentrations or the potential for future concentration. The 'Csf', 'CCsf' and 'CCCsf' rated classes are unlikely to be upgraded absent substantially higher recoveries than expected on specially serviced assets and FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CHASE HOME 2025-4: DBRS Gives Prov. B(low) Rating on B5 Certs ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-4 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2025-4 (CHASE 2025-4) as follows: -- $273.0 million Class A-2 at (P) AAA (sf) -- $273.0 million Class A-3 at (P) AAA (sf) -- $273.0 million Class A-3-X at (P) AAA (sf) -- $204.8 million Class A-4 at (P) AAA (sf) -- $204.8 million Class A-4-A at (P) AAA (sf) -- $204.8 million Class A-4-X at (P) AAA (sf) -- $68.3 million Class A-5 at (P) AAA (sf) -- $68.3 million Class A-5-A at (P) AAA (sf) -- $68.3 million Class A-5-X at (P) AAA (sf) -- $163.8 million Class A-6 at (P) AAA (sf) -- $163.8 million Class A-6-A at (P) AAA (sf) -- $163.8 million Class A-6-X at (P) AAA (sf) -- $109.2 million Class A-7 at (P) AAA (sf) -- $109.2 million Class A-7-A at (P) AAA (sf) -- $109.2 million Class A-7-X at (P) AAA (sf) -- $41.0 million Class A-8 at (P) AAA (sf) -- $41.0 million Class A-8-A at (P) AAA (sf) -- $41.0 million Class A-8-X at (P) AAA (sf) -- $38.5 million Class A-9 at (P) AAA (sf) -- $38.5 million Class A-9-A at (P) AAA (sf) -- $38.5 million Class A-9-B at (P) AAA (sf) -- $38.5 million Class A-9-X1 at (P) AAA (sf) -- $38.5 million Class A-9-X2 at (P) AAA (sf) -- $38.5 million Class A-9-X3 at (P) AAA (sf) -- $68.3 million Class A-11 at (P) AAA (sf) -- $68.3 million Class A-11-X at (P) AAA (sf) -- $68.3 million Class A-12 at (P) AAA (sf) -- $68.3 million Class A-13 at (P) AAA (sf) -- $68.3 million Class A-13-X at (P) AAA (sf) -- $68.3 million Class A-14 at (P) AAA (sf) -- $68.3 million Class A-14-X at (P) AAA (sf) -- $68.3 million Class A-14-X2 at (P) AAA (sf) -- $68.3 million Class A-14-X3 at (P) AAA (sf) -- $68.3 million Class A-14-X4 at (P) AAA (sf) -- $379.8 million Class A-X-1 at (P) AAA (sf) -- $6.4 million Class B-1 at (P) AA (low) (sf) -- $6.4 million Class B-1-A at (P) AA (low) (sf) -- $6.4 million Class B-1-X at (P) AA (low) (sf) -- $7.2 million Class B-2 at (P) A (low) (sf) -- $7.2 million Class B-2-A at (P) A (low) (sf) -- $7.2 million Class B-2-X at (P) A (low) (sf) -- $3.6 million Class B-3 at (P) BBB (low) (sf) -- $2.0 million Class B-4 at (P) BB (low) (sf) -- $803.0 thousand Class B-5 at (P) B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X1, A-9-X2, A-9-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-9-A, A-9-X1, A-11, A-11-X, A-12, A-13, A-13-X, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-11, A-12, A-13, and A-14 are super senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9, A-9-A, and A-9-B) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 5.40% of credit enhancement provided by subordinated certificates. 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 3.80%, 2.00%, 1.10%, 0.60%, and 0.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2025-4 (the Certificates). The Certificates are backed by 358 loans with a total principal balance of $422,626,907 as of the Cut-Off Date (April 1, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 15 to 30 years and a weighted-average (WA) loan age of three months. They are traditional, prime jumbo mortgage loans. Approximately 72.4% of the loans were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. JP Morgan Chase Bank, N.A. (JPMCB) is the Originator of 100% of the pool and Servicer of 100.0% of the pool. For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. U.S. Bank Trust Company, National Association, rated AA with a Stable trend by Morningstar DBRS, will act as Securities Administrator. U.S. Bank Trust National Association will act as Delaware Trustee. JPMCB will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in US dollars unless otherwise noted. CHASE HOME 2025-5: Fitch Assigns B-(EXP)sf Rating on Cl. B-5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2025-5 (Chase 2025-5). Entity/Debt Rating ----------- ------ Chase 2025-5 A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-4-X LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-A LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-A LT AAA(EXP)sf Expected Rating A-6-X LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-A LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-A LT AAA(EXP)sf Expected Rating A-8-X LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-A LT AAA(EXP)sf Expected Rating A-9-B LT AAA(EXP)sf Expected Rating A-9-X1 LT AAA(EXP)sf Expected Rating A-9-X2 LT AAA(EXP)sf Expected Rating A-9-X3 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-X LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-13-X LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-14-X LT AAA(EXP)sf Expected Rating A-14-X2 LT AAA(EXP)sf Expected Rating A-14-X3 LT AAA(EXP)sf Expected Rating A-14-X4 LT AAA(EXP)sf Expected Rating A-X-1 LT NR(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1-A LT AA-(EXP)sf Expected Rating B-1-X LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-2-A LT A-(EXP)sf Expected Rating B-2-X LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT B-(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating A-R LT NR(EXP)sf Expected Rating Transaction Summary Fitch Ratings expects to rate the residential mortgage-backed certificates issued by Chase Home Lending Mortgage Trust 2025-5 (Chase 2025-5) as indicated above. The certificates are supported by 419 loans with a total balance of approximately $502.44 million as of the cutoff date. The scheduled balance as of the cutoff date is $502.06 million. The pool consists of prime-quality, fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations (reps) and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. There is no exposure to Libor in this transaction. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC, or they are floating rate or inverse floating rate based off the SOFR index and capped at the net WAC; as a result, the certificates have no Libor exposure. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.1% above a long-term sustainable level (versus vs. 11% on a national level as of 4Q24, down 0.1% since last quarter), based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades, driven by high interest rates and elevated home prices. Home prices have increased 2.9% YoY nationally as of February 2025 despite modest regional declines but are still being supported by limited inventory. High Quality Prime Mortgage Pool (Positive): The pool consists of 419 high-quality, fixed-rate, fully amortizing loans with maturities of 15-30 years that total $502.06 million. In total, 100.0% 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 an average of five months, according to Fitch. The pool has a WA FICO score of 768, as determined by Fitch, based on the original FICO for newly originated loans and the updated FICO for loans seasoned at 12 months or more. Based on the transaction documents, the updated current FICO is 764. These high FICO scores are indicative of very high credit-quality borrowers. A large percentage of the loans have a borrower with a Fitch-derived FICO score equal to or above 750. Fitch determined that 76.8% 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 75.7%, which translates to a sustainable loan-to-value ratio (sLTV) of 84.1%. This represents moderate borrower equity in the property and reduced default risk, compared with a borrower with a CLTV over 80%. Of the pool, 100% of the loans are designated as SHQM APOR loans. Of the pool, 100% comprises loans where the borrower maintains a primary or secondary residence (87.2% primary and 12.8% secondary). Single-family homes and planned unit developments (PUDs) constitute 89.1% of the pool, condominiums make up 10%, co-ops make up 0.7% and the remaining 0.2% are multifamily. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (87.4%), cashout refinances (2.7%) and rate-term refinances (9.9%). Fitch views favorably that no loans are for investment properties and a majority of mortgages are purchases. Of the pool loans, 22.1% are concentrated in California, followed by Texas and Florida. The largest MSA concentration is in the New York MSA (8.5%), followed by the Los Angeles MSA (7.1%) and the San Francisco MSA (7.0%). The top three MSAs account for 22.7% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. 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. The servicer, JPMCB, is obligated to advance delinquent principal and interest (P&I) until deemed nonrecoverable. 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 fewer recoveries. There is no master servicer for this transaction. U.S. Bank Trust National Association is the trustee that will advance as needed until a replacement servicer can be found. The trustee is the ultimate advancing party. Losses on the non-retained portion of the loans will be allocated, first, to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B, first, and then to the super-senior classes pro rata once class A-9-B is written off. Net interest shortfalls on the non-retained portion will be allocated, first, to class A-X-1 and the subordinated classes pro rata, based on the current interest accrued for each class until the amount of current interest is reduced to zero, and then to the senior classes (excluding class A-X-1) pro rata, based on the current interest accrued for each class until the amount of current interest is reduced to zero. CE Floor (Positive): A CE or senior subordination floor of 1.50% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 0.90% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 42.2% 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 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 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 AMC. 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 0.25% at the 'AAAsf' stress due to 59.9% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 59.9% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC 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. Please refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations Chase 2025-5 has an ESG Relevance Score of '4+' for Transaction Parties and Operational Risk. Operational risk is well controlled in Chase 2025-5, including strong transaction due diligence. Additionally, the entire pool is originated by an 'Above Average' originator, and all the pool loans are serviced by a servicer rated 'RPS1-'. All these attributes result in a reduction in expected losses and are 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, due to either 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. COMM 2013-CCRE6: Moody's Lowers Rating on Cl. D Certs to B2 ----------------------------------------------------------- Moody's Ratings has affirmed the ratings on four classes and downgraded the ratings on three classes in in COMM 2013-CCRE6 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2013-CCRE6 ("COMM 2013-CCRE6") as follows: Cl. B, Affirmed A1 (sf); previously on Mar 15, 2023 Downgraded to A1 (sf) Cl. C, Affirmed Baa1 (sf); previously on Mar 15, 2023 Downgraded to Baa1 (sf) Cl. D, Downgraded to B2 (sf); previously on Mar 15, 2023 Downgraded to Ba3 (sf) Cl. E, Downgraded to Caa2 (sf); previously on Mar 15, 2023 Downgraded to B3 (sf) Cl. F, Downgraded to C (sf); previously on Mar 15, 2023 Downgraded to Caa3 (sf) Cl. PEZ, Affirmed A3 (sf); previously on Mar 15, 2023 Downgraded to A3 (sf) Cl. X-B*, Affirmed A3 (sf); previously on Mar 15, 2023 Downgraded to A3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on two P&I classes, Cl. B and Cl. C, were affirmed due to their significant credit support and the expected principal paydowns from the remaining loans in the pool. Cl. B has already paid down 65% since securitization and will benefit from priority of principal payments from liquidations or payoffs from the remaining loans in the pool. The ratings on three P&I classes, Cl. D, Cl. E and Cl. F, were downgraded due to interest shortfall risks and higher expected losses driven primarily by the exposure to specially serviced and troubled loans that were unable to pay off at their initial maturity dates. The largest loan in the pool, Federal Center Plaza (57% of the pool), is in special servicing after failing to pay off at its extended maturity date in February 2025. The property previously experienced significant cash flow declines from securitization due to lower revenue and occupancy and currently faces significant near-term rollover risk as GSA tenants (71% of the NRA) have lease expirations over the next 12 to 24 months. The other non-specially serviced loan, The Avenues (44% of the pool), has an upcoming maturity in February 2026 and while performance has been stable in recent years it remains well below levels at securitization and the loan may face increased refinance risk given the high-interest rate environment. The rating on the IO class, Cl. X-B, was affirmed based on the credit quality of its referenced class. The rating on the exchangeable class, Cl. PEZ, was affirmed based on the credit quality of its referenced exchangeable class. Social risk (IPS S-4) for this transaction is high as Moody's regards e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. The transaction's Credit Impact Score is CIS-4. Moody's rating action reflects a base expected loss of 33.4% of the current pooled balance, compared to 19.9% at Moody's last reviews. Moody's base expected loss plus realized losses is now 6.2% of the original pooled balance, compared to 4.3% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 57% of the pool is in special servicing and Moody's have identified additional troubled loans representing 44% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking 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. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool and an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the April 12, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 84% to $230 million from $1.49 billion at securitization. The certificates are collateralized by two mortgage loans ranging in size from 44% to 57% of the pool. As of the April 2025 remittance statement cumulative interest shortfalls were $432,492. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Two loans have been liquidated from the pool, contributing to an aggregate realized loss of $17 million (for an average loss severity of 80.5%). The specially serviced loan is the Federal Center Plaza Loan ($130.0 million – 56.5% of the pool), which is secured by two adjacent office buildings totaling 725,000 square feet (SF) in Washington, DC. The property is well-located between the US Capitol and Washington Monument, two blocks from two separate metro stations (Federal Center SW and L'Enfant Plaza). At securitization, the property was 100% leased and federal government agencies; Department of State (DOS) and Federal Emergency Management Agency (FEMA) leased 54% and 42% of the property NRA. While DOS vacated the property at its lease expiration in 2021, FEMA extended its lease at the property to 2027. As of June 2024, the property was 74% leased, and two GSA tenants, federal government agencies (FEMA) and United States Agency for International Development (USAID), leased approximately 71% of the total NRA. However, the property faces near-term rollover risk as USAID (6% of the NRA), has a scheduled lease expiration in January 2026 and FEMA (65% of the NRA) has a scheduled lease expiration in August 2027. The loan was initially transferred to special servicing in December 2022 due to imminent maturity default ahead of its February 2023 maturity date. The special servicer and borrower subsequently executed a loan modification in August 2023, extending the maturity date to February 2025, and the loan was subsequently returned to the master servicer in November 2023. However, the loan returned to the special servicer due to imminent maturity default in November 2024 ahead of its extended maturity date as the borrower was unable to secure financing. The June 2024 NOI DSCR was 2.36X based on interest-only payments and a 4.14% interest rate. Although NOI has been relatively stable over the past two years, the property's NOI has remained significantly below levels at securitization since 2020, and the year-end 2023 NOI was 35% below the NOI from 2012. The updated appraisal from February 2023 valued the property 26% lower than at securitization. Per the most recent servicer commentary, the lender is evaluating resolution options with the borrower, including a potential forbearance agreement including an additional loan extension. The non-specially serviced loan is The Avenues loan ($100.0 million – 43.5% of the pool), which is secured by an approximately 599,000 SF retail component of a 1.1 million SF super-regional mall in Jacksonville, Florida. At securitization, the mall contained five anchors: Dillard's, Belk, J.C. Penney, Sears and Forever 21. However, the boxes occupied by Dillard's, Belk and J.C. Penney are owned by their respective tenants and are not included as collateral for the loan. Sears closed its store in December 2019. As a result of Sears' closure of its store in December 2019, the collateral's occupancy decreased to 58% in December 2020 from 80% in December 2019. Most recently as of early 2024, the Sears space has been temporarily re-tenanted by Furniture Source. As of June September 2024, the collateral's occupancy was 72% and inline occupancy was 78%, compared to the inline occupancy of 71% as of September 2023, 69% in March 2023, and 81% as of March 2018. While the property's cash flow has declined since securitization, the performance has been generally stable since 2020. The loan had previously transferred to special servicing in November 2022 due to maturity default. A loan modification was executed in July 2023 which extended the loan's maturity by three years date from February 2023 to February 2026. The loan returned to the master servicer in August 2023 and is under cash management with all excess cash trapped in the Lockbox Reserve. Additionally, as part of the modification, the borrower made a $10 million principal curtailment in October 2024. The most recent appraisal from April 2023 valued the property 32% lower than the value at securitization. As of the April 2025 remittance report, the loan was current on debt service payments. Moody's has estimated an aggregate loss of $77 million (a 33% expected loss on average) from these specially serviced and troubled loans. CONN'S RECEIVABLES 2024-A: Fitch Lowers Rating on Cl. B Notes to B ------------------------------------------------------------------ Fitch Ratings has downgraded Conn's Receivables Funding 2023-A (Conn's 2023-A) and Conn's Receivables Funding 2024-A (Conn's 2024-A) Class C notes to 'CCCsf' from 'B+sf' due to accelerating declining credit enhancement (CE) trends and increasing risks for default. Fitch has also downgraded the 2024-A Class B ratings to 'Bsf' from 'BBsf' while the 2023-A Class B ratings are affirmed at 'BBsf'. The Outlook for Conn's 2023-A Class B notes remains Stable as it is still building CE and Fitch expect the Class B notes to paydown in the next six months. The Rating Outlook on Conn's 2024-A Class B, however, has been assigned as Negative following the downgrade, driven by declining CE and Fitch's expectation that defaults will remain elevated as performance continues to worsen. Entity/Debt Rating Prior ----------- ------ ----- Conn's Receivables Funding 2024-A Class B 20824DAB9 LT Bsf Downgrade BBsf Class C 20824DAC7 LT CCCsf Downgrade B+sf Conn’s Receivables Funding 2023-A, LLC Class B 20824CAB1 LT BBsf Affirmed BBsf Class C 20824CAC9 LT CCCsf Downgrade B+sf Transaction Summary Fitch has been closely monitoring the ABS performance of the two Conn's transactions and observed that the CE for Class C has been steadily declining month-over-month for the last three payment periods. While 2023-A Class B is still building CE, albeit marginally, the CE for 2024-A Class B has also started to decline for the last two payment periods. Following the bankruptcy proceedings and Jefferson Holdings (BB-/Stable) taking up parts of the Conn's consumer loan portfolio and servicing platform, Fitch expects further weakening in credit performance as the acquired portfolios run-off and collections remain weak. KEY RATING DRIVERS Conn's, Inc. Bankruptcy Servicing Impact: Following Conn's bankruptcy announcement, Jefferson Capital Holdings (BB-/Stable) had taken over select consumer portfolios of Conn's Receivables and its servicing platform as well. Fitch removed the two transactions from Rating Watch Negative subsequent to this takeover on account of Jefferson being an adequate servicer for servicing the trusts' collateral pools and satisfactory CE at current ratings. Fitch continues to monitor the trusts' performance and the servicer's servicing capabilities upon the resumption of business following the bankruptcy proceedings. Credit Enhancement: Fitch has been closely monitoring the CE levels for the transactions and Fitch observes that it has been steadily declining m-o-m for the last three payment periods. For Conn's 2023-A, the current hard CE totals 67.85% and 28.05% for class B and C notes, respectively. For Conn's 2024-A, the current hard CE totals 52.95% and 32.30% for class B and C notes, respectively. Conn's 2023-A has failed its cumulative net loss trigger of 26.96%, and actual loss as of the April payment date report was 28.48%, and hence, no longer releasing cash. The 2024-A net losses have risen as well and barely manage to stay within its cumulative net loss (CNL) trigger threshold. The continued depletion in available hard CE is a concern and Fitch believes this hampers the ability of the transactions to absorb losses higher than Fitch's rating stress assumptions at current rating levels. Trust Performance: Trust performance metrics such as delinquencies and defaults are key risks that Fitch continues to monitor. The transactions have a high percentage of non-prime obligors, which require a higher touch servicing model. Conn's 2023-A had a WA FICO score of 619 at closing, and 10.2% of the loans had scores below 550 or no score. Conn's 2024-A had a WA FICO score of 621 at closing, and 8.7% of loans had scores below 550 or no score. The subprime nature of the pool increases the risk of performance consequences of a serving disruption or transfer, because these borrowers require comparatively high-touch servicing, especially in current economic conditions. Fitch has observed delinquencies and defaults increasing based on economic conditions. Fitch revised its lifetime base case default assumptions for 2023-A and 2024-A at the time of the last review, where Fitch resolved the Rating Watch Negative on Jan. 10, 2025. For this review, Fitch id increasing the default assumptions to 40% from 36% for Conn's 2023-A and to 43% from 33% for Conn's 2024-A at closing. The higher base case default assumptions account for a continued increase in delinquency and defaults in the 2023-A transaction, and substantial defaults and further expected deterioration in performance for 2024-A. Weakness already observed in the collateral pools could be exacerbated by a reduction in Conn's servicing ability or a persistent decline in asset performance. These risks weigh heavily on current ratings and are key factors that Fitch continues to monitor. Fitch expects the lower-rated tranches to witness further stress in form of elevated defaults as Conn's nonperforming portfolios run off and struggles with collections continue. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Persistent decline in asset performance resulting in elevated defaults outside of Fitch's expectation could result in negative rating actions. Additionally, any reduction in Jefferson's servicing abilities could further pressurize the ratings. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Better-than-expected asset performance on a sustained basis, along with continued CE build, may result in positive rating actions. 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. CONSOLIDATED COMMUNICATIONS 2025-1: Fitch Gives BB-(EXP) on C Notes ------------------------------------------------------------------- Fitch Ratings has issued a presale report for Consolidated Communications, LLC, Series 2025-1, Series 2025-2 and Series 2025-3. Fitch expects to rate the transactions as follows: - $35.0 million(a) 2025-1 class A-1-L 'Asf'; Outlook Stable; - $500.0 million(b) 2025-1 class A-1-V 'A-sf'; Outlook Stable; - $1,001.0 million 2025-1 class A-2 'A-sf'; Outlook Stable; - $69.7 million 2025-2 class A-2 'A-sf'; Outlook Stable; - $52.3(c) million 2025-3 class A-2 'A-sf'; Outlook Stable; - $152.8 million 2025-1 class B 'BBB-sf'; Outlook Stable; - $10.3 million 2025-2 class B 'BBB-sf'; Outlook Stable; - $7.7(c) million 2025-3 class B 'BBB-sf'; Outlook Stable; - $189.7(d) million 2025-1 class C 'BB-sf'; Outlook Stable. (a) This note is a liquidity funding note that can be drawn for the purpose of funding liquidity funding advances subject to the satisfaction of certain conditions. The balance of the note will be $0 at issuance and is not counted when calculating debt/Fitch NCF ratio. (b) This note is a variable funding note (VFN) with a maximum commitment of $500 million, contingent on total class A note total leverage ratio of 6.1x. Draws above $395 million shall be subject to rating agency confirmation. Based on the expected total class A note leverage of 5.9x as of the closing date, approximately, $34.2 million of the VFN shall be drawable at issuance. (c) Class balances for the series 2025-3, A-2 and B notes are inclusive of delayed draw facilities of $6.8 million and $0.9 million, respectively. These facilities are expected to be fully drawn at issuance. (d) This class has an initial balance of $189.7 million with a maximum upsized capacity of $284.5 million. Entity/Debt Rating ----------- ------ Consolidated Communications, LLC, Secured Fiber Network Revenue Notes, Series 2025-1, Series 2025-2, and Series 2025-3 2025-1 A-1-L LT A(EXP)sf Expected Rating 2025-1 A-1-V LT A-(EXP)sf Expected Rating 2025-1 A-2 LT A-(EXP)sf Expected Rating 2025-1 B LT BBB-(EXP)sf Expected Rating 2025-1 C LT BB-(EXP)sf Expected Rating 2025-2 A-2 LT A-(EXP)sf Expected Rating 2025-2 B LT BBB-(EXP)sf Expected Rating 2025-3 A-2 LT A-(EXP)sf Expected Rating 2025-3 B LT BBB-(EXP)sf Expected Rating Transaction Summary The transaction is a securitization of subscription and contract payments derived from an existing enterprise and fiber-to-the-premises (FTTP) network. Collateral assets include conduits, cables, network-level equipment, access rights, customer agreements, transaction accounts and a pledge of equity from the asset entities. The notes are serviced by net revenue from operations of the collateral assets. The collateral consists of high-quality fiber lines that support the provision of data (96.7% of monthly recurring revenue [MRR]) and voice (3.3%) services to residential (37.2%), commercial (32.8%) and wireless, wireline carrier (30.0%) customers. The fiber network serves 137,550 residential subscribers, including 678,000 households passed across 17 states, primarily located in the states of in Maine (41.6% of MRR), Vermont (18.1%) and California (21.2%). These assets represent about 31.2% of the sponsor's revenue for January 2025. The collateral does not include Consolidated's copper assets (30.0% of January 2025 sponsor revenue). Operation of these assets and related expenses will be the responsibility of the manager, Fidium Manager Services, LLC, and paid solely at the sponsor's expense. The expected ratings reflect Fitch's structured finance analysis of cash flow from the collateral assets, rather than an assessment of the corporate default risk of the ultimate parent, Condor Holdings LLC. KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's base case net cash flow (NCF) on the pool is $157.8 million, implying a 16.8% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 10.2x, versus the debt-to-issuer NCF leverage of 8.5x. Fitch's base case NCF scenario assumes the most conservative leverage scenario wherein the series 2025-3 delayed draw facilities are fully drawn, the series 2025-1 class C note is upsized to the maximum amount of $284.5 million from $189.7 million, and the VFN is drawn to the maximum capacity available at closing of $34.2 million. Inclusive of the future cash flow required to draw upon the initial maximum variable funding note (VFN) balance of $395 million, Fitch's NCF would be $200.3 million, implying a 24.7% haircut to the implied issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.8x, compared with the debt-to-issuer NCF leverage of 7.4x. Based on the Fitch NCF and no additional revenue growth, and following the transaction's ARD, the notes would be repaid 21.0 years from the closing date. Credit Risk Factors: Major factors affecting Fitch's determination of cash flow and maximum potential leverage (MPL) include: the high quality of the underlying collateral networks, scale and diversity of the customer base, market penetration and seasoning, capability of the operator and strength of the transaction structure. Technology-Dependent Credit: This transaction's senior classes do not achieve ratings above 'Asf' for reasons that include the specialized nature of the collateral and the potential for changes in technology to affect net revenue from the collateral assets. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology will render the current transmission of data through fiber optic cables obsolete. That said, data providers continue to invest in and utilize this technology because fiber optic cable networks are currently the fastest, highest capacity and most reliable means to transmit information. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of higher expenses, customer churn, lower market penetration, declining contract rates or the development of an alternative technology for the transmission of data could lead to downgrades. Fitch's base case NCF was 16.8% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 from 'A-sf' to 'BBB+sf'; class B from 'BBB-sf' to 'BBsf'; class C from 'BB-sf' to 'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing cash flow from rate increases, additional customers, or contract amendments could lead to upgrades. A 20% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 from 'A-sf' to 'Asf'; class B from 'BBB-sf' to 'BBB+sf'; class C from 'BB-sf' to 'BB+sf'. Upgrades, however, are unlikely given the issuer's ability to issue additional notes pari passu notes. In addition, the senior classes are capped at the 'Asf' category. 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. CRESTLINE DENALI XV: Moody's Affirms Ba3 Rating on $16MM E-1 Notes ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Crestline Denali CLO XV, Ltd.: US$24M Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to Aa1 (sf) US$22M Class D Senior Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Jul 23, 2024 Upgraded to Baa3 (sf) Moody's have also affirmed the ratings on the following notes: US$254M (Current outstanding amount US$4,256,185) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 20, 2021 Assigned Aaa (sf) US$50M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 28, 2023 Upgraded to Aaa (sf) US$16M Class E-1 Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Jun 19, 2020 Downgraded to Ba3 (sf) US$6M Class E-2 Secured Deferrable Floating Rate Notes, Affirmed Caa2 (sf); previously on Jul 23, 2024 Downgraded to Caa2 (sf) Crestline Denali CLO XV, Ltd., originally issued in May 2017 and partially refinanced in July 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Crestline Denali Capital, LLC. The transaction's reinvestment period ended in April 2022. RATINGS RATIONALE The rating upgrades on the Class C-R and Class D notes are primarily a result of the significant deleveraging of the Class A-R notes following amortisation of the underlying portfolio since the last rating action in July 2024. The affirmations on the ratings on the Class A-R, Class B-R, Class E-1 and Class E-2 notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-R notes have paid down by approximately USD98.3 million (38.7%) since the last rating action in July 2024 and USD249.7million (98.3%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated April 2025 [1] the Class A/B, Class C, and Class D OC ratios are reported at 194.69%, 147.31% and 120.45% compared to June 2024 [2] levels of 148.85%, 128.62% and 114.37%, respectively. Moody's notes that the April 2025 principal payments are not reflected in the reported OC ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD129.27m Defaulted Securities: USD2.2m Diversity Score: 47 Weighted Average Rating Factor (WARF): 3411 Weighted Average Life (WAL): 3.03 years Weighted Average Spread (WAS): 3.16% Weighted Average Recovery Rate (WARR): 47.03% Par haircut in OC tests and interest diversion test: 4.05% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. DRYDEN 37 SENIOR: Moody's Cuts Rating on $8.75MM FR Notes to Caa3 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Dryden 37 Senior Loan Fund: US$22,200,000 Class CR Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class CR Notes"), Upgraded to Aaa (sf); previously on February 9, 2023 Upgraded to A1 (sf) US$31,100,00 Class DR Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class DR Notes"), Upgraded to Baa1 (sf); previously on October 6, 2020 Confirmed at Baa3 (sf) Moody's have also downgraded the rating on the following notes: US$8,750,000 Class FR Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class FR Notes"), Downgraded to Caa3 (sf); previously on December 12, 2023 Downgraded to Caa2 (sf) Dryden 37 Senior Loan Fund, originally issued in March 2015, refinanced in December 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2023. A comprehensive review of all credit ratings for the respective transactions(s) has/have 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 March 2024. The Class AR notes have been paid down by approximately 55.43% or $150.24 million since then. Based on the trustee's March 2025 report[1], the OC ratios for the Class CR and Class DR notes are reported at 127.59%, and 113.79%, respectively, versus March 2024[2] levels of 120.27% and 111.10%, respectively. Moody's notes that the March 2025 trustee-reported OC ratios do not reflect the April 2025 payment distribution, when $50.37 million of principal proceeds were used to pay down the Class AR Notes. The downgrade rating action on the Class FR 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 the trustee's March 2025 report[3], the OC ratio for the Class FR is 101.63% versus March 2024[4] level of 102.46%. Moody's rating of the Combination Securities addresses only the ultimate receipt of the Combination Securities Rated Balance by the holders of the Combination Securities. Moody's rating of the Combination Securities does not address any other payments or additional amounts that a holder of the Combination Securities may receive pursuant to the underlying documents. No actions were taken on the Class AR, Class BR, Class ER, and Combination 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: $275,088,388 Defaulted par: $5,412,907 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2802 Weighted Average Spread (WAS): 3.13% Weighted Average Coupon (WAC): 3.91% Weighted Average Recovery Rate (WARR): 46.23% Weighted Average Life (WAL): 3.6 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. ELMWOOD CLO 41: S&P Assigns Prelim B- (sf) Rating on Class F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Elmwood CLO 41 Ltd./ Elmwood CLO 41 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 Elmwood Asset Management LLC. The preliminary ratings are based on information as of May 9, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The 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 Elmwood CLO 41 Ltd./Elmwood CLO 41 LLC Class A, $248.0 million: AAA (sf) Class B, $56.0 million: AA (sf) Class C, $24.0 million: A (sf) Class D, $24.0 million: BBB- (sf) Class E, $12.7 million: BB- (sf) Class F (deferrable), $7.0 million: B- (sf) Subordinated notes, $30.0 million: Not rated EXETER 2025-3: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Exeter Automobile Receivables Trust 2025-3's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of May 14, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 56.07%, 49.86%, 41.56%, 31.22%, and 25.00% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.70x, 2.40x, 2.00x, 1.50x, and 1.20x coverage of its expected cumulative net loss of 20.75% for classes A, B, C, D, and E, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.50x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within its credit stability limits. -- The timely payment of interest and principal repayment by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the collateral's credit risk, 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 do not constrain the preliminary ratings. -- S&P's operational risk assessment of Exeter Finance LLC as servicer, along with its view of the company's underwriting and its backup servicing arrangement with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Exeter Automobile Receivables Trust 2025-3 Class A-1, $98.00 million: A-1+ (sf) Class A-2, $227.00 million: AAA (sf) Class A-3, $226.74 million: AAA (sf) Class B, $115.29 million: AA (sf) Class C, $119.68 million: A (sf) Class D, $156.46 million: BBB (sf) Class E, $105.41 million: BB- (sf) FIGRE TRUST 2025-PF1: DBRS Gives Prov. B(low) Rating on F Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following Mortgage-Backed Notes, Series 2025-PF1 (the Notes) to be issued by FIGRE Trust 2025-PF1 (FIGRE 2025-PF1 or the Trust): -- $214.8 million Class A at (P) AAA (sf) -- $18.6 million Class B at (P) AA (low) (sf) -- $18.9 million Class C at (P) A (low) (sf) -- $10.8 million Class D at (P) BBB (low) (sf) -- $12.3 million Class E at (P) BB (low) (sf) -- $13.8 million Class F at (P) B (low) (sf) The (P) AAA (sf) credit rating on the Class A Notes reflects 28.40% of credit enhancement provided by subordinate 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 22.20%, 15.90%, 12.30%, 8.20%, and 3.60% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Trust, a prefunded securitization that will be backed by recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of mortgage-backed notes (the Notes). The notes will be backed by loans with a total unpaid principal balance (UPB) of up to $300,000,000. Approximately 41.7% of the mortgage pool will be acquired on the closing date, (Initial Mortgage Loans). This portion contains 1,736 loans (individual HELOC Draws) which correspond to 1,687 HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance of $125,030,921 and a total current credit limit of $131,532,099 as of the initial cut-off date of March 31, 2025). The Issuer expects to acquire the remaining 58.3% of the mortgage pool (Subsequent Mortgage Loans) after the Closing Date and on or before the Payment Date occurring in May 2025 (the Prefunding Period). Morningstar DBRS created an adverse pool based on the eligibility criteria provided for the mortgage pool. More details on the creation and treatment of the adverse pool can be found in the "Adverse Pool" and "Key Probability of Default Drivers" section of the related report, for each of the default drivers. On the Closing Date, there will be two accounts established and maintained for the benefit of the noteholders, the Prefunding Account and the Initial Interest Reserve Account. The Prefunding Account will be used to acquire Subsequent Mortgage Loans during the Prefunding Period and the Initial Interest Reserve Account will be available to pay the accrued interest on the Offered Notes during the Prefunding Period. The portfolio will be a maximum three months seasoned. All of the HELOCs must be current and have been performing since origination. All of the loans in the pool will be exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first lien mortgage. In June 2023, the company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of October 2024, Figure originated, funded, and serviced more than 159,000 HELOCs totaling approximately $11.9 billion. Figure is the Originator of most and the Servicer of all HELOCs in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the transaction's Sponsor. FIGRE 2025-PF1 is the first prefunded securitization and 14th rated securitization of HELOCs by the Sponsor. Also, Figure-originated HELOCs are included in five securitizations sponsored by Saluda Grade. These transactions' performances to date are satisfactory. Natural Disasters The mortgage pool may contain loans secured by mortgage properties that are located within certain disaster areas (such as those impacted by the Greater Los Angeles wildfires). The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections (PDI) for any property located in a known disaster zone prior to the transactions closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. To the extent that a PDI was ordered prior to closing but notice of material damages were not available until after closing, the sponsor will repurchase the related loan/loans. The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties (including events such as fire, windstorm, flood, earth movement, and hurricane). Maryland Consumer Purpose Loans In 2024, the Maryland Appellate Court ruled that a statutory trust that held a defaulted HELOC must be licensed as both an Installment Lender and a Mortgage Lender under Maryland law prior to proceeding to foreclosure on the HELOC. On January 10, 2025, the Maryland Office of Financial Regulation ("OFR") issued emergency regulations that apply the decision to all secondary market assignees of Maryland consumer-purpose mortgage loans, and specifically require "passive trusts" that acquire or take assignment of Maryland mortgage loans that are serviced by others to be licensed. While the emergency regulations became effective immediately, OFR indicated that enforcement would be suspended until April 10, 2025. The emergency regulations will expire on June 16, 2025, and the OFR has submitted the same provisions as the proposed, permanent regulations for public comment. Failure of the Issuer to obtain the appropriate Maryland licenses may result in the Maryland OFR taking administrative action against the Issuer and/or other transaction parties, including assessing civil monetary penalties and issuing a cease-and-desist order. Further, there may be delays in payments on, or losses in respect of, the Notes if the Issuer or Servicer cannot enforce the terms of a Mortgage Loan or proceed to foreclosure in connection with a Mortgage Loan secured by a Mortgaged Property located in Maryland, or if the Issuer is required to pay civil penalties. The mortgage pool may contain Maryland consumer-purpose mortgage loans. While the ultimate resolution of this regulation is still unclear, Morningstar DBRS, in its analysis, considered a scenario in which these properties had no recoveries given default. HELOC Features In this transaction, all HELOCs have a draw period of two, three, four, or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. At the end of the draw term, the HELOC mortgagors have a repayment period ranging from three to 25 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. The HELOCs are fully drawn at origination and are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the then current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period and may have terms significantly shorter than 30 years, including five- to 10-year maturities. Certain Unique Factors in HELOC Origination Process Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal Figure uses a property valuation provided by an automatic valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO) or a residential evaluation. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure are treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applies haircuts to the AVM and BPO valuations, reduces the projected recoveries on junior-lien HELOCs, and generally steps up expected losses from the model to account for a combined effect of these and other factors. Please see the Documentation Type and Underwriting Guidelines sections of the related report for details. Transaction Counterparties Figure will service all loans within the pool for a servicing fee of 0.25% per year. Also, Newrez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will act as a Subservicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. In addition, Northpointe Bank (Northpointe) will act as a Backup Servicer for all mortgage loans in this transaction for a fee of 0.01% per year. If Figure fails to remit the required payments, fails to observe or perform the Servicer's duties, or experiences other unremedied events of default described in detail in the transaction documents, servicing will be transferred to Northpointe from Figure, under a successor servicing agreement. Such servicing transfer will occur within 45 days of the termination of Figure. In the event of a servicing transfer, Shellpoint will retain servicing responsibilities on all loans that were being special serviced by Shellpoint at the time of the servicing transfer. Morningstar DBRS performed an operational risk review of Northpointe's servicing platform and believes the company is an acceptable loan servicer for Morningstar DBRS-rated transactions. The Bank of New York Mellon will serve as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, REMIC Administrator, and Verification Agent. Wilmington Savings Fund Society, FSB will serve as the Custodian and the Owner Trustee. DV01, Inc. will act as the loan data agent. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of the required percentage of the Class A, B, C, D, E, F, and G Note amounts and Class FR Certificate to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Sponsor or a majority-owned affiliate of the Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Additionally, pursuant to the EU and UK Risk Retention Agreement, the Sponsor will agree that on an ongoing basis for so long as the Notes are outstanding: -- it will retain exposure to a material net economic interest in this transaction of not less than 5% of the nominal value of each class of Notes, in the form specified in related transaction documents; -- neither it nor any affiliate will sell, hedge or mitigate its credit risk under or associated with the EU and UK Retained Interest, except to the extent permitted in accordance with the EU Securitization Rules and the UK Securitization Rules respectively; -- it will not change the retention option or method of calculation of its EU and UK Retained Interest, except to the extent permitted under the EU Securitization Rules or the UK Securitization Rules; -- it will confirm its EU and UK Retained Interest in the SR Investor Report; and -- it will promptly notify the Issuer and a responsible officer of the Paying Agent in writing if for any reason: (a) it ceases to retain exposure the EU and UK Retained Interest in accordance with the above, or (b) it or any of its affiliates fails to comply with the covenants set out above. Similar to other transactions backed by junior lien mortgage loans or HELOCs, but different from certain Morningstar DBRS-rated FIGRE transactions, the HELOCs that are 180 days delinquent under the MBA delinquency method may not be charged off by the Servicer in its discretion. In its analysis, Morningstar DBRS assumes all junior lien HELOCs that are 180 days delinquent under the MBA delinquency method will be charged-off. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class FR Certificate holder after the Closing Date). The Reserve Account is funded at closing initially with a rounded balance of $1,050,000 (0.35% of the aggregate UPB as of the Cut-Off Date). Prior to the payment date in May 2030, the Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date. Beginning on the payment date in May 2030 (after the draw period ends for all HELOCs), the Reserve Account Required Amount will become $0. If the Reserve Account is not at target, the Paying Agent will use the available funds remaining after paying transaction parties' fees and expenses, reimbursing the Servicer for any unpaid fees or Net Draws, and paying the accrued and unpaid interest on the bonds to build it to the target. The top-up of the account occurs before making any principal payments to the Class FR Certificateholder or the Notes. To the extent the Reserve Account is not funded up to its required amount from the principal and interest (P&I) collections, the Class FR Certificateholder will be required to use its own funds to reimburse the Servicer for any Net Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. Figure, as a holder of the Trust Certificate/Class FR Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount of any Net Draws funded by the Class FR Certificateholder. The Reserve Account's required amount will become $0 beginning with the payment date in May 2030 (after the draw period ends for all HELOCs), at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Figure. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Transaction Structure The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. This transaction differs from certain previous Morningstar DBRS-rated FIGRE transactions where there is no performance trigger related to Net WA Coupon (WAC) Rate. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of the related report for more details. Notable Structural Features Similar to previous Morningstar DBRS-rated FIGRE transactions, this deal employs a Delinquency Trigger and a Cumulative Loss Trigger. The effective dates for the triggers may differ from prior rated transactions. The Delinquency Trigger is applicable on or after the 12th payment date after the Prefunding Period (April 2026) rather than being applicable immediately after the Closing Date. Unlike some of the prior FIGRE securitizations that employed a pro-rata pay structure amongst all rated notes, this transaction includes rated classes - Class D, Class E, and Class F, that receive their principal payments after the pro-rata classes (Class A, Class B, and Class C) are paid in full. The inclusion of sequential pay classes retains credit support that would otherwise be reduced in the absence of a credit event. Unlike some of the prior FIGRE securitizations, this transaction includes a principal-only class, Class G, that provides credit support to the rated notes instead of overcollateralization (OC). Since there is no longer any OC, there is no longer any need for the OC Target or OC Floor present in other transactions. The Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date, lower than some of the prior FIGRE securitizations. Other Transaction Features For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of P&I on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class XS Notes). For the junior-lien HELOCs, the Servicer will make servicing advances only if such advances are deemed recoverable or if the associate first-lien mortgage has been paid off and such HELOC has become a senior-lien mortgage loan. The Depositor may, at its option, on or after the earlier of (1) the payment date on which the balance of the Class A Notes is reduced to zero or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 25% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The Servicer, at a direction of the Controlling Holder, may direct the Issuer to sell (and direct the Indenture Trustee to release its lien on and relinquish its security interest in) eligible nonperforming loans (those 120 days or more delinquent under the MBA method) or REO properties (both, Eligible Nonperforming Loans (NPLs)) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. Initial Interest Reserve Account On or prior to the Closing Date, the Paying Agent will establish and maintain in the name of the Indenture Trustee, for the benefit of the Noteholders and the holder of the Class FR Certificate, a non-interest-bearing Initial Interest Reserve Account. The Noteholders will have the benefit of the Initial Interest Reserve Account to pay amounts owing to the Offered Notes during the Initial Fixed Rate Period (approximately one month). On the Closing Date, the Sponsor will cause an amount equal to $1,507,749 to be remitted to the Initial Interest Reserve Account out of proceeds from the sale of the Offered Notes On each Payment Date occurring on or prior to the Payment Date occurring in June 2025, if there is a shortfall in the amount of interest to be paid on any Offered Note, the amount necessary to eliminate any such shortfall shall be released from the Initial Interest Reserve Account and paid to the holders of the respective Offered Notes to the extent necessary to eliminate any such shortfall. On Payment Date occurring in June 2025, after payment of amounts due to the Offered Notes, if any, the balance of the Initial Interest Reserve Account will be distributed to the holder of the Class FR Certificate. Prefunding Account On or prior to the Closing Date, the Paying Agent will establish and maintain in the name of the Indenture Trustee, for the benefit of the Noteholders, a non-interest bearing Prefunding Account to be used for the acquisition of subsequent mortgage loans during the Prefunding Period. On the Closing Date, the Sponsor will cause an amount equal to $174,969,079 to be remitted to the Prefunding Account out of proceeds from the sale of the Offered Notes. Any cash remaining in the Prefunding Account on the Final Mortgage Acquisition Date will be distributed on the Final Mortgage Acquisition Date to each Class of Notes, pro rata, based on the respective Note Amount of each such class of Notes (prior to giving effect to payments of principal on such Payment Date), until their respective Note Amount is reduced to zero. Notes: All figures are in US dollars unless otherwise noted. GENERATE CLO 19: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its 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 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 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. GLS AUTO 2025-2: S&P Assigns BB (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to GLS Auto Receivables Issuer Trust 2025-2'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 56.19%, 47.58%, 37.36%, 28.70%, and 24.60% of credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on final post-pricing stressed cash flow scenarios. These credit support levels provide at least 3.20x, 2.70x, 2.10x, 1.60x, and 1.38x of our 17.50% expected cumulative net loss (ECNL) for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.60x S&P's expected loss level), all else being equal, its '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, including the representation in the transaction documents that all contracts in the pool have made at least one payment, S&P's view of the collateral's credit risk, and its updated U.S. macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at UMB Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Global Lending Services LLC (GLS) as servicer, and our view of the company's underwriting and backup servicing arrangement with UMB Bank N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with our sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned GLS Auto Receivables Issuer Trust 2025-2 Class A-1, $115.10 million: A-1+ (sf) Class A-2, $218.20 million: AAA (sf) Class A-3, $122.66 million: AAA (sf) Class B, $141.04 million: AA (sf) Class C, $131.38 million: A (sf) Class D, $125.58 million: BBB (sf) Class E, $63.28 million: BB (sf) GOLDENTREE LOAN 25: Fitch Assigns 'B-sf' Rating on Class F Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to GoldenTree Loan Management US CLO 25, Ltd. Entity/Debt Rating ----------- ------ GoldenTree Loan Management US CLO 25, Ltd. A LT NRsf New Rating A-L Loans LT NRsf New Rating A-N LT NRsf New Rating A-J LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating D-J LT BBB-sf New Rating E LT BB-sf New Rating F LT B-sf New Rating Subordinated LT NRsf New Rating Transaction Summary GoldenTree Loan Management US CLO 25, 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 $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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.14, versus a maximum covenant, in accordance with the initial expected matrix point of 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 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.35% versus a minimum covenant, in accordance with the initial expected matrix point of 70.6%. 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 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-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 'BB+sf' for class D, between less than 'B-sf' and 'BB+sf' for class D-J, and between less than 'B-sf' and 'B+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, 'Asf' for class D, 'A-sf' for class D-J, and 'BBB+sf' for class E and 'BBB-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 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 GoldenTree Loan Management US CLO 25, 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. GREAT WOLF 2024-WLF2: DBRS Confirms BB(high) Rating on HRR Certs ---------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2024-WLF2 issued by Great Wolf Trust 2024-WLF2 as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class HRR at BB (high) (sf) All trends are Stable. The credit rating confirmations reflect the stable performance of the transaction, which remains in line with issuance expectations from May 2024. The transaction is collateralized by the borrower's fee-simple interests in nine Great Wolf Lodge resorts totaling 4,083 keys; 575,166 square feet (sf) of indoor water park space; 120,242 sf of outdoor waterpark space; 59 food and beverage outlets; and 79,680 sf of meeting space across nine U.S. states. The properties are generally within a four-hour drive of major metropolitan areas, which provides the demand base for these leisure-oriented assets. The properties are highly amenitized and provide guests with a virtually all-inclusive vacation experience. The sponsor, a joint venture between Blackstone Real Estate Partners IX L.P. (Blackstone IX) and Centerbridge Partners, L.P. Blackstone IX, an affiliate of Blackstone Inc., has invested approximately $126.6 million, or $37,418 per key, in capital improvements to the portfolio since 2019, excluding a $160.0 million expansion and renovation of the Poconos, Philadelphia, property. The transaction proceeds of $1.3 billion, along with a mezzanine loan of $250.0 million, repaid approximately $1.3 billion of existing commercial mortgage-backed securities (CMBS) debt across the portfolio and $239.0 million of construction debt for the Perryville, Maryland, asset; returned $7.0 million of cash equity to the borrower; and funded closing costs. As a result of the financing, the sponsor maintained approximately $880.4 million of implied equity. The loan pays interest only (IO) and is structured with an initial two-year term and three one-year extension options. The loan has a partial pro rata/sequential-pay structure that allows for pro rata paydowns of the first 30.0% of the original principal balance. Additionally, the transaction allows for the release of properties from the portfolio subject to a release price of 105% of the allocated loan amount (ALA) for the initial 30% of the total balance and a release price of 110% of the ALA for the remaining 70% of the total balance. According to the YE2024 financial reporting, the portfolio generated $183.4 million of net cash flow (NCF), resulting in a debt service coverage ratio (DSCR) of 1.61 times (x) compared with the Morningstar DBRS NCF of $185.98 million and DSCR of 1.50x. Per the December 2024 STR, Inc. report, the portfolio's reported weighted-average (WA) occupancy rate, average daily rate, and revenue per available room (RevPAR) metrics were 79.6%, $251.80, and $200.80, respectively. At issuance, Morningstar DBRS concluded to a stabilized RevPAR figure of $218.84. Although the collateral's current performance is slightly below Morningstar DBRS' expectations at issuance, Morningstar DBRS anticipates that performance will stabilize over the five-year (fully extended) loan term, given the high quality of the property and the borrower's level of commitment. For the purposes of this credit rating action, Morningstar DBRS maintained the valuation approach from issuance, which was based on a WA capitalization rate of 9.74% applied to the Morningstar DBRS NCF of $185.98 million. Morningstar DBRS maintained a qualitative adjustment of 5% to the loan-to-value ratio (LTV) sizing benchmarks to reflect the potential for increased cash flow from recent renovations, modernized properties, and their locations within strong markets. The Morningstar DBRS concluded value of $1.9 billion represents a variance of -17.9% from the issuance appraised value of $2.3 billion and implies a whole-loan LTV of 81.2%. 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. GREYSTONE CRE 2025-FL4: Fitch Assigns B-(EXP) Rating on Cl. G Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Greystone CRE Notes 2025-FL4, LLC as follows: - $518,271,000a class A 'AAAsf'; Outlook Stable; - 96,894,000a class A-S 'AAAsf'; Outlook Stable; - $66,474,000a class B 'AA-sf'; Outlook Stable; - $51,827,000a class C 'A-sf'; Outlook Stable; - $31,547,000a class D 'BBBsf'; Outlook Stable; - $15,773,000a class E 'BBB-sf'; Outlook Stable; - $30,421,000b class F 'BB-sf'; Outlook Stable; - $21,406,000b class G 'B-sf'; Outlook Stable; The following class is not expected to be rated by Fitch: - $68,728,267b Income Notes. (a) Privately placed and pursuant to Rule 144A. (b) Retained interest, estimated to be 13.375% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $901,341,267 and does not include future funding. The expected ratings are based on information provided by the issuer as of May 7, 2025. Transaction Summary The notes are collateralized by 28 loans secured by 28 commercial properties with an aggregate principal balance of $901,341,267 as of the cutoff date. The loans and interests securing the notes will be owned by Greystone CRE Notes 2025-FL4, LLC, as issuer of the notes. The servicer and special servicer is expected to be Greystone Servicing Company LLC. The trustee is expected to be U.S. Bank Trust Company, National Association. The notes are expected to follow a sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 43.2% of the loans by balance, cash flow analysis on 83.8% of the loans by balance and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 19 loans in the pool (83.8% by balance). Fitch's resulting aggregate net cash flow (NCF) of $45.8 million represents a 12.68% decline from the issuer's aggregate underwritten NCF of $52.5 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Eligibility Criteria: The transaction's eligibility criteria allow for a maximum healthcare property concentration of 10%. Healthcare properties have a higher average likelihood of default than multifamily properties, all else equal. Therefore, Fitch raised the overall loss for the pool to account for the potential addition of loan collateralized by healthcare properties. Higher Leverage: The pool has higher leverage compared to recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value (LTV) ratio of 146.6% is worse than both the 2025 YTD and 2024 CRE CLO averages of 137.9% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 6.0% is worse than both the 2025 YTD and 2024 CRE CLO averages of 6.6% and 6.5%, respectively. Lower Pool Concentration: The pool is more diverse compared to recent CRE CLO transactions rated by Fitch. The top 10 loans make up 58.8% of the pool, which is lower than both the 2025 YTD and 2024 CRE CLO averages of 60.5% and 70.5%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 21.7. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Original and Remaining Loan Terms: The pool comprises loans with shorter fully extended loan terms with more seasoning compared to recent CRE CLO transactions rated by Fitch. The pool's WA fully extended loan term is 46.2 months, which is lower than both the 2025 YTD and 2024 CRE CLO averages of 59.4 and 57.4, respectively. The pool's WA seasoning is 12.0 months, which is higher than both the 2025 YTD and 2024 CRE CLO averages of 10.0 and 8.8, respectively. Fitch's historical loan performance analysis shows that loans with terms of less than 10 years have modestly lower default risk, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBB-sf'/'BB+sf'/'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 its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'A-sf'/'BBB+sf'/'BB-sf'/'BB-sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLC. 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. INCREF 2025-FL1: Fitch Assigns 'B-sf' Final Rating on Class G Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to INCREF 2025-FL1 LLC as follows: - $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 rated by Fitch: - $80,650,326b Income Notes. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, which represents 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 ratings are based on information provided by the issuer as of May 7, 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 KeyBank National Association, and the special servicer is Bellwether Asset Services, LLC. The trustee is Wilmington Trust, National Association and the note administrator is Computershare Trust Company, National Association. The notes follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch 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. INVESCO US 2023-2: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Invesco U.S. CLO 2023-2, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Invesco U.S. CLO 2023-2, Ltd. A-1-R LT NRsf New Rating NR(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary Invesco U.S. CLO 2023-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Invesco CLO Equity Fund 3 L.P. Net proceeds from the issuance of the secured 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+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.66 versus a maximum covenant, in accordance with the initial expected matrix point of 24. 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 98.23% 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 68.6%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% 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-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 01 May 2025 ESG Considerations Fitch does not provide ESG relevance scores for Invesco U.S. CLO 2023-2, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. JP MORGAN 2025-CCM2: DBRS Gives Prov. B(low) Rating on B5 Certs --------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-CCM2 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2025-CCM2 (JPMMT 2025-CCM2): -- $408.6 million Class A-1 at (P) AAA (sf) -- $366.9 million Class A-2 at (P) AAA (sf) -- $366.9 million Class A-3 at (P) AAA (sf) -- $366.9 million Class A-3-X at (P) AAA (sf) -- $275.2 million Class A-4 at (P) AAA (sf) -- $275.2 million Class A-4-A at (P) AAA (sf) -- $275.2 million Class A-4-X at (P) AAA (sf) -- $91.7 million Class A-5 at (P) AAA (sf) -- $91.7 million Class A-5-A at (P) AAA (sf) -- $91.7 million Class A-5-X at (P) AAA (sf) -- $220.1 million Class A-6 at (P) AAA (sf) -- $220.1 million Class A-6-A at (P) AAA (sf) -- $220.1 million Class A-6-X at (P) AAA (sf) -- $146.8 million Class A-7 at (P) AAA (sf) -- $146.8 million Class A-7-A at (P) AAA (sf) -- $146.8 million Class A-7X at (P) AAA (sf) -- $55.0 million Class A-8 at (P) AAA (sf) -- $55.0 million Class A-8-A at (P) AAA (sf) -- $55.0 million Class A-8-X at (P) AAA (sf) -- $41.7 million Class A-9 at (P) AAA (sf) -- $41.7 million Class A-9-A at (P) AAA (sf) -- $41.7 million Class A-9-X at (P) AAA (sf) -- $408.6 million Class A-X-1 at (P) AAA (sf) -- $408.6 million Class A-X-2 at (P) AAA (sf) -- $408.6 million Class A-X-3 at (P) AAA (sf) -- $408.6 million Class A-X-4 at (P) AAA (sf) -- $408.6 million Class A-X-5 at (P) AAA (sf) -- $7.8 million Class B-1 at (P) AA (low) (sf) -- $7.1 million Class B-2 at (P) A (low) (sf) -- $3.7 million Class B-3 at (P) BBB (low) (sf) -- $2.2 million Class B-4 at (P) BB (low) (sf) -- $647.5 thousand Class B-5 at (P) B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-X-1, A-X-2, A-X-3, A-X-4, and A-X-5 are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-X, A-4, A-4-A, A-5, A-6, A-7, A-7-A, A-8, A-9, A-X-1, and A-X-5 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, and A-8-A are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-9 and A-9-A) with respect to loss allocation. The (P) AAA (sf) ratings on the Certificates reflect 5.35% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) ratings reflect 3.55%, 1.90%, 1.05%, 0.55%, and 0.40% of credit enhancement, 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 portfolio of first-lien fixed-rate prime residential mortgages to be funded by the issuance of the Mortgage Pass-Through Certificates, Series 2025-CCM2 (the Certificates). The Certificates are backed by 322 loans with a total principal balance of $431,652,570 as of the Cut-Off Date (April 1, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of three months. Approximately 79.4% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 20.6% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the related presale report. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage rule. CrossCountry Mortgage, LLC (CrossCountry) is the originator for all of the loans in pool. Shellpoint Mortgage Servicing (Shellpoint or SMS) will act as the Interim Servicer. As of the Servicing Transfer Date (June 1, 2025), JPMorgan Chase Bank, N.A. will service all the loans. For this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in U.S. dollars unless otherwise noted. JPMBB COMMERCIAL 2015-C30: DBRS Confirms C Rating on 3 Classes -------------------------------------------------------------- DBRS Limited downgraded its credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C30 issued by JPMBB Commercial Mortgage Securities Trust 2015-C30 as follows: -- Class D to C (sf) from CCC (sf) -- Class X-D to C (sf) from CCC (sf) Morningstar DBRS also confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at A (sf) -- Class B at A (low) (sf) -- Class X-C at BBB (low) (sf) -- Class C at BB (high) (sf) -- Class EC at BB (high) (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-E at C (sf) During the previous credit rating action in May 2024, Morningstar DBRS downgraded its credit ratings on Classes X-B, B, X-C, C, EC, X-D, D, X-E, E, and F, primarily as a result of the increased loss projections for the pool, attributed to the three loans in special servicing, and the largest loan on the servicer's watchlist at that time, which collectively represented 16.4% of the pool balance. Morningstar DBRS also changed the trends on Classes X-A, A-S, X-B, B, X-C, C, and EC, to Negative from Stable to reflect the high concentration of loans secured by office properties, the majority of which had experienced performance declines, contributing to elevated refinance risk approaching loan maturity as the pool begins to wind down in Q2 2025. Since Morningstar DBRS' last credit rating action, 13 loans have been repaid in full and two of the specially serviced loans were liquidated from the trust with realized losses of approximately $40.0 million, relatively in line with Morningstar DBRS' expectations. With this review, Morningstar DBRS analyzed three loans with liquidation scenarios, reflecting a total implied loss of approximately $63.6 million, resulting in a partial principal write-down of under 15% for Class D, which Morningstar DBRS already rated at CCC (sf); and a complete write-down of Classes E, F, and NR. As the performance of the transaction remains in line with expectations, Morningstar DBRS confirmed its credit ratings on all certificates excluding Class D and the associated notional Class X-D, which were downgraded to C (sf) from CCC (sf), as loss is now projected into Class D. Morningstar DBRS has maintained the Negative trends because of the elevated refinance risk associated with the high concentration of loans secured by office properties, representing more than 50.0% of the pool. Where applicable, Morningstar DBRS increased the probability of default penalties and/or loan-to-value ratios (LTVs) for loans exhibiting creased credit risk, including 10 of the 11 loans backed by office properties. Based on a recoverability analysis, Classes A-S, B, C, and EC are likely to be repaid; however, those certificates would be fully reliant on proceeds from loans backed by office properties, of which several could face difficulty securing replacement financing in the near to moderate term as performance declines from issuance and decreased tenant demand have likely eroded property values, supporting the maintained Negative trends. As of the April 2025 reporting, 40 of the original 70 loans remain in the pool with an aggregate principal balance of $811.1 million, representing a collateral reduction of 39.1% since issuance. As the pool approaches maturity, 38 loans are on the servicer's watchlist, with seven loans, representing 9.5% of the pool, flagged for credit-related reasons. There are two loans in special servicing, representing 9.0% of the pool. The largest loan in special servicing, Sunbelt Portfolio (Prospectus ID#3; 7% of the pool), is secured by the borrower's fee-simple interests in a portfolio of three office properties in Birmingham, Alabama, and Columbia, South Carolina. The loan transferred to special servicing in January 2022 for imminent monetary default and, as of the February 2025 servicer commentary, receivers have been appointed and the special servicer is proceeding with foreclosure. The loan was last paid in May 2024 and remains delinquent as of the date of this press release. The loan has a scheduled maturity date in July 2025. The portfolio has experienced precipitous occupancy declines in recent years, with the most recent reporting indicating the properties were 65.5% occupied as of September 2024 compared with 72.2% as of YE2021. Financial performance continues to decline, with the September 2024 debt service coverage ratio (DSCR) reported at 0.46 times (x), down from 1.10x at YE2022. At issuance, the portfolio was valued at $203.3 million, which declined to $116.2 million as of the February 2025 appraisal, representing a decline of approximately 43.0%. Morningstar DBRS' analysis included a liquidation scenario based on a conservative 35.0% haircut to the February 2025 appraised value. When considering the outstanding advances and expected servicer expenses, which totaled nearly $9.0 million, Morningstar DBRS' analysis suggests a loan loss severity in excess of 50.0%, or approximately $30.0 million that could be realized at disposition. The largest loan on the servicer's watchlist, Castleton Park (Prospectus ID#6; 5.5% of the pool), is secured by a 903,325-square foot office park made up of 31 office buildings in a northeast suburb of Indianapolis. The loan was placed on the servicer's watchlist in December 2020 for a low DSCR, driven primarily by a steady decline in the properties' occupancy rate and average rental rate since issuance. As of September 2024, the portfolio's consolidated occupancy rate was reported at 57.0%, with tenant leases totaling approximately 11% of the net rentable area (NRA) subject to lease expiration prior to loan maturity in July 2025. The subject properties have historically experienced volatility in occupancy, with a consolidated rate as low as 65.3% in 2012. However, the portfolio was 94.1% occupied at contribution, which has slowly declined since, exacerbated by the effects of the coronavirus pandemic. As of the annualized Q3 2024 financials, the loan reported a DSCR of 0.61x, up from 0.38x at YE2023; however, it appears that the largest two tenants, representing nearly 12.0% of the NRA, vacated upon their respective lease expirations in February 2025. While the borrower has continued to pay out of pocket to keep the loan current, Morningstar DBRS estimates that the collateral's as-is value has declined significantly from issuance, with a balloon LTV that could be well over 300.0%, indicating that the borrower will face significant challenges in refinancing the loan with the trust potentially incurring a loss upon disposition. Morningstar DBRS' analysis included a liquidation scenario based on a stress to the issuance appraised value, resulting in a projected loss severity approaching 60.0% with this review, or approximately $29.0 million. At issuance, Morningstar DBRS shadow-rated the Pearlridge Center (Prospectus ID#2; 8.9% of the pool) and Scottsdale Quarter (Prospectus ID#11, 5.2% of the pool) loans as investment grade. The underlying collateral for both loans have generally performed above Morningstar DBRS' expectations and historically reported healthy DSCRs. Morningstar DBRS confirmed that the performance of these loans remains consistent with investment-grade loan characteristics with this review. Notes: All figures are in U.S. dollars unless otherwise noted. JPMCC 2019-COR4: Fitch Lowers Rating on Class F-RR Certs to 'B+sf' ------------------------------------------------------------------ Fitch Ratings has downgraded nine and affirmed six classes of JPMCC Commercial Mortgage Securities Trust 2019-COR4 commercial mortgage pass-through certificates (JPMCC 2019-COR4). Following their downgrades, classes A-S, B, C, D, E, F-RR, X-A, X-B, and X-D were assigned Negative Rating Outlooks. The Outlook for class G-RR remains Negative. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2019-COR4 A-3 48128YAU5 LT AAAsf Affirmed AAAsf A-4 48128YAV3 LT AAAsf Affirmed AAAsf A-5 48128YAW1 LT AAAsf Affirmed AAAsf A-S 48128YBA8 LT AA-sf Downgrade AAAsf A-SB 48128YAX9 LT AAAsf Affirmed AAAsf B 48128YBB6 LT Asf Downgrade AA-sf C 48128YBC4 LT BBBsf Downgrade A-sf D 48128YAC5 LT BBsf Downgrade BBBsf E 48128YAE1 LT BB-sf Downgrade BBB-sf F-RR 48128YAG6 LT B+sf Downgrade BBB-sf G-RR 48128YAJ0 LT B-sf Affirmed B-sf H-RR 48128YAL5 LT CCCsf Affirmed CCCsf X-A 48128YAY7 LT AA-sf Downgrade AAAsf X-B 48128YAZ4 LT BBBsf Downgrade A-sf X-D 48128YAA9 LT BB-sf Downgrade BBB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss is 7.2%, up from 6.6% at Fitch's prior rating action. Fitch flagged 16 loans (52.0%) as Fitch Loans of Concern (FLOCs), including two loans (3.9%) in special servicing. The downgrades are driven by increased overall pool loss expectations since Fitch's prior rating action, primarily driven by an increase in expected losses on 221 South Franklin (2.5%), Inland Empire Office Portfolio II (2.2%), The Strand (1.8%), and the specially serviced Hampton Inn & Suites Alpharetta (1.5%) loan. The downgrades also incorporate sustained elevated loss expectations on other FLOCs in the pool, specifically the second-largest loan in the pool, 400 South El Camino (9.3%) and the fifth-largest loan in the pool, Saint Louis Galleria (6.1%). The Negative Outlooks reflect the potential for further downgrades if performance of the aforementioned FLOCs does not stabilize, most notably 400 South El Camino, or recovery prospects on the specially serviced loans worsen. The Negative Outlooks also consider a concentration of FLOCs (20%) located in the Seattle MSA, where the properties continue to underperform. Largest Contributor to Loss: The largest contributor to overall pool loss expectations is the 400 South El Camino loan, secured by a 145,877-sf office building in San Mateo, CA located approximately 20 miles south of the San Francisco CBD. Performance of the property has deteriorated with the largest tenant, Alibaba (22% of the NRA), vacating at lease expiration in July 2023 and the former second-largest tenant, ZS Associates (20% of the NRA), vacating at lease expiration in April 2022. Per the December 2024 rent roll there were eight new leases in 2024 and 2025 consisting of 24% of the NRA. The occupancy was 78% compared to 64% as of September 2023. The Net Operating Income (NOI) Debt Service Coverage Ratio (DSCR) as of June 2024 was 0.92x, compared to 1.22x at YE 2023, 1.41x at YE 2022, and 1.46x at YE 2021. Fitch's 'Bsf' rating case loss of 21.4% (prior to concentration adjustments) reflects a 10% stress to the YE 2023 NOI and a 10% cap rate as well as a higher probability of default to account for the lower occupancy, DSCR below 1.0x and declining cash flow. The second-largest contributor to overall pool loss expectations is the Saint Louis Galleria, secured by a Brookfield-sponsored, super-regional mall located in St. Louis, MO. It was flagged as FLOC due to lagging post-pandemic performance and upcoming rollover concerns. The mall is anchored by Dillard's, Macy's and Nordstrom, which are non-collateral tenants. Property-level NOI has declined since issuance, with the most recent full-year reported YE 2023 NOI remaining approximately 25% below the issuer's underwritten NOI and 7% below YE 2020 NOI. The NOI declines are mainly attributed to the lower revenue since the pandemic, where YE 2023 revenue is 19% below YE 2019. As of September 2024, the YTD servicer-reported NOI DSCR was 1.14x, compared with 1.68x at YE 2021. The loan began to amortize in November 2023. Collateral occupancy declined to 90.2% as of September 2024 from 96% at YE 2021 due to several tenants vacating at or ahead of their lease expirations. Total mall occupancy was 95% as of the September 2024 rent roll. As of October 2024, reported TTM in line comparable tenant sales were $592 psf ($429psf excluding Apple), compared with $525 psf ($411psf excluding Apple) as of TTM May 2023, $536 psf ($419 psf excluding Apple) as of TTM September 2022, $523 psf ($401 psf excluding Apple) as of TTM September 2021, and $364 psf ($294 psf excluding Apple) at YE 2020. Approximately 23.9% NRA expires in 2025, 22.7% in 2026 and 14.8% in 2027. Fitch's 'Bsf' rating case loss of 11.7% (prior to concentration add-ons) reflects a 7.5% stress to the YE 2022 NOI for rollover concerns and an 11.50% cap rate. The third-largest contributor to overall pool loss expectations and the largest increase since the prior review is the Hampton Inn & Suites Alpharetta, secured by a 103-unit limited service hotel located in Alpharetta, GA, built in 1999 and renovated in 2014. The loan transferred to special servicing in February 2025 due to monetary default after the borrower provided notice that they will no longer cover cashflow shortfalls. As of April 2025, the loan is 90-day delinquent. The NOI DSCR was 0.68x at YE 2024, compared to 1.42x at YE 2023, 1.38x at YE 2022, and 0.21x at YE 2021. Fitch's 'Bsf' rating case loss of 42.7% (prior to concentration add-ons) reflects a 15% stress to the YE 2024 NOI and an 11.50% cap rate; an updated appraisal value is not yet available. Seattle MSA FLOCs: The transaction has four loans located in the Seattle MSA that have been identified as FLOCs due to underperformance or sponsor concerns. Two hotel loans in the pool, which share the same sponsor, the Renaissance Seattle (10.3%) and the Grand Hyatt Seattle (4.4%), continue to underperform issuance expectations. The Renaissance Seattle reported occupancy of 60.6% at YE 2024 with NOI DSCR of 1.88x through September 2024 and 1.26x at YE 2023. The Grand Hyatt Seattle reported occupancy of 70% at YE 2024 with NOI DSCR of 1.37x through September 2024 and 1.28x at YE 2023. Pier 54 Seattle (3.1%), which consists of 43,808 sf of first-floor retail, restaurant and office space and 21,941 sf of second-floor creative office space, continues to generate insufficient cash flow over a full year to service the debt since 2020. The property is located along the Seattle waterfront, which has been undergoing construction as part of a multi-year re-development project to revitalize the area and is expected to be completed in 2025. The Sorento Flats loan (2.4%), secured by a 156-unit multifamily property in Seattle, transferred to special servicing in May 2023 due to the bankruptcy of the guarantor. The July 2024 NOI DSCR was 1.03x compared to 1.84x at YE 2023. Changes in Credit Enhancement (CE): As of the April 2025 distribution date, the aggregate balance of the transaction has been paid down by 3.5% since issuance. The transaction has two loans (6.3%) that have fully defeased. Cumulative interest shortfalls of $101,000 are affecting the non-rated NR-RR class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to senior 'AAAsf' rated classes are not expected due increasing credit enhancement (CE) 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, which have Negative Outlooks, could occur with prolonged workouts or with further performance deterioration with respect to 400 South El Camino and Saint Louis Galleria, if performance of the other FLOCs deteriorates further or if more loans than expected default at or prior to maturity; - Downgrades for classes rated in the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with additional deterioration in performance of the FLOCs, if additional loans or with greater certainty of losses on the specially serviced loans or other FLOCs; - Downgrades to the 'CCCsf' rated class would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'AAsf' and 'Asf' categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and improved performance or valuations on the FLOCs, particularly 400 South El Camino loan and Saint Louis Galleria; - Upgrades to the 'BBBsf' category rated class would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur with sustained improved performance of the FLOCs; - Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and would only occur if the performance of the remaining pool is stable and there is sufficient CE to the classes; - Upgrades to the distressed 'CCCsf' rated class is not expected, but possible with better-than-expected recoveries on FLOCs and specially serviced loans. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. LENDMARK FUNDING 2025-1: S&P Assigns Prelim 'BB' Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Lendmark Funding Trust 2025-1's personal consumer loan-backed notes. The note issuance is an ABS transaction backed by personal consumer loan receivables. The preliminary ratings are based on information as of May 12, 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: -- Initial hard enhancement of approximately 36.80%, 28.90%, 20.10%, 11.50%, and 2.50% for the class A, B, C, D, and E notes, respectively, including the non-amortizing reserve account. -- The fully funded, non-amortizing reserve account of $1.79 million (approximately 0.50% of the initial loan pool). -- The characteristics of the pool being securitized and receivables expected to be purchased during the revolving period. -- S&P's worst-case, weighted average base-case loss for this transaction of 12.04%, which is a function of the transaction-specific reinvestment criteria and actual loan performance. Its base-case also accounts for historical volatility observed in annualized gross loss rates for Lendmark Financial Services' managed loan portfolio over time. -- The timely interest and full principal payments expected to be made under stressed cash flow modeling scenarios appropriate to the assigned preliminary ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned preliminary ratings will be within the limits specified in the credit stability section of "S&P Global Ratings Definitions," published Dec. 2, 2024. -- The transaction's fully sequential payment structure, which is designed to maintain overcollateralization of approximately $8.97 million (approximately 2.50% of the initial loan pool). -- The transaction's legal structure. Preliminary Ratings Assigned(i) Lendmark Funding Trust 2025-1 Class A, $228.66 million: AAA (sf) Class B, $28.36 million: AA (sf) Class C, $31.59 million: A+ (sf) Class D, $30.87 million: BBB (sf) Class E, $32.31 million: BB (sf) (i)The actual size of these tranches will be determined on the pricing date. LHOME 2025-RTL2: DBRS Gives Prov. B(low) Rating on M2 Notes ----------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-RTL2 (the Notes) to be issued by LHOME Mortgage Trust 2025-RTL2 (LHOME 2025-RTL2 or the Issuer) as follows: -- $243.5 million Class A1 at (P) A (low) (sf) -- $18.5 million Class A2 at (P) BBB (low) (sf) -- $21.3 million Class M1 at (P) BB (low) (sf) -- $16.7 million Class M2 at (P) B (low) (sf) The (P) A (low) (sf) credit rating reflects 22.90% 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 17.05%, 10.30%, and 5.00% 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 Notes. As of the Initial Cut-Off Date, the Notes are backed by: -- 457 mortgage loans with a total unpaid principal balance (UPB) of approximately $119,221,777 -- Approximately $116,567,697 in the Accumulation Account -- Approximately $80,000,000 in the Reinvestment Period Accumulation Account -- Approximately $3,000,000 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. LHOME 2025-RTL2 represents the 22nd RTL securitization issued by the Sponsor, Kiavi Funding, Inc. (Kiavi). Founded in 2013 as LendingHome Funding Corporation and re-branded as Kiavi in November 2021, Kiavi is a privately held technology-enabled lender that provides business-purpose loans for real estate investors engaged in acquiring, renovating, and either reselling or holding for investment purposes single-family residential properties. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTLs with original terms to maturity of 12 to 24 months. The loans may 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 735. -- A maximum NZ WA loan-to-cost ratio of 91.5%. -- A maximum NZ WA as-repaired loan-to-value ratio of 73.0%. 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 multifamily 5+ properties (the latter is limited to 5.0% of the 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 the 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 that 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 Asset Manager. In the revolving portfolio, RTLs may be: (1) 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, or -- With a portion of the loan proceeds held back by the Servicer (Interest Reserve Holdback Amounts) for future disbursement to fund interest draw requests upon the satisfaction of certain conditions (2) Partially funded: -- With a commitment to fund borrower-requested draws for approved rehab, construction, or repairs of the property (Rehabilitation Disbursement Requests) upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, borrowers usually seek 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 LHOME 2025-RTL2 eligibility criteria, unfunded commitments are limited to 40.0% of the portfolio by aggregate principal limit. 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 fixed rates on the Class A1 and Class A2 Notes will step up by 1.000% the following month. There will be no advancing of delinquent (DQ) 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. The Servicer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. The Servicer will satisfy Rehabilitation Disbursement Requests by (1) for loans with funded commitments, directing the 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 (Rehabilitation Advances) or (B) directing the release of funds from the Accumulation Account. The Servicer will be entitled to reimburse itself for Rehabilitation Disbursement Requests from time to time from the Accumulation Account. The Asset Manager may direct the Paying Agent to remit funds from the Reinvestment Period Accumulation Account to the Accumulation Account in accordance with the Indenture and the real estate mortgage investment conduit (REMIC) provisions. 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 the minimum CE of approximately 5.00% to the most subordinate rated class. The transaction incorporates a Minimum Credit Enhancement 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 the minimum CE for the rated Notes. 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. A Prefunding Interest Account is in place to help cover three months of interest payments to the Notes. Such account is funded upfront in an amount equal to $3,000,000. On the payment dates occurring in May, June, and July 2025, the Paying Agent will withdraw a specified amount to be included in the available funds. Historically, Kiavi RTL originations have generated robust mortgage repayments that 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 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 Kiavi'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 related presale report for more details. OTHER TRANSACTION FEATURES Optional Redemption On any date on or 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 less than 25% of the initial Closing Date Note Amount, the Issuer, at its option, may purchase all of the outstanding Notes at the par plus interest and fees. Repurchase Option The Depositor will have the option to repurchase any DQ or defaulted mortgage loan at the Repurchase Price, which is equal to par plus interest and fees. However, such voluntary repurchases may not exceed 10.0% of the cumulative UPB of the mortgage loans. During the reinvestment period, if the Depositor 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. Loan Sales The Issuer may sell a mortgage loan under the following circumstances: -- The Seller is required to repurchase a loan because of a material breach, a material document defect, or the loan is a non-REMIC qualified mortgage; -- The Depositor elects to exercise its Repurchase Option; -- An automatic repurchase is triggered in connection with the third-party due-diligence review; or -- An optional redemption occurs. U.S. Credit Risk Retention As the Sponsor, Kiavi, through a majority-owned affiliate, will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities (the Class XS Notes) to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool contains loans secured by mortgage properties that are located within certain disaster areas (such as those impacted by the Greater Los Angeles wildfires). Although many RTLs have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicer follows a standard protocol, which includes a review of the impacted area, borrower outreach if necessary, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with representations and warranties (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. MAPS TRUST 2021-1: Moody's Raises Rating on Class C Notes from Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded three notes issued by MAPS 2021-1 Trust (MAPS 2021-1). The notes are backed by a portfolio of aircraft and their related initial and future leases. Merx Aviation Servicing Limited is the servicer of the underlying assets and related leases in MAPS 2021-1. Issuer: MAPS 2021-1 Trust Class A Notes, Upgraded to Aa2 (sf); previously on Jul 15, 2024 Upgraded to Aa3 (sf) Class B Notes, Upgraded to A2 (sf); previously on Jun 17, 2021 Definitive Rating Assigned Baa1 (sf) Class C Notes, Upgraded to Baa3 (sf); previously on Jun 3, 2022 Confirmed at Ba1 (sf) RATINGS RATIONALE The rating action is primarily driven by bond deleveraging due to significant paydown of the notes, mostly from excess proceeds received from aircraft dispositions. The Class A, B, and C notes have paid down by 76.6%, 77.6%, and 97.2%, respectively, since closing and, as a result, Moody's assessed cumulative loan-to-value (CLTV) ratio of the notes excluding projected end of lease (EOL) payments has improved significantly. As of the April 2025 payment date, the Class A notes CLTV is 47.8%, Class B notes CLTV is 55.7%, and the Class C notes CLTV is 56.5%, based on Moody's assessed value (MAV) of approximately $207 million. MAV reflects the minimum of several third-party appraisers' maintenance-adjusted half-life market values and Moody's CLTV ratio reflects the loan-to-value ratio of the combined amounts of each series of notes and the series that are senior to it. Additionally, the Debt Service Coverage Ratio (DSCR) is currently at 1.76, which is above the cash trap trigger of 1.20 and the rapid amortization trigger of 1.15. Moody's considered structural features such as the availability of reserves and liquidity facilities as well as qualitative factors such as the servicer's broad flexibility in managing the aircraft portfolio, and legal factors. Moody's also considered a number of sensitivity scenarios to address risks related to future lessee downgrades and future economic downturns. In particular, Moody's considered stress scenarios on aircraft MAV and lease cash flows to address uncertainties related to future volatility of aircraft values and lease rates arising from aging aircraft portfolio, potential unforeseen market or geopolitical risks. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Securities Backed by Aircraft and Associated Leases" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Factors that could lead to an upgrade of the ratings on the notes are (1) collateral cash flows that are significantly greater than Moody's initial expectations and (2) significant improvement in the credit quality of the airlines leasing the aircraft. Moody's updated expectations of collateral cash flows may be better than its original expectations because of lower frequency of lessee defaults, lower than expected depreciation in the value of the aircraft that secure the lessees' promise of payment under the leases owing to stronger global air travel demand, higher than expected aircraft disposition proceeds, higher than expected insurance proceeds, and higher than expected EOL payments received at lease expiry that are used to prepay the notes. As the primary drivers of performance, positive changes in the condition of the global commercial aviation industry could also affect the ratings. Down Factors that could lead to a downgrade of the ratings on the notes are (1) collateral cash flows that are materially below Moody's initial expectations and (2) a significant decline in the credit quality of the airlines leasing the aircraft. Other reasons for worse-than-expected transaction performance could include poor servicing of the assets, for example aircraft sales disadvantageous to noteholders, or error on the part of transaction parties. Moody's updated expectations of collateral cash flows may be worse than its original expectations because of a higher frequency of lessee defaults, greater than expected depreciation in the value of the aircraft that secure the lessees' promise of payment under the leases owing to weaker global air travel demand, credit drift as the pool composition changes, lower than expected aircraft disposition proceeds, and lower than expected EOL payments received at lease expiry. Transaction performance also depends greatly on the strength of the global commercial aviation industry. MF1 2025-FL19: Fitch Assigns 'B-(EXP)sf' Rating on Three Tranches ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to the MF1 2025-FL19, LLC notes as follows: - $700,000,000a class A 'AAAsf'; Outlook Stable; - $171,875,000a class A-S 'AAAsf'; Outlook Stable; - $85,937,000a class B 'AA-sf'; Outlook Stable; - $68,750,000a class C 'A-sf'; Outlook Stable; - $40,625,000a class D 'BBBsf'; Outlook Stable; - $20,313,000a class E 'BBB-sf'; Outlook Stable; - $15,625,000be class F 'BB+sf'; Outlook Stable; - $0c class F-E 'BB+sf'; Outlook Stable; - $0d class F-X 'BB+sf'; Outlook Stable; - $25,000,000be class G 'BB-sf'; Outlook Stable; - $0c class G-E 'BB-sf'; Outlook Stable; - $0d class G-X 'BB-sf'; Outlook Stable; - $25,000,000be class H 'B-sf'; Outlook Stable; - $0c class H-E 'B-sf'; Outlook Stable; - $0d class H-X 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $96,875,000ef Income notes. (a) Pursuant to Rule 144A. (b) Exchangeable Notes: The class F, class G, and class H notes are exchangeable notes and are exchangeable for proportionate interests in the MASCOT notes, subject to the satisfaction of certain conditions and restrictions, provided that at the time of the exchange such notes are owned by a wholly owned subsidiary of MF1. The principal balance of each of the exchangeable notes received in an exchange will be equal to the principal balance of the corresponding MASCOT P&I notes surrendered in such exchange. (c) MASCOT P&I notes. (d) MASCOT interest-only notes. (e) Retained notes. (f) Horizontal risk retention interest, estimated to be 7.750% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,213,056,405 and does not include future funding. This includes the expected principal balance of delayed collateral interests. The expected ratings are based on information provided by the issuer as of May 8, 2025. Transaction Summary Totaling $1.250 billion, the notes represent the beneficial ownership interest in the trust, the primary assets of which are 25 loans secured by 82 commercial properties, with an aggregate principal balance of $1,213,056,405 as of the cutoff date and cash held to fund the acquisition of additional loan and participation interests of $36,943,595. The pool includes five delayed close loans totaling approximately $295.4 million which are expected to close after deal closing. The pool does not include $77.1 million of expected future funding. The loans were contributed to the trust by MF1 REIT III LLC. The servicer is expected to be CBRE Loan Services Inc., and the special servicer is expected to be MF1 Loan Services LLC. The trustee is expected to be Wilmington Trust, National Association and the note administrator is expected to be Computershare Trust Company, N.A. The notes are expected to follow a sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 53.9% of the loans by balance, and cash flow analysis and asset summary reviews on 92.6% of the pool. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed net cash flow (NCF) analysis on 15 loans totaling 52.2% of the pool by balance. Fitch's resulting NCF of $102.2 million represents a 10.5% decline from the issuer's underwritten NCF of $114.2 million, excluding loans for which Fitch conducted an alternate value analysis. Higher Fitch Leverage: The pool has higher leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value ratio (LTV) of 148.7% is higher than the 2025 YTD CRE‐CLO and 2024 CRE CLO averages of 137.9% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 5.7% is lower than the 2025 YTD CRE CLO and 2024 CRE CLO averages of 6.6% and 6.5%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch CRE‐CLO transactions. The top 10 loans in the pool make up 59.2% of the pool, which is lower than the 2025 YTD CRE‐CLO and 2024 CRE CLO averages of 60.5% and 70.5%, respectively. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 22.2 (given credit to the ramp cash-collateral interest). Fitch views diversity as a key mitigator to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: Based on the scheduled balances at the end of the fully extended loan term, the pool will pay down by 1.5%, which is worse than the 2025 YTD CRE‐CLO and 2024 CRE CLO averages of 0.2% and 0.6%, respectively. Interest-only loans make up 19.6% of the pool, which is better than the 2025 YTD CRE‐CLO and 2024 CRE CLO averages of 90.9% and 56.8%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet 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'/'BB-sf'/'B-sf'; - 10% Decline to Fitch NCF: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'B+sf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'/'B-sf'; - 10% Increase to Fitch NCF: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BBsf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS In accordance with Fitch's "U.S. and Canadian Multiborrower CMBS Criteria," Fitch modeled different stress scenarios using the Global Cash Flow Model as a tool. These stresses include different interest rate, default and default timing scenarios. The deal's liabilities structure passed all of the hypothetical stress scenarios. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MOA 2020-H1 E: Fitch Lowers Rating on Class E-RR Certs to 'Bsf' --------------------------------------------------------------- Fitch Ratings has downgraded one class and affirmed 11 classes of Morgan Stanley Capital I Trust, commercial mortgage pass-through certificates, series 2017-H1 (MSC 2017-H1). The Outlooks on classes A-S, B, C, and X-B have been revised to Negative from Stable. Following the downgrade of class E-RR, Fitch assigned a Negative Outlook. Fitch has also downgraded the MOA 2020-H1 E horizontal risk retention pass through certificate (2017 H1 IV Trust) and assigned a Negative Outlook following the downgrade. Entity/Debt Rating Prior ----------- ------ ----- MOA 2020-H1 E E-RR 90215TAA6 LT Bsf Downgrade BBB-sf Morgan Stanley Capital I Trust 2017-H1 A-3 61691JAT1 LT AAAsf Affirmed AAAsf A-4 61691JAU8 LT AAAsf Affirmed AAAsf A-5 61691JAV6 LT AAAsf Affirmed AAAsf A-S 61691JAY0 LT AAAsf Affirmed AAAsf A-SB 61691JAS3 LT AAAsf Affirmed AAAsf B 61691JAZ7 LT AA-sf Affirmed AA-sf C 61691JBA1 LT A-sf Affirmed A-sf D 61691JAC8 LT BBB-sf Affirmed BBB-sf E-RR 61691JAE4 LT Bsf Downgrade BBB-sf X-A 61691JAW4 LT AAAsf Affirmed AAAsf X-B 61691JAX2 LT A-sf Affirmed A-sf X-D 61691JAA2 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 8.7% from 7.2%. Fitch has designated 10 loans (17.6%) as Fitch Loans of Concern (FLOCs), which includes four loans (8.2%) in special servicing. The downgrades reflect the higher pool loss expectations since the prior rating action, driven primarily by the Selig Portfolio (4.5%), One Presidential (3%), Magnolia Hotel Denver (3.7%), and Shea Center (1.8%). The Negative Outlooks reflect the potential for further downgrades if performance of the aforementioned office and hotel FLOCs deteriorates beyond current expectations, including lower recoveries and/or prolonged workouts of the specially serviced loans/assets, or if more loans than anticipated fail to refinance. The Negative Outlooks also account for the pools' high office concentration of 38%. FLOCs; Largest Contributors to Losses: The largest increase in loss expectations and overall largest contributor to losses is the Selig Portfolio asset (4.5%), which is secured by a portfolio of seven office properties totaling 1.1 million sf, located in the CBD of Seattle, WA. The loan transferred to special servicing in March 2024 due to its inability to repay at its May 2024 maturity. Per the January 2024 rent roll, portfolio occupancy was 60%, which is a slight decline from 63% as of YE 2023, down from 72% in 2022 and 84% in 2021. The servicer reported interest only YE 2023 Net Operating Income (NOI) Debt Service Coverage Ratio (DSCR) was 1.72x, compared with 1.58x at YE 2022 and 2.12x at YE 2021. According to servicer updates, workout discussions are ongoing with the borrower. Fitch's 'Bsf' rating case loss of 43.4% (prior to concentration add-ons) reflects a discount to the February 2025 appraisal, reflecting a stressed value of approximately $109 psf. Fitch ran an additional sensitivity scenario, which reflects a value of $82 psf if office valuations continue to deteriorate. This scenario contributes to the Negative Outlook revisions. The second-largest contributor to loss expectations is the One Presidential asset (3%), which is a 133,115-sf suburban office building in Bala Cynwyd, PA, approximately six miles from Philadelphia. The loan, which was previously sponsored by Keystone Property Fund Management, transferred to special servicing in November 2021 for imminent default and become REO in December 2022. According to servicer updates, the plan is to execute new leases and increase occupancy prior to marketing the property for sale. Fitch's 'Bsf' ratings case loss of approximately 63% reflects a value of $102 psf. The next-largest contributor to loss is the Magnolia Hotel Denver loan (3.8%), which is secured by a 297-key full-service, boutique hotel in Denver, CO. The collateral also includes seven commercial condominium units and a leasehold interest in ballroom space across the street from the hotel that expired in July 2023. The loan is sponsored by Stout Street Hospitality. The loan transferred to special servicing in December 2023 due to its inability to repay at its May 2024 maturity. The maturity date has been extended by one year, moving it to May 2025. Fitch has made a request to the servicer for an update on the maturity status, which is still pending. Fitch's 'Bsf' ratings case loss of approximately 24% utilized a 11.25% cap rate with a 15% haircut to the YE 2023 NOI. Fitch also increased the probability of default due to the loans upcoming May 2025 maturity and anticipated refinance concerns. Increasing Credit Enhancement: As of the March 2025 distribution date, the pool's aggregate balance has been reduced by 16% to $918.1 million from $1.09 billion at issuance. To date, the pool has incurred a total of $5.3 million in realized losses and interest shortfalls, of which $1.5 million are affecting the non-rated class J-RR. Seven loans (7% of the pool balance) are defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur. Downgrades to junior 'AAAsf' and classes rated in the 'AAsf' and 'Asf' categories, which have Negative Outlooks, could occur if deal-level losses increase significantly from outsized losses on larger office and hotel FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to the 'BBBsf' and 'Bsf' category are likely with higher-than-expected losses from continued underperformance of the FLOCs, in particular the office and hotel FLOCs, and/or greater certainty of losses on the specially serviced loans. These elevated risk loans include Selig Portfolio, One Presidential, Magnolia Hotel Denver, Shea Center and Fairfield Inn & Suites - San Carlos. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with increased CE from additional paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and stable-to-improved performance on the FLOCs, including Selig Portfolio, One Presidential, Magnolia Hotel Denver, Shea Center and Fairfield Inn & Suites - San Carlos. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs and special serviced loans are better than expected and there is sufficient CE to the classes. 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. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS The 2017 H1 IV Trust horizontal risk retention pass-through certificate (MOA 2020-H1 E) is a direct pass-through to class E-RR in MSC 2017-H1 and rated 'Bsf'/Negative. 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. MPOWER EDUCATION 2025-A: DBRS Gives Prov. BB(low) Rating on C Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes (the Notes) to be issued by MPOWER Education Trust 2025-A (MPOWER 2025-A): -- $247,200,000 Class A Notes at (P) A (sf) -- $43,400,000 Class B Notes at (P) BBB (sf) -- $7,000,000 Class C Notes at (P) BB (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION Morningstar DBRS' provisional credit ratings on the Notes are based upon a review by Morningstar DBRS of the following analytical considerations: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. -- Overcollateralization, subordination, the Reserve Account, and excess spread create credit enhancement levels that are commensurate with the provisional credit ratings. -- Transaction cash flows are sufficient to repay investors under all credit rating stress scenarios in accordance with the terms of the MPOWER 2025-A transaction documents. (2) The quality and credit characteristics of the student loan borrowers. (3) Structural features of the transaction that require the Notes to enter into full turbo principal amortization if performance deteriorates. (4) The experience, origination and underwriting capabilities of MPOWER Financing, Public Benefit Corporation (MPOWER) and its bank partner. -- Morningstar DBRS has performed an operational assessment of MPOWER and considers MPOWER, and via its bank partnership with Bank of Lake Mills, an acceptable originator of private student loans. (5) The ability of the Subservicer to perform collections on the collateral pool and other required activities. -- Morningstar DBRS has performed an operational assessment of Launch Servicing, LLC and considers the entity to be an acceptable subservicer of private student loans. (6) The legal structure and expected legal opinions that will address the true sale of the student loans, the nonconsolidation of the trust, that the indenture trustee has a valid and perfected security interest in the assets, and the consistency with the Morningstar DBRS' "Legal Criteria for U.S. Structured Finance." (7) 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 ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Noteholders' Interest Distribution Amount and the related Outstanding Principal Amount. Notes: All figures are in U.S. dollars unless otherwise noted. NALP BUSINESS 2025-1: DBRS Finalizes BB Rating on C Notes --------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following class of notes (collectively, the Notes or Series 2025-1) issued by NALP Business Loan Trust 2025-1: -- $155,930,000 Class A Notes at A (low) (sf) -- $23,820,000 Class B Notes at BBB (sf) -- $4,330,000 Class C Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (2) The collateral pool loans were sourced, reviewed, and underwritten relying on the same personnel and consistent with practices and on the terms utilized by Newtek (or the Company) for conforming Small Business Administration (SBA) 7(a) loans. (3) For the Expected Final Pool, Morningstar DBRS' stressed cumulative net loss (CNL) hurdle rate of 41.53% in the cash flow scenarios is commensurate with the Class A Notes credit rating of (P) A (low) (sf), the CNL hurdle rate of 35.17% is commensurate with the Class B Notes credit rating of (P) BBB (sf), and the CNL hurdle rate of 27.54% is commensurate with the Class C Notes credit rating of (P) BB (sf). For the Closing Pool, Morningstar DBRS' stressed CNL hurdle rate of 42.27% in the cash flow scenarios is commensurate with the Class A Notes credit rating of (P) A (low) (sf), the CNL hurdle rate of 35.72% is commensurate with the Class B Notes credit rating of (P) BBB (sf), and the CNL hurdle rate of 27.78% is commensurate with the Class C Notes credit rating of (P) BB (sf). The Class A Notes and Class B Notes are rated to the timely payment of interest and ultimate payment of principal by the Maturity Date. The Class C Notes are rated to the ultimate payment of interest and ultimate payment of principal by the Maturity Date. -- Morningstar DBRS did not assign any credit to seasoning of the Fully Funded Pool collateral for the Series 2025-1 transaction of approximately four months as of the Initial Cut-Off Date (the weighted-average (WA) remaining term for the Closing Pool as of the same date was 250 months). -- Morningstar DBRS' stressed CNL hurdle rate was derived using the custom probability of default curve, which was input into the Morningstar DBRS CLO Insight Model. The WA expected cumulative gross default rate assumed by Morningstar DBRS as an input to the Morningstar DBRS CLO Insight Model for the Expected Final Pool was 32.54% and for the Closing Pool was 32.63%. -- Morningstar DBRS used a stressed recovery rate of 29.35% in the cash flow scenarios commensurate with a (P) A (low) (sf) credit rating, 33.40% commensurate with a (P) BBB (sf) credit rating, and 36.22% commensurate with a (P) BB (sf) credit rating for the Expected Final Pool. For the Closing Pool, Morningstar DBRS used a stressed recovery rate of 29.88% in the cash flow scenarios commensurate with a (P) A (low) (sf) credit rating, 34.12% commensurate with a (P) BBB (sf) credit rating, and 36.88% commensurate with a (P) BB (sf) credit rating. The recovery rate assumption was derived primarily based on the value of first-lien commercial real estate (CRE) and residential real estate (RRE) as well as machinery and equipment, as applicable. In some cases, limited recovery credit was given to the appraised value of land and to furniture and fixtures and other assets. No recovery credit was given to non-first-lien assets pledged as collateral, including CRE and RRE properties. (4) Morningstar DBRS' cash flow analysis tested the ability of the transaction to generate cash flows sufficient to service the interest and principal payments on the Class A Notes, Class B Notes, and Class C Notes under two different default timing scenarios and with two different prepayment scenarios beginning in Year 2 for both the Expected Final Pool and the Closing Pool. (5) The transaction's capital structure and form and sufficiency of available credit enhancement. Overcollateralization, cash held in the Reserve Account and Capitalized Interest Account, available excess spread, and other structural provisions create credit enhancement levels that are commensurate with the credit ratings on the Class A Notes, Class B Notes, and Class C Notes. -- The initial overcollateralization as of the closing date is equal to 15.00% of the aggregate collateral loan balance. -- The replenishable cash reserve account was funded at 2.00% of the initial Pool Balance. -- The WA coupon for the collateral pool was approximately 13.34% as of the Initial Cut-Off Date for the Closing Pool. As the prefunding loans are already identified, the WA coupon is expected to decrease to 13.30% following the end of the Prefunding Period. All of the loans are floating rate, with the interest rates resetting periodically on the respective Adjustment Date. On each Adjustment Date, the loan rate will be adjusted to equal the sum of the related index and a fixed percentage amount (the Gross Margin). As of the Initial Cut-Off Date, the WA number of months until the next Adjustment Date was approximately 52, ranging from zero to 65 months. In its stressed cash flow scenarios, Morningstar DBRS assumed the current loan rate for each loan until its respective Adjustment Date. After that, the loan rate was the index for each loan as determined by the Morningstar DBRS interest rate curves, plus the Gross Margin. (6) The collateral for the transaction is represented by a discrete, amortizing pool of loans; however, the transaction includes an approximately four-month Prefunding Period, during which already-identified business loans are expected to be added. These business loans comprise loans to eight obligors with a total original loan balance of approximately $32.15 million. The Prefunding Period begins on the closing date and ends on the earlier of (A) the day before the August 2025 Payment Date, (B) the occurrence of a Trigger Event, and (C) the occurrence and continuance of an unwaived indenture default. -- The prefunded loans are all floating rate and have a WA original term of 292 months. With the exception of three business loans, the obligors of the loans expected to be added during the Prefunding Period have been in business for at least 13 years. The prefunded business loans account for 14.85% of the current collateral balance for the Expected Final Pool. (7) The Expected Final Pool comprises 47 loans to 45 obligors. Two obligors are represented by two loans that are cross-collateralized. For Morningstar DBRS' analysis, the collateral for each such obligor was combined. Other collateral, including but not limited to enterprise value and business valuation, account for more than 50% of the primary collateral type, with CRE accounting for approximately 25% of the primary collateral type (as classified by Newtek) as of the Initial Cut-Off Date. Other primary collateral types include machinery and equipment (13.7%), accounts receivable and inventory (9.8%), and RRE accounting for only approximately 0.7% of the primary collateral. -- Loans representing approximately 46% of the collateral pool have a current loan-to-value ratio (LTV) (as determined by Newtek and adjusted for prior liens) of between 50% and 80%. Loans representing about 80% of the aggregate collateral loan balance have a current LTV of 70% or below. -- California, Florida, and Texas represented the three largest geographical concentrations of approximately 12.9%, 12.0%, and 11.5% of the aggregate collateral loan balance of the Expected Final Pool. The top three obligors in the collateral pool accounted for approximately 20.7% of the total current collateral loan balance of the Closing Pool as of the Initial Cut-Off Date plus the loans expected to be acquired during the Prefunding Period. The largest loans (two loans with $15 million balances) each account for approximately 6.9% of the current borrower balance. Approximately 37.1% of the aggregate current collateral loan balance of the Expected Final Pool was represented by borrowers in the food services and drinking places; educational services; and professional, scientific, and technical services industries. (8) On February 3, 2025, Morningstar DBRS received a surveillance update from Newtek which noted no material changes from the May 2024 operational risk review, with the exception of the addition of a new chief technology officer, which followed the divestiture of Newtek Technology Solutions on January 2, 2025. Newtek is an experienced sponsor of asset-backed securities backed by non-guaranteed interests in SBA 7(a) small business loans, with 15 such transactions completed to date and five currently outstanding. As a result of the update, Morningstar DBRS continues to deem the Company an acceptable originator and servicer of small business loan transactions. Separately, U.S. Bank National Association will be the "warm" Backup Servicer on the transaction. (9) The transaction is supported by an established structure and is consistent with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance" methodology. Legal opinions covering true sale and nonconsolidation were provided. Morningstar DBRS' credit ratings on the Class A, Class B, and Class C Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Current Interest on the Class A, Class B, and Class C Notes, and Carryforward Interest on the Class A, Class B, and Class C Notes (other than the portion of Carryforward Interest attributable to interest on unpaid Current Interest with respect to the Class A and Class B Notes); and the Class Principal Amount on the Class A, Class B, and Class C Notes. Notes: All figures are in US dollars unless otherwise noted. OAKTREE CLO 2023-1: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R loans and class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from Oaktree CLO 2023-1 Ltd./Oaktree CLO 2023-1 LLC, a CLO managed by Oaktree Capital Management L.P. that was originally issued in March 2023. At the same time, S&P withdrew its ratings on the original class B, C, D, and E debt following payment in full on the May 1, 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 just over two years to April 15, 2027. -- The reinvestment period was extended two years to April 15, 2030. -- The stated maturity date for the replacement debt and the existing subordinated notes was extended two years to April 15, 2038. -- There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 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. "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 Oaktree CLO 2023-1 Ltd./Oaktree CLO 2023-1 LLC Class A-R loans, $221.50 million: AAA (sf) Class A-R, $34.50 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $22.00 million: BBB- (sf) Class D-2-R (deferrable), $6.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Ratings Withdrawn Oaktree CLO 2023-1 Ltd./Oaktree CLO 2023-1 LLC 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 Oaktree CLO 2023-1 Ltd./Oaktree CLO 2023-1 LLC Subordinated notes, $38.11 million: NR NR--Not rated. PALMER SQUARE 2022-3: Moody's Ups Rating on $40MM D-R Notes to Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Palmer Square Loan Funding 2022-3, Ltd.: US$45M Class B-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Oct 11, 2024 Upgraded to Aa1 (sf) US$45M Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Oct 11, 2024 Upgraded to A3 (sf) US$40M Class D-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Ba1 (sf); previously on Mar 13, 2024 Assigned Ba2 (sf) Moody's have also affirmed the ratings on the following notes: US$483.5M (Current outstanding amount US$130,739,061) Class A-1a-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 13, 2024 Assigned Aaa (sf) US$140M Class A-1b-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 13, 2024 Assigned Aaa (sf) US$40M Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 13, 2024 Assigned Aaa (sf) Palmer Square Loan Funding 2022-3, Ltd., originally issued in November 2022 and later refinanced in March 2024, is a static collateralised loan obligation (CLO) backed by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is serviced by Palmer Square Capital Management LLC. The servicer may sell assets on behalf of the Issuer during the life of the transaction. Reinvestment is not permitted and all sales and unscheduled principal proceeds received will be used to amortize the notes in sequential order. RATINGS RATIONALE The rating upgrades on the Class B-R, C-R and D-R notes are primarily a result of the deleveraging of the Class A-1a-R notes following amortisation of the underlying portfolio since the last rating action in October 2024. The affirmations on the ratings on the Class A-1a-R, A-1b-R and A-2-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1a-R notes have paid down by approximately USD220.15 million (45.5% of original balance) since the last rating action in October 2024 and USD352.76 million (73.0%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated April 2025 [1] the Class A, Class B, Class C and Class D OC ratios are reported at 150.7%, 135.1%, 122.4% and 112.9% compared to November 2024 [2] levels of 143.9%, 130.8%, 119.9% and 111.7%, respectively. Moody's notes that the April 2025 principal payments are not reflected in the reported OC ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD508.2m Defaulted Securities: None Diversity Score: 62 Weighted Average Rating Factor (WARF): 2665 Weighted Average Life (WAL): 3.67 years Weighted Average Spread (WAS): 2.94% Weighted Average Recovery Rate (WARR): 47.17% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the servicer or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. RATE MORTGAGE 2024-J1: Moody's Ups Rating on Cl. B-4 Certs From Ba1 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 14 bonds issued by RATE Mortgage Trust 2024-J1. The collateral backing this deal consists of prime jumbo mortgage loans. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: RATE Mortgage Trust 2024-J1 Cl. A-19, Upgraded to Aaa (sf); previously on Jul 9, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-20, Upgraded to Aaa (sf); previously on Jul 9, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-21, Upgraded to Aaa (sf); previously on Jul 9, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-20*, Upgraded to Aaa (sf); previously on Jul 9, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-21*, Upgraded to Aaa (sf); previously on Jul 9, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-22*, Upgraded to Aaa (sf); previously on Jul 9, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Jul 9, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa2 (sf); previously on Jul 9, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jul 9, 2024 Definitive Rating Assigned A2 (sf) Cl. B-2A, Upgraded to A1 (sf); previously on Jul 9, 2024 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jul 9, 2024 Definitive Rating Assigned Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jul 9, 2024 Definitive Rating Assigned Ba1 (sf) Cl. B-X-1*, Upgraded to Aa2 (sf); previously on Jul 9, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to A1 (sf); previously on Jul 9, 2024 Definitive Rating Assigned A2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. The transaction continues to display strong collateral performance, with no cumulative losses and a small number of loans in delinquency. In addition, enhancement levels for the tranches have grown significantly, as the pool amortizes relatively quickly. The credit enhancement since closing has grown, on average, 1.12x for the non-exchangeable tranches upgraded. No actions were taken on the other rated classes in this deal because the expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. RCKT MORTGAGE 2025-CES5: Fitch Assigns B(EXP) Rating on 6 Tranches ------------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES5 (RCKT 2025-CES5). Entity/Debt Rating ----------- ------ RCKT 2025-CES5 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-4 LT AA(EXP)sf Expected Rating A-5 LT A(EXP)sf Expected Rating A-6 LT BBB(EXP)sf Expected Rating B-1A LT BB(EXP)sf Expected Rating B-X-1A LT BB(EXP)sf Expected Rating B-1B LT BB(EXP)sf Expected Rating B-X-1B LT BB(EXP)sf Expected Rating B-2A LT B(EXP)sf Expected Rating B-X-2A LT B(EXP)sf Expected Rating B-2B LT B(EXP)sf Expected Rating B-X-2B LT B(EXP)sf Expected Rating A-1AR LT AAA(EXP)sf Expected Rating A-1BR LT AAA(EXP)sf Expected Rating A-2R LT AA(EXP)sf Expected Rating A-3R LT A(EXP)sf Expected Rating M-1R LT BBB(EXP)sf Expected Rating B-1R LT BB(EXP)sf Expected Rating B-2R LT B(EXP)sf Expected Rating B-3R LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A-1L LT AAA(EXP)sf Expected Rating Transaction Summary The notes are supported by 4,332 closed-end second-lien (CES) loans with a total balance of approximately $401 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. 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 11.1% above a long-term sustainable level (vs. 11% on a national level as of 4Q24), down 0.1% since last quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades, driven by high interest rates and elevated home prices. Home prices have increased 2.9% yoy nationally as of February 2025 despite modest regional declines but are still being supported by limited inventory. Prime Credit Quality (Positive): The collateral consists of 4,332 loans totaling approximately $401 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 39% and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 76%. Of the pool, 98.8% of the loans are of a primary residence and 1.2% represent investor properties or second homes, and 89.5% of loans were originated through a retail channel. Additionally, 67.6% of loans are designated as safe-harbor qualified mortgages (SHQMs) and 12.0% 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. Additionally, 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 42.2% 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 of 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'. 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 25.3% of the pool by loan count in which diligence was conducted. This adjustment resulted in a 21bps reduction to the 'AAAsf' expected loss. ESG Considerations RCKT 2025-CES5 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. ROCKFORD TOWER 2017-2: Moody's Affirms Ba3 Rating on Cl. E-R Notes ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Rockford Tower CLO 2017-2, Ltd.: US$24.5M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on May 22, 2023 Upgraded to Aa2 (sf) US$33.5M Class D-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on May 22, 2023 Upgraded to Baa1 (sf) Moody's have also affirmed the ratings on the following notes: US$319.8M (Current outstanding amount US$46,849,136) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 4, 2020 Assigned Aaa (sf) US$55.5M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 22, 2023 Upgraded to Aaa (sf) US$26.5M Class E-R Junior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Mar 4, 2020 Assigned Ba3 (sf) Rockford Tower CLO 2017-2, Ltd., originally issued in September 2017 and refinanced in March 2020, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured loans. The portfolio is managed by Rockford Tower Capital Management, L.L.C. The transaction's reinvestment period ended in October 2021. RATINGS RATIONALE The rating upgrades on the Class C-R and D-R notes are primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the payment date in April 2024. The affirmations on the ratings on the Class A-R, B-R and E-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately USD156.8 million (49.0%) in the last 12 months and USD273.0 million (85.4%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated April 2025 [1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 180.82%, 150.21%, 121.98% and 106.19% compared to April 2024 [2] levels of 140.57%, 128.42%, 114.86% and 106.00%, respectively. Moody's notes that the April 2025 principal payments are not reflected in the reported OC ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD204.5 million Defaulted Securities: USD7.2 million Diversity Score: 44 Weighted Average Rating Factor (WARF): 3360 Weighted Average Life (WAL): 2.89 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.14% Weighted Average Coupon (WAC): 8% Weighted Average Recovery Rate (WARR): 47.0% Par haircut in OC tests and interest diversion test: 3.08% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. SANTANDER 2025-NQM2: S&P Assigns Prelim B (sf) Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Santander Mortgage Asset Receivable Trust 2025-NQM2's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, a townhouse, two- to four-family residential properties, and a condotel. The pool consists of 679 loans, which are non-qualified mortgage/ability-to-repay-compliant (ATR-compliant) and ATR-exempt loans. The preliminary ratings are based on information as of May 8, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) Santander Mortgage Asset Receivable Trust 2025-NQM2 Class A-1, $209,970,000: AAA (sf) Class A-1A, $181,108,000: AAA (sf) Class A-1B, $28,862,000: AAA (sf) Class A-2, $22,513,000: AA (sf) Class A-3, $22,079,000: A+ (sf) Class M-1, $15,153,000: BBB (sf) Class B-1, $8,081,000: BB (sf) Class B-2, $6,783,000: B (sf) Class B-3, $4,040,679: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class PT, $288,619,679: NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the net weighted average coupon shortfall amounts. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. SEQUOIA MORTGAGE 2025-S1: Fitch Assigns BB(EXP) Rating on B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Sequoia Mortgage Trust 2025-S1 (SEMT 2025-S1). Entity/Debt Rating ----------- ------ SEMT 2025-S1 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating B1X LT AA(EXP)sf Expected Rating B2 LT A+(EXP)sf Expected Rating B2A LT A+(EXP)sf Expected Rating B2X LT A+(EXP)sf Expected Rating B3 LT A-(EXP)sf Expected Rating B4 LT BBB-(EXP)sf Expected Rating B5 LT BB(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating Transaction Summary The SEMT 2025-S1 certificates are supported by 784 seasoned loans with a total balance of approximately $455.8 million as of the cutoff date. The pool consists of seasoned performing, fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from Associated Bank. Distributions of principal and interest (P&I) and loss allocations are based on a sequential-pay structure. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.2% above a long-term sustainable level (versus 11.0% on a national level as of 4Q24, down 0.1% since the prior quarter). Housing affordability is the worst it has been in decades, driven by high interest rates and elevated home prices. Home prices increased 2.9% YoY nationally as of February 2025, despite modest regional declines, but are still being supported by limited inventory. Seasoned Prime Credit Quality (Positive): The collateral consists of 784 loans totaling approximately $455.8 million and seasoned about 65 months in aggregate, as determined by Fitch, based on the origination date. Redwood, as loan seller and aggregator, acquired the majority of the loans from bank portfolios with the largest concentration sourced from Associated Bank, National Association (90.4% by unpaid principal balance), and Washington Trust (9.2% by unpaid principal balance). The remainder of the mortgage loans were originated by various other lending institutions, with Shellpoint Mortgage Servicing (rated RPS2+/Stable) and Select Portfolio Servicing (rated RPS1-/Negative) servicing all the loans. All loans are seasoned more than two years and 41.6% of the pool is seasoned over five years. Fitch viewed 96.9% of the borrowers as clean and current over the past 36 months, including 22.0% that Fitch treated as clean due to confirmed servicing transfer-related issues, while the remaining 3.1% have experienced a delinquency in the past two years. All the loans are current as of the cutoff date. In addition, the borrowers have a strong credit profile, with a weighted average (WA) Fitch model FICO score of 768 and a 31.6% debt-to-income ratio (DTI). Given the seasoning of the transaction in combination with the strong credit quality and relatively clean performance of the borrowers, Fitch considered this transaction in line with its seasoned performing (SPL) scope. Low Leverage (Positive): The borrowers exhibit sizable equity in the properties, with an original combined loan-to-value ratio (cLTV) of 77.9% and mark-to-market cLTV of 59.6%, which after applicable haircuts, based on the valuation product, translates to a 65.7% sustainable loan-to-value ratio (sLTV) in the base case. This reflects low-leverage borrowers and is in line with other comparable seasoned transactions. After accounting for Fitch's overvaluation haircuts, 37.8% of the loans have a loss severity (LS) less than 30% and 24.1% are at Fitch's minimum LS floor in Fitch's 'AAAsf' stress. High Geographic Concentration (Negative): The pool has a high Illinois concentration at 58.7% by the unpaid principal balance (UPB). The three highest metropolitan statistical areas (MSAs) of Chicago (58.6%), Minneapolis-St. Paul (18.1%) and St. Louis (6.4%) constitute over 83.0% of the pool. Pools concentrated in a small number of geographic regions may be highly sensitive to unforeseen localized stresses, such as natural disaster events or deteriorating economic conditions on a regional basis. Fitch applied a geographic concentration penalty of 1.52x at the 'AAAsf' stress, which resulted in a roughly 136-bp penalty to account for the significant geographic concentration in this pool. Additionally, Fitch employs CATRADER, a natural catastrophe modeling tool through AIR Worldwide Corporation, to estimate the catastrophe risk in the form of natural disaster events such as storm surges, inland flooding and earthquakes for each county. 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. In SEMT 2025-S1 the servicing administrator (RRAC) will be obligated to advance delinquent P&I to the trust until deemed nonrecoverable, following initial reductions in the class A-IO-S strip and servicing administrator fees. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates. 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 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%, 20% and 30%, in addition to the model-projected 41.0% 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 level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. CRITERIA VARIATION The variation relates to the application of lower loss severity (LS) floors than those described in Fitch's criteria. This pool benefits from a material amount of equity buildup. The pool's sLTV of 65.7% is in line with the SPL/RPL industry average. Fitch believes that applying a 30% LS floor in this situation is highly punitive and, as a result, considered a 20% loss severity floor at the 'AAAsf' stress, which provides additional downside protection in the event of idiosyncratic events while differentiating this pool from other pools with much higher sLTVs. This treatment resulted in a rating of approximately one to two notches higher for each class and is consistent with other deals with similar collateral profile. 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 regulatory compliance review on 99.1% to ensure loans were originated in accordance with applicable federal, state and local high-cost loan and anti-predatory laws. Seven loans, composing the remaining 0.9%, were part of previous Fitch-rated Redwood securitizations from 2012 and had diligence completed at that time. In addition, Fitch also received a credit and property valuation review on 96.6% of the loans as well as a tax/title search, pay history review and modification report for all loans reviewed by AMC. Overall, Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit in its loss analysis. This adjustment resulted in a 16bp reduction in Fitch's 'AAAsf' loss expectation. 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. SIXTH STREET 28: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Sixth Street CLO 28 Ltd./Sixth Street CLO 28 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 Sixth Street Advisors LLC. The preliminary ratings are based on information as of May 14, 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 Sixth Street CLO 28 Ltd./Sixth Street CLO 28 LLC Class A loans, $227.50 million: AAA (sf) Class A notes, $80.00 million: AAA (sf) Class B-1, $55.70 million: AA (sf) Class B-2, $7.30 million: AA (sf) Class C (deferrable), $39.50 million: A (sf) Class D-1 (deferrable), $22.50 million: BBB (sf) Class D-2 (deferrable), $7.50 million: BBB- (sf) Class E (deferrable), $18.75 million: BB- (sf) Subordinated notes, $50.00 million: NR NR--Not rated. SOUND POINT IX: Moody's Cuts Rating on $24.5MM E-RR Notes to B2 --------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following note issued by Sound Point CLO IX, Ltd.: US$55,000,000 Class B-RRR Senior Secured Floating Rate Notes due 2032 (the "Class B-RRR Notes"), Upgraded to Aa1 (sf); previously on September 16, 2021 Assigned Aa2 (sf) Moody's have also downgraded the ratings on the following notes: US$24,500,000 Class E-RR Junior Secured Deferrable Floating Rate Notes due 2032 (the "Class E-RR Notes"), Downgraded to B2 (sf); previously on September 25, 2020 Downgraded to B1 (sf) US$10,000,000 Class F-RR Junior Secured Deferrable Floating Rate Notes due 2032 (the "Class F-RR Notes"), Downgraded to Caa3 (sf); previously on September 25, 2020 Downgraded to Caa2 (sf) Sound Point CLO IX, Ltd., originally issued in July 2015 and partially refinanced most recently in September 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2024. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and increase in over-collateralization (OC) ratios since April 2024. The Class A-RRR notes have been paid down by approximately 15.8% or $51.5 million since then. Based on Moody's calculations, the OC ratio for the Class A/B notes is currently 129.43% after April 2025 payment date when approximately $36.1 million of principal proceeds to pay down the Class A-RRR notes, compared to trustee reported OC level of 127.52% based on the April 2024 trustee report[1]. The downgrade rating action on the Class E-RR and Class F-RR notes reflects the specific risks to the junior notes posed by par loss, and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's April 2025 report, the OC ratio for the Class E-RR notes is reported at 103.16%[2] versus April 2024 level of 105.35%[3]. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level is 2971[4] compared to 2779 in April 2024[5]. No actions were taken on the Class A-RRR, Class C-RRR and Class D-RRR 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: $423,750,444 Defaulted par: $8,880,333 Diversity Score: 77 Weighted Average Rating Factor (WARF): 2957 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.18% Weighted Average Recovery Rate (WARR): 47.03% 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. SREIT 2021-FLWR: DBRS Confirms B(low) Rating on Class F Certs ------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-FLWR issued by SREIT Trust 2021-FLWR (the Issuer) as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) Morningstar DBRS changed the trends on Class D, Class E, and Class F to Positive from Stable. All other trends are Stable. The credit rating confirmations reflect the stable to improving performance of the collateral multifamily portfolio, which benefits from high-quality amenities and luxury interior finishes. The portfolio occupancy rate has hovered around 95.0% since issuance and the average rental rate and net cash flow (NCF) for the annualized trailing nine months (T-9) ended September 30, 2024, are both up by about 25.0% from the Issuer's figures at securitization. Morningstar DBRS also notes the increased credit support that has resulted from property releases to date. These factors support the Positive trends on Classes D, E, and F. Given the proximity to maturity and the volatility in the floating rate underlying loan's debt service coverage ratio, which declined to 1.01 times (x) as of September 2024 because of the changing interest rate environment since securitization, for this review, Morningstar DBRS updated the loan-to-value (LTV) sizing benchmarks, which is described in further detail below. At issuance, the transaction was collateralized by a portfolio of 16 Class A multifamily assets totaling 5,260 units, spread across 11 metropolitan statistical areas within six states. The borrower used whole loan proceeds of $796.5 million, alongside $385.0 million of sponsor equity, to facilitate the acquisition of the portfolio for approximately $1.09 billion ($216,300 per unit). As of the March 2025 remittance there are 13 properties remaining in the pool with property releases for three of the original collateral properties having been processed since the last credit rating action in April 2024 in Century Ariva, Century Crosstown, and Century 380. The allocated loan amount at issuance for those three properties was $51.9 million, $58.7 million, and $52.3 million, respectively. The trust balance of $625.5 million reflects a collateral reduction of 21.5% since issuance. The loan benefits from experienced sponsorship by Starwood, which owns nearly 350 multifamily properties totaling approximately 88,000 units in the United States. The loan, structured with a two-year initial term and three one-year extension options, pays interest only through the fully extended maturity date of July 2026. The borrower entered into an interest rate cap agreement at issuance with a strike price of 1.00% and a five-year term, consistent with the fully extended loan maturity. The borrower exercised its second one-year loan extension option along with a new capitalization rate (cap rate) agreement that has a conversion from Libor to the Secured Overnight Financing Rate. The loan has a partial pro rata/sequential-pay structure, which allows for pro rata paydowns across the capital structure for the first 20% of the unpaid principal balance. The borrower can release individual properties subject to customary debt yield and LTV tests. The prepayment premium for the release of individual assets is 105.0% of the allocated loan amount (ALA) on the first 15.0% of the original principal balance and 110.0% of the ALA for the release of individual assets thereafter, which Morningstar DBRS considers to be weaker than a generally credit-neutral standard of 115.0%. As of the September 2024 reporting, the portfolio had an average occupancy rate of 94.8%, generally in line with the occupancy rate of 95.6% at year-end (YE) 2023 and 96.3% at issuance. The annualized trailing nine-month NCF for the 13 properties remaining in the pool of $45.9 million as of September 2024 reflects an increase of 4.9% from $43.7 million at YE2023 and 9.7% from $41.8 million at YE2022. Given the relatively short remaining extended loan term, Morningstar DBRS updated the LTV sizing benchmarks to consider a scenario more closely aligned with that of a replacement lender, accounting for both the sustained year-over-year increases in NCF as well as the widening of capitalization (cap) rates largely because of increasing interest rates since issuance. The updated Morningstar DBRS Value of $574.8 million is based on a cap rate of 7.0%, up from the Morningstar DBRS cap rate of 6.25% at issuance, and an 8.0% haircut to the YE2023 NCF. The 8.0% haircut is generally consistent with the haircut to the Issuer's NCF from the Morningstar DBRS NCF derived at issuance. The 75basis point increase in the Morningstar DBRS cap rate is relatively in line with the average cap rate increase as reported by CBRE for the portfolio's respective markets since issuance. The 7.0% cap rate is also generally aligned with comparable properties backing transactions recently assigned credit ratings by Morningstar DBRS. Morningstar DBRS maintained the positive qualitative adjustments to the LTV sizing benchmarks considered at issuance, which total 6.5% to reflect the property's cash flow volatility, property quality, and market fundamentals. The results of the LTV Sizing Benchmark suggest moderate upgrade pressure, supporting the Positive trends on Classes D, E, and F with an implied all-in LTV of 108.8% and an LTV of 88.5% for the Morningstar DBRS rated debt. The Morningstar DBRS credit ratings assigned to classes D, E, and F are lower than the results implied by the LTV sizing benchmarks. Given the proximity to the final maturity, as well as the general uncertainty in the current interest rate environment, the variances are warranted. With this review, Morningstar DBRS placed Positive trends on all three classes, reflecting the factors as previously described that benefit the transaction and will be monitored over the next 12 months. 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. STARWOOD RETAIL 2014-STAR: DBRS Confirms C Rating on 5 Classes -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-STAR issued by Starwood Retail Property Trust 2014-STAR as follows: -- Class A at C (sf) -- Class B at C (sf) -- Class C at C (sf) -- Class D at C (sf) -- Class E at C (sf) All classes have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) ratings. The credit rating confirmations reflect the stable liquidated loss expectations for the remaining collateral regional malls, as based on the total appraised value for the remaining three collateral malls of $160.0 million as at August 2024. Based on that figure, Morningstar DBRS expects that all classes, including the $309.1 million Class A certificate, will take a loss upon the final resolution. One of the original collateral properties, MacArthur Center, was liquidated from the trust, with the initial loss reflected in the August 2023 reporting, As of the April 2025 reporting, the loss remains contained to the first loss piece, Class F (no longer rated by Morningstar DBRS), which has a remaining balance of $23.2 million. All classes are being shorted interest, with the Class A certificate receiving less than 25.0% of the scheduled interest due and no other classes receiving interest payments. As of the April 2025 reporting, interest shortfalls totaled $118.0 million. The special servicer reported that a second property sale has been executed for the Northlake Mall in Charlotte, North Carolina. A sales price has not been disclosed to date, but according to an article published by the Charlotte Observer in March 2025, the property was sold for $39.0 million. The special servicer's April 2025 commentary noted the proceeds from the sale were being held until the finalization of court proceedings, which was expected to occur within the next 30 to 60 days. The underlying floating-rate loan had an original balance of $725.0 million and, as of the April 2025 reporting, had an outstanding principal balance of $646.6 million. The remaining portfolio includes one regional mall and one lifestyle center. The Mall at Wellington Green is a 1.3 million-square-foot (sf) indoor regional mall in Palm Beach County, Florida. The subject is anchored by City Furniture and noncollateral anchors Macy's, Dillard's, and JCPenney. At issuance, Nordstrom was in place on a ground lease but closed in 2019 and the special servicer reported that the ground lease for that space was terminated, and the trust acquired ownership of the parcel in early 2024. The Mall at Partridge Creek is a 626,000-sf lifestyle center in Clinton Township, Michigan, about 30 miles north of downtown Detroit. The property's only remaining anchor is MJR Digital Cinemas, as Nordstrom vacated in September 2019 and Carson's vacated in 2018 following its bankruptcy filing. The special servicer also reported that the ground lease for the Nordstrom space at this property has been terminated and the trust acquired the parcel in late 2023. The loan initially matured in 2017, with extension options available that were subject to debt yield hurdle requirements; however, those could not be met, and as a result the sponsor was required to make a principal paydown of $25.0 million and monthly principal payments of $0.8 million to satisfy a loan modification to extend the maturity to 2019. With the paydown amounts, the loan balance was ultimately reduced by approximately $44.0 million. Despite the deleveraging, the borrower was still unable to repay at the extended maturity given the sustained occupancy and cash flow declines for the portfolio, and the loan was transferred to special servicing. The initial resolution strategy considered another loan modification, but ultimately the borrower agreed to an orderly transition of the properties to a receiver that was to work toward stabilizing the assets prior to disposition. The special servicer reported a November 2024 occupancy rate hovering around 70.0% for the Mall at Partridge Creek and around 90.0% for the Mall at Wellington Green (not including the Nordstrom spaces for each). As of the April 2025 remittance, the principal balance of the loan totaled $646.6 million, with outstanding servicer advances and other amounts bringing the total trust exposure to $771.4 million. According to the servicer, there is $9.4 million held in the cash management reserves that can be used for capital expenditures, operating expenses, repaying advances, and other property expenses and serves as additional cash collateral. 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. SYMPHONY CLO 38: 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, issuer loans, and new class X-R debt from Symphony CLO 38 Ltd./Symphony CLO 38 LLC, a CLO managed by Symphony Alternative Asset Management LLC, a subsidiary of Nuveen Asset Management LLC, that was originally issued in March 2023. At the same time, S&P withdrew its ratings on the original class A, A-1-L, A-2-L, B-1, B-2, C-1, C-2, D, and E debt following payment in full on the May 14, 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, D-2-R, and E-R debt, the new class X-R debt, and issuer loans were issued at a lower spread over three-month SOFR than the original debt. -- Target par was increased by $3.50 million to $453.50 million. -- The reinvestment period was extended by 1.84 years. -- The stated maturity was extended by 2.25 years. -- The replacement class A debt, made up of one loan tranche and two note tranches, was issued to replace the outstanding class A debt of two loan tranches and one note tranche. -- A single class B-R note was issued to replace the outstanding class B-1 and B-2 debt tranches, while a single class C-R note was issued to replace the outstanding class C-1 and C-2 debt tranches. -- The replacement class D-1-R and D-2-R debt was issued to replace the outstanding class D debt. -- The new class X-R debt was issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds over the course of 10 payment dates beginning with the payment date in October 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 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 Symphony CLO 38 Ltd./Symphony CLO 38 LLC Class X-R, $4.500 million: AAA (sf) Class A-1-R, $247.500 million: AAA (sf) Issuer loans, 36.000 million: AAA (sf) Class A-2-R, $9.000 million: AAA (sf) Class B-R, $49.500 million: AA (sf) Class C-R (deferrable), $27.000 million: A (sf) Class D-1-R (deferrable), $22.375 million: BBB (sf) Class D-2-R (deferrable), $8.000 million: BBB- (sf) Class E-R (deferrable), $14.625 million: BB- (sf) Ratings Withdrawn Symphony CLO 38 Ltd./Symphony CLO 38 LLC Class A to NR from 'AAA (sf)' Class A-1-L to NR from 'AAA (sf)' Class A-2-L to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C-1 to NR from 'A (sf)' Class C-2 to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Symphony CLO 38 Ltd./Symphony CLO 38 LLC Subordinated notes, $40.882 million: NR NR--Not rated. SYMPHONY CLO 48: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Symphony CLO 48, Ltd. Entity/Debt Rating ----------- ------ Symphony CLO 48, Ltd. A-1 LT AAA(EXP)sf Expected Rating Issuer Loans 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 D-3 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Symphony CLO 48, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Symphony Alternative Asset Management 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 22.97, versus a maximum covenant, in accordance with the initial expected matrix point of 24. 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 99.84% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.92% versus a minimum covenant, in accordance with the initial expected matrix point of 69.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of 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 weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB+sf' for class D-3 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'A-sf' for class D-3 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 Symphony CLO 48, 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. TRUPS FINANCIALS 2018-2: Moody's Ups Ratings on Cl. B Notes to Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by TruPS Financials Note Securitization 2018-2 Ltd: US$210,500,000 Class A-1 Senior Secured Floating Rate Notes due 2039 (current balance $129,684,000.00), Upgraded to Aaa (sf); previously on December 20, 2018 Definitive Rating Assigned Aa1 (sf) US$58,000,000 Class A-2 Mezzanine Deferrable Floating Rate Notes due 2039 (current balance $58,000,000.00), Upgraded to Aa3 (sf); previously on December 20, 2018 Definitive Rating Assigned A3 (sf) US$29,800,000 Class B Mezzanine Deferrable Floating Rate Notes due 2039 (current balance $29,800,000.00), Upgraded to Ba1 (sf); previously on December 20, 2018 Definitive Rating Assigned Ba3 (sf) TruPS Financials Note Securitization 2018-2 Ltd, issued in December 2018, 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 transactions has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the ongoing deleveraging of the Class A-1 notes and the resulting increase in the transaction's over-collateralization (OC) ratios. The Class A-1 notes have paid down by approximately 6.2% or $8.6 million since a year ago, using principal proceeds from the redemption of the underlying assets. Based on Moody's calculations, the OC ratios for the Class A-1, A-2 and B notes have improved to 198.6%, 137.3% and 118.5%, respectively, from April 2024 levels of 192.5%, 135.6% and 117.7%, respectively. The Class A-1 notes will continue to benefit from the use of proceeds from redemptions of any 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 methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par: $257.6 million Defaulted/deferring par: $12.6 million Weighted average default probability: 6.44% (implying a WARF of 802) 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™ or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. TVC MORTGAGE 2025-RRTL1: DBRS Finalizes B(low) Rating on M2 Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RRTL1 (the Notes) issued by TVC Mortgage Trust 2025-RRTL1 (TVC 2025-RRTL1 or the Issuer) as follows: -- $160.9 million Class A1 at A (low) (sf) -- $14.3 million Class A2 at BBB (low) (sf) -- $15.3 million Class M1 at BB (low) (sf) -- $16.6 million Class M2 at B (low) (sf) The A (low) (sf) credit rating reflects 25.15% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), and 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 rating 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. VENTURE CLO XVIII: Moody's Cuts Rating on $29MM E-R Notes to Caa3 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Venture XVIII CLO, Limited: US$33,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D-R Notes"), Upgraded to A1 (sf); previously on Mar 19, 2024 Upgraded to Baa1 (sf) Moody's have also downgraded the ratings on the following notes: US$29,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E-R Notes"), Downgraded to Caa3 (sf); previously on Sep 18, 2024 Downgraded to Caa2 (sf) Venture XVIII CLO, Limited, originally issued in August 2014 and refinanced in October 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2021. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since September 2024. The Class B-R notes have since been paid in full and the Class C-R notes have been paid down by approximately 55.12% or $29.2 million since then. Based on the trustee's April 2025 report[1], the OC ratio for the Class C-R notes is reported at 221.87%, versus September 2024 level[2] of 151.46%. Moody's notes that the April 2025 trustee-reported OC ratio does not reflect the April 2025 payment distribution, when $18.9 million of principal proceeds were used to pay down the Class C-R notes. The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's April 2025 report[3], the OC ratio for the Class E-R notes (as inferred from the interest diversion test ratio) is reported at 90.49% versus September 2024 level[4] of 96.12%. Based on the trustee's April 2025 report[5] the weighted average rating factor (WARF) is reported at 3644 versus September 2024 level[6] of 3118. Additionally, Moody's notes that the April 2025 trustee-reported Class E-R OC ratio, WARF, Diversity and WAL tests are currently failing. No action was taken on the Class C-R notes because its expected loss remain commensurate with its current rating, 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: $81,895,656 Defaulted par: $3,276,247 Diversity Score: 34 Weighted Average Rating Factor (WARF): 3435 Weighted Average Spread (WAS) (before accounting for reference rate floors): 4.26% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 45.06% Weighted Average Life (WAL): 2.4 years Par haircut in OC tests and interest diversion test: 8.4% 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. VERTICAL BRIDGE 2024-1: Fitch Affirms 'BB-sf' Rating on Cl. F Notes ------------------------------------------------------------------- Fitch Ratings has affirmed the ratings for nine classes of Vertical Bridge Holdings, LLC, series 2022-1 and series 2024-1, issued by VB-S1 Issuer, LLC. Entity/Debt Rating Prior ----------- ------ ----- Vertical Bridge 2022-1 C-1 LT Asf Affirmed Asf C-2-I 91823AAU5 LT Asf Affirmed Asf C-2-II 91823AAW1 LT Asf Affirmed Asf D 91823AAY7 LT BBB-sf Affirmed BBB-sf F 91823ABA8 LT BB-sf Affirmed BB-sf Vertical Bridge 2024-1 C-2 91823ABC4 LT Asf Affirmed Asf D 91823ABE0 LT BBB-sf Affirmed BBB-sf F 91823ABG5 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 91.3% 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 4,504 wireless communication sites including 4,882 towers and other structures as of December 2024. The ratings reflect a structured finance analysis of the cash flows from the ownership interest in cellular sites, not an assessment of the corporate default risk of the ultimate parent, Vertical Bridge REIT LLC (Vertical Bridge). KEY RATING DRIVERS Net Cash Flow and Trust Leverage: ARRNCF is $170.0 million as of March 2025, up 0.92% since last issuance. Total debt / ARRNCF multiple is 12.31x compared to 12.42x at last issuance. Fitch has not redetermined Fitch net cash flow and maximum potential leverage (MPL) 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 MPL include the following: 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. SUMMARY OF FINANCIAL ADJUSTMENTS No adjustments were made to the published financials provided to Fitch for this review. 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 Vertical Bridge 2022-1 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. WELLS FARGO 2015-C27: DBRS Confirms C Rating on 4 Classes --------------------------------------------------------- DBRS Limited downgraded its credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C27 issued by Wells Fargo Commercial Mortgage Trust 2015-C27 as follows: -- Class C to B (sf) from BB (high) (sf) -- Class PEX to B (sf) from BB (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class B at AA (sf) -- Class D at C (sf) -- Class E to C (sf) -- Class F at C (sf) -- Class X-B at C (sf) Morningstar DBRS changed the trends on Classes C and PEX to Stable from Negative. The trend on Class B remains Stable while Classes D, E, F, and X-B have credit ratings that typically do not carry a trend in commercial mortgage-backed securities transactions. The credit rating downgrades reflect Morningstar DBRS' updated recoverability expectations for the remaining loans in the pool, which is in wind-down with just eight specially serviced loans remaining as of the April 2025 remittance. The largest contributor to the increased liquidated loss projections is the Westfield Palm Desert loan (Prospectus ID#1; 34.6% of the pool), which transferred to special servicing in August 2020 and has experienced precipitous value and performance declines since issuance, discussed further below. Interest shortfalls have increased to $5.7 million from $4.3 million at the previous credit rating action, with Class E receiving partial interest and the lowest-rated Class F not receiving any interest since the November 2024 payment period. Although shortfalls have been generally contained to Classes E, F, and the nonrated Class G, Class D has also sustained shortfalls for multiple periods over the past 12 months. Additionally, Morningstar DBRS has concerns about the concentration of distressed office loans remaining in the pool (43.7% of the pool) that could ultimately expose the remaining Classes to shorted interest as workout periods could extend for the longer term. Since the previous credit rating action, 63 loans have fully repaid from the trust. Realized losses remain contained to the nonrated Class G, but have increased by $1.7 million to $8.0 million, as of April 2025, because of advances that have been deemed as nonrecoverable for the 300 East Lombard loan (Prospectus ID#9; 12.7% of the pool). As of the April 2025 remittance, the aggregate principal balance was $180.8 million, representing a collateral reduction of 82.8% since issuance. Given the concentration of defaulted and underperforming assets, Morningstar DBRS' analysis considered conservative liquidation scenarios for all outstanding loans based on stresses to the most recent appraised values to determine the recoverability of the remaining bonds. Morningstar DBRS' estimated liquidated losses are likely to fully write-down the nonrated Class G as well as Classes E and F, which are rated C (sf), and more than 70.0% of the Class D certificate balance, reflecting a notable erosion of credit support for Class C, thereby supporting the credit rating downgrade to Class C. The largest loan in the pool is secured by a 572,724-square-foot (sf) portion of The Shops at Palm Desert (formerly Westfield Palm Desert), a regional mall in Palm Desert, California. The $125.0 million whole loan (pari passu with the Morningstar DBRS-rated Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21) transferred to special servicing in August 2020 for payment default. The loan was assumed by Pacific Retail Capital Partners in November 2023, upon which a modification was executed, extending the loan's maturity to March 2027, with two one-year extension options available. The loan will also be cash managed through the extended maturity. While the remittance report has yet to reflect the adjusted maturity date, the loan remains in special servicing and the receiver has been dismissed. Although the property's performance remains well below issuance expectations, the borrower is planning to redevelop the property and has been engaging in discussions with the special servicer and various stakeholders regarding the budget and execution. As of YE2024, the net cash flow was $6.7 million, and the property was 79.7% occupied. In comparison, the issuance figures were $12.7 million and 96.0%, respectively. A February 2025 appraisal valued the property at $68.5 million, which is an improvement from the August 2023 value of $57.4 million, but well below the issuance value of $212.0 million. Despite the increase in value, which Morningstar DBRS believes was driven by the impending redevelopment, Morningstar DBRS expects the property's performance to remain stagnant through the extended term because of the recovery lag that may arise once the redevelopment is in progress. As such, Morningstar DBRS maintained a 25.0% haircut to the February 2025 value, resulting in a total loss of $43.1 million and a loss severity of 69.0%. The 312 Elm and 312 Plum loans (Prospectus ID#3 and ID#17; collectively 31.1% of the pool) transferred to special servicing in July 2023 for imminent monetary default. Both loans are secured by office properties in downtown Cincinnati, within walking distance of each other, and are sponsored by Rubenstein Properties Fund II, LP. The loans have now surpassed their maturity dates, which were in March 2025, and per the servicer's most recent commentary, the lender is pursuing foreclosure and receivership. Although the borrower planned to sell 312 Plum in 2024 and execute a discounted payoff of the loan, the purchase was ultimately terminated. The properties' performances remain depressed and they have reported below-breakeven debt service coverage ratios, per the most recent financials. The occupancy rate at 312 Elm declined to 44.2% as of YE2024 from 52.0% at September 2023, while the occupancy rate at 312 Plum was 38.0% as of September 2024, unchanged year over year. The 312 Elm property was reappraised in November 2024 for $30.3 million, a 54.8% decline from the issuance appraised value of $67.0 million. Although 312 Plum has not been reappraised since issuance, Morningstar DBRS liquidated both loans based on conservative haircuts to the most recent values to account for the sustained low performances and the significant value deterioration of 312 Elm. The resulting average liquidated value of both loans was $47 per sf, with implied loss severities of 63.5% (312 Elm) and 42.4% (312 Plum). The 300 East Lombard loan is secured by a Class A office property in the central business district of Baltimore. The loan transferred to special servicing in March 2022 for imminent monetary default and failed to repay at its February 2025 maturity. Although a workout strategy has not been finalized, the receiver continues to stabilize the property. The occupancy rate has declined further to 47.3% as of December 2024 from 52.4%, as of September 2023, with the September 2024 financials reporting a negative cash flow for the trailing nine-months ended September 30, 2024. A September 2024 appraisal revalued the property at $8.7 million, in comparison with the January 2024 and issuance values of $9.1 million and $38.5 million, respectively. As noted during Morningstar DBRS' prior review, a major lease to occupy 20.0% of the net rentable area at the property was expected; however, that lease has yet to materialize. Given Morningstar DBRS' expectation that the borrower will face challenges in selling the property considering the low occupancy rate, a haircut of 20.0% was applied to the September 2024 appraised value in the liquidation scenario, which resulted in a loss severity in excess of 85.0%. Notes: All figures are in U.S. dollars unless otherwise noted. [] Moody's Takes Action on 20 Bonds From 10 US RMBS Deals --------------------------------------------------------- Moody's Ratings has upgraded the ratings of 12 bonds and downgraded the ratings of eight bonds from 10 US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R10 Cl. M-3, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-4, Downgraded to Caa1 (sf); previously on Dec 28, 2017 Upgraded to B3 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 29, 2011 Downgraded to Ca (sf) Cl. M-7, Upgraded to Caa3 (sf); previously on Dec 18, 2008 Downgraded to C (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2006-R2 Cl. M-2, Downgraded to Caa1 (sf); previously on Nov 7, 2018 Upgraded to B1 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Feb 3, 2023 Upgraded to Caa3 (sf) Cl. M-4, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE3 Cl. M-2, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2006-PC1 Cl. M-4, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to C (sf) Issuer: Carrington Mortgage Loan Trust, Series 2005-NC1 Cl. M-3, Downgraded to Caa1 (sf); previously on Apr 12, 2016 Upgraded to B1 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Feb 26, 2013 Affirmed C (sf) Cl. M-5, Upgraded to Ca (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB5 Cl. M-2, Downgraded to Caa1 (sf); previously on Mar 10, 2015 Upgraded to B1 (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB5 Cl. M-2, Downgraded to Caa1 (sf); previously on Apr 16, 2018 Upgraded to B2 (sf) Cl. M-3, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Centex Home Equity Loan Trust 2002-C Cl. M-1, Downgraded to Caa1 (sf); previously on May 22, 2018 Upgraded to B1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Dec 20, 2018 Upgraded to Ca (sf) Issuer: Citigroup Mortgage Loan Trust 2007-WFHE1 Cl. M-2, Downgraded to Caa1 (sf); previously on Sep 12, 2018 Upgraded to B1 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Sep 12, 2018 Upgraded to Caa3 (sf) Issuer: Conseco Finance Home Equity Loan Trust 2002-B Cl. B-2, Upgraded to B1 (sf); previously on Jun 9, 2020 Downgraded to B3 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. The 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. In addition, the majority of the rating downgrades are the result of outstanding credit interest shortfalls that are unlikely to be recouped. The downgraded bonds have 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 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 11 Bonds From 4 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 11 bonds from four US residential mortgage-backed transactions (RMBS), backed by Alt-A and Option ARM 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: DSLA Mortgage Loan Trust 2006-AR2 Cl. 1A-1A, Upgraded to Caa1 (sf); previously on Jan 7, 2011 Downgraded to Caa3 (sf) Cl. 2A-1A, Upgraded to Caa1 (sf); previously on Jan 7, 2011 Downgraded to Caa2 (sf) Cl. 2A-1B3, Upgraded to Ca (sf); previously on Jan 7, 2011 Downgraded to C (sf) Issuer: HarborView Mortgage Loan Trust 2006-14 Cl. 1A-1A, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 2A-1A, Upgraded to Caa1 (sf); previously on Nov 19, 2010 Downgraded to Caa2 (sf) Cl. 2A-1B, Upgraded to Ca (sf); previously on Nov 19, 2010 Downgraded to C (sf) Issuer: Luminent Mortgage Trust 2006-5 Cl. A1A, Upgraded to Caa2 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Issuer: RALI Series 2006-QO9 Trust Cl. AXP*, Upgraded to Ca (sf); previously on May 3, 2019 Downgraded to C (sf) Cl. I-A3A, Upgraded to Caa3 (sf); previously on Dec 1, 2010 Downgraded to C (sf) Cl. I-A3AU, Upgraded to Caa3 (sf); previously on Dec 1, 2010 Downgraded to C (sf) Cl. II-A, Upgraded to Caa3 (sf); previously on Dec 1, 2010 Confirmed at Ca (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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 15 Bonds from 6 US RMBS Deals ------------------------------------------------------------ Moody's Ratings, on May 9, 2025, upgraded the ratings of 15 bonds from six US residential mortgage-backed transactions (RMBS), backed by subprime 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: Lehman XS Trust Series 2007-2N Cl. 1-A1A, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 2-A, Upgraded to Caa3 (sf); previously on Oct 22, 2010 Downgraded to Ca (sf) Cl. 2-AX*, Upgraded to Caa3 (sf); previously on Oct 22, 2010 Downgraded to Ca (sf) Cl. 3-A3, Upgraded to Ca (sf); previously on Oct 22, 2010 Downgraded to C (sf) Issuer: Long Beach Mortgage Loan Trust 2006-WL2 Cl. I-A, Upgraded to Aa1 (sf); previously on Sep 5, 2024 Upgraded to A3 (sf) Cl. II-A4, Upgraded to Ba1 (sf); previously on Sep 5, 2024 Upgraded to B1 (sf) Issuer: RALI Series 2006-QO10 Trust Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 13, 2013 Confirmed at Caa3 (sf) Cl. A-2, Upgraded to Ca (sf); previously on Dec 1, 2010 Downgraded to C (sf) Issuer: Structured Asset Mortgage Investments II Trust 2006-AR3 Cl. I-1A-1, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Cl. I-2A-1, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Cl. I-2A-2, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Issuer: Structured Asset Mortgage Investments II Trust 2006-AR7 Cl. A-11, Upgraded to Caa3 (sf); previously on Dec 14, 2010 Downgraded to C (sf) Cl. A-1A, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Cl. A-1B, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Issuer: Structured Asset Mortgage Investments II Trust 2007-AR3 Cl. I-A-3, Upgraded to Caa2 (sf); previously on Dec 14, 2010 Downgraded to Ca (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised 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 rating upgrades for the two tranches from Long Beach Mortgage Loan Trust 2006-WL2 are a result of the improving performance of the related pools and an increase in credit enhancement available to the bonds. Credit enhancement grew by 12.0% for these bonds over the past 12 months. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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 33 Bonds from 13 US RMBS Deals ------------------------------------------------------------- Moody's Ratings, on May 9, 2025, upgraded the ratings of 33 bonds from 13 US residential mortgage-backed transactions (RMBS), backed by subprime, Option ARM, and Alt-A mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR14 Cl. 1-A3A, Upgraded to Caa3 (sf); previously on Dec 1, 2010 Confirmed at Ca (sf) Cl. 1-A3AU, Upgraded to Caa3 (sf); previously on Dec 1, 2010 Confirmed at Ca (sf) Cl. 2-A, Upgraded to Caa2 (sf); previously on Dec 1, 2010 Confirmed at Ca (sf) Cl. 2-AX*, Upgraded to Caa2 (sf); previously on Dec 20, 2017 Confirmed at Ca (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-16XS Cl. M1, Upgraded to Ca (sf); previously on Dec 10, 2010 Downgraded to C (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2007-4 Cl. 1-A1, Upgraded to Caa2 (sf); previously on Dec 24, 2018 Upgraded to Caa3 (sf) Cl. 1-A3, Upgraded to Ca (sf); previously on Nov 19, 2010 Downgraded to C (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2007-7 Cl. 1-A1, Upgraded to B2 (sf); previously on Nov 19, 2010 Downgraded to Caa3 (sf) Cl. 1-A2, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to C (sf) Issuer: Structured Asset Investment Loan Trust 2006-2 Cl. A4, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Structured Asset Investment Loan Trust 2006-BNC2 Cl. A1, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Cl. A2, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Cl. A6, Upgraded to Ca (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: Structured Asset Mortgage Investments II Trust 2005-AR4 Cl. A-1, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Cl. X-1*, Upgraded to Caa3 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Issuer: Structured Asset Mortgage Investments II Trust 2005-AR8 Cl. A-1A, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Grantor Trust Class A-1B, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Issuer: Structured Asset Securities Corp 2006-Z Cl. A1, Upgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa3 (sf) Cl. A2, Upgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Issuer: Structured Asset Securities Corp Trust 2007-BC2 Cl. A1, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Caa3 (sf) Cl. A4, Upgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Issuer: Structured Asset Securities Corp Trust 2007-MLN1 Cl. A1, Upgraded to Caa2 (sf); previously on Apr 17, 2015 Downgraded to Ca (sf) Cl. A4, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2007-OSI Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Caa3 (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Jan 15, 2019 Upgraded to Ca (sf) Issuer: Structured Asset Securities Corp. Trust 2007-EQ1 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Aug 7, 2014 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Apr 12, 2010 Confirmed at Ca (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on Apr 12, 2010 Confirmed at Ca (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the 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 rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] S&P Takes Various Actions on 85 Classes From 21 US RMBS Deals ---------------------------------------------------------------- S&P Global Ratings completed its review of 85 ratings from 21 U.S. RMBS transactions issued between 2003 and 2005. The review yielded 13 upgrades, six downgrades, 29 withdrawals, and 37 affirmations. A list of Affected Ratings can be viewed at: https://tinyurl.com/4vv36pfm Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Available subordination and/or overcollateralization; -- Expected duration; -- A small loan count; -- Tail risk; -- Reduced interest payments due to loan modifications; -- Payment priority; -- Historical and/or outstanding missed interest payments or interest shortfalls; and -- Principal write-downs. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. "The upgrades primarily reflect the classes' increased credit support. Therefore, the upgrades reflect the classes' ability to withstand a higher level of projected losses than we had previously anticipated. Additionally, as a result, we applied our principal-only criteria on one of the upgraded classes. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "The downgrades primarily reflect an erosion of credit support available to the classes due to passing triggers. "Furthermore, we withdrew our ratings on 29 classes from 10 transactions due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level. Additionally, as a result, we applied our principal-only criteria on one of the withdrawals." []S&P Takes Various Actions on 44 Classes From Seven US CLO Deals ----------------------------------------------------------------- S&P Global Ratings took various rating actions on 40 classes of notes from Apidos CLO XV, Atlas Senior Secured Loan Fund VIII Ltd., Carlyle Global Market Strategies CLO 2014-3-R, Ltd., Galaxy XXVIII CLO, Ltd., Madison Park Funding XXIV Ltd., MidOcean Credit CLO III, and Park Avenue Institutional Advisers CLO Ltd 2018-1, all U.S. broadly syndicated CLO transactions. S&P raised 22 ratings, lowered one rating, and affirmed 17 ratings. Of the 22 ratings upgraded, 18 were removed from CreditWatch, where they were placed with positive implications on March 14, 2025, due to a combination of paydowns and indicative cash flow results at that time. Additionally, S&P withdrew ratings on four classes following the paydowns reported in the April payment date report. A list of Affected Rating can be viewed at: https://tinyurl.com/3dtrh9r7 S&P said, "The rating actions follow our review of each transaction's performance using data from their respective trustee reports. In our review, we analyzed each transaction's performance and cash flows and applied our global corporate CLO criteria." The transactions have all exited their reinvestment periods and are paying down the notes in the order specified in their respective documents. All upgrades are primarily due to an increase in the credit support, and the lowered rating is due to a decline in credit support at the prior rating level. The ratings list highlights the key performance metrics behind the specific rating actions. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered each transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "While each class's indicative cash flow results are a primary factor, we also incorporate other considerations into our decision to raise, lower, affirm, or limit rating movements." These considerations typically include: -- Whether the CLO is reinvesting or paying down its notes; Existing subordination or overcollateralization (O/C) levels and recent trends; -- The cushion available for coverage ratios and comparative analysis with other CLO classes with similar ratings; -- Forward-looking scenarios for 'CCC' and 'CCC-' rated collateral, as well as collateral with stressed market values; -- Current concentration levels; -- The risk of imminent default or dependence on favorable market conditions to meet obligations; and -- Additional sensitivity runs to account for any of the other considerations. The upgrades primarily reflect the classes' increased credit support due to the senior note paydowns, improved O/C levels, and passing cash flow results at higher rating levels. The downgrade primarily reflects the class's indicative cash flow results and decreased credit support as a result of principal losses and/or negative migration in portfolio credit quality. S&P said, "The affirmations reflect our view that the available credit enhancement for each respective class is still commensurate with the assigned ratings. "Although our cash flow analysis indicated a different rating for some classes of notes, we took the rating action after considering one or more qualitative factors listed. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." ********* 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. 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