250601.mbx

250601.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, June 1, 2025, Vol. 29, No. 151 Headlines AB BSL 6: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ABPCI DIRECT XII: S&P Assigns BB- (sf) Rating on Class E-R Notes AGL CLO 24: Fitch Assigns 'BB-sf' Rating on Class E-R Notes AIMCO CLO 24: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes ALESCO PREFERRED V: Moody's Ups Rating on Series II Notes From Ba1 AMERICAN CREDIT 2025-2: S&P Assigns BB- (sf) Rating on Cl. E Notes AMUR EQUIPMENT 2025-1: Moody's Assigns Ba3 Rating to Class E Notes AMUR EQUIPMENT XV: Fitch Assigns 'BBsf' Rating on Class E Notes APIDOS CLO XLIII: Moody's Assigns (P)B3 Rating to $1MM F-R Notes ARES LXXVI: Fitch Assigns 'BB-sf' Rating on Class E Notes ARINI US CLO I: S&P Assigns BB- (sf) Rating on Class E Notes BAIN CAPITAL 2025-2: Fitch Assigns 'BB-sf' Rating on Class E Notes BAMLL COMMERCIAL 2021-JACX: Moody's Hikes Rating on E Certs to B2 BANC OF AMERICA 2006-4: Moody's Ups Rating on Cl. C Certs to Ca BANK 2025-BNK50: Fitch Assigns 'B-(EXP)sf' Rating on Cl. H-RR Certs BATTALION CLO 18: S&P Lowers Class E-R Notes Rating to 'B (sf)' BAYARD PARK: S&P Assigns BB- (sf) Rating on Class E Notes BENCHMARK 2018-B7: Fitch Lowers Rating on Two Tranches to 'Bsf' BLACK DIAMOND 2016-1: S&P Affirms B+ (sf) Rating on Cl. D-R Notes BLACK DIAMOND 2017-1: Moody's Ups Rating on $18MM D Notes to Ba2 BLUEMOUNTAIN CLO 2014-2: S&P Lowers F-R2 Notes Rating to 'CCC+' BRAVO RESIDENTIAL 2025-NQM5: Fitch Gives B Rating on Cl. B-2 Notes BRIDGECREST LENDING 2025-2: S&P Assigns BB (sf) Rating on E Notes BRYANT PARK 2023-20: S&P Assigns Prelim B-(sf) Rating on F-R Notes BX TRUST 2025-LUNR: Fitch Assigns BB-(EXP) Rating on Cl. E Certs CD MORTGAGE 2007-CD5: Moody's Hikes Rating on Cl. G Certs to Caa3 CHASE HOME 2025-5: DBRS Gives Prov. B(low) Rating on B-5 Certs CITIGROUP 2021-KEYS: DBRS Confirms B(low) Rating on G Certs COLT 2025-5: Fitch Gives 'B(EXP)sf' Rating on Class B-2 Certs COLUMBIA CENT 27: Moody's Cuts Rating on $2.8MM F-R Notes to Caa1 COMM 2015-CCRE24: DBRS Cuts Rating on 2 Cert. Classes to C COMM 2015-CCRE27: Fitch Lowers Rating on Two Tranches to 'BB-sf' CONSOLIDATED COMMUNICATIONS: Fitch Rates 2025-1 Class C Notes 'BB-' CSAIL 2015-C1: DBRS Cuts Rating on 4 Cert. Classes to C CSAIL 2015-C3: DBRS Confirms B Rating on Class X-F Certs CSMC TRUST 2017-CHOP: DBRS Confirms BB(low) Rating on E Certs DRYDEN 105 CLO: S&P Assigns BB- (sf) Rating on Class E-R Notes DT AUTO 2022-3: DBRS Confirms BB Rating on Class E Notes ELMWOOD CLO 23: S&P Assigns BB- (sf) Rating on Class E-R Notes ELMWOOD CLO 43: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ELMWOOD CLO 43: S&P Assigns Prelim B- (sf) Rating on Class F Notes EXETER AUTOMOBILE 2025-3: S&P Assigns BB- (sf) Rating on E Notes FIGRE TRUST 2025-PF1: DBRS Finalizes B(low) Rating on F Notes GOLUB CAPITAL 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes GREAT LAKES 2015-1: Moody's Cuts Rating on $9.8MM F-R Notes to Caa2 GREYSTONE CRE 2025-FL4: Fitch Assigns B- Final Rating on G Notes GS MORTGAGE 2018-LUAU: DBRS Confirms B(low) Rating on F Certs JEFFERSON MILL CLO: Moody's Cuts $7.4MM F-R Notes Rating to Caa3 LCM XXIV: Moody's Lowers Rating on $24MM Class E Notes to B3 LHOME MORTGAGE 2025-RTL2: DBRS Finalizes B(low) Rating on M2 Notes LJV I MM CLO: Moody's Cuts Rating on $21.5MM Class E Notes to B1 MARINER FINANCE 2025-A: S&P Assigns BB- (sf) Rating on Cl. E Notes MF1 2025-B2: Fitch Gives 'B-sf' Rating on Three Tranches MFA TRUST 2025-NQM2: Fitch Assigns 'B-(EXP)sf' Rating on B2 Debt MOA 2020-C39 E: Fitch Lowers Rating on Class E-RR Certs to 'B-sf' MORGAN STANLEY 2014-C17: DBRS Confirms CCC Rating on E Certs MORGAN STANLEY 2016-UBS12: Fitch Cuts Rating on 4 Classes to Csf MORGAN STANLEY 2017-ASHF: DBRS Confirms BB Rating on E Certs MORGAN STANLEY 2017-C34: Fitch Lowers Rating on Two Tranches to Bsf MORGAN STANLEY 2018-H3: Fitch Lowers Rating on F-RR Debt to 'B-sf' MP CLO VII: Moody's Cuts Rating on $28.9MM Class E-RR Notes to B3 MPOWER EDUCATION 2025-A: DBRS Finalizes BB(low) Rating on C Notes NEUBERGER BERMAN 60: Fitch Assigns 'BB-sf' Rating on Class E Notes NEW RESIDENTIAL 2025-NQM3: S&P Assigns Prelim B+ Rating on B-2 Note OCTAGON 67: Fitch Assigns 'BB-sf' Rating on Class E-R Notes OCTAGON LTD 59: Moody's Cuts Rating on $23.5MM Class E Notes to B1 OPORTUN ISSUANCE 2025-B: Fitch Gives BB-(EXP) Rating on Cl. E Debt OZLM FUNDING II: S&P Affirms BB- (sf) Rating on Class D-R2 Notes PALMER SQUARE 2023-2: S&P Assigns BB- (sf) Rating on E-R Notes PENNANTPARK CLO VI: S&P Assigns BB- (sf) Rating on Class C-R Notes PFP 2025-12: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes PRPM 2025-NQM2: DBRS Finalizes BB(low) Rating on Class B1 Certs RAD CLO 19: Fitch Assigns 'BB-sf' Rating on Class E-R Notes RCKT MORTGAGE 2025-CES5: Fitch Assigns 'Bsf' Rating on Six Tranches REGATTA FUNDING 33: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes ROCKFORD TOWER 2022-2: Moody's Cuts $1MM F-R Notes Rating to Caa1 SEQUOIA MORTGAGE 2025-S1: Fitch Assigns 'BB' Rating on Cl. B5 Certs SLC STUDENT 2004-1: S&P Lowers Class B Notes Rating to 'CCC (sf)' SLM STUDENT 2010-1: Fitch Lowers Rating on Two Tranches to 'Dsf' TOWD POINT 2025-CES1: Fitch Assigns 'B-sf' Final Rating on B1 Debt TRINITAS CLO XXXIV: S&P Assigns BB- (sf) Rating on Class E Notes VENTURE CLO 33: Moody's Cuts Rating on $9MM Class F Notes to Caa3 VERUS SECURITIZATION 2025-5: S&P Assigns Prelim B+(sf) on B-2 Notes VIBRANT CLO XVI: Fitch Assigns BB-sf Final Rating on Cl. D-R Notes WESTGATE RESORTS 2022-1: DBRS Confirms BB(high) Rating on D Notes WFRBS COMMERCIAL 2014-C22: Moody's Cuts Rating on Cl. C Certs to B1 WIND RIVER 2021-4: Moody's Cuts Rating on $8MM Cl. E-3 Notes to B2 WIRELESS PROPCO 2025-1: Fitch Gives 'BB-(EXP)sf' Rating on C Debt Z CAPITAL 2018-1: Moody's Cuts Rating on $25MM Cl. E Notes to Caa1 [] DBRS Reviews 199 Classes From 21 US RMBS Transactions [] Fitch Affirms BB Ratings on 3 Hotwire Funding Note Series [] Moody's Takes Action on 26 Bonds From 12 US RMBS Deals [] Moody's Takes Action on 33 Bonds From 14 US RMBS Deals [] Moody's Takes Action on 34 Bonds From 12 US RMBS Deals [] Moody's Takes Action on 46 Bonds From 12 US RMBS Deals [] Moody's Takes Action on 49 Bonds From 17 US RMBS Deals [] Moody's Upgrades Ratings on 22 Bonds From 11 US RMBS Deals [] Moody's Upgrades Ratings on 26 Bonds From 8 US RMBS Deals [] Moody's Upgrades Ratings on 54 Bonds From 11 US RMBS Deals [] Moody's Upgrades Ratings on 56 Bonds From 12 US RMBS Deals [] S&P Takes Various Action on 199 Classes From 15 US RMBS Deals [] S&P Takes Various Action on 40 Classes From Six U.S. CLO Deals [] S&P Takes Various Action on 829 Classes From 27 US RMBS Deals [] S&P Takes Various Actions on 223 Classes From 32 US RMBS Deals [] S&P Takes Various Actions on 234 Classes From 36 US RMBS Deals ********* AB BSL 6: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to AB BSL CLO 6 Ltd./AB BSL CLO 6 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+' and lower) senior secured term loans. The transaction is managed by AB Broadly Syndicated Loan Manager LLC, a subsidiary of AllianceBernstein L.P. The preliminary ratings are based on information as of May 29, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P 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 AB BSL CLO 6 Ltd./AB BSL CLO 6 LLC Class A, $252.00 million: AAA (sf) Class B, $52.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $34.10 million: Not rated ABPCI DIRECT XII: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-1L-R, A-2-R, A-2L-R, B-R, C-R, D-R, and E-R replacement debt from ABPCI Direct Lending Fund CLO XII Ltd./ABPCI Direct Lending Fund CLO XII LLC, a CLO managed by AB Private Credit Investors LLC that was originally issued in March 2023. The 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-1L-R, A-2-R, A-2L-R, B-R, C-R, D-R, and E-R debt was issued at lower spreads over three-month SOFR than the respective original debt. -- The replacement class A-1-R, A-1L-R, A-2-R, A-2L-R, B-R, C-R, D-R, and E-R debt was issued at floating spreads, replacing the current floating-rate tranches. -- The stated maturity and reinvestment period were each extended by 2.25 years. -- The non-call period was updated to July 29, 2027. -- ABPCI Direct Lending Fund CLO I Ltd. was merged into ABPCI Direct Lending Fund CLO XII Ltd. on the closing date. -- 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 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 ABPCI Direct Lending Fund CLO XII Ltd./ ABPCI Direct Lending Fund CLO XII LLC Class A-1-R(i), $434.2 million: AAA (sf) Class A-1L-R(i), $25.0 million: AAA (sf) Class A-2-R(ii), $4.2 million: AAA (sf) Class A-2L-R(ii), $45.0 million: AAA (sf) Class B-R, $49.2 million: AA (sf) Class C-R (deferrable), $69.7 million: A (sf) Class D-R (deferrable), $45.1 million: BBB- (sf) Class E-R (deferrable), $49.2 million: BB- (sf) (i)The class A-1L-R loans are convertible into class A-1-R notes. (ii)The class A-2L-R loans are convertible into class A-2-R notes. Ratings Withdrawn ABPCI Direct Lending Fund CLO XII Ltd./ ABPCI Direct Lending Fund CLO XII LLC Class A to not rated from 'AAA (sf)' Class A-L to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C to not rated from 'A (sf)' Class D to not rated from 'BBB- (sf)' Class E to not rated from 'BB- (sf)' ABPCI Direct Lending Fund CLO I Ltd. Class A-1A-2 to not rated from 'AAA (sf)' Class A-1B-2 to not rated from 'AAA (sf)' Class A-2A-2 to not rated from 'AAA (sf)' Class A-2B-2 to not rated from 'AAA (sf)' Class B-1-2 to not rated from 'AA (sf)' Class B-2-2 to not rated from 'AA (sf)' Class C-2 to not rated from 'A (sf)' Class D-2 to not rated from 'BBB- (sf)' Class E-2 to not rated from 'BB- (sf)' Other Debt ABPCI Direct Lending Fund CLO XII Ltd./ ABPCI Direct Lending Fund CLO XII LLC Subordinated notes, $98.4 million: Not rated AGL CLO 24: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Ratings Outlook for AGL CLO 24 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- AGL CLO 24 Ltd. A-1-R LT NRsf New Rating A-2 00119AAC9 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 00119AAE5 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 00119AAG0 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 00119AAJ4 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 00120HAA5 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary AGL CLO 24 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by AGL CLO Credit Management LLC. The CLO originally closed in 2023, and its secured notes were refinanced on May 23, 2025. Net proceeds from the issuance of the secured and the existing subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.58, versus a maximum covenant, in accordance with the initial expected matrix point of 25.29. 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 99.32% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.30% 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 40.0% 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 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio 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 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, 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 AGL CLO 24 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. AIMCO CLO 24: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to AIMCO CLO 24, Ltd. Entity/Debt Rating ----------- ------ AIMCO CLO 24, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B-1 LT AA(EXP)sf Expected Rating B-2 LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary AIMCO CLO 24, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Allstate Investment Management Company. 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 98.87% first-lien senior secured loans and has a weighted average recovery assumption of 74.71%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, and between less than 'B-sf' and 'BB+sf' for class D and between less than 'B-sf' and '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, and 'Asf' for class D and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for AIMCO CLO 24, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ALESCO PREFERRED V: Moody's Ups Rating on Series II Notes From Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by ALESCO Preferred Funding V, Ltd.: US$42,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2034 (current rated balance $33,021,704.66), Upgraded to Aaa (sf); previously on March 21, 2019 Upgraded to Aa1 (sf) US$5,000,000 Series I Combination Notes Due 2034 (current rated balance $1,229,893), Upgraded to Aaa (sf); previously on June 29, 2017 Upgraded to Aa1 (sf) US$4,150,000 Series II Combination Notes Due 2034 (current rated balance $721,744), Upgraded to Baa1 (sf); previously on March 21, 2019 Upgraded to Ba1 (sf) ALESCO Preferred Funding V, Ltd., issued in September 2004, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transaction have been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the ongoing deleveraging of the Class A notes, an increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the underlying portfolio since May 2024. The Class A-1 notes have paid down in full and the Class A-2 notes have paid down by approximately 21.4% or $9 million since May 2024, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratio for the Class A-2 notes has improved to 431.40% from May 2024 level of 339.27%. Moody's gave full par credit in Moody's analysis to one deferring asset that meets certain criteria, totaling $10 million in par. Moody's anticipates that the Class A-2 notes will benefit from the current principal proceeds of $13.2 million collected in the transaction. Furthermore, the Class A-2 notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the collateral pool. The Series I and Series II Combination notes have benefitted from ongoing reduction in Combination Notes Rated Balances. The Series I and Series II Combination Notes Rated Balances have decreased by 46.4% or $1.1 million, and 20.6% or $187 thousand, respectively, since May 2024. The deal has also benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 672 from 768 in May 2024. 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. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance (after treating deferring securities as performing if they meet certain criteria): $141.3 million Defaulted par: $30.4 million Weighted average default probability: 5.19% (implying a WARF of 672) 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. No actions were taken on the Class B, Class C-1, Class C-2, Class C-3 and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CDO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. AMERICAN CREDIT 2025-2: S&P Assigns BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to American Credit Acceptance Receivables Trust 2025-2's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 64.91%, 58.32%, 47.42%, 38.33%, and 34.46% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.35x, 2.10x, 1.70x, 1.37x, and 1.20x coverage of S&P's expected cumulative net loss of 27.25% for the class A, B, C, D, and E notes, respectively; -- The expectation that under a moderate ('BBB') stress scenario (1.37x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within our credit stability limits; -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned preliminary ratings; -- The collateral characteristics of the series' subprime automobile loans and any subsequent receivables that will be added during the prefunding period, S&P's view of the collateral's credit risk, and its updated macroeconomic forecast and forward-looking view of the auto finance sector; -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings; -- S&P's operational risk assessment of American Credit Acceptance LLC (ACA) as servicer, and its view of the company's underwriting and backup servicing arrangement with Computershare Trust Co. N.A.; -- 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; and -- The transaction's payment and legal structures. Ratings Assigned American Credit Acceptance Receivables Trust 2025-2 Class A, $193.20 million, 4.81% interest rate: AAA (sf) Class B, $43.62 million, 4.85% interest rate: AA (sf) Class C, $89.29 million, 5.11% interest rate: A (sf) Class D, $73.89 million, 5.50% interest rate: BBB (sf) Class E, $37.21 million, 7.66% interest rate: BB- (sf) AMUR EQUIPMENT 2025-1: Moody's Assigns Ba3 Rating to Class E Notes ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to the Series 2025-1 notes issued by Amur Equipment Finance Receivables XV LLC (Amur 2025-1). Amur Equipment Finance, Inc. (Amur) is the sponsor of the securitization, which is backed by fixed-rate loans and leases secured by transportation, manufacturing equipment, construction equipment and medical aesthetics. Amur is also the servicer of the securitized pool. Amur 2025-1 is Amur's fifteenth transaction backed by similar collateral. The complete rating actions are as follows: Issuer: Amur Equipment Finance Receivables XV LLC, Series 2025-1 Class A-1 Notes, Definitive Rating Assigned P-1 (sf) Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa2 (sf) Class C Notes, Definitive Rating Assigned A1 (sf) Class D Notes, Definitive Rating Assigned Baa3 (sf) Class E Notes, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The definitive ratings for the notes are based on the credit quality of the equipment loan and lease pool securitized and its expected performance, the historical performance of Amur's managed portfolio and that of its prior securitizations, the experience and expertise of Amur as the originator and servicer of the underlying pool, the back-up servicing arrangement with UMB Bank, N.A. (long-term deposits A1, long-term CR assessment A2(cr), short-term deposit P-1, BCA a3), the transaction structure including the level of credit enhancement supporting the notes, and the legal aspects of the transaction. Additionally, in assigning the rating to the Class A-1 Notes, Moody's considered the cash flows the underlying receivables are expected to generate prior to the Class A-1 notes' legal final maturity date. Moody's cumulatives net loss expectation for the Amur 2025-1 collateral pool is 4.50% and loss at a Aaa stress is 28.00%. Moody's cumulatives net loss expectation and loss at a Aaa stress is based on Moody's analysis of the credit quality of the underlying collateral pool, as well as the potential movement in the pool following the addition of assets during the prefunding period, and the historical performance of similar collateral, including Amur's managed portfolio performance, the track-record, ability and expertise of Amur to perform the servicing functions, and current expectations for the macroeconomic environment during the life of the transaction. The classes of notes are paid sequentially. The Class A, Class B, Class C, Class D, and Class E notes benefit from 27.55%, 22.50%, 17.50%, 11.70%, and 9.00% of hard credit enhancement, respectively. Initial hard credit enhancement for the notes consists of (1) subordination (except in the case of the Class E notes), (2) initial over-collateralization of 8.00% that can build to a target of 9.50% of the outstanding adjusted discounted pool balance, and has a floor of 2.00%, and (3) a fully funded, non-declining reserve account of 1.00% of the initial adjusted discounted pool balance. The transaction may also benefit from excess spread. However, similar to the most recent Amur sponsored deal, there is very little excess spread available as the discount rate applied to the underlying contracts is similar to the expected weighted average coupon rate on the notes and the expected servicing fee. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the subordinate notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's then current expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or lower than expected depreciation in the value of the equipment securing obligors' promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. Down Moody's could downgrade the notes if levels of credit protection are insufficient to protect investors against current expectations of portfolio losses. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or higher than expected deterioration in the value of the equipment securing obligors' promise of payment. As the primary drivers of performance, negative changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties and inadequate transaction governance. Additionally, Moody's could downgrade the Class A-1 short term rating following a significant slowdown in principal collections that could result from, among other reasons, high delinquencies or a servicer disruption that impacts obligors' payments. AMUR EQUIPMENT XV: Fitch Assigns 'BBsf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Amur Equipment Finance Receivables XV LLC, series 2025-1 (AXIS 2025-1) notes. The transaction is a securitization of mid-ticket commercial equipment leases and loans originated or acquired by Amur Equipment Finance, Inc. (Amur). Entity/Debt Rating Prior ----------- ------ ----- Amur Equipment Finance Receivables XV LLC (Series 2025-1) A-1 03237FAA3 ST F1+sf New Rating F1+(EXP)sf A-2 03237FAB1 LT AAAsf New Rating AAA(EXP)sf B 03237FAC9 LT AAsf New Rating AA(EXP)sf C 03237FAD7 LT Asf New Rating A(EXP)sf D 03237FAE5 LT BBBsf New Rating BBB(EXP)sf E 03237FAF2 LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Collateral Performance: Consistent with prior AXIS transactions, AXIS 2025-1 is focused on transportation, construction and vocational equipment with low obligor concentration. A high 95.54% of the pool is collateralized by contracts backed by personal guarantees, with a weighted-average (WA) FICO score of 730. These have been trending higher and are at the highest level for the platform, against 725 and 726 for 2024-2 and 2024-1 (NR), respectively. Conventional trucks with sleeper transportation equipment are the largest exposure, at 19.31%, down from 24.30% in 2024-2. The largest equipment type in prior securitizations was long-haul transportation equipment, at 27.46% for 2024-1 and 30.78% for 2023-1 (NR). The transaction is exposed to adverse pool selection risk from prefunding and substitution, which can be as high as 20% and 15% of the initial collateral pool, respectively. Improving Performance; Forward-Looking Approach to Derive Rating-Case Loss Proxy: Amur's managed static pool continues to demonstrate strong and stable cumulative net loss (CNL) performance, with CNLs tracking well below those of peak recessionary vintages. Fitch utilized the 2006-2009 and 2017-2019 managed portfolio vintages, prior ABS performance, deteriorated performance of 2022-2023 vintages and, given the ability to prefund and substitute collateral, stressed portfolio mix to derive the rating case CNL proxy of 5.0%. Concentration Risk — Concentrated Transportation Collateral, Low Obligor Concentration: The pool has 41.3% exposure to the transportation sector, though lower than 45.2% for 2024-2, and has been under stress for over a year. The top 20 obligors represent 5.35% of the 2025-1 pool, versus 6.16% in 2024-2; no obligors represent more than 1.00% of the pool. Initial credit enhancement (CE) to the class A through E notes is adequate to support the default of the top 20, 17, 14, 11 and eight obligors on a net coverage basis at close under Fitch's modeling scenario. Structural Analysis — Sufficient Credit Enhancement: CE for 2025-1 is lower than in 2024-2, 2024-1 and 2023-1, but higher than historical transactions since 2015. Total initial hard CE for AXIS 2025-1 class A, B, C, D and E notes is 27.55%, 22.50%, 17.50%, 11.70% and 9.00%, respectively, comprising subordination, a non-declining reserve account funded at 1.00% of the initial adjusted discounted pool balance and initial overcollateralization (OC) equal to 8.00% of the initial discounted pool balance. In addition, all classes benefit from 1.58% per annum of excess spread. At a 5.00% rating case CNL proxy, the transaction structure can support 5.0x, 4.0x, 3.0x, 2.0x and 1.5x loss multiples for class A, B, C, D and E notes, respectively. Operational and Servicing Risks — Stable Origination, Underwriting and Servicing: Fitch believes Amur has demonstrated adequate abilities as originator, underwriter and servicer, as evidenced by historical delinquency and loss performance of securitized term ABS transactions and the managed portfolio. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels higher than the rating case and would likely result in declines of CE and the remaining net loss coverage levels available to the notes. In addition, unanticipated declines in recoveries could result in a decline in net loss coverage. Decreased net loss coverage may make certain note ratings susceptible to negative rating action, depending on the extent of the decline in coverage. Fitch conducted sensitivity analyses by stressing the transaction's initial rating case CNL and recovery rate assumptions, and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the CNL proxy to the level necessary to reduce each rating by one full category to non-investment grade (BBsf) and to 'CCCsf', based on the breakeven loss coverage provided by the CE supporting the notes. In addition, Fitch increased the CNL proxy by 1.5x and 2.0x, representing moderate and severe stresses, respectively. Fitch also evaluated the impact of stressed recovery rates on an equipment ABS structure and rating impact with a 50% haircut. These analyses are intended to indicate the rating sensitivity of notes to unexpected deterioration of a transaction's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by steady delinquencies and defaults, would increase CE levels and possibly lead to an upgrade. If CNL is 20% less than the projected proxy, the ratings could be maintained for class A and D notes and upgraded by one rating category for each of the class B, C and E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche. The third-party due diligence described in Form 15E compared or re-computed certain information with respect to 150 equipment contracts from the statistical asset pool for the transaction. 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. APIDOS CLO XLIII: Moody's Assigns (P)B3 Rating to $1MM F-R Notes ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to three classes of CLO refinancing notes (the Refinancing Notes) to be issued by Apidos CLO XLIII Ltd (the Issuer): US$2,500,000 Class X Senior Secured Floating Rate Notes Due 2037, Assigned (P)Aaa (sf) US$307,500,000 Class A-1-R Senior Secured Floating Rate Notes Due 2037, Assigned (P)Aaa (sf) US$1,000,000 Class F-R Mezzanine Deferrable Floating Rate Notes Due 2037, 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% of the portfolio must consist of first lien senior secured loans and up to 4% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans, senior secured bonds, high yield bonds or senior secured notes. CVC Credit Partners, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and the six other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3020 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. ARES LXXVI: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares LXXVI CLO Ltd. Entity/Debt Rating ----------- ------ Ares LXXVI CLO Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Ares LXXVI CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.25, versus a maximum covenant, in accordance with the initial expected matrix point of 24.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.73% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.59% versus a minimum covenant, in accordance with the initial expected matrix point of 72.55%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Ares LXXVI CLO 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. ARINI US CLO I: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Arini US CLO I Ltd./Arini US CLO I LLC's floating-rate debt. The debt issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Arini Loan Management US LLC – Management Series, an affiliate of Arini Capital Management Ltd. The 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 Arini US CLO I Ltd./Arini US CLO I LLC Class A, $252.00 million: AAA (sf) Class B, $52.00 million: AA (sf) Class C, $24.00 million: A (sf) Class D (deferrable), $16.00 million: BBB- (sf) Class E (deferrable), $20.00 million: BB- (sf) Subordinated notes, $36.63 million: NR NR--Not rated. BAIN CAPITAL 2025-2: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Bain Capital Credit CLO 2025-2, Limited. Entity/Debt Rating ----------- ------ Bain Capital Credit CLO 2025-2, Limited A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBBsf New Rating D-2F LT BBB-sf New Rating D-2N LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Bain Capital Credit CLO 2025-2, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit U.S. CLO Manager II, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. 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 22.48 versus a maximum covenant, in accordance with the initial expected matrix point of 22.75. 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 98.6 % first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.6% versus a minimum covenant, in accordance with the initial expected matrix point of 71.1%. 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 9% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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 weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Bain Capital Credit CLO 2025-2, Limited. 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. BAMLL COMMERCIAL 2021-JACX: Moody's Hikes Rating on E Certs to B2 ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings on seven classes in BAMLL Commercial Mortgage Securities Trust 2021-JACX, Commercial Mortgage Pass-Through Certificates, Series 2021-JACX as follows: Cl. A, Downgraded to Aa2 (sf); previously on Sep 19, 2021 Definitive Rating Assigned Aaa (sf) Cl. B, Downgraded to A3 (sf); previously on Feb 9, 2022 Confirmed at Aa3 (sf) Cl. C, Downgraded to Baa3 (sf); previously on Feb 9, 2022 Confirmed at A3 (sf) Cl. D, Downgraded to Ba2 (sf); previously on Feb 9, 2022 Upgraded to Baa2 (sf) Cl. E, Downgraded to B2 (sf); previously on Feb 9, 2022 Upgraded to Ba2 (sf) Cl. F, Downgraded to Caa2 (sf); previously on Feb 9, 2022 Upgraded to B2 (sf) Cl. X-CP*, Downgraded to Baa1 (sf); previously on Feb 9, 2022 Confirmed at A2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on six P&I classes were downgraded due to an increase in Moody's loan-to-value (LTV) ratio as a result of a decline in cash flow primarily driven by higher operating expenses. While the property's revenue has increased since securitization, this has been outpaced by the property's expense growth through year end 2024 that has been well above Moody's initial expectations. The decline in cash flow combined with the significant increase in the loan's floating interest rate has caused the loan's uncapped debt service coverage ratio (DSCR) to decline below 1.00X. The uncapped NOI DSCR on the mortgage debt was 0.81x in 2024 compared to over 1.50x in 2022. The rating action also reflects concerns on the loan's physical occupancy rate given the significant dark space at the property and softer office market fundamentals. The loan has remained current on its debt service payments, however, given the higher interest rate environment and loan performance trends, Moody's anticipates the loan may face increased refinance risk. The loan has one extension option remaining with its next maturity date in September 2025 and has a final maturity date in September 2026. The rating on the IO class, Cl. X-CP, was downgraded based on a decline in the credit quality of its referenced classes. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. 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 or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. 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. DEAL PERFORMANCE As of the May 15, 2025 distribution date, the transaction's aggregate certificate balance was $425 million, the same as at securitization. The floating rate loan had an initial two-year term that matured in September 2023 with three, successive one-year extensions with the final maturity date in September 2026. The interest only loan accrues interest at one month Term SOFR, plus a weighted average spread of approximately 3.05%. During an extension period, the interest rate cap will have a strike price equal to a rate not more than the greater of 4.00% and a rate, that when added to the spread, would result in a minimum DSCR of 1.25x. The borrower has executed the first two extension options and has a current maturity date in September 2025. The loan is secured by the JACX, which is a Class A office building located in Long Island City, Queens County, NY. The property was constructed in 2019 on a 121,000 square feet parcel along Jackson Avenue between Queens Plaza South and 42nd Road. It features two 26-story office towers connected by a four-story podium, offering approximately 1.19 million square feet (SF) of rentable area, and a below-grade parking garage with 550 spaces, 388 of which are allocated to the subject. The property includes 47,000 SF of retail space, a 1.6-acre landscaped terrace with seating and an indoor pavilion, advanced building systems, wireless internet, and LEED Silver accreditation. The property's largest tenants at securitization were Macy's (53.7% of net rentable area; lease expiration in Feb 2040), Bloomingdale's (19.2%; Feb 2040), and WeWork (18.3%; Nov 2033). However, WeWork's lease was terminated in November 2023 and Macy's space has been dark since securitization. Subleases have been executed on a couple of floors of the Macy's space but approximately 597,000 SF of space is still being offered for sublease. Additionally, the tenant contains lease termination options for up to three floors after loan maturity in the 10th (2029) and 15th (2034) lease years. An affiliate of the Sponsor, Tishman Speyer's Studio, also now manages coworking services on 8 of 11 former WeWork floors, leaving approximately 61,000 SF for direct lease. The property's net operating income (NOI) was $29.7 million in 2024, down from $46.0 million in 2023 and $30.9 million in 2022. The higher reported NOI in 2023 includes approximately $12 million from WeWork's letter of credit as part of the tenant's corporate lease guaranty. The 2024 NOI was below expectations at securitization primarily driven by the increased operating expenses outpacing revenue growth. These expenses were significantly higher than expectations at securitization and mainly driven by higher repairs, maintenance, and general administrative costs. While a portion of the increases in expenses is due to tenant-related costs and the conversion from WeWork to Tishman Speyer's Studio, the overall trend of increased operating expenses and combination of dark space and softer office fundamentals from securitization remains a concern. Moody's NCF is now $27.4 million compared to $31.8 million at securitization. Moody's LTV ratio for the first mortgage balance is 149.9% based on Moody's Value. Moody's cash flow analysis incorporated a partial lit-dark analysis on the Macy's space. The Adjusted Moody's LTV ratio for the first mortgage balance is 141.5% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's stressed debt service coverage ratio (DSCR) is 0.70x compared to 0.81x at securitization. There are no outstanding advances and no interest shortfalls as of the current distribution date. BANC OF AMERICA 2006-4: Moody's Ups Rating on Cl. C Certs to Ca --------------------------------------------------------------- Moody's Ratings has upgraded the ratings on one class in Banc of America Commercial Mortgage Inc. Commercial Mortgage Pass-Through Certificates, Series 2006-4 ("BACM 2006-4") and one class in Wachovia Bank Commercial Mortgage Trust 2004-C11, Commercial Mortgage Pass-Through Certificates, Series 2004-C11 ("WBCMT 2004-C11") as follows: Issuer: Banc of America Commercial Mortgage Inc. Commercial Mortgage Pass-Through Certificates, Series 2006-4 Cl. C, Upgraded to Ca (sf); previously on Mar 8, 2018 Downgraded to C (sf) Issuer: Wachovia Bank Commercial Mortgage Trust 2004-C11 Cl. K, Upgraded to Caa3 (sf); previously on Jun 18, 2019 Affirmed C (sf) RATINGS RATIONALE The rating actions were 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. The two P&I classes were upgraded to reflect Moody's lower anticipated losses. The rating on Cl. C in BACM 2006-4 was upgraded due to lower than previously anticipated losses. Cl. C has already experienced a 42% loss based on its original balance and its outstanding balance has now been reduced to only 2% of its original balance. The rating on Class Cl. K in WBCMT 2004-C11 was upgraded based on Moody's loan-to-value (LTV) ratio and Moody's expected principal paydowns and losses from the sole remaining loan in the pool, which remains current on its monthly debt service payments but passed its anticipated repayment date in March 2019. Cl. K is now the most senior outstanding class remaining. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking views of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or 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 May 2025 distribution date, the BACM 2006-4 transaction's aggregate certificate balance has decreased by over 99% to $760,631 from $2.7 billion at securitization. There are no outstanding interest shortfalls on the sole outstanding P&I class Moody's rates and the certificates are collateralized by one remaining performing loan that has amortized approximately 86% since securitization. Thiry-nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $304.2 million. As of the May 2025 distribution date, the WBCMT 2004-C11 transaction's aggregate certificate balance has decreased over 99% to $6.4 million from $1.04 billion at securitization. The certificates are collateralized by one remaining mortgage loan and six loans have been liquidated from the pool, resulting in an aggregate realized loss of $21 million. The sole remaining loan is the University Mall Loan (100% of the pool), which is secured by a regional mall located in Tuscaloosa, Alabama. The mall was originally anchored by JC Penney, Belk, and Sears (Sears & JC Penny owned their stores), however, Sears closed its store at this location in January 2018 and remains vacant. The loan passed its anticipated repayment date (ARD) in March 2019 as the borrower has not been able to obtain financing to pay off the existing debt. Per servicer commentary the borrower has not submitted financial statements since 2023 when the net operating income (NOI) was 25% lower than in 2014. The loan has remained current on monthly debt service payments and has amortized 67% since securitization. Due to the previous cash flow declines and the loan's inability to refinance, Moody's have identified the loan as a troubled loan and estimated a moderate loss from this loan. BANK 2025-BNK50: Fitch Assigns 'B-(EXP)sf' Rating on Cl. H-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BANK 2025-BNK50 commercial mortgage pass-through certificates series 2025-BNK50 as follows: Entity/Debt Rating ----------- ------ BANK 2025-BNK50 A-1 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-1 LT AAA(EXP)sf Expected Rating A-4-2 LT AAA(EXP)sf Expected Rating A-4-X1 LT AAA(EXP)sf Expected Rating A-4-X2 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-1 LT AAA(EXP)sf Expected Rating A-5-2 LT AAA(EXP)sf Expected Rating A-5-X1 LT AAA(EXP)sf Expected Rating A-5-X2 LT AAA(EXP)sf Expected Rating A-S LT AAA(EXP)sf Expected Rating A-S-1 LT AAA(EXP)sf Expected Rating A-S-2 LT AAA(EXP)sf Expected Rating A-S-X1 LT AAA(EXP)sf Expected Rating A-S-X2 LT AAA(EXP)sf Expected Rating A-SB LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-2 LT AA-(EXP)sf Expected Rating B-X1 LT AA-(EXP)sf Expected Rating B-X2 LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating C-1 LT A-(EXP)sf Expected Rating C-2 LT A-(EXP)sf Expected Rating C-X1 LT A-(EXP)sf Expected Rating C-X2 LT A-(EXP)sf Expected Rating Class RR Certificates LT NR(EXP)sf Expected Rating D LT BBB+(EXP)sf Expected Rating D-1 LT BBB+(EXP)sf Expected Rating D-2 LT BBB+(EXP)sf Expected Rating D-X1 LT BBB+(EXP)sf Expected Rating D-X2 LT BBB+(EXP)sf Expected Rating E LT BBB(EXP)sf Expected Rating E-1 LT BBB(EXP)sf Expected Rating E-2 LT BBB(EXP)sf Expected Rating E-X1 LT BBB(EXP)sf Expected Rating E-X2 LT BBB(EXP)sf Expected Rating F-RR LT BBB-(EXP)sf Expected Rating G-RR LT BB-(EXP)sf Expected Rating H-RR LT B-(EXP)sf Expected Rating J-RR LT NR(EXP)sf Expected Rating K-RR LT NR(EXP)sf Expected Rating RR Interest LT NR(EXP)sf Expected Rating X-A LT AAA(EXP)sf Expected Rating - $11,400,000 class A-1 'AAAsf'; Outlook Stable; - $12,200,000 class A-SB 'AAAsf'; Outlook Stable; - $70,000,000ab class A-4 'AAAsf'; Outlook Stable; - $0b class A-4-1 'AAAsf'; Outlook Stable; - $0b class A-4-2 'AAAsf'; Outlook Stable; - $0bc class A-4-X1 'AAAsf'; Outlook Stable; - $0bc class A-4-X2 'AAAsf'; Outlook Stable; - $243,358,000ab class A-5 'AAAsf'; Outlook Stable; - $0b class A-5-1 'AAAsf'; Outlook Stable; - $0b class A-5-2 'AAAsf'; Outlook Stable; - $0bc class A-5-X1 'AAAsf'; Outlook Stable; - $0bc class A-5-X2 'AAAsf'; Outlook Stable; - $336,958,000c class X-A 'AAAsf'; Outlook Stable; - $62,578,000b class A-S 'AAAsf'; Outlook Stable; - $0b class A-S-1 'AAAsf'; Outlook Stable; - $0b class A-S-2 'AAAsf'; Outlook Stable; - $0bc class A-S-X1 'AAAsf'; Outlook Stable; - $0bc class A-S-X2 'AAAsf'; Outlook Stable; - $18,653,000bd class B 'AA-sf'; Outlook Stable; - $0bd class B-1 'AA-sf'; Outlook Stable; - $0bd class B-2 'AA-sf'; Outlook Stable; - $0bcd class B-X1 'AA-sf'; Outlook Stable; - $0bcd class B-X2 'AA-sf'; Outlook Stable; - $18,051,000bd class C 'A-sf'; Outlook Stable; - $0bd class C-1 'A-sf'; Outlook Stable; - $0bd class C-2 'A-sf'; Outlook Stable; - $0bcd class C-X1 'A-sf'; Outlook Stable; - $0bcd class C-X2 'A-sf'; Outlook Stable; - $6,018,000d class D 'BBB+sf'; Outlook Stable; - $0bd class D-1 'BBB+sf'; Outlook Stable; - $0bd class D-2 'BBB+sf'; Outlook Stable; - $0bcd class D-X1 'BBB+sf'; Outlook Stable; - $0bcd class D-X2 'BBB+'; Outlook Stable; - $6,618,000de class E 'BBBsf'; Outlook Stable; - $0bd class E-1 'BBBsf'; Outlook Stable; - $0bd class E-2 'BBBsf'; Outlook Stable; - $0bcd class E-X1 'BBBsf'; Outlook Stable; - $0bcd class E-X2 'BBB'; Outlook Stable; - $4,814,000df class F-RR 'BBB-sf'; Outlook Stable; - $8,424,000df class G-RR 'BB-sf'; Outlook Stable; - $5,415,000df class H-RR 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $9,026,000df class J-RR; - $4,814,331df class K-RR; - $5,373,268g class RR certificates; - $4,200,115g class RR interest. (a) The initial certificate balances of classes A-4 and A-5 are unknown and expected to be $313,358,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0 to $140 million, and the expected class A-3 balance range is $173,358,000 to $313,358,000. Fitch's certificate balances for classes A-4 and A-5 are assumed at the midpoints of each range. In the event that the class A-5 is issued with an initial certificate balance of $313,358,000, class A-4 will not be issued. (b) Exchangeable Certificates. The class A-4, class A-5, class A-S, class B , class C, class D and class E certificates are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. (c) Notional amount and interest only. (d) Privately placed and pursuant to Rule 144A. (e) The aggregate fair value of the class F-RR, class G-RR, class H-RR, class J-RR and class K-RR certificates will equal at least 3.08% of the fair value of all of the classes of certificates, other than the vertical risk retention interests. The vertical risk retention interest may be increased subject to the final pricing of the certificates. (f) Horizontal Risk Retention Interest classes. (g) Vertical Risk Retention. The expected ratings are based on information provided by the issuer as of May 21, 2025. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 34 loans secured by 71 commercial properties having an aggregate principal balance of $490,942,714 as of the cut-off date. The loans were contributed to the trust by JPMorgan Chase Bank, N.A., Bank of America, N.A., Wells Fargo Bank, N.A, Morgan Stanley Mortgage Capital Holdings, LLC and National Cooperative Bank, N.A. The master servicers are expected to be Trimont LLC and National Cooperative Bank, N.A., and the special servicers are expected to be K-Star Asset Management LLC and National Cooperative Bank, N.A. The trustee and the certificate administrator is expected to be Computershare Trust Company, N.A. The certificates are expected to follow a sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 67.4% of the loans by balance, cash flow analysis of 88.4% 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 17 loans totaling 88.4% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $87.0 million represents a 9.4% decline from the issuer's aggregate underwritten NCF of $96.0 million. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Lower Fitch Leverage: The pool has the lowest leverage compared to all CMBS 2.0 multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 67.0% is significantly lower than both the 10-year 2025 YTD and 2024 averages of 93.0% and 84.5%, respectively. The pool's Fitch NCF debt yield (DY) of 17.7% is better than both the 10-year 2025 YTD and 2024 averages of 11.4% and 12.3%, respectively. Investment-Grade Credit Opinion Loans: Six loans representing 53.7% of the pool by balance received an investment-grade credit opinion. The pool's total credit opinion percentage is significantly higher than both the 10-year 2025 YTD and 2024 averages of 15.0% and 21.4%, respectively. Washington Square (9.98%), Discovery Business Center (9.98%) and Marriott World Headquarters (9.95%) received investment-grade credit opinions of 'BBB-sf*' on a standalone basis. Adini Portfolio (9.97%) received an investment-grade credit opinion of 'AA-sf*' on a standalone basis. 10 West 66th Street (7.1%) received an investment-grade credit opinion of 'AAAsf*' on a standalone basis. VISA Global HQ (6.7%) received an investment-grade credit opinion of 'Asf*' on a standalone basis. The pool also contains non-credit opinion co-op loans totaling 15.7% of the pool. Excluding the credit opinion and co-op loans, the pool's Fitch LTV and DY are 92.5% and 9.9%, respectively, compared with the equivalent conduit 10-year 2025 YTD LTV and DY averages of 99.3% and 9.9%, respectively. Higher Pool Concentration: The pool is the most concentrated Fitch-rated multiborrower transaction since 2023. The top 10 loans make up 80.2% of the pool, which is worse than both the 10-year 2025 YTD and 2024 averages of 57.7% and 63.0%, 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 14.6. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. 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' / 'BBB+sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAAsf' / 'AAsf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' / 'BB+sf' / 'BBsf' / 'B+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A+sf' / 'A-sf' / 'BBBsf' / 'BB+sf / 'BB-sf'. CRITERIA VARIATION In its analysis of this transaction, Fitch took into consideration a combination of factors, including comparable transactions based on Fitch leverage and investment-grade credit opinion loan percentage as well as the pool's loan concentration. The top 10 loans make up 80.2% of the pool with an effective loan count of 14.6. Fitch's criteria are designed to be used in conjunction with experienced analytical judgment exercised through a committee process. A rating committee may adjust the application of these criteria to reflect the risks of a specific transaction or entity. Such adjustments are known as variations. The analysis of this transaction includes a criteria variation due to model-implied rating (MIR) variations in excess of the limit stated in Fitch's "U.S. and Canadian Multiborrower CMBS Rating Criteria" for new ratings. According to the criteria, the committee can decide to deviate from the MIRs; however, if the MIR variation is greater than one notch, this will be a criteria variation. The MIR variation for classes G-RR and H-RR are greater than one notch. Absent the variation, the class G-RR and class H-RR certificates would have expected ratings of 'BB+sf' and 'BB-sf', respectively, instead of 'BB-sf' and 'B-sf', respectively. 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. BATTALION CLO 18: S&P Lowers Class E-R Notes Rating to 'B (sf)' --------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class E-R debt from Battalion CLO 18 Ltd. and the class E debt from Battalion CLO XIX Ltd. and removed them from CreditWatch, where S&P placed them with negative implications on March 14, 2025. At the same time, S&P affirmed its ratings on the nine other classes from the two transactions. The transactions are broadly syndicated U.S. CLOs managed by Brigade Capital Management L.P. The rating actions follow S&P's review of the transactions' performance using data from their respective March 2025 and April 2025 trustee reports. Battalion CLO 18 Ltd. This transaction closed in 2020 and was subsequently reset in October 2021. The transaction is still reinvesting and will exit its reinvestment period in October 2026. Since the deal is still reinvesting, no payments have been made to the notes. Though all the overcollateralization (O/C) ratios are above their respective triggers and are passing, they have declined across all categories since the last rating action, in October 2021. For instance, the O/C ratio as reported in April 2025 for class E-R is 105.81%, down from 108.56% as reported in November 2021. These declines can be attributed to par losses and increased defaults. Defaults have increased to $6.11 million in April 2025, compared with zero at the last rating action. Collateral obligations rated in the 'CCC' category have increased as a percentage of the portfolio to 5.1% reported as of April 2025 from 2.5% reported in November 2021. The amount of collateral in this category is still within the allowed threshold after which a haircut is applied. A combination of these factors led to a decline in credit support and the failure of the class E-R debt's cash flows at its previous rating level. S&P said, "As a result, we downgraded the rating by two notches to 'B (sf)'. Though our cash flow analysis indicated a lower rating for the class E-R debt, we believe, given its current O/C level and exposure to 'CCC' and 'CCC-' assets, that the class does not represent our definition of 'CCC' risk as it is not yet dependent on favorable conditions for repayment." S&P said, "Though the cash flows for the class D-R debt pointed to a one-notch downgrade, we affirmed the rating considering the margin of failure at its current rating, cushion at the trustee-reported O/C levels, exposure to 'CCC' and 'CCC-' rated assets, the fact that the deal is still reinvesting, and the potential of any 'CC' or 'SD' obligors to return to performing status." Any further decline in credit quality or a reduction in credit support for the class D-R and E-R debt may result in a downgrade. S&P said, "Though our cash flow analysis indicated the potential for a higher rating for the class B-R debt, we considered that, as the CLO continues to reinvest, there is potential for a change in the composition and room for volatility. As a result, we are not considering an upgrade at this time. "We affirmed the ratings on the class A loan and the class A-R and C-R debt based on their passing cash flows and current credit support." Battalion CLO XIX Ltd. This transaction closed in April 2021. The transaction is still reinvesting and will exit its reinvestment period in April 2026. Since the deal is still reinvesting, no payments have been made to the notes. Similar to Battalion CLO 18 Ltd., though the O/C ratios are passing, they have declined across all categories since the last rating action, in April 2021. For instance, the O/C ratio as reported in April 2025 for class E is 105.57%, down from 108.96% as reported in May 2021. These declines can be attributed to par losses and increased defaults. Additionally, defaults have increased to $4.64 million in April 2025, compared with zero at the last rating action. Collateral obligations rated in the 'CCC' category have increased as a percentage of the portfolio to 4.8% reported as of April 2025 from 1.7% reported in May 2021. The amount of collateral in this category is still within the allowed threshold after which a haircut is applied. A combination of these factors led to a decline in credit support, and the cash flows in the class E debt were failing at their previous rating levels. As a result, S&P downgraded the rating by two notches to 'B (sf)' based on cash flows and the decline in credit support. Any further decline in credit quality or a reduction in credit support for the class E debt may result in a downgrade. S&P said, "Though our cash flows indicated the potential for a higher rating for the class B and C debt, we considered that, as the CLO continues to reinvest, there is potential for a change in the composition and room for volatility. As a result, we are not considering any upgrades at this time. "We affirmed the ratings on the class A, B, C, and D debt based on their respective passing cash flows and current credit support. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Lowered And Removed From CreditWatch Negative Battalion CLO 18 Ltd. Class E-R to 'B (sf)' from 'BB- (sf)/Watch Neg' Battalion CLO XIX Ltd. Class E to 'B (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Battalion CLO 18 Ltd. Class A loan: AAA (sf) Class A-R: AAA (sf) Class B-R: AA (sf) Class C-R: A (sf) Class D-R: BBB- (sf) Battalion CLO XIX Ltd. Class A: AAA (sf) Class B: AA (sf) Class C: A (sf) Class D: BBB- (sf) BAYARD PARK: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to Bayard Park CLO Ltd./Bayard Park CLO LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Blackstone Liquid Credit Strategies LLC. The 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 Bayard Park CLO Ltd./Bayard Park CLO LLC Class A, $30.00 million: AAA (sf) Class A-1L(i), $0.00 million: AAA (sf) Class A-1L loans(i), $206.25 million: AAA (sf) Class A-2L loans, $76.25 million: AAA (sf) Class B-1, $50.00 million: AA (sf) Class B-2, $15.00 million: AA (sf) Class C (deferrable), $32.50 million: A (sf) Class D-1 (deferrable), $22.50 million: BBB+ (sf) Class D-2 (deferrable), $7.50 million: BBB- (sf) Class D-3 (deferrable), $2.50 million: BBB- (sf) Class E (deferrable), $17.50 million: BB- (sf) Subordinated notes, $50.00 million: NR (i)The class A-1L loans can be converted into class A-1L notes. NR--Not rated. BENCHMARK 2018-B7: Fitch Lowers Rating on Two Tranches to 'Bsf' --------------------------------------------------------------- Fitch Ratings has downgraded nine and affirmed five classes of Benchmark 2018-B7 Mortgage Trust (BMARK 2018-B7). Classes A-M, X-A, B, C, D, E and X-D were assigned Negative Rating Outlooks following their downgrades. Entity/Debt Rating Prior ----------- ------ ----- Benchmark 2018-B7 A-2 08162TAY9 LT AAAsf Affirmed AAAsf A-3 08162TBA0 LT AAAsf Affirmed AAAsf A-4 08162TBB8 LT AAAsf Affirmed AAAsf A-M 08162TBD4 LT AAsf Downgrade AAAsf A-SB 08162TAZ6 LT AAAsf Affirmed AAAsf B 08162TBE2 LT Asf Downgrade AA-sf C 08162TBF9 LT BBBsf Downgrade A-sf D 08162TAG8 LT BBsf Downgrade BBBsf E 08162TAJ2 LT Bsf Downgrade BBsf F 08162TAL7 LT CCCsf Downgrade B-sf G-RR 08162TAN3 LT CCCsf Affirmed CCCsf X-A 08162TBC6 LT AAsf Downgrade AAAsf X-D 08162TAC7 LT Bsf Downgrade BBsf X-F 08162TAE3 LT CCCsf Downgrade B-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The downgrades reflect higher deal-level 'Bsf' ratings case loss expectations of 6.8%, an increase from 6.3% at Fitch's prior rating action, driven primarily by the Aon Center loan (3.9%) and the specially serviced Workspace loan (3.7%). Both loans are assumed to default in Fitch's 'Bsf' ratings case loss expectations due to the underperformance of the collateral and expected difficulty refinancing. The downgraded classes were previously assigned Negative Outlooks due to the deteriorating performance of Fitch Loans of Concern (FLOCs), in addition to the higher loss expectations. Fitch has identified 18 loans (45.6% of the pool) as FLOCs, which includes four loans (9%) in special servicing. The assigned Negative Outlooks reflect the potential for further downgrades should performance of the FLOCs decline or fail to stabilize, including large office FLOCs Dumbo Heights Portfolio, Liberty Portfolio, Aon Center and Workspace (collectively 18.9% of the pool). The Negative Outlooks also incorporate an additional sensitivity scenario that factors a heightened probability of default on the Liberty Portfolio and account for the pool's high office exposure of 40.9%. The largest contributor to expected losses is the specially serviced Castleton Commons & Square loan (2.9% of the pool), which is secured by a 279,452-sf retail complex located in Indianapolis, IN. The loan transferred to special servicing in August 2023 for imminent default due to cash flow issues stemming from the loss of a large furniture tenant. The loan is in foreclosure per recent servicer reporting. Major tenants include Floor & Décor (25.7% NRA, expiring Aug. 2028), Dave & Buster's (12.5% NRA, Dec. 2026) and REI (8.3% NRA, Mar. 2027). As of the December 2024 rent roll, the property occupancy was 74.7%, compared with 93% at YE 2022. Fitch's 'Bsf' rating case loss of approximately 34% (prior to concentration adjustments) reflects a stressed value of $77 psf, which is based on a discount to the most recent December 2024 appraisal value and factors in the loan's total exposure. The second largest contributor to expected losses is the Liberty Portfolio (4.6% of the pool), secured by a two-property office portfolio located in Arizona and totaling 805,746-sf. The portfolio reflects a current occupancy of 95% as of the 2024 rent roll reporting with a most recent NOI DSCR of 1.90x. However, the largest tenant, Centene (43.8% of the portfolio NRA), no longer fully occupies its space and cash management has been activated. Additionally, prior tenant Carvana (16.8%) vacated at lease expiration in 2024. Overall availability for the portfolio is approximately greater than 50%; per CoStar as of May 2025, the submarket metrics for comparable assets reflect a weighted average vacancy rate of 22.3% and an availability rate of 24.6%. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of approximately 17% factors a 40% stress to the YE 2024 NOI to account for the departure of the major tenants coupled with soft market conditions. Large office FLOCs contributing to the Negative Outlooks include the largest loan in the pool, DUMBO Heights Portfolio (6.7% of the pool), Aon Center (3.9%) and Workspace (3.7%) loans. The DUMBO Heights Portfolio loan transferred to special serving ahead of its scheduled September 2023 maturity date. The loan was modified in May 2024, with a maturity date extension to September 2025 and two, one-year extension options subject to certain provisions including a coverage test, additional equity contributions and cash sweep. The loan returned to the master servicer in August 2024 and remains current. Fitch's 'Bsf' case loss of 4.0% (prior to a concentration adjustment) is based on a 8.75% cap rate and 10% stress to the YE 2024 NOI. The Aon Center loan is secured by a 2.8 million-sf office tower located in downtown Chicago, IL. The property's occupancy was 74% as of the September 2024 rent roll, which compares with 76% at YE 2023. Additionally, the property has a higher availability rate of 31.4% of the NRA. Fitch's 'Bsf' case loss of approximately 13% (prior to a concentration adjustment) is based on a 10.50% cap rate and 15% stress to the annualized September 2024 NOI. The Workspace loan transferred to special servicing in November 2024 due to cash flow shortfalls. The servicer reported occupancy was 76% as of June 2024 compared to 89% at issuance. The loan was modified and had its maturity extended to July 2025. As of the May 2024 remittance, the loan was reported as 30 days delinquent. Fitch's 'Bsf' case loss of approximately 15% (prior to a concentration adjustment) is based on a 10% cap rate and 5% stress to the annualized June 2024 NOI. Change in Credit Enhancement: CE has improved modestly since issuance due to loan payoffs and amortization. In addition, two loans are fully defeased (2.6% of the current pool balance). As of the April 2025 distribution date, the pool's aggregate balance has been paid down by 6.6% to $1.1 billion from $1.7 billion at issuance. There are 22 loans (59.1% of the pool) that are full-term, interest-only (IO). The remaining loans are currently amortizing. Interest shortfalls are currently impacting the non-rated J-RR class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs. This applies particularly to office loans with deteriorating performance and/or rollover concerns, including Liberty Portfolio, Workspace, AON Center and Overland Park Xchange, or more loans than expected experience performance deterioration or default at or prior to maturity. Downgrades to in the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the office loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings of 'CCCsf' would occur should additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. This includes Workspace, AON Center, Overland Park Xchange and DUMBO Heights Portfolio. 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 the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings of 'CCCsf' are not expected, but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BLACK DIAMOND 2016-1: S&P Affirms B+ (sf) Rating on Cl. D-R Notes ----------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2A-R, A-2b-R2, B-R, and C-R debt from Black Diamond CLO 2016-1 Ltd. At the same time, S&P affirmed its ratings on the class A-1A-R, A-1b-R2, and D-R debt from the same transaction. The rating actions follow its review of the transaction's performance using data from the April 2025 trustee report. The transaction has paid down $186.56 million in collective paydowns to the class A-1A-R and A-1b-R debt since S&P's September 2020 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the July 2020 trustee report, which S&P used for its previous rating actions: -- The class A-2A-R/A-2b-R O/C ratio improved to 148.26% from 124.87%. -- The class B-R O/C ratio improved to 126.11% from 114.62%. -- The class C-R O/C ratio improved to 114.30% from 108.46%. -- The class D-R O/C ratio improved to 104.90% from 103.16%. -- All O/C ratios have experienced a positive movement due to the lower balances of the senior notes, and, consequently, the credit support has increased. While the O/C ratios have improved, the portfolio's credit quality has also significantly improved since S&P's last rating actions. Collateral obligations with ratings in the 'CCC' category have decreased, with $15.71 million reported as of the April 2025 trustee report compared with $42.53 million reported as of the July 2020 trustee report. Over the same period, the par amount of defaulted collateral has decreased to $1.85 million from $17.95 million. The upgrades reflect the improved credit support available to the debt at the prior rating levels. The affirmations reflect adequate credit support at the current rating levels, though any deterioration in the credit support available to the debt could result in further changes in the ratings. S&P said, "Our cash flow analysis indicates the potential for higher ratings for the class B-R and C-R debt. However, we believe that their subordinated position may result in a greater likelihood of rating migration than that of more senior classes in the event of portfolio volatility. We also considered the transaction's exposure to 'CCC' rated collateral obligations, as well as to some assets with low market values. Our rating actions reflect the credit enhancement available for these classes under additional sensitivity analyses that considered such exposure. "Although the cash flow results indicated a lower rating for the class D-R debt, we view the overall credit seasoning as an improvement to the transaction and also considered the relatively stable O/C ratios, which currently have adequate cushion over their minimum requirements." However, any increase in defaults or par losses could lead to negative rating actions on the class D-R debt in the future. 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 Black Diamond CLO 2016-1 Ltd. Class A-2A-R to 'AAA (sf)' from 'AA (sf)' Class A-2b-R2 to 'AAA (sf)' from 'AA (sf)' Class B-R to 'A (sf)' from 'AA (sf)' Class C-R to 'BBB (sf)' from 'BBB- (sf)' Ratings Affirmed Black Diamond CLO 2016-1 Ltd. Class A-1A-R: AAA (sf) Class A-1b-R2: AAA (sf) Class D-R: B+ (sf) BLACK DIAMOND 2017-1: Moody's Ups Rating on $18MM D Notes to Ba2 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Black Diamond CLO 2017-1, Ltd.: US$25,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2029, Upgraded to Aaa (sf); previously on November 1, 2024 Upgraded to Aa2 (sf) US$18,000,000 Class D Secured Deferrable Floating Rate Notes due 2029, Upgraded to Ba2 (sf); previously on November 1, 2024 Upgraded to Ba3 (sf) Black Diamond CLO 2017-1, Ltd., originally issued in May 2017 and partially refinanced in October 2020 and July 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 2021. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These rating actions are 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 A-2-R notes have since been paid in full and the Class B-1-R and Class B-2-R notes have been paid down collectively by approximately 3.21% or $0.770 million since then. Based on the trustee's April 2025 report[1], the OC ratios for the Class C and Class D notes are currently 143.50% and 112.19%, respectively, versus September 2024 levels[2] of 128.44% and 110.15%, respectively. Moody's notes that the April 2025 trustee-reported OC ratios do not reflect the April 2025 payment distribution, when $16.3 million of principal proceeds were used to pay down the Class A-2-R, Class B-1-R and Class B-2-R notes. No actions were taken on the Class B-1-R and Class B-2-R 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: $73,062,704 Defaulted par: $7,005,782 Diversity Score: 30 Weighted Average Rating Factor (WARF): 2720 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.31% Weighted Average Recovery Rate (WARR): 47.18% Weighted Average Life (WAL): 2.7 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. BLUEMOUNTAIN CLO 2014-2: S&P Lowers F-R2 Notes Rating to 'CCC+' --------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-R2 and C-R2 debt from BlueMountain CLO 2014-2 Ltd. S&P also lowered its ratings on the class E-R2 and F-R2 debt and removed them from CreditWatch, where it had placed them with negative implications in May 2025. At the same time, S&P affirmed its ratings on the class A-1-R2 and D-R2 debt from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the April 2025 trustee report. Although the same portfolio backs all the tranches, there can be circumstances such as this one where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. The transaction is experiencing opposing rating movements because it experienced both principal paydowns (which increased the senior credit support) and faced principal losses and increase in defaults (which decreased the junior credit support). The transaction has paid down $137.12 million in paydowns to the class A-1-R2 debt since our October 2021 rating actions. Following are the changes in the reported overcollateralization (O/C) ratios since the July 2021 trustee report, which S&P used for its previous rating actions: -- The class B-R2 O/C ratio improved to 135.23% from 128.06%. -- The class C-R2 O/C ratio improved to 121.83% from 118.64%. -- The class D-R2 O/C ratio improved to 111.00% from 110.63%. -- The class E-R2 O/C ratio declined to 105.02% from 106.04%. While the senior O/C ratios experienced a positive movement due to the lower balances of the senior notes, the junior O/C ratios declined due to a combination of par losses and increases in 'CCC' rated and defaulted assets. The class F-R2 is not supported by an O/C test. S&P said, "While paydowns have helped the senior classes, the collateral portfolio's credit quality has slightly deteriorated since our last rating actions. Although collateral obligations with ratings in the 'CCC' category have decreased from $45.58 million to $37.13 million since our October 2021 rating actions, the percentage exposure of the 'CCC' balance increased to 9.19% from 8.65% due to the amortization of the CLO." Since the exposure is beyond the maximum allowable limit, the trustee, as per the transaction documents, haircuts the excess amount for the purpose of calculating the O/Cs. Defaulted obligations also have increased to $3.77 million reported as of the April 2025 trustee report from zero reported as of the October 2021 trustee report. The lowered ratings of the class E-R2 and F-R2 debt reflect the decrease in their credit support levels at their respective prior ratings. On a standalone basis, the results of the cash flow analysis indicated lower ratings than the ones reflected by its rating actions. S&P said, "However, our actions considered the margin of failure, class E-R2's passing O/C, and the relatively low exposure to 'CCC'/'CCC-' rated assets. Furthermore, we believe that the Class F-R2 debt aligns with our 'CCC+' definition, and, thus, the lowered rating is limited to a one-notch downgrade. Any increase in defaults and/or further portfolio credit quality deterioration could lead to potential negative rating actions on them." The upgraded rating reflect the improved credit support available to the notes at prior rating levels. The affirmed ratings reflect S&P's view that the credit support available is commensurate with the current rating level. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, as well as on recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Raised BlueMountain CLO 2014-2 Ltd. Class B-R2 to 'AA+ (sf)' from 'AA (sf)' Class C-R2 to 'A+ (sf)' from 'A (sf)' Ratings Lowered And Removed From CreditWatch BlueMountain CLO 2014-2 Ltd. Class E-R2 to 'B (sf)' from 'BB- (sf)/Watch neg' Class F-R2 to 'CCC+ (sf)' from 'B- (sf)/Watch neg' Ratings Affirmed BlueMountain CLO 2014-2 Ltd. Class A-1-R2: AAA (sf) Class D-R2: BBB- (sf) Other Debt BlueMountain CLO 2014-2 Ltd. Class A-2-R2: NR NR--Not rated. BRAVO RESIDENTIAL 2025-NQM5: Fitch Gives B Rating on Cl. B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to BRAVO Residential Funding Trust 2025-NQM5 (BRAVO 2025-NQM5). Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2025-NQM5 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf FB LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 602 loans with a total balance of approximately $285 million as of the cutoff date. OCMBC, Inc., d/b/a LoanStream Mortgage (LoanStream), and Guaranteed Rate, Inc. (GRATE) contributed approximately 23.0% and 19.5% of the pool, respectively. No other originator contributed more than 10% of the pool. Most of the collateral (approximately 92.1%) will be serviced by Select Portfolio Servicing (SPS). The remainder will be serviced by Selene Finance LP (Selene) at 7.5% of the pool and Citadel Servicing Corporation (Citadel), with ServiceMac LLC (ServiceMac) as its subservicer, at 0.4%. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch estimates home price values for this pool as 10.7% above a long-term sustainable level (versus 11% on a national level as of 4Q24). Affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices increased by 2.9% yoy nationally as of February 2025, notwithstanding modest regional declines, but are still being supported by limited inventory. Nonqualified Mortgage Credit Quality (Mixed): The collateral consists of 602 loans totaling approximately $285 million and seasoned at about eight months in aggregate, as calculated by Fitch (five months, per the transaction documents). The borrowers have a moderate credit profile, with a 742 model FICO, a 45.7% debt-to-income ratio (DTI), accounting for Fitch's approach of mapping debt service coverage ratio (DSCR) loans to DTI,; and moderate leverage, with an 80.5% sustainable loan-to-value ratio (sLTV). Of the pool, 61.5% of the loans are backed by owner-occupied properties, while 38.5% are investor properties or second homes, including loans to foreign nationals or loans with a nonconfirmed residency status. In addition, 29.3% of the loans were originated through a retail channel. Of the loans, 38.8% are nonqualified mortgages (non-QMs), 33.5% are ATR/QM: Exempt, 26.5% are safe-harbor QM (SHQM) and 1.2% are higher-priced QM (HPQM). Loan Documentation (Negative): Approximately 72.8% of the pool loans were underwritten to less than full documentation, as determined by Fitch, and 42.1% were underwritten to a 12-month or 24-month bank statement program for verifying income. This is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) ATR (ability to repay), which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigors of the ATR mandates regarding underwriting and documentation of a borrower's ATR. In addition, 24.7% of the loans are a DSCR product, while the remainder comprise a mix of asset depletion, profit and loss (P&L), 12-month or 24-month tax returns and written verification of employment (WVOE) products. Separately, 1.2% of the loans by principal balance were originated to foreign nationals. Modified Sequential-Payment Structure (Mixed): The structure distributes principal pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or a delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1A, A-1B, A-2 and A-3 notes until they are reduced to zero. The structure includes a step-up coupon feature whereby the fixed interest rate for classes A-1A, A-1B, A-2 and A-3 will increase by 100 bps, subject to the net weighted average coupon (WAC), after four years. This reduces the modest excess spread available to repay losses. Interest distribution amounts otherwise allocable to the unrated class B-3, to the extent available, may be used to reimburse any unpaid cap carryover amount for classes A-1A, A-1B, A-2 and A-3, prior to the payment of any current interest and interest carryover amounts due to class B-3 notes on such payment date. Class B-3 notes will not be reimbursed for any amounts paid to the senior classes as cap carryover amounts. While Fitch has previously analyzed transactions using an interest rate cut, this stress is not being applied for this transaction. Given the lack of evidence of interest rate modifications being used as a loss mitigation tactic, the application of the stress was overly punitive. If this reemerges as a common form of loss mitigation or if certain structures are overly dependent on excess interest, Fitch may apply additional sensitivities to test the structure. On or after the June 2029 payment date, the unrated class B-3 interest allocation will redirect toward the senior cap carryover amount for as long as there is an unpaid cap carryover amount. This increases the principal and interest (P&I) allocation for the senior classes as long as class B-3 is not written down and helps to ensure payment of the 100-bps step-up. No P&I Advancing (Mixed): There will be no servicer advancing of delinquent P&I. The lack of advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. The structure has enough internal liquidity through the use of principal to pay interest, excess spread and credit enhancement for timely interest payments to senior notes during stressed delinquency and cash flow periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.9% at 'AAA'. The analysis indicates that there is some potential for rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - A 5% probability of default credit was applied at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 45 bps as a result of the diligence review. ESG Considerations BRAVO 2025-NQM5 has an ESG Relevance Score of '3' for Transaction Parties & Operational Risk due to Transaction Parties and Operational Risk, 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. BRIDGECREST LENDING 2025-2: S&P Assigns BB (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The availability of approximately 64.84%, 59.67%, 50.80%, 38.97%, and 34.67% 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 S&P's final post-pricing 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 its 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 '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 its stressed cash flow modeling scenarios that S&P believes are appropriate for the assigned 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 ratings. -- S&P's operational risk assessment of Bridgecrest Acceptance Corp. as servicer, along with its 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. Ratings Assigned Bridgecrest Lending Auto Securitization Trust 2025-2 Class A-1, $83.300 million: A-1+ (sf) Class A-2, $151.470 million: AAA (sf) Class A-3, $100.980 million: AAA (sf) Class B, $79.900 million: AA (sf) Class C, $100.725 million: A (sf) Class D, $148.750 million: BBB (sf) Class E, $56.526 million: BB (sf) BRYANT PARK 2023-20: S&P Assigns Prelim B-(sf) Rating on F-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-L, A-a-R, A-b-R, B-R, C-R, D-R, E-R, and F-R replacement debt from Bryant Park Funding 2023-20 Ltd./Bryant Park Funding 2023-20 LLC, a CLO originally issued in May 2023 that is managed by Marathon Asset Management L.P. The preliminary ratings are based on information as of May 29, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 2, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The weighted average cost of the replacement debt is expected to be lower than the existing debt. -- The non-call period will be extended to July 2027. -- The reinvestment period and stated maturity will be extended to July 2030 and April 2038, respectively. -- New class F-R debt is expected to be issued in connection with this refinancing. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Bryant Park Funding 2023-20 Ltd./Bryant Park Funding 2023-20 LLC Class A-L loans, $142.00 million: AAA (sf) Class A-a-R, $98.00 million: AAA (sf) Class A-b-R(i), $0.00 million: AAA (sf) Class B-R, $64.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-R (deferrable), $24.00 million: BBB- (sf) Class E-R (deferrable), $12.75 million: BB- (sf) Class F-R (deferrable), $5.25 million: B- (sf) (i)Class A-b-R will have a zero balance as of the refinancing date, and class A-L loans can be converted to class A-b-R notes. Other Outstanding Debt Bryant Park Funding 2023-20 Ltd./Bryant Park Funding 2023-20 LLC Subordinated notes, $36.50 million: Not rated BX TRUST 2025-LUNR: Fitch Assigns BB-(EXP) Rating on Cl. E Certs ---------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Rating Outlooks to BX Trust 2025-LUNR commercial mortgage pass-through certificates, series 2025-LUNR: - $553,755,000 class A 'AAAsf'; Outlook Stable; - $70,490,000 class B 'AA-sf'; Outlook Stable; - $82,650,000 class C 'A-sf'; Outlook Stable; - $96,235,000 class D 'BBB-sf'; Outlook Stable; - $146,870,000 class E 'BB-sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $50,000,000 combined RR Interest*. *RR: Vertical risk retention interest representing approximately 5.0% of the estimated fair value of all the ABS interests, as defined in the U.S. credit risk retention rules. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $1.0 billion, two-year, floating-rate, interest-only mortgage loan with three one-year extension options. The mortgage will be secured by the borrower's fee simple interest in a portfolio of 58 primarily industrial properties and one parking lot comprising approximately 11.6 million sf located in 13 states and 18 markets. The properties were acquired by subsidiaries of Blackstone Real Estate Partners in a series of acquisitions from May 2018 to April 2020. Loan proceeds will be used to refinance approximately $981.1 million of existing debt and pay $18.9 million in closing costs. The certificates will follow a pro rata paydown for the initial 30% of the loan amount and a standard senior sequential paydown thereafter. The borrower has a one-time right to obtain a mezzanine loan. To the extent the mezzanine loan is outstanding, and no mortgage loan event of default (EOD) is ongoing, voluntary prepayments would be applied pro rata between the mortgage and the mezzanine loan. The loan is expected to be originated by Goldman Sachs Bank USA, Deutsche Bank AG, New York Branch, Barclays Capital Real Estate Inc. and JPMorgan Chase Bank, National Association. KeyBank National Association is expected to be the servicer and special servicer. Computershare Trust Company, N.A. will act as trustee and certificate administrator. The transaction is scheduled to close on June 5, 2025. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the portfolio at $72.3 million. This is 9.3% lower than the issuer's NCF. Fitch applied a 7.375% cap rate to derive a Fitch value of approximately $980.1 million. High Fitch Leverage: The $1.0 billion whole loan equates to debt of approximately $86.0 psf with a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield of 0.86x, 102.0% and 7.23%, respectively. The loan represents approximately 65.1% of the appraised value of approximately $1.5 billion. Fitch increased the LTV hurdles by 2.5% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio exhibits strong geographic diversity with 58 industrial properties and one parking lot (11.6 million sf) located across 13 states, 15 MSAs and 18 markets, per CoStar. The three largest state concentrations are California (2.7 million sf; nine properties), Florida (1.5 million sf; 18 properties) and Indiana (1.7 million sf; seven properties). The three largest MSAs are Stockton-Lodi, CA (16.0% of NRA; 15.1% of allocated loan amount [ALA]), Indianapolis-Carmel-Anderson, IN (14.6% of NRA; 12.0% of ALA) and Tampa-St. Petersburg-Clearwater, FL (5.7% of NRA; 8.3% of ALA). The Fitch effective geographic count for the pool is 13.21. The portfolio also exhibits significant tenant diversity, as it features over 145 distinct tenants. Institutional Sponsorship and Management: The loan is sponsored by Blackstone Real Estate Partners, an affiliate of Blackstone Inc. The Blackstone Real Estate segment has approximately $315.4 billion of assets under management as of Jan. 30, 2025, per its quarterly reports. It is the largest owner of commercial real estate (CRE) globally and has acquired over 600 million sf of industrial space globally since 2010, including the subject. The portfolio in this transaction is managed by Link Logistics Real Estate Management LLC, an affiliate of the borrowers. Link Logistics operates the largest industrial-only real estate portfolio in the U.S. with 500 million sf across 3,200 properties. 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 (MIR) sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'; - 10% NCF Decrease: 'AAsf'/'A-sf'/'BBB-sf'/'BBsf'/'Bsf'. 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 MIR sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'A+sf'/'BBB+sf'/'BBsf'. 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. CD MORTGAGE 2007-CD5: Moody's Hikes Rating on Cl. G Certs to Caa3 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on one class in CD 2007-CD5 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-CD5 ("CD 2007-CD5") and downgraded the ratings on two classes in Credit Suisse Commercial Mortgage Trust Series 2007-C2, Commercial Mortgage Pass-Through Certificates, Series 2007-C2 ("CSMC 2007-C2") as follows: Issuer: CD 2007-CD5 Mortgage Trust Cl. G, Upgraded to Caa3 (sf); previously on May 14, 2019 Downgraded to C (sf) Issuer: Credit Suisse Commercial Mortgage Trust Series 2007-C2 Cl. C, Downgraded to Caa3 (sf); previously on Mar 2, 2020 Affirmed Caa2 (sf) Cl. D, Downgraded to C (sf); previously on Mar 2, 2020 Affirmed Caa3 (sf) RATINGS RATIONALE The rating actions were 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. The rating on Cl. G in CD 2007-CD5 was upgraded due to lower than previously anticipated losses. Cl. G has already experienced a 25.2% loss based on its original balance and its outstanding balance has been reduced to 7.6% of its original balance. The ratings on Cl. C and Cl. D in CSMC 2007-C2 were downgraded due to increased expected losses as a result of exposure to delinquent and special serviced loans, which represent over 99% of the pool. Furthermore, interest shortfalls have accumulated on both classes as neither class has received interest proceeds since December 2023. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in 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 CD 2007-CD5: As of the May 2025 distribution date, the CD 2007-CD5 transaction's aggregate certificate balance has decreased by over 99% to $1.6 million from $2.1 billion at securitization. There are no outstanding interest shortfalls on the sole outstanding rated class and the certificates are collateralized by one remaining performing loan that has amortized approximately 45% since securitization. Forty-nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $164.7 million. CSMC 2007-C2: As of the May 2025 distribution date, the CSMC 2007-C2 transaction's aggregate certificate balance has decreased by 94% to $186.5 million from $3.3 billion at securitization. The certificates are collateralized by four remaining loan exposures, of which two exposures, constituting over 90% of the pool, are in special servicing or have been previously modified including an A/B Note split. Cumulative interest shortfalls on the outstanding classes, Cl. C and Cl. D, were approximately $14.0 million and $21.1 million, respectively, and Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Due to the performance of the remaining loans and significant outstanding interest shortfalls Moody's anticipates significant losses on the remaining loans. The two largest loan exposures, Two North LaSalle Loan ($100 million A-note and $37.8 million B-note, aggregate 73.9% of the pool) and 300-318 East Fordham Road Loan ($30.0 million A note and $17.7 million B note, aggregate 25.6% of the pool) are both previously modified and significantly delinquent on debt service payments. CHASE HOME 2025-5: DBRS Gives Prov. B(low) Rating on B-5 Certs -------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-5 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2025-5 (CHASE 2025-5) as follows: -- $324.3 million Class A-2 at (P) AAA (sf) -- $324.3 million Class A-3 at (P) AAA (sf) -- $324.3 million Class A-3-X at (P) AAA (sf) -- $243.2 million Class A-4 at (P) AAA (sf) -- $243.2 million Class A-4-A at (P) AAA (sf) -- $243.2 million Class A-4-X at (P) AAA (sf) -- $81.1 million Class A-5 at (P) AAA (sf) -- $81.1 million Class A-5-A at (P) AAA (sf) -- $81.1 million Class A-5-X at (P) AAA (sf) -- $194.6 million Class A-6 at (P) AAA (sf) -- $194.6 million Class A-6-A at (P) AAA (sf) -- $194.6 million Class A-6-X at (P) AAA (sf) -- $129.7 million Class A-7 at (P) AAA (sf) -- $129.7 million Class A-7-A at (P) AAA (sf) -- $129.7 million Class A-7-X at (P) AAA (sf) -- $48.6 million Class A-8 at (P) AAA (sf) -- $48.6 million Class A-8-A at (P) AAA (sf) -- $48.6 million Class A-8-X at (P) AAA (sf) -- $43.4 million Class A-9 at (P) AAA (sf) -- $43.4 million Class A-9-A at (P) AAA (sf) -- $43.4 million Class A-9-B at (P) AAA (sf) -- $43.4 million Class A-9-X1 at (P) AAA (sf) -- $43.4 million Class A-9-X2 at (P) AAA (sf) -- $43.4 million Class A-9-X3 at (P) AAA (sf) -- $81.1 million Class A-11 at (P) AAA (sf) -- $81.1 million Class A-11-X at (P) AAA (sf) -- $81.1 million Class A-12 at (P) AAA (sf) -- $81.1 million Class A-13 at (P) AAA (sf) -- $81.1 million Class A-13-X at (P) AAA (sf) -- $81.1 million Class A-14 at (P) AAA (sf) -- $81.1 million Class A-14-X at (P) AAA (sf) -- $81.1 million Class A-14-X2 at (P) AAA (sf) -- $81.1 million Class A-14-X3 at (P) AAA (sf) -- $81.1 million Class A-14-X4 at (P) AAA (sf) -- $448.8 million Class A-X-1 at (P) AAA (sf) -- $11.4 million Class B-1 at (P) AA (low) (sf) -- $11.4 million Class B-1-A at (P) AA (low) (sf) -- $11.4 million Class B-1-X at (P) AA (low) (sf) -- $6.9 million Class B-2 at (P) A (low) (sf) -- $6.9 million Class B-2-A at (P) A (low) (sf) -- $6.9 million Class B-2-X at (P) A (low) (sf) -- $4.3 million Class B-3 at (P) BBB (low) (sf) -- $2.6 million Class B-4 at (P) BB (low) (sf) -- $953,900 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 5.90% 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 3.50%, 2.05%, 1.15%, 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 Certificates. The Certificates are backed by 419 loans with a total principal balance of $502,058,292 as of the Cut-Off Date (May 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 67.1% of the loans were underwritten using an automated underwriting system 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 rule. JP Morgan Chase Bank, N.A. (JPMCB) is the Originator and Servicer of 100% 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 will serve as the Representations and Warranties 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. CITIGROUP 2021-KEYS: DBRS Confirms B(low) Rating on G Certs ----------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-KEYS issued by Citigroup Commercial Mortgage Trust 2021-KEYS as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the transaction's overall stable performance since Morningstar DBRS' last review as evidenced by the most recent servicer-reported net cash flow (NCF), which remains in line with Morningstar DBRS' expectations. The underlying collateral continues to outperform its competitive set in terms of occupancy rate, average daily revenue (ADR), and revenue per available room (RevPAR), and benefits from experienced sponsorship in EOS Investors LLC. The loan is secured by the borrower's fee-simple interest in a 199-key full-service hotel, Isla Bella Beach Resort & Spa (Isla Bella), which spans more than 24 acres on Knights Key in Marathon, Florida, with more than a mile of oceanfront exposure. The property was completed in 2019 and benefits from high-quality finishes and a desirable location as much of the resort overlooks the ocean. Given the historically high barriers to entry within the submarket, the property is one of the only luxury hotels that has been developed in the Middle Keys in the past 20 years. Isla Bella is approximately two hours south of Miami, halfway between Islamorada and Key West. Amenities include five swimming pools, a 5,000-square foot (sf) fitness and spa center, a 5,000-sf retail marketplace, and a 24-slip marina. The property also features three food and beverage outlets and offers banquets/catering services in conjunction with its 20,000 sf of meeting space. The sponsor, EOS Investors LLC, is an investment firm primarily operating in the hospitality sector. Its portfolio consists of a number of luxury hotels, including another hotel in the Florida Keys. At issuance, the sponsor was planning to invest an additional $3.1 million in upgrades to the property. Loan proceeds refinanced existing debt and returned $8.7 million of equity to the sponsor. The floating-rate interest-only loan has a current maturity date of October 2025 with one one-year extension option remaining, for a fully extended maturity date in October 2026. The upcoming third and final extension option includes a performance trigger, subject to a minimum debt yield of 10.0%. The loan is currently on the servicer's watchlist because the debt yield is below the 7.5% threshold and insurance is expiring. The annualized NCF and debt service coverage ratio (DSCR) were reported at $17.4 million and 0.87x times (x) as of the trailing nine-month period ended September 30, 2024, relatively in line with the YE2023 figures of $16.7 million and 0.88x, respectively, and the Morningstar DBRS NCF of $16.8 million. Metrics remain strong as the property had a running 12-month occupancy rate, ADR, and RevPAR of 81.4%, $525.2, and $427.5, respectively, according to the September 2024 STR report. For the purposes of this review, Morningstar DBRS maintained the cash flow and valuation assumptions it used to assign the credit ratings. The Morningstar DBRS Value of $197.5 million, which is based on the Morningstar DBRS NCF of $16.8 million and a capitalization rate of 8.5%, represents a loan-to-value ratio of 113.9% on the total secured debt and 93.7% on the Morningstar DBRS-rated debt. Morningstar DBRS also maintained qualitative adjustments totaling 6.00% to represent the property's strong historical occupancy and stable cash flow expectations, high property quality, and irreplaceable beachfront location in a market with high barriers to entry. Morningstar DBRS expects the property to continue to exhibit stable performance. 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. COLT 2025-5: Fitch Gives 'B(EXP)sf' Rating on Class B-2 Certs ------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by COLT 2025-5 Mortgage Loan Trust (COLT 2025-5). COLT 2025-5 uses Fitch's new Interactive RMBS Presale feature. To access the interactive feature, click the link at the top of the presale report's first page, log into dv01 and explore Fitch's loan-level loss expectations. Entity/Debt Rating ----------- ------ COLT 2025-5 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 437 nonprime loans with a total balance of approximately $289.9 million as of the cutoff date. Loans in the pool were originated by multiple originators including The Loan Store Inc., Northpointe Bank, Foundation Mortgage Corporation and others. The loans were aggregated by Hudson Americas L.P. and are currently being serviced by Select Portfolio Servicing, Inc. (SPS). KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 8.1% above a long-term sustainable level versus 11.0% 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 both 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. COLT 2025-5 has a combined original loan-to-value ratio (cLTV) of 73.6%, slightly higher than that of the previous Fitch-rated transaction, COLT 2025-3. Based on Fitch's updated view of housing market overvaluation, this pool's sustainable LTV (sLTV) is 80.1% compared with 80.7% for the previous transaction. Although the cLTV is higher than 2025-3, Fitch views sustainable values as higher and ultimately views this pool as less leveraged with a lower sLTV. Non-QM Credit Quality (Negative): The collateral consists of 437 loans totaling $289.9 million and seasoned at approximately three months in aggregate, as calculated by Fitch. The borrowers have a moderate credit profile, consisting of a 735 model FICO, and moderate leverage, with an 80.1% sLTV and a 73.6% cLTV. Of the pool, 45.5% of the loans are for a primary residence, while 54.5% comprise an investor property or second home, as calculated by Fitch. In addition, 49.8% are nonqualified mortgages (non-QMs, or NQMs) and 0.6% are safe-harbor qualified mortgages (SHQM) or high price qualified mortgages (HPQM); the QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 22.0%. This is mainly driven by the NQM/nonprime collateral and the concentration of investor cash flow product (debt service coverage ratio [DSCR]) loans. Loan Documentation and DSCR Loans (Negative): About 90.7% of loans in the pool were underwritten to less than full documentation and 61.6% were underwritten to a bank statement program for verifying income, which is not consistent with Fitch's view of a full documentation program. Its treatment of alternative loan documentation increased 'AAAsf' expected losses by approximately 6.1%, compared with a transaction comprised of 100% fully documented loans. 144 loans, or 15.1%, were originated through the originator's investor cash flow program, which targets real estate investors qualified on a DSCR basis. These business-purpose loans are available to real estate investors who are qualified on a cash flow basis, rather than a debt-to-income (DTI) basis, and borrower income and employment are not verified. Fitch's average expected losses for DSCR loans is 32.8% in the 'AAAsf' stress. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will be made on mortgage loans serviced by SPS for the first 90 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer will be obligated to make such an advance. The limited advancing reduces loss severities as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. However, the additional stress on the structure represents downside risk, as there is limited liquidity in the event of large and extended delinquencies. COLT 2025-5 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lower of a 100-bps increase to the fixed coupon or the net weighted average coupon (NWAC) rate. Any class B-3 interest distribution amount will be distributed to class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity 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 40.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. 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. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. 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, Selene, Clarifii, Opus, Canopy, and Maxwell. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit was given at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 50-bps reduction to the 'AAA' expected loss. 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. COLUMBIA CENT 27: Moody's Cuts Rating on $2.8MM F-R Notes to Caa1 ----------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Columbia Cent CLO 27 Limited: US$2,800,000 Class F-R Mezzanine Deferrable Floating Rate Notes, Downgraded to Caa1 (sf); previously on December 22, 2021 Assigned B3 (sf) Columbia Cent CLO 27 Limited, originally issued in October 2018 and refinanced in December 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 will end in January 2027. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class F-R notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the Moody's calculation, the total collateral par balance, including recoveries from defaulted securities, is $387.8 million, or $14.7 million less than the $402.5 million initial par amount targeted during the deal's ramp-up. No actions were taken on the Class X-R, Class A-R, Class B-1-R, Class B-2-R, Class C-R, Class D-R, and Class E-R 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: $387,147,201 Defaulted par: $3,850,732 Diversity Score: 78 Weighted Average Rating Factor (WARF): 2812 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.94% Weighted Average Coupon (WAC): 2.11% Weighted Average Recovery Rate (WARR): 46.36% Weighted Average Life (WAL): 5.75 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 this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Rating: 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. COMM 2015-CCRE24: DBRS Cuts Rating on 2 Cert. Classes to C ---------------------------------------------------------- DBRS Limited downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2015-CCRE24 issued by COMM 2015-CCRE24 Mortgage Trust as follows: -- Class X-C to BB (high) (sf) from BBB (sf) -- Class D to BB (sf) from BBB (low) (sf) -- Class X-D to CCC (sf) from B (high) (sf) -- Class E to CCC (sf) from B (sf) -- Class F to C (sf) from B (low) (sf) -- Class G to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-5 at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) Morningstar DBRS discontinued the credit rating on Class A-4 as it was repaid with the April 2025 remittance. Morningstar DBRS changed the trends on Classes C and X-B to Negative from Stable and maintained the Negative trends on Classes D and X-C. All remaining classes carry Stable trends with the exception of Classes E, F, G, and X-D which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades reflect Morningstar DBRS' increased liquidated loss projections for the specially serviced loans and one loan on the servicer's watchlist. The largest contributor for the uptick in projected liquidated losses from the previous credit rating action is the Westin Portland loan (Prospectus ID#8; 5.7% of the pool), which transferred to special servicing for the second time in October 2023 due to payment default, and has experienced precipitous performance declines since issuance, discussed further below. Since Morningstar DBRS' last credit rating action in May 2024, three additional loans have transferred to special servicing. In the analysis for this review, Morningstar DBRS liquidated all four specially serviced loans (9.3% of the pool), as well as one loan on the servicer's watchlist, LG&E Center (Prospectus ID#23; 2.4% of the pool), which is secured by an office property in Louisville, Kentucky, given the property's significant rollover risk ahead of the loan's maturity in June 2025. The results of the liquidation scenarios suggest that total implied losses of $62.9 million, which are based on conservative haircuts to the most recent appraised values, with projected liquidated losses realized through the Class F certificate, significantly reducing the credit support provided to Classes D and E, thereby supporting the credit rating downgrades with this review. Outside of the loans in special servicing, Morningstar DBRS notes the high concentration of loans backed by office/mixed-used properties with office exposure (approximately 23.0% of the pool), with a number of those loans, as well as select loans on the servicer's watchlist, exhibiting performance declines from issuance which are approaching the respective maturity dates. To account for the loans' increased risk profile, Morningstar DBRS increased the probability of default (POD) and/or applied stressed loan-to-value (LTV) ratios for six loans (18.0% of the pool), resulting in a weighted-average expected loss approximately 3.4 times (x) greater than the pool average. The Negative trends on Classes C, D, X-B and X-C reflect Morningstar DBRS' concerns surrounding the refinancing prospects of the identified loans and the potential for further value deterioration in the event they are unable to pay off at maturity. These loans and the bulk of the remaining loans (89.9% of the pool) are scheduled to mature by August 2025. As of the April 2025 remittance, 55 of the original 81 loans remain in the pool, reflecting a collateral reduction of 38.3% since issuance. There are only five loans (1.8% of the pool) that are fully defeased. In addition to the four loans in special servicing, there are 45 loans (80.1% of the pool) on the servicer's watchlist, the majority of which are being monitored for an upcoming loan maturity and/or a low debt service coverage ratio (DSCR). The pool's two largest office loans are being monitored on the servicer's watchlist in Two Chatham Center & Garage (Prospectus ID#6, 5.9% of the pool) and 40 Wall Street (Prospectus ID#7, 5.0% of the pool). Two Chatham Center & Garage, secured by a mixed-use property consisting of a Class B office building, a parking garage, and a 5.3-acre land parcel in downtown Pittsburg, has been monitored on the watchlist since October 2020 due to low DSCR and occupancy, and it is now being monitored for upcoming maturity in July 2025. Occupancy remains low, most recently reported at 35.1% as of YE2024, as leasing continues to be a challenge given the soft submarket in the central business district (CBD), which has a vacancy rate exceeding 21.0%, according to Reis. The market challenges will be exacerbated by the new mixed-use project that is under construction across the street from the collateral. Although the DSCR is above breakeven at 1.05x as of the YE2024 financials, Morningstar DBRS believes the loan will default at its maturity and analyzed the loan with a stressed POD and LTV of 143.5%, which reflects a 57.8% haircut to its issuance value. The resulting expected loss is approximately 4.5x greater than the pool average. The Donald J. Trump-sponsored 40 Wall Street loan is secured by a 1.2 million square foot (sf) office property in Lower Manhattan, New York, one block from the New York Stock Exchange. The subject loan of $66.0 million represents a pari passu portion of a $160.0 million whole loan, with the additional senior notes secured in the Morningstar DBRS-rated WFCM 2015-LC22 transaction and the non-Morningstar DBRS-rated COMM 2015-LC23 transaction. The loan was briefly in special servicing at the end of 2023 after the borrower was sued by the New York Attorney General for allegedly engaging in fraudulent activity, which was being appealed by the defendants as of Morningstar DBRS' last review in April 2024. No additional information has been provided since and the loan continues to be monitored for declined performance, with the DSCR falling below breakeven for the first time since issuance at 0.71x, with an occupancy rate of 73.6%, as of YE2024. Given the sustained performance challenges, Morningstar DBRS believes the loan is unlikely to pay off at its July 2025 maturity and maintained the elevated POD and stressed LTV exceeding 125.0% applied in the analysis for the previous credit rating action. The resulting expected loss is approximately 4.8x greater than the pool average. The largest loan in special servicing is Westin Portland, which is secured by a full-service, 205-key luxury hotel in the CBD of Portland, Oregon. Following the loan's second transfer to special servicing, the loan remains delinquent, and the borrower has submitted multiple modification requests, which have been rejected. According to a recent servicer commentary, counsel has been engaged; however, nothing has been finalized to date. While Morningstar DBRS has not received any updated financials since June 2023, when DSCR was -0.37x for the trailing 12-month period (T-12), the hotel continues to underperform relative to its competitive set, based on its revenue per available room penetration rate of 61.2% as of the T-12 ending March 31, 2025, per the most recent STR report. The property was reappraised in September 2024 at $26.7 million, a further drop from the February 2024 figure of $33.2 million, and represents a 68.1% decline from the issuance values $83.6 million. Given the prolonged delinquency, sustained decline in performance, and further drop in value, Morningstar DBRS analyzed this loan with a liquidation scenario based on a 20.0% haircut to the $26.7 million value (sharply below the total exposure of $62.4 million), resulting in an implied loss severity approaching 84.0%. The LG&E Center office property is currently 81.8% occupied, with a DSCR of 2.66x, as of YE2024. However, according to an article posted on the Louisville Courier Journal, the largest tenant, LG&E KU (70.2% of the net rentable area), will be vacating the property at its lease expiration in December 2025. Additionally, per the December 2024 rent roll, the majority of the remaining tenants also have lease expirations scheduled through the next 12 months. Although the U.S. Army Corps of Engineers was negotiating a lease at the subject property for 150,000 sf, per a WDRB article published in August 2024, nothing appears to have been finalized to date. Even if that lease comes to fruition, Morningstar DBRS expects occupancy would still be under 60.0% with the LG&E KU departure. Given the impending drop in occupancy, the loan was analyzed with a liquidation scenario based on a stressed value analysis. As the servicer has not provided updated appraisals to date, Morningstar DBRS referenced updated appraisals for comparable CBD Louisville offices within a one-mile radius from the subject, secured in other CMBS transactions. Based on those comparable values, a haircut of 70.0% was applied to the subject's issuance value of $39.2 million, which resulted in a loss severity of nearly 50.0%. 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. COMM 2015-CCRE27: Fitch Lowers Rating on Two Tranches to 'BB-sf' ---------------------------------------------------------------- Fitch Ratings has affirmed eight and downgraded four classes of Deutsche Bank Securities, Inc.'s COMM 2015-CCRE27 Mortgage Trust. The Outlooks for classes B, C, and X-B have been revised to Negative from Stable following their affirmations. Following the downgrades, Negative Rating Outlooks have been assigned to classes D and X-C. Entity/Debt Rating Prior ----------- ------ ----- COMM 2015-CCRE27 A-3 12635QBF6 LT AAAsf Affirmed AAAsf A-4 12635QBG4 LT AAAsf Affirmed AAAsf A-M 12635QBJ8 LT AAAsf Affirmed AAAsf A-SB 12635QBE9 LT AAAsf Affirmed AAAsf B 12635QBK5 LT AA-sf Affirmed AA-sf C 12635QBL3 LT A-sf Affirmed A-sf D 12635QAL4 LT BB-sf Downgrade BBB-sf E 12635QAN0 LT CCCsf Downgrade BB-sf F 12635QAQ3 LT Csf Downgrade CCCsf X-A 12635QBH2 LT AAAsf Affirmed AAAsf X-B 12635QAA8 LT AA-sf Affirmed AA-sf X-C 12635QAC4 LT BB-sf Downgrade BBB-sf KEY RATING DRIVERS Increase in 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss has increased to 8.4% from 5.8% at Fitch's prior rating action. Fitch identified 14 loans (31.3% of the pool) as Fitch Loans of Concern (FLOCs), with five (15.7%) loans in special servicing. Due to the near-term loan maturities, increasing pool concentration and adverse selection concerns, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to loans that are anticipated to default at maturity due to performance declines and/or rollover concerns. All the loans in the pool are scheduled to mature by October 2025. The downgrades reflect higher pool loss expectations, driven primarily by declining appraisal values of specially serviced loans, Midwest Shopping Portfolio and Hotel Deluxe, along with continued deterioration in performance of FLOCs in the pool due to rollover concerns with looming maturities posing heavy refinance risks. The Negative Outlooks for classes B, C, D, X-B and X-C reflect the potential for further downgrades should the performance of office and retail FLOCs including Intellicenter, Chase Park, and Shops at Randall Road deteriorate further and/or if updated valuations of the specially serviced loans decline beyond current expectations. Largest Contributor to Loss Expectations: The largest contributor to loss and the largest increase in loss expectations since the prior review is the Intellicenter loan (4.6%), secured by a 203,509-sf suburban office building in Tampa, FL. The property is currently occupied by a single tenant, H. Lee Moffitt Cancer Center, occupying 76.1% of the NRA with a lease expiring in March 2027. Occupancy has declined due to the departures of Morgan Stanley (12.4%; March 2024), Open Text, Inc. (10.5%; March 2024), and Four Fingers (0.9%; December 2023) at their respective lease expirations, reducing the occupancy rate to 76.1%. Consequently, this loss in income has led to a decrease in the NOI DSCR to 1.10x as of YE 2024, down from 1.83x as of YTD September 2023. Fitch's 'Bsf' rating case loss expectations of 29.5% (prior to concentration adjustments) reflects the YE 2024 NOI and factors an increased probability of default to account for the concentrated rollover of the largest tenant shortly after the loan's October 2025 maturity date. The second largest contributor to loss expectations is the Chase Park loan, (3.8% of the pool) secured by a 287,514-sf suburban office building in Austin, TX. The loan was identified as a FLOC due to sustained performance declines. Occupancy declined to 49.5% as of YE2024 after the largest tenant, the Texas Division of Emergency Management (16.9% of the NRA), vacated in 2023, ahead of their October 2026 lease expiration. The tenant's departure contributes to prior vacancies including Seto Family of Hospitals (16.5% of the NRA) which vacated in 2023 as well as Austin Stone Church (10.4%) which vacated in 2020. The loan has since transferred to special servicing in April 2025 due to imminent monetary default. Due to the increased vacancy, the YTD September 2024 and YE 2023 NOI are 55.5% and 53.2%, respectively, below NOI at issuance. The NOI DSCR for the YTD September 2024 reporting period has declined to 0.79x from 1.45x at YE 2022. Approximately 62% of the property is also listed as available on CoStar. Fitch's 'Bsf' rating case loss of 34.1% (prior to concentration add-ons) includes a 10% cap rate and a 40% stress to the YE 2022 NOI as well as an increased probability of default due to the loan's heightened term and maturity default concerns. The third largest contributor to loss expectations is the specially serviced loan, Hotel deLuxe (4.2% of the pool), which is secured by a 130-key full-service hotel in Portland, OR. The loan transferred to special servicing in June 2020 due to pandemic-related performance declines. The hotel continues to underperform with YE 2024 occupancy reported at 48.2%, which compares to 81% at YE 2019. Cash flow has remained insufficient to service the debt since 2020. The loan is currently 90+ days delinquent and the servicer is working to establish a receiver and foreclose on the property as the borrower has expressed intentions to relinquish control of the asset. The Special Servicer is currently working on approving and appointing a receiver to initiate foreclosure on the property. Fitch's 'Bsf' ratings case loss expectations of 31.1% (prior to concentration additions) reflects a discount to a recent appraisal value equating to a stressed value of $159,231 per key. The fourth largest contributor to loss expectations is the Midwest Shopping Portfolio (4.9% of the pool) loan, which is secured by six retail properties located in Iowa (two), Illinois (two), Oklahoma (one), and Missouri (one) totaling 889,413 sf. The loan transferred to special servicing in July 2020 due to payment default. Natin Paul, the sponsor, reached a plea agreement with prosecutors by admitting to one count of making a false statement to a financial institution, which led to a sentence of four months of home confinement, five years of supervised release, and a $1 million fine. Per the special servicer, litigation commenced in several jurisdictions and receivership/foreclosure actions are continuing. However, negotiations with the borrower have stalled with mediation pending. The borrower has not provided updated rent rolls or financials. Fitch's 'Bsf' rating case loss of 22.6% (prior to concentration add-ons) reflects a stress to a recent appraised value equating to a recovery value of $27 psf. Increasing Credit Enhancement: As of the May 2025 distribution date, the pool's aggregate balance has been reduced by 31.2% to $640.8 million from $931.6 million at issuance. There are 17 loans that are fully defeased comprising 27.8% of the pool. Loans scheduled to mature between July 2025 and October 2025 represent 97.2% of the pool. Cumulative interest shortfalls of $1.94 million are currently impacting Classes D, E and, F and the non-rated classes G and H. Realized losses of $17.64 million are impacting the non-rated class H. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' rated classes are not likely due to higher concentration of defeasance, increasing CE and expected payoff from performing loans, but may occur if deal-level losses increase significantly and/or interest shortfalls affect these classes. Downgrades to 'AAsf' and 'Asf' rated classes could occur with an increase in pool-level losses from further performance deterioration of FLOCs defaulting at or before maturity, namely Intellicenter, A&H Pacific, Cannon West Shopping Center, Golf Center, and Arrowhead Shopping Center, and further value degradation and/or extended workout of the specially serviced loans, including Midwest Shopping Center Portfolio, Hotel deLuxe, Chase Park Chestnut Street, and Shops at Randall Road. Downgrades to 'BBsf' rated class are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the loans with deteriorating performance and with greater certainty of losses on the specially serviced loans, or with prolonged workouts of the loans in special servicing. Downgrades to distressed classes are possible should additionally loans transfer to special servicing and as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and improved performance on the FLOCs including Intellicenter, A&H Pacific, Cannon West Shopping Center, Golf Center, and Arrowhead Shopping Center. Classes would not be upgraded above 'AA+sf' if there is a likelihood for interest shortfalls. Upgrades to classes rated in the 'BBsf' categories are not expected but could occur only if refinance prospects improve for loans anticipated to default at maturity, 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, particularly loans with refinance concerns. 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: Fitch Rates 2025-1 Class C Notes 'BB-' ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Consolidated Communications, LLC, Series 2025-1, 2025-2 and 2025-3 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 million 2025-1 class C 'BB-sf'; Outlook Stable. (a) This is a liquidity funding note that can be drawn to provide liquidity funding advances subject to the satisfaction of certain conditions. The note's balance will be $0 at issuance and is excluded from the debt/Fitch NCF ratio. (b) This is a variable funding note (VFN) with a maximum commitment of $500 million, contingent on total class A note leverage ratio of 6.1x. Draws above $395 million will 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 will be drawable at issuance. (c) Class balances for the series 2025-3, A-2 and B notes include delayed draw facilities of $6.8 million and $0.9 million, respectively. These facilities are expected to be fully drawn at issuance. 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 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 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 9.6x, versus the debt-to-issuer NCF leverage of 8.0x. Fitch's base case NCF scenario assumes the most conservative leverage scenario wherein the series 2025-3 delayed draw facilities are fully drawn 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 19.5% haircut to the implied issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.4x, compared with the debt-to-issuer NCF leverage of 7.1x. Based on the Fitch NCF and no additional revenue growth, and following the transaction's ARD, the notes would be repaid 19.7 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' due to 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. However, 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 due to 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 to 'BBBsf' from 'A-sf'; class B to 'BBsf' from 'BBB-sf'; class C to 'B+sf' from 'BB-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 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 to 'Asf' from 'A-sf'; class B to 'BBB+sf' from 'BBB-sf'; class C to 'BBB-sf' from '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. CSAIL 2015-C1: DBRS Cuts Rating on 4 Cert. Classes to C ------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C1 issued by CSAIL 2015-C1 Commercial Mortgage Trust as follows: -- Class D to CCC (sf) from BBB (low) (sf) -- Class E to C (sf) from BB (low) (sf) -- Class F to C (sf) from B (low) (sf) -- Class X-D to CCC (sf) from BBB (sf) -- Class X-E to C (sf) from BB (sf) -- Class X-F to C (sf) from B (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) Morningstar DBRS changed the trend on Class C to Negative from Stable. Classes D, E, F, X-D, X-E, and X-F no longer carry a trend given their CCC (sf) or lower credit ratings. The trends on all remaining classes are Stable. The credit rating downgrades and the Negative trend reflect Morningstar DBRS' recoverability expectations for the remaining loans in the pool. Since the last credit rating action in June 2024, 64 loans have repaid from the pool, leaving eight loans, of which seven, representing 98.4% of the pool, are in special servicing as of the April 2025 remittance. As the pool continues to wind down, Morningstar DBRS looked to a recoverability analysis, the results of which suggest that losses could erode into the Class D certificate. The Negative trend on Class C reflects the further potential deterioration of credit support as a result of the increased loss projections. Of the eight remaining loans, four are backed by retail properties (54.8% of the pool), one by an office property (33.5% of the pool), one by a multifamily property (9.3% of the pool), one by a lodging property (1.6% of the pool), and one by a manufactured housing property (0.9% of the pool). The largest remaining loan in the pool, 500 Fifth Avenue (Prospectus ID#2, 33.2% of the current pool balance), is secured by a 59-story historic office property in the Grand Central submarket of Manhattan. The loan is pari passu with the notes securitized in the JPMBB Commercial Mortgage Securities Trust 2014-C26 transaction, which is also rated by Morningstar DBRS. The loan transferred to special servicing in June 2024 for imminent monetary default, and a forbearance agreement was finalized on November 6, 2024, giving the borrower until June 6, 2025, to seek replacement financing, subject to equity infusion thresholds and the implementation of cash management. The trailing 12-month (T-12) period ended June 30, 2024, reported a net cash flow (NCF) of $19.6 million, with a 2.70 times (x) debt service coverage ratio (DSCR), a decrease from the YE2023 figures of $24.8 million and 3.41x, respectively. The property was 80.5% occupied as of November 2024, compared with 92.3% at issuance. This compares with the Q4 2024 submarket vacancy rate of 12.3%, according to Reis. The subject was appraised in August 2024 for $273.8 million, a 54.5% decline from the issuance appraised value of $600.0 million but above the $200.0 million whole loan balance. Given the August 2024 value can sustain up to a 25% decline before the trust realizes a loss in Morningstar DBRS' analyzed liquidation scenario, the loan is not a primary contributor to the realized loss projections considered with this review. However, Morningstar DBRS notes the significant value decline since issuance presents increased risks that contributed to the rationale for the credit rating downgrades. Morningstar DBRS' primary concern is the Westfield Trumbull (Prospectus ID#4, 26.0% of the current pool balance), secured by 462,869 sf of a 1.1 million-sf regional mall in Trumbull, Connecticut. This loan is pari passu with notes securitized in the CSAIL 2015-C2 Commercial Mortgage Trust and CSAIL 2015-C3 Commercial Mortgage Trust transactions, which are also rated by Morningstar DBRS. The loan transferred to special servicing in March 2025 for imminent monetary default and is currently cash managed. The borrower has requested a loan modification, and discussions are currently underway. According to the September 2024 financials, the property generated an annualized NCF of $10.8 million resulting in a DSCR of 1.83x, a significant decline from the issuance DSCR of 2.73x. Rollover concerns are slightly elevated as approximately 13.7% of the net rentable area (NRA) includes leases scheduled to expire in the next 12 months. Tenant sales have also been decreasing year over year as the YE2024 figure, which excludes Apple and anchor tenants, totaled $37.3 million, compared to $102.5 million as of YE2023 and $164.4 million as of YE2022. The subject property was last appraised at issuance in November 2014 for $262.0 million. Given the dated appraisal, declining cash flows, and weakened tenant sales, Morningstar DBRS expects the property to trade at a much lower figure. As such, Morningstar DBRS considered a 65% haircut to the November 2014 appraisal, resulting in a $36.8 million loss and a loss severity approaching 50.0%. The third-largest loan in the pool, Westfield Wheaton (Prospectus ID#5, 14.4% of the current pool balance), transferred to special servicing in March 2025 for maturity default. The loan is secured by a 1.6 million-sf super-regional mall in Wheaton, Maryland. This loan is also pari passu, with the notes securitized in the CSAIL 2015-C2 Commercial Mortgage Trust and CSAIL 2015-C3 Commercial Mortgage Trust transactions. As of the YE2024 financials, the property was 99.0% occupied, a notable increase from the YE2023 figure of 93.0%. The DSCR figures during the same periods were 2.22x and 2.02x, respectively, below the issuance DSCR of 2.43x. The subject benefits from strong anchors, including Target, JC Penney, Macy's, and Costco Wholesale. Macy's (10.6% of the NRA; lease expiry in January 2026) and an additional 10.2% of the NRA have leases scheduled to expire in the next 12 months, totaling 20.8% tenant rollover. The subject property was last appraised in November 2014 for $402.0 million. While the property has maintained stable performance to date, Morningstar DBRS is concerned with the borrower's ability to obtain take-out financing and estimates the as-is value has declined from issuance. In its analysis for this review, Morningstar DBRS liquidated the loan with a 50% haircut to its issuance value, resulting in a loss severity in excess of 20.0%. 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. CSAIL 2015-C3: DBRS Confirms B Rating on Class X-F Certs -------------------------------------------------------- DBRS Limited confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C3 issued by CSAIL 2015-C3 Commercial Mortgage Trust as follows: -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at B (high) (sf) -- Class F at B (low) (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class X-D at BBB (low) (sf) -- Class X-E at BB (low) (sf) -- Class X-F at B (sf) Morningstar DBRS changed the trends on Classes D, E, F, X-D, X-E, and X-F to Negative from Stable. The remaining classes have Stable trends. The Negative trends on Classes D, E, F, X-D, X-E, and X-F reflect Morningstar DBRS' concerns about the refinance prospects for some of the remaining loans in the pool, all of which are scheduled to mature within the next 12 months. While loan-level performance changes have been relatively minimal since Morningstar DBRS' previous credit rating action in April 2024 when all classes were confirmed with Stable trends, Morningstar DBRS notes there continues to be uncertainty around the availability of financing for commercial real estate property types, particularly office properties, which back almost a quarter of the underlying debt in the pool. These factors, as well as the risk of further performance and/or value deterioration to the underlying collateral, are exacerbated by the relatively skinny class structure at the bottom of the capital stack that results in a relatively low cushion against losses over the remainder of the deal term. With this review, Morningstar DBRS considered liquidation scenarios for three of the five loans in special servicing (representing 5.4% of the pool), resulting in liquidated loss projections exceeding $16.3 million, which would be contained in the non-rated Class NR. Morningstar DBRS did not liquidate the Westfield Wheaton (Prospectus ID#4; 12.7% of the pool) or the Westfield Trumbull (Prospectus ID#7; 5.4% of the pool) loans that transferred to special servicing earlier this year for maturity defaults, as the performance of both loans has remained relatively stable year over year, reporting debt service coverage ratios (DSCRs) that are well above breakeven, per the most recent financials. In addition to the estimated liquidated losses on the three specially serviced loans, Morningstar DBRS stressed the loan-to-value ratios (LTVs) and/or elevated probabilities of defaults (PODs) to increase the expected losses (ELs) for 10 loans (representing approximately 27.4% of the pool) that exhibited elevated refinance risk because of declining performance, submarket concerns, and/or decreased investor demand for the collateral property type, specifically office properties. As of the April 2025 remittance, 52 of the original 89 loans remain in the pool with a current trust balance of $766.6 million, representing a collateral reduction of 46.0% since issuance. Seven loans, representing 5.0% of the pool, are fully defeased and 24 loans, representing 44.3% of the pool, are being monitored on the servicer's watchlist, predominantly for upcoming maturity and deferred maintenance. Five loans, representing 23.4% of the current pool, are in special servicing, with most of that concentration represented by the two largest loans in special servicing, as further detailed below. The office loans in the pool represent 24.8% of the overall balance and, although the collateral property type suggests some level of baseline concern about the refinance prospects, it is noteworthy that the largest office loans in the pool are performing overall in line with expectations. This is partly the result of the higher concentration of medical office in the pool, including the second-largest loan in Charles River Plaza - North (Prospectus ID #1; 12.7% of the pool), which is secured by a medical office condominium property in Boston that is fully occupied by a single medical tenant on a lease that runs through May 2029. Where merited, LTV and/or POD adjustments were made to increase the ELs for those loans in the analysis for this review. The largest loan in special servicing is the Westfield Wheaton loan, which is secured by a mixed-use property located in Wheaton, Maryland. The collateral consists of a super-regional mall, inclusive of four retail anchors, two retail/commercial strip buildings, two Class B office buildings, two parking garages, and various single-tenanted outparcels. The subject loan of $97.0 million represents a pari passu portion of $234.6 million whole loan, with the additional senior notes secured in the Morningstar DBRS-rated CSAIL 2015-C1 and CSAIL 2015-C2 transactions. The loan transferred to special servicing after the borrower failed to repay at the March 2025 maturity date and discussions regarding workout strategies remain ongoing. As per the most recent financial reporting, the collateral reported an occupancy rate of 99.0% and a net cash flow (NCF) of $19.4 million, reflecting a DSCR of 2.22 times (x), as of YE2024, an improvement over the YE2023 figures of 93.0% and $18.2 million (DSCR of 2.02x), respectively, but below the issuance NCF of $22.0 million (DSCR of 2.43x). In the analysis for this review, Morningstar DBRS maintained a stressed LTV of 140% and an elevated POD penalty, resulting in an EL of nearly 8.8% which is more than one and a half times the pool's weight-average (WA) EL. The second-largest loan in special servicing, Westfield Trumbull, is secured by a 462,869 square feet (sf) portion of a 1.1 million-sf super-regional mall in Trumbull, Connecticut. The collateral includes the Macy's anchor pad (18.8% of the net rentable area (NRA)), which recently renewed its lease, extending the expiration date beyond the loan maturity in April 2029) and all in-line space. Additional noncollateral anchors in JCPenney and Target are open, and one noncollateral pad that was previously occupied by Lord & Taylor has been vacant since 2021. The loan also has pari passu pieces secured in CSAIL 2015-C1 and CSAIL 2015-C2, and transferred to special servicing in March 2025 for maturity default. According to the servicer's most recent commentary, the borrower has been negotiating a potential loan modification. The annualized NCF for the trailing nine months ended September 30, 2024, was reported at $10.8 million, reflecting a DSCR of 1.83x. According to the December 2024 rent roll, the collateral was 97.0% occupied, with the minimal rollover risk through the next 12 months representing 6.4% of the NRA. Given the maturity default and declined performance from issuance, in the analysis for this review, Morningstar DBRS maintained the stressed LTV and elevated POD adjustment from the previous credit rating action, resulting in an EL that is more than twice the pool's WA EL. The largest loan on the servicer's watchlist (and the largest loan in the pool), Mall of New Hampshire (Prospectus ID#3; 13.0% of the pool), is secured by a 405,723 sf portion of in-line space in an 811,573-sf class B regional mall in Manchester, New Hampshire. Although the loan continues to report a healthy a DSCR of 1.86x for the trailing 12 months ended June 30, 2024, performance remains down from issuance. As of December 2024, the collateral was 88.2% occupied, an increase from 84.0% as of YE2023. The largest collateral tenants include Best Buy (10.4% of NRA, lease expiration in January 2034), Old Navy (4.6% of NRA, lease expiration in January 2027), and Ulta (2.9% of NRA, lease expiration in May 2030). Additionally, the loan benefits from institutional sponsorship in Simon Property Group and the Canadian Pension Plan Investment Board. Given the decline in performance relative to issuance and the upcoming maturity date in July 2025, Morningstar DBRS maintained the stressed value scenario approach from the previous credit rating action, which resulted in an EL more than twice the pool's WA EL. Notes: All figures are in U.S. dollars unless otherwise noted. CSMC TRUST 2017-CHOP: DBRS Confirms BB(low) Rating on E Certs ------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates Series 2017-CHOP issued by CSMC Trust 2017-CHOP as follows: -- Class A at AAA (sf) -- Class X-EXT at AAA (sf) -- Class B at AA (sf) -- Class C at AA (low) (sf) -- Class D BBB (high) (sf) -- Class E at BB (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable performance of the underlying collateral since Morningstar DBRS' previous review in May 2024. At issuance, the transaction was secured by a portfolio of 48 select-service, limited-service, and extended-stay hotels, totaling 6,401 keys, located across 21 states and operating under eight different flags across the Marriott, Hilton, and Hyatt brands. As of April 2025 reporting, 36 properties remain as part of the collateral. There have been no property releases since the previous credit rating action, however, 12 properties have been released since issuance. Additional details are outlined below. The interest-only (IO), floating-rate mortgage loan had an original aggregate principal balance of $780.0 million. The loan was in special servicing beginning in 2020 and was ultimately resolved when a buyer for all 48 hotels was secured and the new ownership, an affiliate of Kohlberg Kravis Roberts & Co. (KKR), assumed the underlying loan. The trust balance of $619.6 million, as of the April 2025 remittance, represents a collateral reduction of 20.6% since issuance as a result of the aforementioned property releases from the trust. The transaction documents allow the borrower to partially prepay the loan when releasing individual properties, subject to a debt yield test and a release price of 105.0% of the applicable allocated loan amount (ALA) until 10.0% of the original principal balance of the loan has been repaid, 110.0% of the ALA until 20.0% of the original principal balance of the loan has been repaid, and 115.0% of the ALA thereafter. The loan was modified as part of KKR's assumption, with terms including an extension of the maturity date to June 2027, a borrower-funded debt service reserve equal to 12 months of payments, the replacement of the current property management team with Schulte Hospitality Group and Hersha Hospitality Management, the purchase of an interest rate cap agreement, and the loan remaining in cash management for the life of the extended term. In addition, KKR Real Estate Partners Americas III AIV, LP, as the replacement guarantor and environmental indemnitor, also provided a flag loss guaranty and a property improvement plan completion guaranty. As of April 2025 reporting, the loan is current and performing but is being monitored on the servicer's watchlist for deferred maintenance concerns. Morningstar DBRS has not received an update on the resolution of these concerns as of the date of this press release, however, the servicer noted that deferred maintenance letters have been sent to the borrower to address the issues. Operating performance continues to incrementally improve with the portfolio reporting a weighted-average occupancy rate of 71.4%, average daily rate of $144.86, and revenue per available room (RevPAR) of $104.60 as of YE2024. It is noteworthy that RevPAR has exceeded the pre-pandemic figure of $95.06 with 26 of the remaining 36 properties reporting RevPAR penetration rates above 100.0% for the trailing 12 months (T-12) ended December 31, 2024. The portfolio generated a net cash flow (NCF) of $53.6 million, resulting in a debt service coverage ratio (DSCR) of 1.58 times (x) as of YE2024 compared with the NCF of $51.3 million, reflecting a DSCR of 1.56x, for the remaining 36 properties at YE2023. Morningstar DBRS' prior credit rating action in May 2024 included an updated collateral valuation. For more information regarding the approach and analysis conducted, please refer to the press release titled "Morningstar DBRS Upgrades Credit Ratings on Three Classes of CSMC Trust 2017-CHOP," published on May 17, 2024. For the purposes of this credit rating action, Morningstar DBRS maintained the valuation approach from the previous review given that the composition of the pool has remained static since that time. The analysis considered a cap rate of 9.5% and a Morningstar DBRS NCF of $41.1 million (inclusive of a 20% haircut that was applied to evaluate the potential for credit rating upgrades) for the remaining 36 properties. The resulting Morningstar DBRS value of $432.4 million is 43.6% lower than the issuance appraised value of $767.1 million for the remaining 36 properties. The Morningstar DBRS value reflects a loan-to-value ratio of 143.3% on the whole loan and 73.9% on the remaining $319.6 million of rated proceeds. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. DRYDEN 105 CLO: S&P Assigns BB- (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-R, and E-R debt and the new class X-R debt from Dryden 105 CLO Ltd./Dryden 105 CLO LLC, a CLO managed by PGIM Inc. that was originally issued in March 2023. At the same time, S&P withdrew its ratings on the original class A, B, C, D, and E debt following payment in full on the May 22, 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 15, 2027. -- The reinvestment period was extended to April 15, 2030. -- The legal final maturity date for the replacement debt was extended to April 15, 2038. Additional assets were purchased on the May 22, 2025, refinancing date, and the target initial par amount remains at $400 million. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2025. The new class X-R debt was issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during the first six payment dates, in equal installments of $250,000, beginning with the Oct. 15, 2025, payment date. The required minimum overcollateralization and interest coverage ratios were amended. An additional $2.44 million in subordinated notes was issued on the May 22, 2025, refinancing date, and the legal final maturity date for the existing subordinated notes (including the newly issued subordinated notes) was extended to April 15, 2038. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Dryden 105 CLO Ltd./Dryden 105 CLO LLC Class X-R, $1.50 million: AAA (sf) Class A-R, $252.00 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-R (deferrable), $24.00 million: BBB- (sf) Class E-R (deferrable), $14.00 million: BB- (sf) Ratings Withdrawn Dryden 105 CLO Ltd./Dryden 105 CLO LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Dryden 105 CLO, Ltd./Dryden 105 CLO, LLC Subordinated notes, $35.91 million(i): NR (i)Balance includes additional $2.44 million issued in subordinated notes on the May 22, 2025, refinancing date. NR--Not rated. DT AUTO 2022-3: DBRS Confirms BB Rating on Class E Notes -------------------------------------------------------- DBRS, Inc. confirmed eight credit ratings and upgraded five credit ratings on five DT Auto Owner Trust Transactions as detailed in the summary chart below. DT Auto Owner Trust 2022-3 -- Class C Notes AAA (sf) Confirmed -- Class D Notes A (high)(sf) Upgraded -- Class E Notes BB (sf) Confirmed DT Auto Owner Trust 2023-2 -- Class B AAA (sf) Confirmed -- Class C AAA (sf) Upgraded -- Class D BBB (sf) Confirmed -- Class E BB (sf) Confirmed The credit rating actions are based on the following analytical considerations: -- The credit rating actions are the result of collateral performance to date and Morningstar DBRS' assessment of future performance assumptions. -- For DT Auto Owner Trust 2021-1 and DT Auto Owner Trust 2021-3, losses are tracking below the Morningstar DBRS initial base-case cumulative net loss (CNL) expectations. The current level of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- For DT Auto Owner Trust 2022-1, DT Auto Owner Trust 2022-3, and DT Auto Owner Trust 2023-2, although losses are tracking above the Morningstar DBRS initial base-case CNL expectations, the current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- The transaction's parties' capabilities regarding originating, underwriting, and servicing. -- The transaction's capital structures and form and sufficiency of available credit enhancement. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (April 10, 2025). ELMWOOD CLO 23: S&P Assigns BB- (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-R and E-R debt from Elmwood CLO 23 Ltd./Elmwood CLO 23 LLC, a CLO managed by Elmwood Asset Management LLC that was originally issued in April 2023. At the same time, S&P withdrew its ratings on the original class A, B, C, D, and E debt following payment in full on the May 28, 2025, refinancing date. S&P also affirmed its rating on the class F debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to May 28, 2026. -- The target initial par amount remains the same. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is July 16, 2025. -- The reinvestment period and the legal final maturity dates were not extended. -- No additional subordinated notes were issued on the refinancing date. Replacement And Outstanding Debt Issuances Replacement debt -- Class A-R, $252.00 million: Three-month CME term SOFR + 1.35% -- Class B-R, $52.00 million: Three-month CME term SOFR + 1.75% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.00% -- Class D-R (deferrable), $23.00 million: Three-month CME term SOFR + 3.15% -- Class E-R (deferrable), $13.40 million: Three-month CME term SOFR + 5.90% Original debt -- Class A, $252.00 million: Three-month CME term SOFR + 1.80% -- Class B, $52.00 million: Three-month CME term SOFR + 2.25% -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 3.00% -- Class D (deferrable), $23.00 million: Three-month CME term SOFR + 5.00% -- Class E (deferrable), $13.40 million: Three-month CME term SOFR + 8.00% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Elmwood CLO 23 Ltd./Elmwood CLO 23 LLC Class A-R, $252.00 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-R (deferrable), $23.00 million: BBB- (sf) Class E-R (deferrable), $13.40 million: BB- (sf) Ratings Withdrawn Elmwood CLO 23 Ltd./Elmwood CLO 23 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Ratings Affirmed Elmwood CLO 23 Ltd./Elmwood CLO 23 LLC Class F (deferrable), $6.60 million: B- (sf) Other Debt Elmwood CLO 23 Ltd./Elmwood CLO 23 LLC Subordinated notes, $30.75 million: NR NR--Not rated. ELMWOOD CLO 43: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Elmwood CLO 43 Ltd. Entity/Debt Rating ----------- ------ Elmwood CLO 43 Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating C LT NR(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Elmwood CLO 43 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Elmwood Asset 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 96.5% first-lien senior secured loans and has a weighted average recovery assumption of 75.53%. 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 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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 'Asf' for class D and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Elmwood CLO 43 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. ELMWOOD CLO 43: S&P Assigns Prelim B- (sf) Rating on Class F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Elmwood CLO 43 Ltd./Elmwood CLO 43 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Elmwood Asset Management LLC. The preliminary ratings are based on information as of May 27, 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 43 Ltd./Elmwood CLO 43 LLC Class A-1, $307.50 million: AAA (sf) Class A-2, $17.50 million: NR Class B, $55.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: NR Class E (deferrable), $19.00 million: NR Class F (deferrable), $6.20 million: B- (sf) Subordinated notes, $46.65 million: NR NR--Not rated. EXETER AUTOMOBILE 2025-3: S&P Assigns BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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 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 S&P's 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 '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 our 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 ratings. -- The collateral characteristics of the series' subprime automobile loans, our view of the collateral's credit risk, our updated macroeconomic forecast, and our forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Exeter Finance LLC as servicer, along with its view of the company's underwriting and its backup servicing arrangement with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Exeter 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 Finalizes B(low) Rating on F Notes ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Mortgage-Backed Notes, Series 2025-PF1 (the Notes) issued by FIGRE Trust 2025-PF1 (FIGRE 2025-PF1 or the Trust): -- $214.8 million Class A at AAA (sf) -- $18.6 million Class B at AA (low) (sf) -- $18.9 million Class C at A (low) (sf) -- $10.8 million Class D at BBB (low) (sf) -- $12.3 million Class E at BB (low) (sf) -- $13.8 million Class F at B (low) (sf) The AAA (sf) credit rating on the Class A Notes reflects 28.40% of credit enhancement provided by subordinate notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 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. The transaction is 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 $300,00,000. 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, 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 reserve accounts are further detailed in a later section of the "Transaction Summary". 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 this 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 on 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 this 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 the 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. GOLUB CAPITAL 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital Partners Static 2025-1 Ltd. Entity/Debt Rating ----------- ------ Golub Capital Partners Static 2025-1, Ltd. A-L LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Golub Capital Partners Static 2025-1 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by OPAL BSL LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 24.86 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 77.25% versus a minimum covenant, in accordance with the initial expected matrix point of 75.9%. Portfolio Composition (Negative): The largest three industries may comprise up to 57% 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 obligor and geographic concentrations is in line with other recent CLOs. The transaction documents permit a higher industry concentration than other recent U.S. CLOs, which was taken into account in Fitch's stress scenarios. Portfolio Management (Neutral): The transaction has a 0.4-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 Ratings 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. 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-L, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-L notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Golub Capital Partners Static 2025-1, 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 LAKES 2015-1: Moody's Cuts Rating on $9.8MM F-R Notes to Caa2 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Great Lakes CLO 2015-1, Ltd.: US$28,100,000 Class C-R Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class C-R Notes"), Upgraded to Aaa (sf); previously on March 11, 2024 Upgraded to Aa1 (sf) US$23,000,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class D-R Notes"), Upgraded to Aaa (sf); previously on March 11, 2024 Upgraded to A3 (sf) Moody's have also downgraded the rating on the following notes: US$9,800,000 Class F-R Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class F-R Notes"), Downgraded to Caa2 (sf); previously on October 6, 2020 Downgraded to Caa1 (sf) Great Lakes CLO 2015-1, Ltd., originally issued in July 2015 and refinanced in January 2018, is a managed cashflow SME CLO. The notes are collateralized primarily by a portfolio of small and medium enterprise loans. The transaction's reinvestment period ended in January 2022. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since April 2024. The Class A-R and Class B-R notes have been paid down completely by $97.1 million and the Class C-R notes have been paid down by approximately 9.2% or $2.6 million since then. Based on the trustee's April 2025 report [1], the OC ratios for the Class C-R and Class D-R notes are reported at 265.69% and 169.23%, respectively, versus April 2024 [2] levels of 173.71% and 141.07%, respectively. Moody's notes that the April 2025 trustee-reported OC ratios do not reflect the April 2025 payment distribution, when $14.8 million of principal proceeds were used to pay down the Class B-R and Class C-R Notes. The downgrade rating action on the Class F-R notes reflects the specific risks to junior notes posed by credit deterioration and par loss observed in the underlying CLO portfolio. Based on Moody's calculations, the weighted average rating factor (WARF) is currently at 5983 (after applying credit estimates staleness and concentration stresses) compared to the April 2024 [3] trustee reported level of 4281. Additionally, the current collateral par balance is $9.4 million or 4.7% lower than that in April 2024. No actions were taken on the Class E-R 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: $82,842,116 Defaulted par: $22,757,137 Diversity Score: 18 Weighted Average Rating Factor (WARF): 5983 Weighted Average Spread (WAS) (before accounting for reference rate floors): 5.12% Weighted Average Recovery Rate (WARR): 48.63% Weighted Average Life (WAL): 1.88 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. GREYSTONE CRE 2025-FL4: Fitch Assigns B- Final Rating on G Notes ---------------------------------------------------------------- Fitch Ratings has assigned final 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 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 ratings are based on information provided by the issuer as of May 21, 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 Greystone Servicing Company LLC. The trustee is U.S. Bank Trust Company, National Association. The notes follow a sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 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. GS MORTGAGE 2018-LUAU: DBRS Confirms B(low) Rating on F Certs ------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-LUAU issued by GS Mortgage Securities Corporation Trust 2018-LUAU: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-NCP at BBB (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 Classes D, E, F, and X-NCP to Negative from Stable. The trends on the remaining classes are Stable. The Negative trends reflect the continued decline in the operational performance of the property, Ritz-Carlton Maui, Kapalua, which reported a negative net cash flow (NCF) as of YE2024. At the prior credit rating action in May 2024, Morningstar DBRS noted that the property benefitted from high barriers to entry given its location on the island of Maui and its luxury quality. Additionally, while performance dipped during the Coronavirus Disease (COVID-19) pandemic and again during the 2023 wildfires, which prompted the hotel to temporarily close between August and September 2023, Morningstar DBRS expected performance to rebound by the end of 2024, with the return of tourism. However, despite these aspects, which Morningstar DBRS previously expected to contribute to cash flow stability over the remaining loan term, operating performance dropped further, predominantly due to higher expenses. The $215.0 million floating-rate interest-only (IO) loan is secured by the fee-simple interest in the 466-key Ritz-Carlton Maui, Kapalua, a luxury resort hotel in Hawaii. The property consists of 300 hotel keys and 166 residential condominium suites. Of the 166 condominium suites, 68 are owned by third parties that rent their units on the Ritz-Carlton hotel website. The unit owners pay all expenses and share revenue in a 50/50 split with the hotel. Additionally, the hotel owns the remaining 98 condominium units, and that income is included as collateral for the loan. The hotel, which was constructed in 1976 and opened as a Ritz-Carlton in 1992, was last renovated in 2017. The hotel has access to two championship golf courses that are not part of the collateral. The sponsor is Blackstone Real Estate Partners (Offshore) VIII-NQ L.P., a leading global asset manager with over $1.2 trillion assets under management as of Q1 2025, and $320.0 billion of real estate assets under management, and remains to be one of the largest owners of hotels in the world. Based on the servicer's reporting, the borrower has exercised the loan's fifth and final maturity extension option, extending loan maturity to November 2025. Morningstar DBRS has requested an update regarding the exit strategy but has yet to receive a response. While the loan remains current, Morningstar DBRS believes the borrower may face challenges with refinancing the outstanding debt given the hotel's negative cash flow, further supporting the Negative trends. Because the hotel did not sustain any physical damage from the outbreak of wildfires and had been performing above issuance levels as of YE2022, with a NCF of $16.4 million, after performance bottomed out during the COVID-19 pandemic, Morningstar DBRS expected NCF to recover following the reopening of the hotel in October 2023. Instead, the hotel generated negative cash flow as per the YE2024 financials, a significant drop when compared to the YE2023 NCF of $12.0 million. The decline from YE2023 NCF has been driven in large part by significant increases in operating expenses, which have increased 10.2% year over year and imply a 96.0% operating expense ratio. The increases in operating expenses are specifically tied to general and administrative expenses, advertising and marketing, and franchise fees, which is related to the recent 10-year franchise extension. Despite these increases, Morningstar DBRS considers these expenses to be one-time costs and they are not expected to recur in the near term. Additionally, revenue as of YE2024 remains relatively in line with issuance levels, as does the average daily rate (ADR) and revenue per available room (RevPAR) figures of $668 and $380, respectively. While the hotel's occupancy penetration remains below 100%, at 89.3%, it continues to outperform its competitive set in terms of ADR and RevPAR, based on the corresponding penetration rates of 124.8% and 111.4%, respectively, per the trailing 12 months (T-12) ended December 31, 2024, STR report. In comparison, last year's penetration rates were 98.5%, 89.1%, and 87.8%, respectively. Given the negative cash flow, Morningstar DBRS does not believe the hotel can rebound to issuance levels prior to the loan's final maturity. However, as the hotel continues to benefit from the return of tourism, institutional sponsorship, the various mitigants noted above, and as it is continuing to outperform the competitive set with respect to RevPAR, Morningstar DBRS does not expect the hotel to sustain a valuation loss large enough to default the loan, but rather pursue a loan modification to further extend its maturity. As such, Morningstar DBRS maintained the 2020 valuation approach, which was based on a capitalization rate of 7.75% applied to the Morningstar DBRS NCF of $13.6 million. The Morningstar DBRS value of $175.7 million was derived, representing a variance of -37.2% from the issuance appraised value of $280.0 million and implies a whole-loan loan-to-value (LTV) ratio of 122.3%. In addition, Morningstar DBRS maintained total qualitative adjustments of 7.0% to the LTV sizing benchmarks to reflect the potential for cash flow to recover in the medium to long term, given the strong barriers to entry, strong property quality, and superior market fundamentals. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. JEFFERSON MILL CLO: Moody's Cuts $7.4MM F-R Notes Rating to Caa3 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Jefferson Mill CLO Ltd.: US$20,400,000 Class C-RR Deferrable Mezzanine Floating Notes due 2031 (the "Class C-RR Notes"), Upgraded to Aa1 (sf); previously on April 11, 2024 Assigned Aa3 (sf) US$24,100,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2031, Upgraded to Baa2 (sf); previously on August 6, 2020 Confirmed at Baa3 (sf) Moody's have also downgraded the rating on the following notes: US$7,400,000 Class F-R Deferrable Mezzanine Floating Rate Notes due 2031, Downgraded to Caa3 (sf); previously on August 6, 2020 Downgraded to Caa2 (sf) Jefferson Mill CLO Ltd., originally issued in July 2015 and last refinanced in April 2024, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the notes' over-collateralization (OC) ratios since April 2024. The Class A-RR notes have been paid down by approximately 41.7% or $100.7 million since that time. Based on Moody's calculations, the OC ratios for the Class C and Class D notes are currently 127.61% and 114.42%, respectively, versus April 2024 levels of 120.03% and 111.36%, respectively. The downgrade rating action on the Class F-R notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on Moody's calculations, the transaction has incurred a par loss of approximately $4.3 million or 1.2% of the portfolio since April 2024. Furthermore, based on Moody's calculations, the OC ratio for the Class F-R notes is currently 102.98% (after defaulting assets with corporate family rating of Ca or lower) versus April 2024 level of 103.34%. No actions were taken on the Class A-RR, Class B-RR and Class E-R 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: $266,566,115 Defaulted par: $1,383,450 Diversity Score: 63 Weighted Average Rating Factor (WARF): 2787 Weighted Average Spread: 3.43% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 47.63% Weighted Average Life (WAL): 3.26 years 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. LCM XXIV: Moody's Lowers Rating on $24MM Class E Notes to B3 ------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following notes issued by LCM XXIV Ltd.: US$24,000,000 Class E Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class E Notes"), Downgraded to B3 (sf); previously on March 3, 2021 Upgraded to Ba3 (sf) LCM XXIV Ltd., originally issued in March 2017 and partially refinanced in March 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 2022 A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on Moody's calculations, the OC ratio for the Class E notes is currently 103.26% versus July 2024 level of 104.32%. Furthermore, Moody's notes that the Weighted Average Spread (WAS) has deteriorated and based on Moody's calculations, WAS of the portfolio is currently at 3.14% compared to 3.49% in July 2024. No actions were taken on the Class A-R, Class B-R, Class C-R and Class D 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: $181,254,587 Defaulted par: $6,738,435 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3025 Weighted Average Spread (WAS): 3.14% Weighted Average Recovery Rate (WARR): 47.6% Weighted Average Life (WAL): 2.99 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 this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Rating: 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. LHOME MORTGAGE 2025-RTL2: DBRS Finalizes B(low) Rating on M2 Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RTL2 (the Notes) issued by LHOME Mortgage Trust 2025-RTL2 (LHOME 2025-RTL2 or the Issuer) as follows: -- $243.5 million Class A1 at A (low) (sf) -- $18.5 million Class A2 at BBB (low) (sf) -- $21.3 million Class M1 at BB (low) (sf) -- $16.7 million Class M2 at B (low) (sf) The A (low) (sf) credit rating reflects 22.90% 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 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 RP 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 rating 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. The credit ratings reflect transactional strengths that include the following: -- Robust pool composition defined by eligibility criteria -- Historical paydowns and payoffs -- Solid historical performance with favorable resolutions -- Structural enhancements -- Third-party due-diligence review framework The transaction also includes the following challenges: -- Primary valuation of automated valuation models -- Funding of future construction draws -- RTL loan characteristics -- Representations and warranties framework -- No advances of DQ interest The full description of the strengths, challenges, and mitigating factors is detailed in the related rating report. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Interest Payment Amount, Interest Carryforward Amount, and Note Amount. Morningstar DBRS' credit ratings on the Class A1 and Class A2 Notes also address the credit risk associated with the increased rate of interest applicable to the Class A1 and Class A2 Notes if the Class A1 and Class A2 Notes are not redeemed by the payment date in October 2027 in accordance with the applicable transaction document(s). NOTES: All figures are in U.S. dollars unless otherwise noted. LJV I MM CLO: Moody's Cuts Rating on $21.5MM Class E Notes to B1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by LJV I MM CLO LLC: US$24,500,000 Class B Senior Secured Floating Rate Notes due 2034, Upgraded to Aa1 (sf); previously on April 19, 2022 Assigned Aa2 (sf) US$10,500,000 Class C-1 Mezzanine Secured Deferrable Floating Rate Notes due 2034, Upgraded to A1 (sf); previously on April 19, 2022 Assigned A2 (sf) US$10,000,000 Class C-2 Mezzanine Secured Deferrable Fixed Rate Notes due 2034, Upgraded to A1 (sf); previously on April 19, 2022 Assigned A2 (sf) Moody's have also downgraded the rating on the following notes: US$21,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034, Downgraded to B1 (sf); previously on April 19, 2022 Assigned Ba3 (sf) LJV I MM CLO LLC, originally issued in April 2022, is a managed cashflow SME CLO. The notes are collateralized primarily by a portfolio of small and medium enterprise loans. The transaction's reinvestment period ended in April 2025. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions reflect the benefit of the end of the deal's reinvestment period in April 2025. In light of the reinvestment restrictions during the amortization period which limit the ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will be maintained and continue to satisfy certain covenant requirements. In particular, Moody's assumed that the deal will benefit from higher weighted average spread (WAS) and diversity levels compared to their respective covenant levels. Moody's modeled WAS and diversity levels of 4.89% and 42, respectively, compared to their trigger levels of 4.10% and 40, respectively. Additionally, the Class A-1 and Class A-2 notes have been collectively paid down by approximately 11.1% or $19.3 million since October 2024. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the Moody's calculations, the current collateral par balance is $15.4 million or 5.1% lower than that at the deal's inception in April 2022. No actions were taken on the Class A-1, Class A-2, and Class D 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: $269,019,552 Diversity Score: 42 Weighted Average Rating Factor (WARF): 4318 Weighted Average Spread (WAS) (before accounting for reference rate floors): 4.89% Weighted Average Coupon (WAC): 1.73% Weighted Average Recovery Rate (WARR): 45.70% Weighted Average Life (WAL): 3.74 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. MARINER FINANCE 2025-A: S&P Assigns BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Mariner Finance Issuance Trust 2025-A's asset-backed notes. The note issuance is an ABS transaction backed by personal consumer loan receivables. The ratings reflect: -- Initial hard enhancement of approximately 37.85%, 30.35%, 21.90%, 15.70%, and 7.75% for the class A, B, C, D, and E notes, respectively. -- The transaction's fully sequential payment structure, which is designed to maintain overcollateralization of approximately $33.2 million (approximately 7.25% of the initial loan pool). -- The fully funded non-amortizing reserve account of $2.29 million (approximately 0.50% of the initial loan pool). -- S&P's worst-case weighted average base-case loss of 17.44% for this transaction, 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 Mariner Finance LLC-managed loan portfolio. -- The characteristics of the pool being securitized and receivables expected to be purchased during the revolving period. -- The timely interest and full principal payments expected to be made under stressed cash flow modeling scenarios appropriate to the assigned ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned 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 legal structure. Ratings Assigned Mariner Finance Issuance Trust 2025-A Class A, $287.07 million: AAA (sf) Class B, $34.37 million: AA (sf) Class C, $38.72 million: A-(sf) Class D, $28.41 million: BBB- (sf) Class E, $36.43 million: BB- (sf) MF1 2025-B2: Fitch Gives 'B-sf' Rating on Three Tranches -------------------------------------------------------- Fitch Ratings has published ratings and Rating Outlooks to MF1 2025-B2 as follows: Entity/Debt Rating ----------- ------ MF1 2025-B2 A LT AAAsf Publish A-S LT AAAsf Publish B LT AA-sf Publish C LT A-sf Publish D LT BBBsf Publish E LT BBB-sf Publish F LT BB+sf Publish F-E LT BB+sf Publish F-X LT BB+sf Publish G LT BB-sf Publish G-E LT BB-sf Publish G-X LT BB-sf Publish H LT B-sf Publish H-E LT B-sf Publish H-X LT B-sf Publish Income LT NRsf New Rating - $477,000,000 class A 'AAAsf'; Outlook Stable; - $153,000,000 class A-S 'AAAsf'; Outlook Stable; - $64,125,000 class B 'AA-sf'; Outlook Stable; - $50,625,000 class C 'A-sf'; Outlook Stable; - $31,500,000 class D 'BBBsf'; - $15,750,000 class E 'BBB-sf'; - $12,375,000 class F 'BB+sf'; - $0a class F-E 'BB+sf'; - $0ab class F-X 'BB+sf'; - $19,125,000 class G 'BB-sf'; - $0a class G-E 'BB-sf'; - $0ab class G-X 'BB-sf'; - $20,250,000 class H 'B-sf'; - $0a class H-E 'B-sf'; - $0ab class H-X 'B-sf'; The following class is not rated by Fitch: - $56,250,000 Income Notes. (a) Exchangeable Notes. Classes F, G and H notes are exchangeable notes. Each class of exchangeable notes may be exchanged for the corresponding classes of exchangeable notes, and vice versa. The dollar denomination of each of the received classes of notes must be equal to the dollar denomination of each of the surrendered classes of notes. (b) Notional amount and interest only (IO). The ratings are based on information provided by the issuer as of May 22, 2025. Transaction Summary The notes represent the beneficial interest in the trust, the primary assets of which are 23 loans secured by 74 commercial properties with an aggregate principal balance of $889,159,628 as of the cutoff date. The pool also includes ramp-up collateral interest of $10,840,372. The loans were contributed to the trust by MF1 REIT III LLC. The servicer is CBRE Loan Services, Inc. and the special servicer is MF1 Loan 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 loans in the pool. Fitch's resulting aggregate net cash flow (NCF) of $38.7 million represents an 11.06% decline from the issuer's aggregate underwritten NCF of $43.5 million, excluding loans for which Fitch utilized an alternate value analysis. Higher 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 146.0% 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 5.6% is worse than both the 2025 YTD and 2024 CRE-CLO averages of 6.6% and 6.5%, respectively. Better Pool Diversity: The pool's diversity is better than that of recently rated Fitch CRE-CLO transactions. The top 10 loans make up 59.4% 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 19.8. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Multifamily Concentration: The pool comprises 97.0% multifamily properties, compared with the 2025 YTD and 2024 CRE-CLO averages of 67.9% and 78.4%, respectively. The quality of the pool is comparable to that of Fitch-rated Freddie Mac transactions. Therefore, Fitch modeled the pool as such, removing the property type concentration adjustment similar to Freddie Mac and Fitch-rated MF1 CRE-CLO transactions. Limited Amortization: The pool is 21.0% comprised of IO loans. This is better than both the 2025 YTD and 2024 CRE-CLO averages of 90.9% and 56.8%, respectively, based on fully extended loan terms. As a result, the pool is expected to pay down by 1.2% by the maturity of the loans. By comparison, the average scheduled paydowns for Fitch-rated U.S. CRE-CLO transactions in 2025 YTD and 2024 are 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 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% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'BB-sf'/'B-sf'/lower than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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. MFA TRUST 2025-NQM2: Fitch Assigns 'B-(EXP)sf' Rating on B2 Debt ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to MFA 2025-NQM2 Trust. Entity/Debt Rating ----------- ------ MFA 2025-NQM2 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The MFA 2025-NQM2 certificates are supported by 548 nonprime loans with a total balance of approximately $318.4 million as of the cutoff date. Loans in the pool were originated by multiple originators, including Citadel Servicing Corporation d/b/a Acra Lending and FundLoans Capital, Inc. Loans were aggregated by MFA Financial, Inc. (MFA). Loans are currently serviced by Planet Home Lending, Select Portfolio Servicing, Inc. (SPS) and Citadel Servicing Corporation, with all Citadel loans subserviced by ServiceMac LLC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.6% above a long-term sustainable level (vs. 11.0% 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 both 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). Non-QM & Non-Prime Credit Quality (Negative): The collateral consists of 548 loans totaling $318.4 million and seasoned at approximately eight months in aggregate, as calculated by Fitch. The borrowers have a moderate credit profile consisting of a 737 Fitch model FICO and moderate leverage with a 71.0% sustainable loan-to-value ratio (sLTV). The pool is 59.1% comprised of loans for homes in which the borrower maintains as a primary residence, while 40.9% comprises investor properties or second homes, as calculated by Fitch. Additionally, 55.6% are nonqualified mortgages (non-QM), while the QM rule does not apply to the remainder. This pool consists of a variety of weaker borrowers and collateral types. Fitch's expected loss in the 'AAAsf' stress is 21.50%. This is mainly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 89.8% of loans in the pool were underwritten to less than full documentation and 40.8% were underwritten to a bank statement program for verifying income. The consumer loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability-to-Repay Rule (ATR Rule). This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the Rule's mandates with respect to the underwriting and documentation of a borrower's ATR. Its treatment of alternative loan documentation increased 'AAAsf' expected losses by approximately 65.3%, compared with a transaction of 100% fully documented loans. High Percentage of Debt Service Coverage Ratio Loans (Negative): There are 239 debt service coverage ratio (DSCR) and 17 property focused investor loans, otherwise known as 'No Ratio' products in the pool (46.7% by loan count). These business purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than debt to income (DTI), and borrower income and employment are not verified. Compared with standard investment properties for DSCR loans, Fitch converts the DSCR values to DTI and treats them as low documentation. Its treatment for DSCR loans results in a higher Fitch-reported nonzero DTI. Further, no-ratio loans are treated as 100% DTI. Its expected loss for DSCR loans is 30.8% in the 'AAAsf' stress. Modified Sequential Payment Structure with No Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will not be made on the mortgage loans. The lack of advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. MFA 2025-NQM2 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100 bps increase to the fixed coupon or the net weighted average coupon (WAC) rate. Any class B-3 interest distribution amount will be distributed to class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity 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 41.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. 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, Clarifii, Clayton, Consolidated Anlaytics, Evolve, IngletBlair and Maxwell. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in 43bps reduction to 'AAAsf' losses. ESG Considerations MFA 2025-NQM2 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated Operational Risk, 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. MOA 2020-C39 E: Fitch Lowers Rating on Class E-RR Certs to 'B-sf' ----------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed six classes of Wells Fargo Commercial Mortgage Trust 2017-C38 (WFCM 2017-C38). Fitch has assigned Negative Outlooks to classes A-S, B, C, X-B, D and X-D following their downgrades. Fitch has also downgraded three classes and affirmed 11 classes of Wells Fargo Commercial Mortgage Trust 2017-C39 (WFCM 2017-C39) and assigned Negative Outlooks to classes D and E-RR following their downgrades. The Outlooks remain Negative for classes A-S, B, C and X-B. Additionally, Fitch has downgraded the ratings for the MOA 2020-C39 E horizontal risk retention pass through certificate (2017 C39 III Trust) and assigned it a Negative Outlook. Fitch has also affirmed 14 classes of Wells Fargo Commercial Mortgage Trust 2017-C40 (WFCM 2017-C40). The Outlooks remain Negative for classes A-S, B, X-B, C, D, X-D and E. Entity/Debt Rating Prior ----------- ------ ----- MOA 2020-WC39 E E-RR 90214WAA0 LT B-sf Downgrade B+sf WFCM 2017-C39 A-2 95000XAB3 LT AAAsf Affirmed AAAsf A-3 95000XAC1 LT AAAsf Affirmed AAAsf A-4 95000XAE7 LT AAAsf Affirmed AAAsf A-5 95000XAF4 LT AAAsf Affirmed AAAsf A-S 95000XAG2 LT AAsf Affirmed AAsf A-SB 95000XAD9 LT AAAsf Affirmed AAAsf B 95000XAK3 LT Asf Affirmed Asf C 95000XAL1 LT BBBsf Affirmed BBBsf D 95000XAM9 LT BBsf Downgrade BBB-sf E-RR 95000XAP2 LT B-sf Downgrade B+sf F-RR 95000XAR8 LT CCsf Downgrade CCCsf G-RR 95000XAT4 LT CCsf Affirmed CCsf X-A 95000XAH0 LT AAAsf Affirmed AAAsf X-B 95000XAJ6 LT BBBsf Affirmed BBBsf WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C38 A-4 95001MAE0 LT AAAsf Affirmed AAAsf A-5 95001MAF7 LT AAAsf Affirmed AAAsf A-S 95001MAG5 LT AAsf Downgrade AAAsf A-SB 95001MAD2 LT AAAsf Affirmed AAAsf B 95001MAK6 LT Asf Downgrade AA-sf C 95001MAL4 LT BBB-sf Downgrade A-sf D 95001MAP5 LT Bsf Downgrade BBsf E 95001MAR1 LT CCCsf Affirmed CCCsf F 95001MAT7 LT CCsf Affirmed CCsf X-A 95001MAH3 LT AAAsf Affirmed AAAsf X-B 95001MAJ9 LT BBB-sf Downgrade A-sf X-D 95001MAM2 LT Bsf Downgrade BBsf WFCM 2017-C40 A-2 95000YAV7 LT AAAsf Affirmed AAAsf A-3 95000YAX3 LT AAAsf Affirmed AAAsf A-4 95000YAY1 LT AAAsf Affirmed AAAsf A-S 95000YBB0 LT AAAsf Affirmed AAAsf A-SB 95000YAW5 LT AAAsf Affirmed AAAsf B 95000YBC8 LT AA-sf Affirmed AA-sf C 95000YBD6 LT A-sf Affirmed A-sf D 95000YAC9 LT BBsf Affirmed BBsf E 95000YAE5 LT B+sf Affirmed B+sf F 95000YAG0 LT CCCsf Affirmed CCCsf G 95000YAJ4 LT CCCsf Affirmed CCCsf X-A 95000YAZ8 LT AAAsf Affirmed AAAsf X-B 95000YBA2 LT AA-sf Affirmed AA-sf X-D 95000YAA3 LT BBsf Affirmed BBsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 5.5% in WFCM 2017-C38, 8.2% in WFCM 2017-C39 and 5.7% in WFCM 2017-C40. Fitch Loans of Concerns (FLOCs) comprise 13 loans (27.7% of the pool) in WFCM 2017-C38, including two specially serviced loans (9.6%); nine loans (31.6%) in WFCM 2017-C39, including six specially serviced loans (22.3%); and seven loans (26.5%) in WFCM 2017-C40, including two specially serviced loans (10.9%). The downgrades in WFCM 2017-C38 and WFCM 2017-C39 reflect increased pool loss expectations driven primarily by the newly specially serviced Starwood Capital Group Hotel Portfolio loan (5.1% in WFCM 2017-C38 and 4% in WFCM 2017-C39) as well as the specially serviced 225 & 233 Park Avenue South loan (4.6% in WFCM 2017-C38 and 7% in WFCM 2017-C39). Downgrades in WFCM 2017-C39 also reflect increased pool loss expectations for office FLOC Cleveland East Office Portfolio (2.8%) and specially serviced office loan First Stamford Place (2.4%). The Negative Outlooks in each transaction reflect possible further downgrades should performance of the specially serviced loans not stabilize or decline further and/or with prolonged workouts. The Negative Outlooks also reflect an elevated concentration of office loans (43.5% in WFCM 2017-C38 and 36% in WFCM 2017-C39) and performance and refinancing concerns for office FLOCs (18.1% in WFCM 2017-C38 and 14.5% in WFCM 2017-C39), particularly Long Island Prime Portfolio - Melville (4.9%), Valley Creek Corporate Center (3.3%) and AmberGlen Corporate Center (2%) in WFCM 2017-C38 and 181 Second Avenue (2.3%) in WFCM 2017-C39. The affirmations in WFCM 2017-C40 reflect generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks in WFCM 2017-C40 reflect the high office concentration of 23.7% of the pool and potential future downgrades should performance of 225 & 233 Park Avenue South (9.3%) and Starwood Capital Hotel Portfolio (1.6%) loans not stabilize, decline further and/or with an extended workout. The Starwood Capital Hotel Portfolio loan represents the largest increase in expected losses since Fitch's prior rating action across all three transactions and is the largest and third largest driver of expected losses in WFCM 2017-C38 and WFCM 2017-C39, respectively. The loan is secured by a portfolio comprised of 65 hotels totaling 6,370 keys and located across 21 states and transferred to special servicing in March 2025 for imminent maturity default. The loan is paid through March 2025 and has remained current since issuance. The servicer is actively negotiating modification terms with the borrower, Starwood Capital Group. Portfolio performance continues to lag post-pandemic. The YE 2023 NOI is 37% below YE 2019 (pre-pandemic NOI) and 26% below the Fitch issuance NCF. The servicer-reported portfolio NOI DSCR was 1.61x as of September 2024, a decline from 1.72x at YE 2023, 1.98x at YE 2022 and 1.62x at YE 2021. Total average portfolio occupancy, ADR, and RevPAR was 66%, $121, and $79, respectively, as of the TTM ended September 2024 compared to 54%, $92, and $49 at YE 2020 and 74%, $116, and $86 at YE 2019. Fitch's 'Bsf' rating case loss of 27% (prior to concentration add-ons) reflects a 11.50% cap rate and the YE 2023 NOI. Fitch's 'Bsf' rating case loss for this loan at the prior rating action was 4.8%. The 225 & 233 Park Avenue South loan is the largest driver of expected losses in WFCM 2017-C39 and WFCM 2017-C40 and the second largest driver of expected losses in WFCM 2017-C38. The loan transferred to special servicing in March 2024 for imminent monetary default and is secured by two interconnected office buildings that operate as a single property located in the Gramercy Park submarket of Manhattan. The loan matures in June 2027 and has remained current since issuance. The special servicer, borrower and mezzanine lender are working to document a loan modification based on terms approved by senior lender. Since the prior rating action, Facebook (39.4% of NRA; March 2024) and STV Incorporated (19.7% of NRA; May 2024) vacated at lease expiration driving occupancy to 39.5% as of June 2024 compared to 99% per the October 2023 rent roll. Per the October 2023 rent roll, Facebook and STV accounted for 44% and 13%, respectively, of the total annual base rent. Facebook was required to pay a lease termination payment; per the May 2025 remittance, there was $57.6 million in reserves: $42.5 million in tenant reserves for leasing and re-tenanting costs, $5.9 million in replacement reserves and $9.2 million in other reserves. Per media reports, the largest tenant, Buzzfeed (28.7% of NRA; May 2026) which vacated in 2022, subleases all its space to software company Monday.com. According to CoStar, comparable properties had 15% vacancy and 15% availability rates and market asking rent of $59.66 compared to 16.3%, 18.6%, and $60.43 at Fitch's prior rating action. The total submarket had 15.3% vacancy and 14.9% availability rates and market asking rent of $72.77 compared to 15.8%, 17.5%, and $72.30 at Fitch's prior rating action. Fitch's 'Bsf' rating case loss of 21% (prior to concentration add-ons) reflects a 9% cap rate and 50% stress to the YE 2022 NOI, to account for the deteriorating office sector outlook, tenant departures, rollover concerns and potential special servicing fees/expenses. The Long Island Prime Portfolio - Melville loan is the third largest driver of expected losses in WFCM 2017-C38 and is secured by a portfolio of three suburban office properties located in Melville, NY. The loan was flagged due to occupancy and NOI declines. The YE 2023 NOI is 17% below YE 2022, 45% below YE 2021 and 36% below Fitch issuance NCF. Occupancy declined significantly to 79% at YE 2023 from 93% at YE 2022 due to former top tenant Signature Bank's failure and the bank vacating its space. Occupancy has increased slightly to 82% as of September 2024 due to leasing activity and per the servicer, Bond Schoeneck & King PLLC (5.4% NRA, October 2041) is expected to take occupancy in May 2025 as the construction of their space is nearing completion. Also, per the servicer, Jackson Lewis (4.4% of NRA; December 2025) is expected to vacate; however, there is interest in the space. According to CoStar, comparable properties had 10.7% vacancy and 10.9% availability rates and market asking rent of $32.92 compared to 15.2%, 18%, and $33.26 at Fitch's prior rating action. The total submarket had 8.9% vacancy and 10.5% availability rates and market asking rent of $29.66 compared to 10.6%, 12.3%, and $30.19 at Fitch's prior rating action. Fitch's 'Bsf' rating case loss of 13% (prior to concentration add-ons) reflects a 10.50% cap rate and the YE 2023 NOI and a heightened probability of default. The Valley Creek Corporate Center loan in WFCM 2017-C38 is secured by a 259,497-sf suburban office property located in Exton, PA (approximately 35 miles from Philadelphia) and was flagged due to recent occupancy and NOI declines as well as upcoming rollover. Occupancy has declined to 74% at YE 2024 from 86% at YE 2022 as the largest tenant Analytical Graphics, Inc. (25.8% of the NRA; August 2027) reduced its footprint by 23,839-sf (9.2% NRA). Per the servicer, the second largest tenant Internet Pipeline (23.5% of the NRA; May 2025) is expected to vacate and the third largest tenant Autotrader.com, Inc (7.9% of NRA; February 2026) is expected to sign a short-term renewal. Rollover consisted of 25.4% of NRA in 2025 (including Internet Pipeline), 11.1% in 2026 and 25.8% in 2027. According to CoStar, comparable properties had 18.3% vacancy and 24.0% availability rates and market asking rent of $29.75 compared to 16.4%, 20.3%, and $31.55 at Fitch's prior rating action. The total submarket had 11.5% vacancy and 15.6% availability rates and market asking rent of $25.92 compared to 10.9%, 15.1%, and $25.96 at Fitch's prior rating action. Fitch's 'Bsf' rating case loss of 14% (prior to concentration add-ons) reflects a 10% cap rate and a 20% stress to YE 2024 NOI and a heightened probability of default. The AmberGlen Corporate Center loan in WFCM 2017-C38 is secured by a 198,726-sf office portfolio comprised of three, suburban office properties located in Hillboro, OR, and was flagged due to upcoming occupancy declines and rollover risk. Occupancy is expected to decline to 61% from 97% as of YE 2024 as the largest tenant, Planar Systems, Inc. (36.4% of NRA; exp March 2025), is expected to vacate as CoStar shows all of the tenant's space on the leasing market. Additionally, 39.7% of NRA rolls over in 2026. Fitch requested a leasing update, but none was provided. Fitch's 'Bsf' rating case loss of 14% (prior to concentration add-ons) reflects a 10% cap rate and a 50% stress to YE 2024 NOI and a heightened probability of default. The Cleveland East Office Portfolio loan is the second largest driver of and third largest increase in expected losses since Fitch's prior rating action in WFCM 2017-C39. The loan is secured by two suburban office properties totaling 499,454-sf located in Ohio (Mayfield Heights and Highland Hills) and was flagged due to occupancy and NOI declines and a recent second trip to special servicing. Portfolio occupancy has declined significantly to 54% as of YE 2023 from 77% at YE 2022 as the former major tenant, Progressive Insurance (previously 22.9% of NRA) vacated upon lease expiry in January 2023. Additionally, the portfolio's largest tenant, Park Place Technologies (at the Landerbrook Corporate Center property in the significantly weak Lyndhurst/Landerhaven submarket) has reduced its space to 14.5% NRA from 22.2% NRA and was expected to vacate at lease expiration in April 2025, further reducing occupancy. The loan transferred to special servicing in June 2024 for a second time ahead of the new loan maturity date for imminent maturity default. The loan became 90+ days delinquent in December 2024 before returning to current after the lender and borrower agreed to a loan modification in November 2024. The loan was returned to the master servicer in April 2025 as a corrected mortgage loan, and, per the servicer, the borrower is looking to exercise its first maturity extension option. Fitch's 'Bsf' rating case loss of 44% (prior to concentration add-ons) reflects a 10.25% cap rate and 50% stress to the YE 2023 NOI and a heightened probability of default. The First Stamford Place loan in WFCM 2017-C39 is secured by three office buildings totaling 810,475-sf and located in Stamford, CT. The loan transferred to the special servicer in December 2023 due to imminent monetary default and became REO in February 2025. Occupancy was 77.0% as of the February 2025 servicer-provided rent roll, compared to 74.8% as of January 2024 and 81.7% at YE 2020. Nea- term lease rollover includes 6.1% of NRA in 2025 across nine leases, and 4.1% of NRA in 2026 across seven leases. Recent leasing included three tenants for 4.1% of NRA. According to CoStar, comparable properties had 25.5% vacancy and 26.2% availability rates and market asking rent of $44.22 compared to 26.8%, 29.7%, and $43.63 at Fitch's prior rating action. The total submarket had 22.4% vacancy and 22.8% availability rates and market asking rent of $38.81 compared to 23.8%, 25.1%, and $39.04 at Fitch's prior rating action. Fitch's 'Bsf' case loss of 39% (prior to concentration add-ons) reflects a stress to the most recent appraisal reflecting a stressed value of $124 psf. The 181 Second Avenue loan in WFCM 2017-C39 is secured by a 69,142-sf office property located in San Mateo, CA and was flagged due to occupancy declines and the weak submarket. Occupancy declined to 50% at YE 2024 from 89% at YE 2023 as the second and third largest tenants, DOMPE U.S., Inc. (11.2% of NRA; April 2024) and Demandbase, Inc. (11.0% of NRA; March 2024), which together made up 34% of the annual base rent, vacated at lease expiration. Occupancy is expected to decline further to 41% as the largest tenant, Xelay Acumen Group, Inc. (9.2% NRA, April 2025) renewed their lease through September 2025 and is expected to vacate. According to CoStar, comparable office properties in the San Mateo office submarket had 23.9% vacancy and 27.1% availability rates and market asking rent of $58.20 compared to 26.5%, 28.8%, and $56.21 at Fitch's prior rating action. The total submarket had 20.7% vacancy and 24.7% availability rates and market asking rent of $58.88 compared to 20.1%, 22.1%, and $58.34 at Fitch's prior rating action. Fitch's 'Bsf' rating case loss of 23% (prior to concentration add-ons) reflects a 10% cap rate and 10% stress to the YE 2024 NOI and a heightened probability of default. Defeasance: Per the April 2025 remittance, respective defeasance percentages in the WFCM 2017-C38, WFCM 2017-C39 and WFCM 2017-C40 transactions include 4% (10 loans), 5.2% (seven loans) and 13.5% (14 loans). Increased Credit Enhancement (CE): As of the April 2025 remittance, the aggregate balances of the WFCM 2017-C38, WFCM 2017-C39 and WFCM 2017-C40 transactions have been reduced by 14.5%, 12.1% and 9%, respectively, since issuance. Loan maturities are concentrated in 2027 with 66 loans for 97% of the pool in WFCM 2017-C38, 55 loans for 96% of the pool in WFCM 2017-C39 and 59 loans for 98% of the pool in WFCM 2017-C40. Cumulative interest shortfalls for the WFCM 2017-C38, WFCM 2017-C39 and WFCM 2017-C40 transactions are $1.7 million, $1.6 million and $242,340 respectively; in all three transactions, they are affecting the non-rated class VRR, G, H-RR, RR interest or J. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Classes with Negative Outlooks reflect possible future downgrades stemming from concerns with further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to the 'AAAsf' rated classes with Stable Outlooks are not likely due to their position in the capital structure and expected continued amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories, especially those with Negative Outlooks, may occur should performance of the FLOCs deteriorate further or if more loans than expected default during the term and/or at or prior to maturity. These FLOCs include Starwood Capital Group Hotel Portfolio and 225 & 233 Park Avenue South across all three transactions, Long Island Prime Portfolio - Melville, Valley Creek Corporate Center and AmberGlen Corporate Center in WFCM 2017-C38 and Cleveland East Office Portfolio, First Stamford Place and 181 Second Avenue in WFCM 2017-C39. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, particularly those with Negative Outlooks, could occur with higher than expected losses from continued underperformance of the FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings of 'CCCsf' and 'CCsf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs, including Starwood Capital Group Hotel Portfolio and 225 & 233 Park Avenue South across all three transactions, Long Island Prime Portfolio - Melville, Valley Creek Corporate Center and AmberGlen Corporate Center in WFCM 2017-C38 and Cleveland East Office Portfolio, First Stamford Place and 181 Second Avenue in WFCM 2017-C39. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2014-C17: DBRS Confirms CCC Rating on E Certs ------------------------------------------------------------ DBRS, Inc. confirmed the credit rating on Class E of the Commercial Mortgage Pass-Through Certificates, Series 2014-C17 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 at CCC (sf). Class E has a credit rating that does not typically carry trends in commercial mortgage-backed securities (CMBS). The credit rating confirmation reflects the potential maturity risk for the remaining loan in the pool, Holiday Inn Center City Charlotte (Prospectus ID#12, 100% of the pool). The loan was formerly in special servicing; however, it was able to secure an extension, pushing the maturity date to July 2025. While performance has improved since the loan's return to the master servicer, the loan's history in special servicing and borrower's inability to repay the loan at the initial maturity date elevate the loan's maturity risk, warranting the credit rating confirmation. Since the transactions last review in June 2024, 34 loans were repaid. One loan, Arrowhead Business Park (Prospectus ID#33), liquidated at a loss of $2.6 million, which was less than the Morningstar DBRS expectation of $5.4 million of loss in the June 2024 review. Two additional loans, Seaway Plaza (Prospectus ID# 48) and Liberty Park Apartments (Prospectus ID# 57), were liquidated with no loss to the trust. The Holiday Inn Center City Charlotte loan is secured by a 294-room, full-service hotel in Charlotte, North Carolina. The subject initially transferred to special servicing in April 2024 for imminent monetary default in advance of the loan's scheduled maturity in July 2024. The borrower was able to negotiate a one-year extension pushing the maturity date to July 2025, and the loan subsequently transferred back to the master servicer. At the time of last review, the subject reported a slightly less than breakeven debt service coverage ratio (DSCR) coupled with a revenue per available room (RevPAR) penetration figure of only 75.2%. According to the December 2024 STR report there has been a considerable improvement in performance metrics, noting an occupancy, average daily rate, and RevPAR of 66.0%, $174.29, and $115.05, respectively, with a RevPAR penetration of 113.6%. In November 2023, following a $12 million renovation, the subject converted its flag to a DoubleTree operated by Hilton, which appears to have helped performance metrics since the last review. No updated financials have been reported since March 2024; however, given the improvements in STR metrics, it is likely financial performance has improved in 2024. At issuance, the subject was appraised for $35.5 million, following the renovations, the subject was reappraised for $52.0 million in June 2024, representing a 46.5% increase from issuance. Given the borrower was unable to repay the loan at its originally scheduled July 2024 maturity date, there is still continued maturity risk supporting the credit rating confirmations. The improved STR metrics in 2024 and increase in valuation, however, do act as mitigants to that risk. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2016-UBS12: Fitch Cuts Rating on 4 Classes to Csf ---------------------------------------------------------------- Fitch Ratings has downgraded 10 and affirmed four classes of Morgan Stanley Capital I Trust 2016-UBS12 (MSC 2016-UBS12). The Rating Outlooks on affirmed classes A-4 and X-A have been revised to Negative from Stable. Following their downgrades, classes A-S, B and C were assigned Negative Outlooks. Entity/Debt Rating Prior ----------- ------ ----- MSC 2016-UBS12 A-3 61691EAZ8 LT AAAsf Affirmed AAAsf A-4 61691EBA2 LT AAAsf Affirmed AAAsf A-S 61691EBD6 LT Asf Downgrade AAsf A-SB 61691EAY1 LT AAAsf Affirmed AAAsf B 61691EBE4 LT BBB-sf Downgrade A-sf C 61691EBF1 LT B-sf Downgrade BBB-sf D 61691EAJ4 LT CCsf Downgrade CCCsf E 61691EAL9 LT Csf Downgrade CCsf F 61691EAN5 LT Csf Downgrade CCsf X-A 61691EBB0 LT AAAsf Affirmed AAAsf X-B 61691EBC8 LT BBB-sf Downgrade A-sf X-D 61691EAA3 LT CCsf Downgrade CCCsf X-E 61691EAC9 LT Csf Downgrade CCsf X-F 61691EAE5 LT Csf Downgrade CCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' ratings case loss is 17.7%, up from 11.8% at Fitch's prior rating action. Ninteen loans (56.8%) were flagged as Fitch Loans of Concern (FLOCs), including the top three loans in the pool and 12 loans (20%) in special servicing. The pool has significant upcoming maturities as the majority of the loans are scheduled to mature in 2026. Fitch also performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of repayment and/or loss expectation; the rating actions also incorporate this analysis. The downgrades reflect higher pool loss expectations, driven primarily by the specially serviced 681 Fifth Avenue loan (11.8%) and the 191 Peachtree loan (11.8%). The Negative Outlooks reflect the potential for downgrades if performance of FLOCs deteriorates beyond current expectations, including worsened recovery and/or prolonged workout on the specially serviced loans/assets, and/or more loans than anticipated fail to refinance. 94% of the pool matures between September and November 2026. Largest Increases in Loss Expectations: The largest increase in loss since the prior rating action and largest contributor to overall loss expectations is the 681 Fifth Avenue loan, 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 70.6% (prior to concentration add-ons) reflects a discount to the latest appraisal value provided by the servicer and a 76% value decline from the appraised value at issuance. The second largest contributor to loss is the Wolfchase Galleria loan (9.7%), which is secured by a 391,862-sf interest in a regional mall located in Memphis, TN. The subject is anchored by Macy's (non-collateral), Dillard's (non-collateral), J.C. Penney (non-collateral) and Malco Theatres. The loan transferred to special servicing in June 2020 due to a monetary default, but it was subsequently returned to the master servicer in May 2021. Collateral occupancy has steadily declined year over year. As of March 2024, collateral occupancy was reported at 76%, which compares to 78% at YE 2023, 77.5% at YE 2021, 78.8% at YE 2020, 81.3% at YE 2019 and 84% at YE 2018. The YE 2023 servicer-reported NOI DSCR was 1.67x compared with 1.19x at YE 2022, 1.24x at YE 2021, 1.17x at YE 2020, 1.29x at YE 2019 and 1.35x at YE 2018. While the subject is the dominant mall in its trade area, it is also located in a secondary market with fewer demand drivers. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 36.6% reflects a 15% cap rate and a 7.5% stress to the YE 2023 NOI. Fitch's analysis also recognized a heightened probability of default due to sustained performance declines and expected refinance challenges. The third largest contributor to loss is 191 Peachtree, which is secured by a 1.2 million sf office tower located in Atlanta, GA and a leasehold interest in a parking garage. The loan is considered a FLOC due to declining occupancy, upcoming lease rollover concerns and maturity default risk. Upcoming rollover consists of 11.3% of the NRA (16.8% of base rent) across 10 leases in 2025. Occupancy declined to 67% as of the January 2025 rent roll from 84% at YE 2023 due to Deloitte downsizing from 19.4% of the NRA to 2.9% prior to its May 2025 lease expiration. As of April 2025, total reserves for the loan were $12.2 million. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 18.8% reflects a 9.5% cap rate and a 30% stress to the YE 2023 NOI due to lower occupancy. Fitch's analysis also factored in an increased probability of default given anticipated refinance challenges. Increased Credit Enhancement (CE): As of the April 2025 remittance report, the aggregate pool balance has been reduced by 17.8% since issuance. The deal has incurred $1.4 million in realized losses to date and interest shortfalls of approximately $3 million are currently affecting classes D through G. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the super senior classes A-3 and A-SB are not expected due to the position in the capital structure and expected continued paydowns from loan amortization and repayments. However, downgrades may occur if deal-level losses increase significantly and/or if interest shortfalls occur or are expected to occur. Downgrades to the classes rated in the 'AAAsf' and 'Asf' categories, which have Negative Outlooks, could occur if deal-level losses increase significantly from outsized losses on larger office and retail FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to the classes rated in 'BBBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, in particular the office and retail outlet center FLOCs, and/or greater certainty of losses on the specially serviced loans and/or FLOCs. These elevated risk loans include 681 Fifth Avenue, Wolfchase Galleria, and 191 Peachtree. Downgrades to the distressed classes would occur as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the class rated in the '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 681 Fifth Avenue, Wolfchase Galleria and 191 Peachtree. Upgrades to the class rated in the 'BBBsf' category 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 the class rated in the 'Bsf' category rated class 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. Upgrades to distressed ratings are unlikely, but possible with better-than-expected recoveries on specially serviced loans and/or significantly improved performance of the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2017-ASHF: DBRS Confirms BB Rating on E Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2017-ASHF issued by Morgan Stanley Capital I Trust 2017-ASHF as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class XEXT at A (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the underlying hotel portfolio since Morningstar DBRS' previous credit rating action in May 2024. This is evidenced by the continued stable portfolio occupancy rates, cash flows, and revenue per available room (RevPAR) figures as reported in the most recent STR report provided to Morningstar DBRS. The loan transferred to special servicing in August 2024 ahead of its extended November 2024 maturity date due to imminent maturity default. Although a workout strategy has yet to be finalized, a loan modification extending the maturity date does seem likely and would likely be subject to an equity injection by the sponsor and the purchase of an interest rate cap, based on previous extensions granted by the special servicer. The Morningstar DBRS loan-to-value ratio (LTV) is relatively moderate at 74.8% for the Morningstar DBRS-credit-rated portion of the whole loan debt. In the event talks between the sponsor and the servicer break down completely and a liquidation of the portfolio were to be ultimately undertaken by the trust, the Morningstar DBRS-credit-rated classes in the transaction would appear well insulated from loss with a cushion of approximately $112 million in the non-Morningstar DBRS-credit-rated Classes F, G, and HRR supporting the credit rating confirmations and Stable trends with this review. The subject transaction comprises an interest-only (IO), floating-rate loan, collateralized by a portfolio of 17 hotel properties with multiple formats represented, including all-suite, full-service, limited-service, and extended-stay hotels. The portfolio combines 3,128 rooms across seven states. As of the April 2025 remittance, the trust has a balance of $409.8 million representing a collateral reduction of 4.0% since issuance. There have been no hotel property releases to date, however, the previous release of a parking parcel at a property in St. Petersburg, Florida, contributed to the marginal principal repayment since issuance. The loan benefits from sponsorship by Ashford Hospitality Trust, Inc. (Ashford), an experienced hotel investment company and publicly traded real estate investment trust. The hotels are managed by two separate companies: Marriott manages five of the hotels while Remington Lodging and Hospitality, LLC manages the remaining 12. All hotels in the portfolio operate under nationally recognized flags, including Hilton Worldwide Holdings Inc. and Marriott International, Inc. (Marriott). According to the February 2025 STR reports, the portfolio reported weighted-average (WA) occupancy rate, average daily rate (ADR) and RevPAR figures of 70.4%, $166, and $117, respectively, for the trailing 12-month period (T-12) ended February 29, 2025. These figures compare with the figures of 71.7%, $165, and $119, respectively, for the T-12 ended February 28, 2024. Current performance figures from February 2025 remain generally in line with recent historical figures but have not restabilized at pre-pandemic levels. According to the most recent financials, the net cash flow (NCF) for YE2024 was reported at $36.7 million (debt service coverage ratio (DSCR) of 1.03 times (x)), compared with $37.9 million for YE2023 (DSCR of 1.10x) and the Morningstar DBRS NCF of $37.1 million derived with the May 2024 review. Morningstar DBRS maintained its analysis from last review, which includes an updated Morningstar DBRS value of $398.3 million, based on the Morningstar DBRS NCF of $37.1 million, derived from a 2.0% haircut to the YE2023 NCF, and a Morningstar DBRS cap rate of 9.31%. This value is a noteworthy decline from the 2020 Morningstar DBRS value of $440.0 million derived when the credit ratings were assigned; the value decline has been partially offset by principal paydown of just over $17.0 million associated with a previous maturity extension granted by the special servicer. Although the in-place NCF figure of $36.7 million is slightly below the Morningstar DBRS NCF figure, revenues in 2024 grew above the 2023 figures, with the year-over-year NCF decline the result of increased expenses. Morningstar DBRS will monitor the in-place performance closely and will adjust the Morningstar DBRS NCF figure if the in-place NCF continues to slide with the 2025 reporting. The Morningstar DBRS Value of $398.3 million results in an LTV of 74.8% on the $298.0 million Morningstar DBRS-credit-rated portion of the capital stack and an all-in LTV of 102.9% on the $409.8 million remaining balance of the whole loan. No qualitative adjustments were made to the LTV Sizing Benchmarks. As a test of the durability of the credit ratings, given the uncertainty associated with the transfer to special servicing and potential loan modification, Morningstar DBRS conducted a hypothetical liquidation scenario based on the updated Morningstar DBRS Value derived in May 2024. The results of the analysis suggest the hypothetical liquidation losses would be contained to the non-Morningstar DBRS-credit-rated Class G certificate. Should a liquidation ultimately occur, the credit support provided in Classes F, G, and HRR would be sufficient cushion before losses hit Class E, the lowest Morningstar DBRS-credit-rated class in the capital stack, supporting the credit rating confirmations and Stable trends with this review. The Morningstar DBRS credit rating assigned to Class C is lower than the result suggested by the LTV Sizing Benchmarks. The variance is warranted given the uncertain loan-level event risk. Although recent performance remains in line with Morningstar DBRS' expectations at the last review, the subject loan is now past due its fully extended maturity date of November 2024 and is currently in special servicing awaiting a finalized workout strategy. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2017-C34: Fitch Lowers Rating on Two Tranches to Bsf ------------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Morgan Stanley Bank of America Merrill Lynch Trust Series 2017-C33 (MSBAM 2017-C33). The Rating Outlooks on affirmed classes C, D and X-D have been revised to Negative from Stable. Fitch Ratings has downgraded five classes and affirmed 10 classes of Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 (MSBAM 2017-C34). Following their downgrades, Negative Outlooks were assigned to classes B, C, D, X-B and X-D. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2017-C33 A-3 61767CAT5 LT AAAsf Affirmed AAAsf A-4 61767CAU2 LT AAAsf Affirmed AAAsf A-5 61767CAV0 LT AAAsf Affirmed AAAsf A-S 61767CAY4 LT AAAsf Affirmed AAAsf A-SB 61767CAS7 LT AAAsf Affirmed AAAsf B 61767CAZ1 LT AA+sf Affirmed AA+sf C 61767CBA5 LT A+sf Affirmed A+sf D 61767CAC2 LT BBB-sf Affirmed BBB-sf E 61767CAE8 LT BB-sf Affirmed BB-sf F 61767CAG3 LT B-sf Affirmed B-sf X-A 61767CAW8 LT AAAsf Affirmed AAAsf X-B 61767CAX6 LT A+sf Affirmed A+sf X-D 61767CAA6 LT BBB-sf Affirmed BBB-sf MSBAM 2017-C34 A-2 61767EAB0 LT AAAsf Affirmed AAAsf A-3 61767EAD6 LT AAAsf Affirmed AAAsf A-4 61767EAE4 LT AAAsf Affirmed AAAsf A-S 61767EAH7 LT AAAsf Affirmed AAAsf A-SB 61767EAC8 LT AAAsf Affirmed AAAsf B 61767EAJ3 LT Asf Downgrade AA-sf C 61767EAK0 LT BBBsf Downgrade A-sf D 61767EAU8 LT Bsf Downgrade BBsf E 61767EAW4 LT CCCsf Affirmed CCCsf F 61767EAY0 LT CCsf Affirmed CCsf X-A 61767EAF1 LT AAAsf Affirmed AAAsf X-B 61767EAG9 LT BBBsf Downgrade A-sf X-D 61767EAL8 LT Bsf Downgrade BBsf X-E 61767EAN4 LT CCCsf Affirmed CCCsf X-F 61767EAQ7 LT CCsf Affirmed CCsf KEY RATING DRIVERS Increased 'B' Loss Expectations: Deal-level 'Bsf' rating case losses have increased to 5.6% from 4.6% at prior review for MSBAM 2017-C33 and increased to 7.1% from 5.5% for MSBAM 2017-C34. There are three Fitch Loans of Concern (FLOCs; 17% of the pool) in MSBAM 2017- C33, which includes one performing special serviced loan (6.3%) and ten FLOCs (31%) in MSBAM 2017-C34, which includes four special serviced loans (10%). MSBAM 2017-C33: The affirmations reflect the relatively stable pool performance and loss expectations since the last rating action. The Negative Outlooks reflect the potential for higher than expected losses from Key Center Cleveland (6.3%) and increasing concerns with respect to D.C. Office Portfolio (6.2%) and 141 Fifth Avenue (4.5%). Fitch ran an additional scenario which increased the probability of default on the Key Center Cleveland, this scenario contributed to the Negative Outlooks placed on classes D and X-D. MSBAM 2017-C34: The downgrades in MSBAM 2017-C34 are driven by increased overall pool loss expectations since Fitch's prior rating action primarily driven by Ocean Park Plaza (4.5%), 444 West Ocean (2.6%), Starwood Capital Hotel Portfolio (2.6%) and Corporate Woods Portfolio (3.5%). The Negative Outlooks reflect the high concentration of office assets (46% of the pool) and refinanceability concerns. FLOCs; Largest Loss Contributors: The largest increase in loss expectations and the largest overall contributor to pool loss in MSBAM 2017-C33 is the D.C. Office Portfolio, which is secured by a by a portfolio of three office buildings totaling 328,319-sf located within an area known as the Golden Triangle in the Washington, D.C. CBD. The tenancy is granular as the buildings are leased to approximately 100 tenants. The portfolio's major tenants include New Venture Fund (4.2% NRA; leased through January 2030), Mooney, Green, Saindon, Murphy & Welch PC (2.5% NRA; December 2030) and Hightower Holding, LLC (2.3% NRA; December 2030). Portfolio occupancy has steadily declined to 65.8% as June 2024, from 68.9% at YE 2023, and 73.7% at YE 2022 due to several smaller tenants vacating upon lease expiry. Occupancy previously declined between 2019 and 2020 due to the previous largest tenant, Liquidity Services, Inc. (previously 8.3% of NRA), vacating in March 2020. The servicer-reported portfolio NOI DSCR was 0.93x as of June 2024, compared with 1.07x at YE 2023, 1.04x at YE 2022 and 0.97x at YE 2021. The loan is currently being cash managed and reported $1.0 million or $3.1 psf in total reserves as of the February 2025 loan level reserve report. According to CoStar, the portfolio properties lie within the CBD Office Submarket of the Washington, DC market area. As of 4Q24, average rental rates were $54.43 psf and $39.93 psf for the submarket and market, respectively. Vacancy for the submarket and market was 18.0% and 16.8%, respectively. Fitch's 'Bsf' case loss of 36.7% (prior to a concentration adjustment) is based on a 9.50% cap rate and 10.0% stress to the annualized trailing-six-months ended June 2024 NOI, and factors in an increased probability of default due to the loan's heightened maturity default risk. Fitch's 'Bsf' rating case loss for this loan at the prior rating action was 18.2%. The second largest contributor to loss in the MSBAM 2017-C33 transaction is the 141 Fifth Avenue loan, which is secured by a 4,425-sf single-tenant retail condominium located in the Flatiron District of Manhattan. The property is comprised of 3,500 sf of ground floor space and 925 sf of basement storage space and is located at the base of a 12-story mixed-use condominium building. The single tenant, HSBC, vacated prior to its October 2022 lease expiration. A cash flow sweep was triggered with approximately $1.8 million collected in reserves as of June 2024. The sponsor is currently marketing the vacant space. As of YE 2023 the retail portion of the property remains vacant. Fitch's 'Bsf' rating case loss of 41.1% (prior to concentration adjustment) reflects a dark value analysis and a higher probability of default as the property remains vacant. The largest loan in the pool and third largest contributor to loss in the MSBAM 2017-C33 transaction is Pentagon Center (9.1%), which is secured by a 911,818 sf suburban office property located in Arlington, VA. The subject is 100% leased to the Department of Defense (DoD) under two leases, which are guaranteed by the U.S. government. 61.2% NRA is leased through April 2028 after a five-year extension and 38.8% NRA is leased through September 2025. The servicer reported YE 2024 NOI DSCR was 2.56x which is inline with prior years. Fitch's 'Bsf' case loss of 6.2% (prior to a concentration adjustment) is based on a 10% cap rate and a 25% haircut to reflect the potentially significant rollover concerns. The largest increase in loss expectations in MSBAM 2017-34 since Fitch's prior rating action is the 444 West Ocean loan (2.6%), which is secured by a 187,363 sf CBD office property located in Long Beach, CA. The loan transferred to special servicing in July 2024 due to imminent default. According to servicer updates, the lender is dual tracking foreclosure and modification options. A potential agreement on a loan modification is expected to close shortly. Occupancy was 67% as of YE 2023. The YE 2024 NOI DSCR was 1.01x compared with 1.15x at YE 2023 and 1.22x at YE 2022. Fitch's 'Bsf' case loss of 43.6% (prior to a concentration adjustment) is based on a discount to the January 2025 appraisal which reflects a value of $82 psf. The second largest increase in expected losses in MSBAM 2017-C34 is the Starwood Capital Hotel Portfolio loan (2.6%), which is secured by a portfolio of 65 hotels totaling 6,370 keys and located across 21 states. The loan recently transferred to the special servicer in February 2025 due to imminent monetary default although the loan has remained current through March 2025. According to the March 2025 servicer commentary, the servicer is negotiating a potential modification with the borrower, Starwood Capital Group. Portfolio occupancy declined to 65.8% as of September 2024, from 67.2% at YE 2023, 72.7% at YE 2022 and 66.1% at YE 2021. The servicer-reported portfolio NOI DSCR was 1.61x as of September 2024, a decline from 1.72x at YE 2023, 1.98x at YE 2022 and 1.62x at YE 2021. Fitch's 'Bsf' case loss of approximately 27.4% (prior to a concentration adjustment) is based on a 11.5% cap rate and the YE 2023 NOI, and factors in an increased probability of default as the loan is in special servicing. The largest overall contributor to loss expectations in MSBAM 2017-C34 is the Ocean Park Plaza loan (4.5%), which is secured by a 99,601-sf, class B, office property located in Santa Monica, CA. Occupancy has continued to decline reaching a historical low of 20% as of YE 2023 compared with 48% at YE 2022 and 72% in 2021. Matchcraft (16% of NRA, 18% of base rent), and Ocean Park Casting (8% of NRA or 11% of base rent), vacated ahead of their respective lease expirations in May 2022 and November 2023. Costar reported a submarket vacancy of 21.2% and rent of $62.66 psf as of Q1 2025 compared with subject asking rents of $49.96 psf. The servicer reported NOI DSCR declined to 0.15x as of YE 2023 compared with 1.15x at YE 2022 and 1.23x at YE 2021. Fitch's 'Bsf' rating case loss of approximately 51.6% prior to concentration adjustments is based on a 10.0% cap rate and the YE 2023 NOI. Credit Enhancement: As of the April 2025 distribution date, the aggregate balances of the MSBAM 2017-C33 and MSBAM 2017-C34 transactions have been reduced by 21.4% and 7.4%, respectively, since issuance. Realized losses to date total $910 in MSBAM 2017-C33 and $50,916 in MSBAM 2017-C34. Cumulative interest shortfalls of $ 504,710 are affecting the non-rated class G in MSBAM 2017-C33 and $528,085 are affecting the non-rated G class in MSBAM 2017-C34. 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 the junior 'AAAsf' rated class A-S in MSBAM 2017-C34 reflect the high office concentration 46% and the potential for downgrades if expected losses increase, most notably on the office FLOCs. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to the classes rated in the 'BBBsf' category are possible with higher than expected losses from continued underperformance of the FLOCs, in particular retail and office loans with deteriorating performance, and/or with greater certainty of losses on the specially serviced loans and/or FLOCs. These elevated risk loans include Key Center Cleveland, D.C. Office Portfolio and 141 Fifth Avenue in MSBAM 2017-C33, and Ocean Park Plaza, 444 West Ocean and Starwood Capital Hotel Portfolio in MSBAM 2017-C34. Downgrades to the 'BBsf' and 'Bsf' categories would occur with greater certainty of losses on the specially serviced loans or FLOCs, should additional loans transfer to special servicing and/or as losses are realized or become more certain. Downgrades to distressed 'CCCsf'and 'CCsf ratings would occur as losses are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs including 3 loans in MSBAM 2017-C33 and 10 loans in MSBAM 2017-C34 . 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 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. Upgrades to distressed ratings of 'CCCsf' and 'CCsf' is not expected but 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. MORGAN STANLEY 2018-H3: Fitch Lowers Rating on F-RR Debt to 'B-sf' ------------------------------------------------------------------ Fitch Ratings has downgraded three classes and affirmed 10 classes of Morgan Stanley Capital I Trust 2018-H3. Following their downgrades, Negative Rating Outlooks were assigned to classes E-RR and F-RR. Entity/Debt Rating Prior ----------- ------ ----- MSC 2018-H3 A-4 61767YAY6 LT AAAsf Affirmed AAAsf A-5 61767YAZ3 LT AAAsf Affirmed AAAsf A-S 61767YBC3 LT AAAsf Affirmed AAAsf A-SB 61767YAW0 LT AAAsf Affirmed AAAsf B 61767YBD1 LT AA-sf Affirmed AA-sf C 61767YBE9 LT A-sf Affirmed A-sf D 61767YAC4 LT BBB-sf Affirmed BBB-sf E-RR 61767YAE0 LT BB-sf Downgrade BBB-sf F-RR 61767YAG5 LT B-sf Downgrade BB-sf G-RR 61767YAJ9 LT CCCsf Downgrade B-sf X-A 61767YBA7 LT AAAsf Affirmed AAAsf X-B 61767YBB5 LT AA-sf Affirmed AA-sf X-D 61767YAA8 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Increased 'B' Loss Expectations: Deal-level 'Bsf' rating case loss increased to 7.2% from 4.9% at the prior rating action. Ten loans (22.6% of the pool), including four loans (9.6%) in special servicing, have been identified as Fitch Loans of Concern (FLOCs). The downgrades reflect the higher pool loss expectations since the prior rating action, driven primarily by a decline in the value of the specially serviced Westbrook Corporate Center loan. The Negative Outlooks reflect the potential for further downgrades if performance of the FLOCs, including Westbrook Corporate Center, SunTrust Center and Crowne Plaza Dulles Airport, 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 35%. Largest Contributors/Increase in Loss Expectations: The largest increase in loss expectations since Fitch's prior rating action and largest overall pool loss contributor is the Westbrook Corporate Center (4%), which is secured by a 1.14 million-sf suburban office property located in Westchester, IL. The loan transferred to special servicing in September 2024 for non-monetary default. Property occupancy has continued to decline, falling to 55% as of September 2024 from 67% at YE 2023 and 71% at YE 2022. The decline is primarily due to the departure of major tenant, American Imaging Management (7.2% of the NRA) and downsize of the largest tenant. According to the servicer, Follett Higher Education Group (11.3%; lease expiration in October 2025) downsized by 82,005 sf (7.1%) and extended its lease to April 2033. Fitch's 'Bsf' rating case loss of 72.6% (prior to concentration adjustments) reflects a discount to a recent valuation equating to a stressed value of approximately $21.00 psf and factors a higher probability of default to address continued occupancy deterioration and challenged market conditions. The second largest contributor to overall losses to the pool is the SunTrust Center (4.7%), which is secured by a 419,653-sf suburban office property located in Glen Allen, VA, approximately 13 miles northwest of the Richmond CBD. The loan has been designated as a FLOC due to the largest tenant at the property SunTrust vacating (61% of the NRA). SunTrust vacated due to its merger and consolidation with BB&T Bank. According to servicer updates, the tenant is still paying rent and has a lease expiration in March 2028. The vacant space is currently being subleased. Fitch has an outstanding request for an update on the sublease terms. Fitch's 'Bsf' rating case loss of 20.9% (prior to concentration adjustments) reflects a 10% cap rate and a 15% haircut to the YE 2024 NOI to reflect upcoming rollover concerns and increased probability of default to account for anticipated refinance concerns. The third-largest contributor to loss is the Crowne Plaza Dulles Airport (3.3%), which is secured by a 324-key, full-service hotel located in Herndon, VA. The loan has been designated as a FLOC due to a slow rebound in performance post-pandemic and declining performance since YE 20203. The TTM September 2024 NOI DSCR was 1.28x compared with 1.84x at YE 2023, 0.43x at YE 2022, 0.63x at YE 2021, 0.91x at YE 2020, but remains below 1.70x reported at YE 2019. Occupancy has improved to 69% as of September 2024 from a pandemic low of 28% at YE 2020. Per the January 2025 STR report, occupancy, ADR and RevPAR, was reported at 70%, $102 and $72 respectively, indicating penetration rates of 104%, 71% and 81%, respectively. Fitch's 'Bsf' rating case loss of 12% (prior to concentration adjustments) reflects an 11.25% cap rate and a 15% haircut to the TTM September 2024 NOI. Credit Enhancement: As of the April 2025 distribution date, the pool's aggregate principal balance has paid down by 14.2% to $879 million from $1.024 billion at issuance. Of the remaining pool balance, 23 loans comprising 51.9% of the pool are full-term interest-only. Four loans (4.9%) have been defeased. Two loans (4.4%) are scheduled to mature in June 2025, with the remainder of the pool (95.6%) scheduled to mature in 2028. Interest shortfalls of $517,000 are currently affecting the non-rated class J-RR. There have been no realized losses. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not expected due to the high CE, 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 the 'AA-sf' and 'A-sf' rated classes, which have Negative Outlooks, may occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to the 'BBB-sf', 'BB-sf' and 'B-sf' rated classes may occur if FLOCs fail to stabilize, additional loans transfer to special servicing or workouts of the current specially serviced loans are prolonged. These elevated risk loans include the SunTrust Center, Westbrook Corporate Center, Crowne Plaza Dulles Airport and Prince and Spring Street Portfolio. Downgrades to distressed 'CCCsf' ratings would occur as losses are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'AA-sf' and 'A-sf' classes may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs; however, adverse selection and increased concentrations could cause this trend to reverse. Upgrades to classes rated 'BBB-sf' may occur as the number of FLOCs are reduced and there is sufficient CE to the classes. Classes would not be upgraded above 'AA+sf' if there were any likelihood of interest shortfalls. Upgrades to 'B-sf' and 'BB-sf' rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed class 'CCCsf' is not expected but 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. MP CLO VII: Moody's Cuts Rating on $28.9MM Class E-RR Notes to B3 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by MP CLO VII, Ltd. US$33,200,000 Class D-RR Mezzanine Deferrable Floating Rate Notes due 2028 (the "Class D-RR Notes"), Upgraded to A2 (sf); previously on November 13, 2024 Upgraded to A3 (sf) Moody's have also downgraded the rating on the following notes: US$28,900,000 Class E-RR Mezzanine Deferrable Floating Rate Notes due 2028 (the "Class E-RR Notes"), Downgraded to B3 (sf); previously on August 14, 2020 Downgraded to B1 (sf) MP CLO VII, Ltd., originally issued in May 2015 and most recently refinanced in June 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 October 2020. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action on the Class D-RR notes is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since November 2024. The Class A-R3 notes have been paid down fully and the Class B-RR notes have been paid down by approximately 34.9% or $20.4 million since then. Based on Moody's calculations, the OC ratios for the Class D-RR notes is currently 138.50% versus November 2024 levels of 127.29%. The downgrade rating action on the Class E-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 103.87%[1] versus October 2024 level of 104.22%[2]. Moody's calculated weighted average rating factor (WARF) and weighted average spread (WAS) have been deteriorating and the current levels are 3514 and 3.21%, respectively, compared to 3262 and 3.37%, respectively, in November 2024. Furthermore, the exposure to Caa-rated assets have been increasing to 23.90% compared to the level of 17.49% in November 2024. Moody's notes that the April 2025 trustee reported OC ratio does not reflect the April 2025 payment distribution, when $24.6 million of principal proceeds were used to pay down the Class A-R3 and Class B-RR notes. No actions were taken on the Class B-RR and Class C-RR 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: $132,060,391 Defaulted par: $3,201,179 Diversity Score: 24 Weighted Average Rating Factor (WARF): 3514 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.21% Weighted Average Recovery Rate (WARR): 46.81% Weighted Average Life (WAL): 2.5 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. MPOWER EDUCATION 2025-A: DBRS Finalizes BB(low) Rating on C Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes issued by MPOWER Education Trust 2025-A (MPOWER 2025-A): -- $247,200,000 Class A Notes at A (sf) -- $43,400,000 Class B Notes at BBB (sf) -- $7,000,000 Class C Notes at BB (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION Morningstar DBRS' 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 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 legal opinions that 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. NEUBERGER BERMAN 60: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 60, Ltd. Entity/Debt Rating ----------- ------ Neuberger Berman Loan Advisers CLO 60, Ltd. A-1 LT NRsf New Rating A-1L LT NRsf New Rating A-1L-N LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Neuberger Berman Loan Advisers CLO 60, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Neuberger Berman Loan Advisers IV LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.81 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 (CE) and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.27% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 71.49% versus a minimum covenant, in accordance with the initial expected matrix point of 70.1%. 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 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch Ratings' 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 (P&I) waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-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 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 class A-2 notes, as these notes are in the highest rating category of 'AAAsf'. For the remaining classes, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 Neuberger Berman Loan Advisers CLO 60, 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. NEW RESIDENTIAL 2025-NQM3: S&P Assigns Prelim B+ Rating on B-2 Note ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to New Residential Mortgage Loan Trust 2025-NQM3's residential 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, townhouses, condotels, two- to four-family residential properties, and a five- to 10-unit multifamily property. The pool consists of 1,039 loans, which are which are qualified mortgage safe harbor (average prime offer rate), non-qualified mortgage/ability-to-repay (ATR) compliant and ATR-exempt loans. The preliminary ratings are based on information as of May 29, 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 our 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) New Residential Mortgage Loan Trust 2025-NQM3 Class A-1, $380,271,000: AAA (sf) Class A-1A, $329,837,000: AAA (sf) Class A-1B, $50,434,000: AAA (sf) Class A-2, $28,747,000: AA- (sf) Class A-3, $52,955,000: A- (sf) Class M-1, $17,400,000: BBB-(sf) Class B-1, $8,826,000: BB (sf) Class B-2, $7,565,000: B+ (sf) Class B-3, $8,574,347: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. OCTAGON 67: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Octagon 67, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Octagon 67, Ltd. A-2 67571LAC5 LT PIFsf Paid In Full AAAsf A-R LT NRsf New Rating B 67571LAE1 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 67571LAG6 LT PIFsf Paid In Full Asf C-1-R LT Asf New Rating C-2-R LT Asf New Rating D 67571LAJ0 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 67577YAA5 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating F-R LT NRsf New Rating Transaction Summary Octagon 67, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that originally closed in March 2023 and is managed by Octagon Credit Investors, LLC. On May 20th, 2025, the existing secured notes will be redeemed in whole with refinancing proceeds. Net proceeds from the issuance of the secured and existing subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.2, versus a maximum covenant, in accordance with the initial expected matrix point of 25.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.28% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.71% versus a minimum covenant, in accordance with the initial expected matrix point of 71.69%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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 and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B-R, between 'B-sf' and 'BBB+sf' for class C-1-R, between 'B-sf' and 'BBB+sf' for class C-2-R, and between less than 'B-sf' and 'BB+sf' for class D-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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-1-R, 'AAsf' for class C-2-R, and 'Asf' for class D-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 Octagon 67, Ltd. reset transaction. 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. OCTAGON LTD 59: Moody's Cuts Rating on $23.5MM Class E Notes to B1 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following notes issued by Octagon 59, Ltd.: US$23,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2035, Downgraded to B1 (sf); previously on April 28, 2022 Assigned Ba3 (sf) Octagon 59, Ltd., issued in April 2022, 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 will end in May 2027. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on Moody's calculations, the transaction has incurred the par loss of approximately 1.9% or $9.7 million compared to its Aggregate Ramp-Up Par Amount. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level[1] is 3.45% compared to 3.79% in April 2024[2], failing the trigger of 3.77%. No actions were taken on the Class A-1, Class A-2, Class B, Class C and Class D 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: $487,389,225 Defaulted par: $4,884,526 Diversity Score: 87 Weighted Average Rating Factor (WARF): 2924 Weighted Average Spread (WAS): 3.46% Weighted Average Recovery Rate (WARR): 45.76% Weighted Average Life (WAL): 5.5 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 this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Rating: 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. OPORTUN ISSUANCE 2025-B: Fitch Gives BB-(EXP) Rating on Cl. E Debt ------------------------------------------------------------------ Fitch Ratings expects to assign ratings and Rating Outlooks to the ABS issued by Oportun Issuance Trust 2025-B (OPTN 2025-B). Entity/Debt Rating ----------- ------ Oportun Issuance Trust 2025-B A LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Transaction Summary OPTN 2025-B is backed by a revolving pool of fixed-rate fully amortizing secured and unsecured consumer loans originated by Oportun Financial Corporation (Oportun) or its affiliates, as well as through certain third-party originators, with the loans then sold to Oportun. Oportun is the sponsor of the transaction. OPTN 2025-B is Oportun's 25th term securitization and the first to be rated by Fitch. KEY RATING DRIVERS Consistent Collateral Quality: The weighted average (WA) Vantage score for OPTN 2025-B is 658, with approximately 5.6% of the pool consisting of borrowers without a Vantage score. This reflects Oportun's focus on serving customers with limited or no credit history. The pool consists of 67.2% renewal loans, which is the lowest composition for such loans since OPTN 2022-A. The proportion of secured loans in the securitized trusts has been steadily increasing, with the current OPTN 2025-B pool exhibiting the highest percentage to date, at 8.9%. Rewritten loans account for 0.11% of the pool, lower than in prior transactions. However, this share can increase to as high as 5.0% of the pool during a revolving period. A rewritten loan is a one-time rewrite offered by Oportun to severely delinquent borrowers who have experienced a long-term financial hardship. A rewritten loan is essentially a new loan document with a principal balance equal to the balance of the original loan while the original loan is paid off. The WA contract rate of the loans is 27.6%, lower than in the prior 2025-A transaction. Elevated But Improving Performance Trends: Oportun's managed portfolio experienced a notable increase in default rates for loans originated in 2021 and 2022, compared to previous years, attributed to new borrowers originated through online aggregators alongside a deterioration in the broader unsecured consumer loan market. In response, the company implemented significant underwriting changes in third-quarter 2022, which led to a material improvement in default rates. However, despite this improvement, default rates remain higher than historical levels. Fitch's default assumption for the OPTN 2025-B pool based on the current composition of loans as of the statistical calculation date is 14.6%; however, a base case default assumption of 15.20% was assigned to the worst-case portfolio to account for the revolving nature of the pool and is used in analysis until the end of the revolving period. The 15.20% base case assumption is an expected case reflecting near-term economic conditions and expectations for additional cooling of the labor market in the U.S. The base case default assumption was established utilizing Oportun's historical performance data since 2019; however, Fitch focused on vintages since 2023 as relevant comparative years due to the significant underwriting changes undertaken by the company. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 59.93%, 38.77%, 22.91%, 8.26% and 2.58% of the initial pool balance for the class A, B, C, D and E notes, respectively. Fitch tested the initial CE under stressed cash flow assumptions for all classes and found that the classes pass all stresses at the rating level assigned to the respective class of notes. In particular, Fitch applied a 'AAAsf' rating stress of 4.65x the base case default rate for the 2025-B series. The stress multiples decreases proportionally between the "median" and "low" multiple range for lower rating levels as described in Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history, exposure to changing economic conditions from higher loan terms and the length of the revolving period, which exposes the trust to the potential for performance degradation due to negative pool migration. Assurance for True Lender Status for Partner Bank-Loan Origination: Oportun's securitization transactions involve consumer loans originated by Oportun, LLC, Oportun, Inc., and its partner bank, Pathward, N.A. (Pathward), a national bank. The bank's true lender status in the context of Oportun's loan acquisition is subject to legal and regulatory uncertainty, especially if the loans' interest rates exceed those allowed by the borrowers' state usury laws. If a court ruling or regulatory action deems that Oportun, rather than Pathward, is the true lender, loans could be declared unenforceable, void or subject to interest rate reductions and other penalties. This would increase negative rating pressure. Fitch's analysis and expected ratings reflect a review of the transaction's eligibility criteria for selecting the receivables for OPTN 2025-B, which reduces exposure to such loans by adherence to certain usury limits. Fitch also performed an operational risk review and deemed Oportun's compliance, legal and operational capabilities acceptable to meet consumer protection regulations, along with the unique aspects of its loan products, such as an overall small balance and short tenor, which Fitch views as helpful. Adequate Servicing Capabilities: PF Servicing, LLC, a wholly owned subsidiary of Oportun, is the servicer of the receivables. The servicer has displayed an acceptable track record of servicing consumer loans. In addition, Systems & Services Technologies, Inc. is the named backup servicer, which has also shown an acceptable record of servicing consumer loans, reducing servicing disruption. Fitch considers all servicers to be adequate for this pool of consumer loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or charge-offs could produce loss levels higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case default assumption an additional 10%, 25%, and 50% and examining rating implications. These increases of the base-case default rate are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flow and loss coverage levels over the life of the investments under higher than the initial base-case default assumptions. Fitch models cash flow with the revised default estimates while holding constant all other modeling assumptions. Rating sensitivity to increased defaults (class A/class B/class C/class D/class E): Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'. Increased default base case by 10%: 'AA+sf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'; Increased default base case by 25%: 'AA-sf'/'A-sf'/'BBB-sf'/'B+sf'/'B-sf'; Increased default base case by 50%: 'Asf'/'BBBsf'/'BBsf'/'B-sf'/'NRsf'; Reduced recovery base case by 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBsf'/'BB-sf'; Reduced recovery base case by 25%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBsf'/'BB-sf'; Reduced recovery base case by 50%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBsf'/'BB-sf'; Increased default base case by 10% and reduced recovery base case by 10%: 'AA+sf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'; Increased default base case by 25% and reduced recovery base case by 25%: 'AA-sf'/'A-sf'/'BBBs-f'/'B+sf'/'B-sf'; Increased default base case by 50% and reduced recovery base case by 50%: 'Asf'/'BBBsf'/'BBsf'/'B-sf'/'NRsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by steady delinquencies, would increase CE levels and lead to a potential upgrade. If defaults are 20% lower than the projected base-case default rate, the expected ratings for the class B and C notes could be upgraded by up to one or two notches, respectively. Rating sensitivity from decreased defaults (class A/class B/class C/class D/class E): Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'. Decreased default base case by 20%: 'AAAsf'/'AA+sf'/'Asf'/'BBB-sf'/'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and recalculation of certain characteristics with respect to 150 randomly selected statistical receivables. 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. OZLM FUNDING II: S&P Affirms BB- (sf) Rating on Class D-R2 Notes ---------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2-R3, A-2-R3F, B-R3, and C-R2 debt from OZLM Funding II Ltd., a broadly syndicated U.S. CLO managed by Sculptor Loan Management L.P. S&P also removed its ratings on the class A-2-R3, A-2-R3F, and B-R3 debt from CreditWatch, where S&P had placed them with positive implications in March 14, 2025. At the same time, S&P affirmed its ratings on the class A-1a-R2, A-1a-FR, A-1b-R2, and D-R2 debt from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the April 2025 trustee report. The transaction has made $195.63 million in paydowns to the class A-1a-R2 and A-1a-FR debt, collectively, since S&P's February 2024 rating actions in connection with refinancing. These paydowns lowered the outstanding balances of the senior notes and in turn increased all of the reported overcollateralization (O/C) ratios except that of class D, which showed a slight decline mainly driven by the increased haircuts: -- The class A O/C ratio improved to 153.16% from 128.35%. -- The class B O/C ratio improved to 130.58% from 118.63%. -- The class C O/C ratio improved to 114.98% from 110.91%. -- The class D O/C ratio declined to 105.32% from 105.62%. While the O/C ratios improved for most tranches due to amortization, the collateral portfolio's exposure to 'CCC' rated collateral, in terms of percentage, increased to 11.8% from 5.4% since the last rating action. According to the April 2025 trustee report, the exposure in dollar terms increased to $37.11 million from $29.85 million reported in January 2024, which was used in our previous review. The increased exposure to the 'CCC' rated collateral resulted in an increase in O/C numerator haircuts, which in turn slightly reduced the class D O/C ratio despite senior note paydowns. The upgraded ratings on the class A-2-R3, A-2-R3F, B-R3, and C-R2 debt reflect the improved credit support available to the notes at the prior rating levels. The affirmed ratings reflect adequate credit support at the current rating levels, though any deterioration in the credit support available to the notes could result in a rating revision. S&P said, "Though our cash flow analysis indicated a higher rating for the class C-R2 debt, our rating actions reflect the results of our additional sensitivity runs, which consider the portfolio's increased exposure to lower-quality assets and distressed prices. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, as well as 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 the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch OZLM Funding II Ltd. Class A-2-R3 to 'AAA (sf)' from 'AA (sf)/Watch pos' Class A-2-R3F to 'AAA (sf)' from 'AA (sf)/Watch pos' Class B-R3 to 'AA+ (sf)' from 'A (sf)/Watch pos' Ratings Raised OZLM Funding II Ltd Class C-R2 to 'BBB (sf)' from 'BBB- (sf)' Ratings Affirmed OZLM Funding II Ltd. Class A-1a-R2: AAA (sf) Class A-1a-FR: AAA (sf) Class A-1b-R2: AAA (sf) Class D-R2: BB- (sf) PALMER SQUARE 2023-2: S&P Assigns BB- (sf) Rating on E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt from Palmer Square CLO 2023-2 Ltd./Palmer Square CLO 2023-2 LLC, a CLO managed by Palmer Square Capital Management LLC that was originally issued in June 2023. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B, C, D, and E debt following payment in full on the May 22, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt was issued at a lower spread over three-month SOFR than the original debt. -- The non-call period was extended to July 2027. -- The reinvestment period was extended to July 2030. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended to July 2038. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Palmer Square CLO 2023-2 Ltd./Palmer Square CLO 2023-2 LLC Class A-1-R, $240.00 million: AAA (sf) Class A-2-R, $10.00 million: AAA (sf) Class B-R, $54.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-R (deferrable), $24.00 million: BBB- (sf) Class E-R (deferrable), $14.00 million: BB- (sf) Ratings Withdrawn Palmer Square CLO 2023-2 Ltd./Palmer Square CLO 2023-2 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Palmer Square CLO 2023-2 Ltd./Palmer Square CLO 2023-2 LLC Subordinated notes, $35.635 million: NR NR--Not rated. PENNANTPARK CLO VI: S&P Assigns BB- (sf) Rating on Class C-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R loans and class A-R, B-R, and C-R notes from PennantPark CLO VI LLC, a CLO managed by PennantPark Senior Secured Loan Fund I LLC that was originally issued in April 2023. At the same time, S&P withdrew its ratings on the original class A loans and class A, B-1, B-2, C, and D notes following payment in full on the May 22, 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 class A-R loans and class A-R, B-R, and C-R notes were issued at a lower spread over three-month term SOFR than the original debt. -- The stated maturity and reinvestment period date were extended by two years. -- The non-call period was extended by approximately two years. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned PennantPark CLO VI LLC Class A-R loans(i), $228.00 million: A- (sf) Class A-R, $0.00: A- (sf) Class B-R (deferrable), $18.00 million: BBB- (sf) Class C-R (deferrable), $18.00 million: BB- (sf) Ratings Withdrawn PennantPark CLO VI LLC Class A to NR from 'AAA (sf)' Class A loans to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Other Debt PennantPark CLO VI LLC Subordinated notes, $51.80 million: NR (i)All or a portion of the class A-R loans can be converted into class A-R notes. Upon such conversion, the class A-R loans will decrease by the converted amount and the class A-R notes will increase by a corresponding amount. No class of notes may be converted into class A-R loans. NR--Not rated. PFP 2025-12: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to PFP 2025-12, Ltd and PEP 2025-12, LLC as follows: - $597,802,000a class A 'AAAsf'; Outlook Stable; - $140,354,000a class A-S 'AAAsf'; Outlook Stable; - $71,476,000a class B 'AA-sf'; Outlook Stable; - $53,283,000a class C 'A-sf'; Outlook Stable; - $31,189,000a class D 'BBBsf'; Outlook Stable; - $15,595,000a class E 'BBB-sf'; Outlook Stable; - $29,890,000 class F 'BB-sf'; Outlook Stable; - $20,793,000 class G 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $79,274,823b preferred shares. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, estimated to be 12.500% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,039,656,823 and does not include future funding. The expected ratings are based on information provided by the issuer as of May 19, 2025. Transaction Summary The notes are collateralized by 28 loans secured by 39 commercial properties having an aggregate principal balance of $939,656,823 as of the cut-off date. The pool includes five delayed-close loans totaling $131.3 million, which are expected to close within 30 days. The pool also includes ramp-up collateral interest of approximately $100.0 million. The pool does not include $84.1 million of future funding. The loans and interest securing the notes will be owned by PFP 2025 12, Ltd, as the issuer of the notes. The servicer and special servicer are expected to be Trimont, LLC. The trustee is expected to be Wilmington Trust, National Association, and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 14 loans in the pool (61.9% by balance). Fitch's resulting aggregate net cash flow (NCF) of $51.3 million represents a 9.5% decline from the issuer's aggregate underwritten NCF of $56.7 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 than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value (LTV) ratio of 128.5% 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 7.1% 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 other Fitch-rated CRE CLO transaction. The top 10 loans make up 55.1% 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 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 22.7. 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 is comprised of 93.6% interest-only (IO) loans, based on initial loan terms. This is higher than both the 2025 YTD and 2024 CRE CLO averages of 90.9% and 56.8%, respectively. As a result, the pool is not expected to paydown by the initial 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 - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BB-sf' /'B-sf'/'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BB+sf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS 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 Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on its analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. PRPM 2025-NQM2: DBRS Finalizes BB(low) Rating on Class B1 Certs --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Pass-Through Certificates, Series 2025-NQM2 (the Certificates) issued by PRPM 2025-NQM2 Trust as follows: -- $271.1 million Class A-1 at AAA (sf) -- $26.3 million Class A-2 at AA (high) (sf) -- $27.1 million Class A-3 at A (high) (sf) -- $26.3 million Class M-1A at BBB (high) (sf) -- $15.0 million Class M-1B at BBB (low) (sf) -- $9.5 million Class B-1 at BB (low) (sf) The AAA (sf) credit rating on the Class A-1 Certificates reflects 31.35% of credit enhancement provided by the subordinated certificates. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BBB (low) (sf), and BB (low) (sf) credit ratings reflect 24.70%, 17.85%, 11.20%, 7.40%, and 5.00% 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 fixed- and adjustable-rate expanded prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 886 mortgage loans with a total principal balance of $394,953,992 as of the Cut-Off Date (March 31, 2025). PRPM 2025-NQM2 Trust represents the 10th securitization issued from the PRPM NQM shelf, which is backed by both non-qualified mortgages (non-QM) and business purpose investment property loans underwritten using debt service coverage ratios (DSCR). PRP-LB VI AIV, LLC, a fund owned by the aggregator, Balbec Capital LP & PRP Advisors, LLC (PRP), serves as the Sponsor of this transaction. OCMBC, Inc. doing business as (dba) LoanStream Mortgage (LoanStream; 16.2%) is the largest originator of the mortgage loans, 83.8% of the loans were originated by other various originators, each of which originated less than 10% of the loans. Fay Servicing, LLC (53.3%); NewRez LLC dba Shellpoint Mortgage Servicing (42.2%); and SN Servicing Corporation (4.5%) are the Servicers of the loans in this transaction. PRP will act as Servicing Administrator. U.S. Bank Trust Company, National Association (rated AA with a Stable trend) will act as Trustee, Securities Administrator, and Certificate Registrar. U.S. Bank National Association and Computershare Trust Company, N.A. will act as Custodians. For 37.3% of the pool, the mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and DSCR, where applicable. Approximately 5.2% of the pool are investment property loans underwritten using debt-to-income ratios. Because these loans were made to borrowers for business purposes, they are exempt from the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules and TILA/RESPA Integrated Disclosure rule. For 40.8% of the pool, the mortgage loans were originated to satisfy the CFPB's ATR rules but were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the QM/ATR rules, these loans are designated as non-QM. Remaining loans subject to the ATR rules are designated as QM Safe Harbor (6.3%), and QM Rebuttable Presumption (0.9%) by unpaid principal balance (UPB). The Sponsor or the Depositor, a majority-owned affiliate of the Sponsor, will retain the requisite portion of the Class B-3 and the Class XS Certificates, representing an eligible horizontal interest of at least 5% of the aggregate fair value of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the earlier of (1) the distribution date in May 2028 or (2) the date when the aggregate UPB of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor, at its option, may redeem all of the outstanding Certificates at a price equal to the class balances of the related Certificates plus accrued and unpaid interest, including any Cap Carryover Amounts, any deferred amounts, and other fees, expenses, indemnification and reimbursement amounts described in the transaction documents (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 60 or more days delinquent under the Mortgage Bankers Association method at the Repurchase Price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. For this transaction, the Servicers will not fund advances of delinquent principal and interest on any mortgage. However, the Servicers are obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior classes (Classes A-1, A-2, and A-3) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). Prior to a Trigger Event, principal proceeds can be used to cover interest shortfalls on Classes A-1, A-2, and A-3 before being applied sequentially to amortize the balances of the senior and subordinate Notes. After a Trigger Event, principal proceeds will be allocated to cover interest shortfalls on the Class A-1 and then in reduction of the Class A-1 class balance, before a similar allocation of funds to the Class A-2 and more subordinate certificates (IPIP). Monthly Excess Cash Flow can be used to cover realized losses before being allocated to unpaid Cap Carryover Amounts due to Classes A-1, A-2, A-3, M-1A, M-1B, B-1, B-2, and B-3 (if applicable). For this transaction, the Class A-1, A-2, and A-3 fixed rates step up by 100 basis points on and after the payment date in June 2029. On or after June 2029, interest and principal otherwise payable to the Class B-3 may also be used to pay any Class A Cap Carryover Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. RAD CLO 19: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RAD CLO 19, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Rad CLO 19, Ltd. A-1-R LT NRsf New Rating A-2 750104AC5 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 750104AE1 LT PIFsf Paid In Full AAsf B-1-R LT AAsf New Rating B-2-R LT AAsf New Rating C 750104AG6 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 750104AJ0 LT PIFsf Paid In Full BBB-sf D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E 750101AA5 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary RAD CLO 19, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC and originally closed in May 2023. This is the first refinancing which will finance the existing secured notes in whole on May 20, 2025. 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 leverage loans. The existing Fitch rated Class A-2, B, C, D and E notes will be marked 'PIF' on the refinancing date. 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 24.1 versus a maximum covenant, in accordance with the initial expected matrix point of 27.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.08% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.86% versus a minimum covenant, in accordance with the initial expected matrix point of 75.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BBsf' and 'A+sf' for class B-1-R/B-2-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-1-R/B-2-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A+sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 RAD CLO 19, 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. RCKT MORTGAGE 2025-CES5: Fitch Assigns 'Bsf' Rating on Six Tranches ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES5 (RCKT 2025-CES5). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2025-CES5 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAsf New Rating AA(EXP)sf A-5 LT Asf New Rating A(EXP)sf A-6 LT BBBsf New Rating BBB(EXP)sf B-1A LT BBsf New Rating BB(EXP)sf B-X-1A LT BBsf New Rating BB(EXP)sf B-1B LT BBsf New Rating BB(EXP)sf B-X-1B LT BBsf New Rating BB(EXP)sf B-2A LT Bsf New Rating B(EXP)sf B-X-2A LT Bsf New Rating B(EXP)sf B-2B LT Bsf New Rating B(EXP)sf B-X-2B LT Bsf New Rating B(EXP)sf A-1AR LT AAAsf New Rating AAA(EXP)sf A-1BR LT AAAsf New Rating AAA(EXP)sf A-2R LT AAsf New Rating AA(EXP)sf A-3R LT Asf New Rating A(EXP)sf M-1R LT BBBsf New Rating BBB(EXP)sf B-1R LT BBsf New Rating BB(EXP)sf B-2R LT Bsf New Rating B(EXP)sf B-3R LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf Transaction Summary The notes are supported by 5,462 closed-end second-lien (CES) loans with a total balance of approximately $503 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. Fitch has withdrawn the expected rating of 'AAA(sf)' for the previous class A-1L notes as the loan was not funded at close and is no longer being offered. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): As a result of its updated view on sustainable home prices, Fitch views the home price values of this pool as 11.1% 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 5,462 loans totaling approximately $503 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 90.3% of loans were originated through a retail channel. Additionally, 67.0% of loans are designated as safe-harbor qualified mortgages (SHQMs) and 12.5% 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 17bps 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. REGATTA FUNDING 33: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Regatta Funding 33 Ltd. Entity/Debt Rating ----------- ------ Regatta 33 Funding Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB+(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Regatta Funding 33 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Napier Park Global Capital (US) LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.55, 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 97.43% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.54% versus a minimum covenant, in accordance with the initial expected matrix point of 71.7%. Portfolio Composition (Positive): The largest three industries may comprise up to 41% 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 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, and 'Asf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 Regatta 33 Funding 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. ROCKFORD TOWER 2022-2: Moody's Cuts $1MM F-R Notes Rating to Caa1 ----------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Rockford Tower CLO 2022-2, Ltd.: US$1M Class F-R Junior Secured Deferrable Floating Rate Notes, Downgraded to Caa1 (sf); previously on Oct 20, 2023 Assigned B3 (sf) Moody's have also affirmed the ratings on the following notes: US$240M Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Oct 20, 2023 Assigned Aaa (sf) US$16M Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Oct 20, 2023 Assigned Aaa (sf) Rockford Tower CLO 2022-2, Ltd., issued in July 2022 and refinanced in October 2023, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by Rockford Tower Capital Management, L.L.C. The transaction's reinvestment period will in October 2027. RATINGS RATIONALE The downgrade rating action on the Class F-R notes reflects the specific risks to the junior notes posed by par loss and deterioration of the key credit metrics of the underlying pool over the last 12 months. The over-collateralisation ratios (OC) of the rated notes have deteriorated over the last 12 months. According to the trustee report dated April 2025 [1], the Class A/B OC ratio is reported at 128.88% compared to April 2024 [2] level of 130.02%. While the transaction doesn't have an explicit Class F OC ratio, its implicit level has also decreased following the loss of par. In addition, the reported portfolio WAS, WAC and WARR have deteriorated from 3.68%, 7.24% and 47.20%, respectively, in April 2024 [2] to 3.30%, 4.09% and 46.10%, respectively, in April 2025 [1]. The affirmations on the ratings on the Class A-1-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 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 its 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: USD388.6m Defaulted Securities: USD8.0 million Diversity Score: 83 Weighted Average Rating Factor (WARF): 2754 Weighted Average Life (WAL): 5.97 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.32% Weighted Average Recovery Rate (WARR): 46.02% Par haircut in OC tests and interest diversion test: 0% 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 its 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: -- Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which could lengthen as a result of the manager's decision to reinvest in new issue loans or other loans with longer maturities, or participate in amend-to-extend offerings. The effect on the ratings of extending the portfolio's weighted average life can be positive or negative depending on the notes' seniority. -- 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. 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 other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. SEQUOIA MORTGAGE 2025-S1: Fitch Assigns 'BB' Rating on Cl. B5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2025-S1 (SEMT 2025-S1). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2025-S1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf B1X LT AAsf New Rating AA(EXP)sf B2 LT A+sf New Rating A+(EXP)sf B2A LT A+sf New Rating A+(EXP)sf B2X LT A+sf New Rating A+(EXP)sf B3 LT A-sf New Rating A-(EXP)sf B4 LT BBB-sf New Rating BBB-(EXP)sf B5 LT BBsf New Rating BB(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 781 loans with a total balance of approximately $453.5 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 and various other originators. Distributions of principal and interest (P&I) and loss allocations are based on a shifting-interest structure. Following Fitch's publication of its presale and expected ratings, an updated collateral pool was provided which included updated balances and three loan drops from the prior pool. Fitch re-ran its asset analysis and the proposed levels did not change. Additionally, Fitch received an updated structure based off the new deal balance and confirmed there were no changes to its expected ratings. 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 781 loans totaling approximately $453.5 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 41.4% 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 31.5% debt-to-income ratio (DTI). Fitch considered this transaction in line with its seasoned performing (SPL) scope due to the seasoning of the transaction in combination with the strong credit quality and relatively clean performance of the borrowers. Low Leverage (Positive): The borrowers exhibit sizable equity in the properties, with an original combined loan-to-value ratio (cLTV) of 78.0% and mark-to-market cLTV of 59.6%, which after applicable haircuts, based on the valuation product, translates to a 65.7% sustainable LTV 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 (58.7%), Minneapolis-St. Paul (18.0%) and St. Louis (6.3%) 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 levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 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 levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. CRITERIA VARIATION The variation relates to the application of lower 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% LS 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. 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. 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. SLC STUDENT 2004-1: S&P Lowers Class B Notes Rating to 'CCC (sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on SLC Student Loan Trust 2004-1's class A-7 and class B notes to 'CCC (sf)' from 'B (sf)'. SLC Student Loan Trust 2004-1 is a student loan ABS transaction backed by a pool of student loans originated through the U.S. Department of Education's (ED) Federal Family Education Loan Program (FFELP). S&P said, "In determining the ratings, we considered our criteria for assigning 'CCC' and 'CC' ratings, which specifies that a 'CCC' rating is appropriate for an obligation that is dependent upon favorable conditions for repayment and for which the obligor is unlikely to meet its financial commitment on the obligation. "Our review considered the transaction's collateral performance and liquidity position, credit enhancement, and capital and payment structures. We also considered secondary credit factors, such as credit stability, peer comparisons, issuer-specific analyses, and the current macroeconomic environment." Rating Action Rationale As of the May 2025 distribution date, the class A-7 notes had a balance of $103.48 million and 10 remaining quarterly payment periods. The average monthly principal paydown over the past year was $2.16 million. The current pace of collateral amortization is not adequate to repay the class A-7 notes by their legal final maturity date on Nov. 15, 2027. The transaction has an optional call feature in which the collateral could be purchased at an amount that would allow for the redemption of the bonds in full (the "clean-up call"). S&P believes the current macroeconomic and regulatory environment makes it less likely that the collateral call option will be exercised, and thus less likely that the class A-7 notes will be repaid by their legal final maturity date. The failure to pay the class A notes by their legal final maturity date will constitute an event of default (EOD) under the transaction documents, which would allow the noteholders and/or the trustee to take actions that could negatively affect the repayment of the class B notes by their legal final maturity date. Therefore, the likelihood of the class B notes' repayment is related to the repayment of the class A-7 notes and the occurrence of an EOD. Payment Structure The transaction utilizes a payment mechanism that defines a principal distribution amount as the change in the adjusted pool balance from the previous quarter to the current quarter. This principal distribution amount is allocated sequentially to the class A-7 notes and then to the class B notes. The transaction no longer permits releases because it has reached the clean-up call date. As such, remaining amounts are allocated sequentially to the senior class until it is repaid, and then they are paid to the subordinate class. After an EOD, the trustee and/or noteholders have several possible courses of action, which may affect the amount and timing of payments that are expected to be received by the class B notes due to their subordinate position. For example, the parties may allocate payments per the pre-EOD waterfall, or they could vote to accelerate, in which case, payments could be allocated per the post-EOD waterfall. Additionally, the parties could decide to sell the trust estate. As such, our rating on the class B notes is no higher than the lowest-rated senior note to reflect the uncertainty that the class B notes may not be repaid if an EOD occurs on the class A-7 notes. Credit enhancement includes overcollateralization (parity), subordination (for class A-7), the reserve account, and excess spread. Given the payment structure, parity levels are expected to increase. The reserve account may be used to make payment on a note's legal final maturity date. The reserve account, measured as the greater of 0.25% of the pool balance and a non-amortizing fixed amount, grows as the notes amortize. Liquidity S&P said, "Our liquidity analysis calculates a principal payment haircut that takes into consideration a class's maturity date relative to its average note principal payments. The higher the principal payment haircut, the greater likelihood the note will be repaid by its legal final maturity date. The current principal payment haircut for the class A-7 notes is negative, indicating that the class needs a sustained increase in bond principal repayments in order to be repaid by its legal final maturity date. "We will continue to monitor the macroeconomic environment and the transaction's performance (including the student loan receivables), available credit enhancement, and liquidity, and take further rating actions as we deem appropriate." SLM STUDENT 2010-1: Fitch Lowers Rating on Two Tranches to 'Dsf' ---------------------------------------------------------------- Fitch Ratings has downgraded the SLM Student Loan Trust (SLM) 2010-1 class A and B notes to 'Dsf' from 'Csf'. The downgrade reflects that the class A notes failed to pay outstanding principal on the legal final maturity date of March 25, 2025. The missed payment on the class A notes constituted an event of default, which subsequently trigged an event of default for the class B notes under the terms of the trust indenture. Fitch will continue to monitor any remedial actions taken by noteholders or transaction parties in response to these events of default. Additional rating actions may be warranted based on developments. Entity/Debt Rating Prior ----------- ------ ----- SLM Student Loan Trust 2010-1 A 78445XAA4 LT Dsf Downgrade Csf B 78445XAB2 LT Dsf Downgrade Csf Automatic Withdrawal of the Last Default Rating Default ratings ('Dsf') assigned to the last rated class of a transaction will be automatically withdrawn within 11 months from the date of this rating action. A separate RAC will not be issued at that time. KEY RATING DRIVERS Effects of Event of Default: The SLM 2010-1 class A notes failed to fully repay at their final maturity date on March 25, 2025. As a result of this default, interest payments for the class B notes are being diverted toward the repayment of the senior notes until their complete amortization. Under the transaction documents, this constitutes an event of default for the class B notes. Both classes will continue to be rated 'Dsf' so long as the event of default persists. According to the trust indenture, the event of default may result in acceleration of the notes or the sale of the trust estate, which can be declared by the indenture trustee or a majority of noteholders. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Due to the occurrence of the event of default, all notes will remain at 'Dsf' so long as the event of default is continuing. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade An upgrade would require remediation of the event of default. 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. TOWD POINT 2025-CES1: Fitch Assigns 'B-sf' Final Rating on B1 Debt ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Towd Point Mortgage Trust 2025-CES1 (TPMT 2025-CES1). Entity/Debt Rating Prior ----------- ------ ----- TPMT 2025-CES1 A1 89183HAA2 LT AAAsf New Rating AAA(EXP)sf A2 89183HAB0 LT AA-sf New Rating AA-(EXP)sf M1 89183HAC8 LT A-sf New Rating A-(EXP)sf M2A 89183HAD6 LT BBB-sf New Rating BBB-(EXP)sf M2B 89183HAE4 LT BB-sf New Rating BB-(EXP)sf B1 89183HAF1 LT B-sf New Rating B-(EXP)sf B2 89183HAG9 LT NRsf New Rating NR(EXP)sf B3 89183HAH7 LT NRsf New Rating NR(EXP)sf A2A 89183HAJ3 LT AA-sf New Rating AA-(EXP)sf A2AX 89183HAK0 LT AA-sf New Rating AA-(EXP)sf A2B 89183HAL8 LT AA-sf New Rating AA-(EXP)sf A2BX 89183HAM6 LT AA-sf New Rating AA-(EXP)sf A2C 89183HAN4 LT AA-sf New Rating AA-(EXP)sf A2CX 89183HAP9 LT AA-sf New Rating AA-(EXP)sf A2D 89183HAQ7 LT AA-sf New Rating AA-(EXP)sf A2DX 89183HAR5 LT AA-sf New Rating AA-(EXP)sf M1A 89183HAS3 LT A-sf New Rating A-(EXP)sf M1AX 89183HAT1 LT A-sf New Rating A-(EXP)sf M1B 89183HAU8 LT A-sf New Rating A-(EXP)sf M1BX 89183HAV6 LT A-sf New Rating A-(EXP)sf M1C 89183HAW4 LT A-sf New Rating A-(EXP)sf M1CX 89183HAX2 LT A-sf New Rating A-(EXP)sf M1D 89183HAY0 LT A-sf New Rating A-(EXP)sf M1DX 89183HAZ7 LT A-sf New Rating A-(EXP)sf M2AA 89183HBA1 LT BBB-sf New Rating BBB-(EXP)sf M2AAX 89183HBB9 LT BBB-sf New Rating BBB-(EXP)sf M2AB 89183HBC7 LT BBB-sf New Rating BBB-(EXP)sf M2ABX 89183HBD5 LT BBB-sf New Rating BBB-(EXP)sf M2AC 89183HBE3 LT BBB-sf New Rating BBB-(EXP)sf M2ACX 89183HBF0 LT BBB-sf New Rating BBB-(EXP)sf M2AD 89183HBG8 LT BBB-sf New Rating BBB-(EXP)sf M2ADX 89183HBH6 LT BBB-sf New Rating BBB-(EXP)sf M2BA 89183HBJ2 LT BB-sf New Rating BB-(EXP)sf M2BAX 89183HBK9 LT BB-sf New Rating BB-(EXP)sf M2BB 89183HBL7 LT BB-sf New Rating BB-(EXP)sf M2BBX 89183HBM5 LT BB-sf New Rating BB-(EXP)sf M2BC 89183HBN3 LT BB-sf New Rating BB-(EXP)sf M2BCX 89183HBP8 LT BB-sf New Rating BB-(EXP)sf M2BD 89183HBQ6 LT BB-sf New Rating BB-(EXP)sf M2BDX 89183HBR4 LT BB-sf New Rating BB-(EXP)sf AX 89183HBS2 LT NRsf New Rating NR(EXP)sf XS1 89183HBT0 LT NRsf New Rating NR(EXP)sf XS2 89183HBU7 LT NRsf New Rating NR(EXP)sf X 89183HBV5 LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 5,100 seasoned and newly originated, closed-end second lien (CES loans with a total balance of $429 million as of the cutoff date). Spring EQ, LLC, Rocket Mortgage and Nationstar originated approximately 65%, 17% and 18% of the loans, respectively. Shellpoint Mortgage Servicing (SMS), Rocket Mortgage and Nationstar will service the loans. Shellpoint and Nationstar will advance delinquent (DQ) monthly payments of P&I for up to 60 days (under the Office of Thrift Supervision [OTS] methodology) or until deemed nonrecoverable. Fitch did not acknowledge the advancing in its analysis given its projected loss severities on the second lien collateral. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. Excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. In addition, the structure includes a senior IO class (class AX), which represents a senior interest strip of 1.50%, with such interest strip entitlement being senior to the net interest amounts paid to the P&I certificates. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to an updated view on sustainable home prices, Fitch views the home price values of this pool as 10.4% above a long-term sustainable level (versus 11% on a national level as of 4Q24). Affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices had increased by 2.9% yoy nationally as of February 2025, notwithstanding modest regional declines, but are still being supported by limited inventory. Closed Second Liens (Negative): The entire collateral pool comprises newly originated or recently seasoned second lien mortgages. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans; after controlling for credit attributes, no additional penalty was applied. Strong Credit Quality (Positive): The pool primarily consists of new-origination and recently seasoned second lien mortgages, seasoned at approximately 13 months (as calculated by Fitch), with a relatively strong credit profile. This includes a weighted average (WA) model credit score of 734, a 39% debt-to-income ratio (DTI) and a moderate sustainable loan-to-value ratio (sLTV) of 79%. All of the loans were treated as full documentation in Fitch's analysis. Approximately 48.1% of the loans were originated through a reviewed retail channel. Sequential-Pay Structure with Realized Loss and Writedown Feature (Mixed): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the most senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' and 'AA-sf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those notes in the absence of servicer advancing. Regarding any loan that becomes DQ for 150 days or more under the OTS methodology, the related servicer will review, and may charge off, such loan with the approval of the asset manager, based on an equity analysis review performed by the servicer, causing the most subordinated class to be written down. Fitch views the writedown feature positively, despite the 100% LS assumed for each defaulted second lien loan, as cash flows will not be needed to pay timely interest to the 'AAAsf' and 'AA-sf' rated notes during loan resolution by the servicers. In addition, subsequent recoveries realized after the writedown at 150 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. The structure does not allocate excess cashflow to turbo down the bonds but includes a step-up coupon feature whereby the fixed interest rate for classes A1, A2 and M1 will increase by 100 bps, subject to the lesser of the respective step-up rate, the adjusted net WAC, and the AFC, after four years. Additionally, the structure includes a senior IO class certificate (class AX), which represents a senior interest strip of 1.50% per annum based off the related mortgage rate of each mortgage loan, with such interest strip entitlement being senior to the net interest amounts paid to the notes and paid at the top of the waterfall. Notably, the inclusion of this senior IO class reduces the collateral WAC and effectively diminishes the excess spread. Given that it is a strip-off of the entire interest-bearing collateral balance and accrual amounts will be reduced by any losses on the collateral pool, class AX cannot be rated by Fitch. Overall, in contrast to other second lien transactions, this transaction has less excess spread available, and its application offers diminished support to the rated classes, requiring a higher level of credit enhancement (CE). Limited Advancing Construct (Neutral): The servicers will be advancing delinquent P&I on the closed end collateral for a period up to 60 days delinquent under the OTS method as long as such amounts are deemed recoverable. Given Fitch's projected loss severity assumption on second lien collateral, Fitch assumed no advancing in its analysis. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis shows how ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 41.8%, at 'AAAsf'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with model projections. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes, excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC (AMC) and Consolidated Analytics. A third-party due diligence review was completed on 83.1% of the loans. The scope, as described in Form 15E, focused on credit, regulatory compliance and property valuation reviews, consistent with Fitch criteria for new originations. The results of the reviews indicated low operational risk with only 23 loans receiving a final grade of C/D. Fitch applied a credit for the high percentage of loan-level due diligence, which reduced the 'AAAsf' loss expectation by 68bps. 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. TRINITAS CLO XXXIV: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Trinitas CLO XXXIV Ltd./Trinitas CLO XXXIV LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Trinitas Capital 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 Trinitas CLO XXXIV Ltd./Trinitas CLO XXXIV LLC Class A-L loans, $142.00 million: AAA (sf) Class A, $106.00 million: AAA (sf) Class B, $56.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $22.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $37.60 million: Not rated VENTURE CLO 33: Moody's Cuts Rating on $9MM Class F Notes to Caa3 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Venture 33 CLO, Limited: US$37,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes), Upgraded to Aa2 (sf); previously on June 6, 2023 Upgraded to Aa3 (sf) Moody's have also downgraded the ratings on the following notes: US$28,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on September 30, 2020 Confirmed at Ba3 (sf) US$9,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes") (current balance $9,437,115.28), Downgraded to Caa3 (sf); previously on September 30, 2020 Downgraded to Caa1 (sf) Venture 33 CLO, Limited, originally issued in August 2018 and partially refinanced in February 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 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since April 2024. The Class A-1LR and Class A-1FR notes have been paid down 57.11% or $186.3 and $17.9 million, respectively, since then. Based on the trustee's April 2025 report[1], the OC ratio for the C-R notes is reported at 120.27%, versus April 2024 level[2] of 117.33%. Moody's notes that the April 2025 trustee-reported OC ratios do not reflect the April 2025 payment distribution, when $59.6 million of principal proceeds were used to pay down the Class A-1LR and Class A-1FR Notes. The downgrade rating actions on the Class E and Class F notes reflect the specific risks to the junior notes posed by credit deterioration observed in the underlying CLO portfolio. Based on the trustee's April 2025 report[3], the weighted average rating factor (WARF) is reported at 3155 versus April 2024 level[4] of 2654. Additionally, Moody's notes that the April 2025 trustee-reported Class E OC ratio, WARF, Diversity and WAL tests are currently failing. No actions were taken on the Class A-1LR, Class A-1FR, Class A-2R, Class B-R, and Class D 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: $348,815,779 Defaulted par: $16,382,008 Diversity Score: 68 Weighted Average Rating Factor (WARF): 3032 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.39% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.31% Weighted Average Life (WAL): 3.3 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. VERUS SECURITIZATION 2025-5: S&P Assigns Prelim B+(sf) on B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2025-5's mortgage-backed notes. The note issuance is an RMBS transaction backed by primarily newly originated first- and second-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to prime and nonprime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, condotels, townhouses, a mixed-use property, and five- to 10-unit multifamily residences. The pool has 1,285 loans that are backed by 1,294 properties and comprise QM/non-HPML (safe harbor), QM rebuttable presumption, non-QM/ATR-compliant, and ATR-exempt loans. Of the 1,285 loans, only one is cross-collateralized and is backed by 10 properties. The preliminary ratings are based on information as of May 29, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners (Invictus); -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P's outlook is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) Verus Securitization Trust 2025-5 Class A-1, $472,520,000: AAA (sf) Class A-2, $32,701,000: AA+ (sf) Class A-3, $53,301,000: A+ (sf) Class M-1, $49,705,000: BBB (sf) Class B-1, $19,620,000: BB (sf) Class B-2, $13,080,000: B+ (sf) Class B-3, $13,081,113: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, not applicable: NR The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. (viii)The excess servicing strip plus excess prepayment interest minus compensating interest. NR--Not rated. VIBRANT CLO XVI: Fitch Assigns BB-sf Final Rating on Cl. D-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Vibrant CLO XVI, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Vibrant CLO XVI, Ltd. A-1A-R LT NRsf New Rating NR(EXP)sf A-1A-L LT NRsf New Rating NR(EXP)sf A-1B-R LT AAAsf New Rating AAA(EXP)sf A-2-R LT AAsf New Rating AA(EXP)sf B-R LT Asf New Rating A(EXP)sf C-1-R LT BBBsf New Rating BBB(EXP)sf C-2-R LT BBB-sf New Rating BBB-(EXP)sf D-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary Vibrant CLO XVI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Vibrant Credit Partners, LLC. The transaction originally closed in 2023. On May 23, 2025, all the existing secured notes will be paid in full. Net proceeds from the issuance of the secured notes, along with the existing subordinated notes, will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.99 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 98.66% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.61% versus a minimum covenant, in accordance with the initial expected matrix point of 69.6%. 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 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 3.1-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 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-1B-R, between 'BB+sf' and 'A+sf' for class A-2-R, between 'B+sf' and 'BBB+sf' for class B-R, between less than 'B-sf' and 'BB+sf' for class C-1-R, between less than 'B-sf' and 'BB+sf' for class C-2-R, and between less than 'B-sf' and 'B+sf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1B-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 A-2-R, 'AAsf' for class B-R, 'A+sf' for class C-1-R, 'A-sf' for class C-2-R, and 'BBB+sf' for class D-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 Most of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee 16 May 2025 ESG Considerations Fitch does not provide ESG relevance scores for Vibrant CLO XVI, 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. WESTGATE RESORTS 2022-1: DBRS Confirms BB(high) Rating on D Notes ----------------------------------------------------------------- DBRS, Inc. confirmed twelve credit ratings on three Westgate Resorts LLC transactions. Westgate Resorts 2022-1 LLC -- Timeshare Collateralized Notes, Series 2022-1, Class A AAA (sf) Confirmed -- Timeshare Collateralized Notes, Series 2022-1, Class B A (high)(sf) Confirmed -- Timeshare Collateralized Notes, Series 2022-1, Class C BBB (high)(sf) Confirmed -- Timeshare Collateralized Notes, Series 2022-1, Class D BB (high)(sf) Confirmed Westgate Resorts 2023-1 LLC -- Class A Notes AAA (sf) Confirmed -- Class B Notes A (low) (sf) Confirmed -- Class C Notes BBB (low) (sf) Confirmed -- Class D Notes BB (low) (sf) Confirmed Westgate Resorts 2024-1 LLC -- Timeshare Collateralized Notes, Series 2024-1, Class A AAA (sf) Confirmed -- Timeshare Collateralized Notes, Series 2024-1, Class B A (low) (sf) Confirmed -- Timeshare Collateralized Notes, Series 2024-1, Class C BBB (low) (sf) Confirmed -- Timeshare Collateralized Notes, Series 2024-1, Class D BB (low) (sf) Confirmed Credit rating rationale includes the key analytical considerations: -- The transaction's capital structure and form and sufficiency of available credit enhancement (CE). -- CE is in the form of overcollateralization, reserve accounts, and excess spread. -- Westgate 2022-1 has amortized to a note factor of 21.59% and has a current cumulative net loss (CNL) to date of 17.00%. Losses have been tracking within the Morningstar DBRS' previously revised base case CNL expectation of 24.00%, available CE, inclusive of excess spread has grown across all tranches, sufficient to support the remaining CNL assumption at a multiple coverage commensurate with the credit ratings. -- Westgate 2023-1 has amortized to a note factor of 60.64% and has a current CNL to date of 12.95%. Current CNL projections are tracking above Morningstar DBRS' initial base-case loss expectation of 22.00%. Consequently, the revised base-case loss expectation was increased to 24.00%. However, CE, inclusive of excess spread has grown across all tranches, sufficient to support the remaining CNL assumption at a multiple coverage commensurate with the credit ratings. -- Westgate 2024-1 has amortized to a note factor of 78.70% and has a current CNL to date of 3.77%. Losses have been tracking within the Morningstar DBRS' base case CNL expectation of 19.95%, available CE, inclusive of excess spread has grown across all tranches, sufficient to support the remaining CNL assumption at a multiple coverage commensurate with the credit ratings. -- The transaction parties' capabilities with respect to originating, underwriting, and servicing. -- The Transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, " Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in US dollars unless otherwise noted. WFRBS COMMERCIAL 2014-C22: Moody's Cuts Rating on Cl. C Certs to B1 ------------------------------------------------------------------- Moody's Ratings has downgraded the ratings on three classes in WFRBS Commercial Mortgage Trust 2014-C22, Commercial Mortgage Pass-Through Certificates, Series 2014-C22 as follows: Cl. A-S, Downgraded to A1 (sf); previously on Aug 13, 2024 Affirmed Aa3 (sf) Cl. B, Downgraded to Baa3 (sf); previously on Aug 13, 2024 Downgraded to Baa1 (sf) Cl. C, Downgraded to B1 (sf); previously on Aug 13, 2024 Downgraded to Ba1 (sf) RATINGS RATIONALE The ratings on three P&I classes were downgraded primarily due to the potential for higher losses and increased interest shortfall risk driven primarily by exposure to specially serviced and previously modified loans. Six loans, representing 73% of the pool, are currently in special servicing. The two largest specially serviced loans (58% of the pool) are secured by office buildings that have experienced significant declines in performance since securitization and have recognized appraisal reduction of 25% or more of their outstanding balance as of the April 2025 remittance date. Furthermore, the sole performing loan, the Columbus Square Portfolio (27% of the pool balance), was previously modified after failing to pay off at its original maturity date in August 2024. Additionally, as of April 2025 remittance, all loans have now passed their original maturity dates. Given the higher interest rate environment and loan performance, Moody's do not anticipate significant near-term loan paydowns and the outstanding classes will face increased risk of interest shortfalls and higher potential losses if the outstanding loans remain or become further delinquent. Moody's rating action reflects a base expected loss of 43.1% of the current pooled balance, compared to 20.5% at Moody's last reviews. Moody's base expected loss plus realized losses is now 13.7% of the original pooled balance, compared to 12.4% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 73% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially 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 a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced or troubled loans or interest shortfalls. DEAL PERFORMANCE As of the April 2025 distribution date, the transaction's aggregate certificate balance has decreased by 72.1% to $414.7 million from $1.49 billion at securitization. The certificates are collateralized by seven mortgage loans and all remaining loans have passed their original maturity dates. Six of the remaining loans (73% of the pool) are currently in special servicing, of which five (71% of the pool) have transferred to special servicing since April 2024. Three loans have been liquidated from the pool, resulting in an aggregate realized loss of $25.5 million (for an average loss severity of 58%). As of the April 2025 remittance statement cumulative interest shortfalls were $7.0 million and impact class E. Moody's anticipates interest shortfalls will continue and may increase because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The largest specially serviced loan is the Bank of America Plaza Loan ($150.0 million – 36.2% of the pool), which represents a pari passu portion of a $400 million mortgage loan. The loan is secured by a 55-story, 1.43 million square foot (SF), Class A office tower located in downtown Los Angeles, California. The loan transferred to special servicing in July 2024 ahead of its September 2024 maturity date. The property was 67% leased as of March 2025, compared to 86% in December 2023 and 90% at securitization. Property performance declined in 2024 due to lower rental revenue and higher operating expenses. A January 2024 appraisal valued the property 65% below the securitization value and 47% below the outstanding loan balance and the servicer has recognized an appraisal reduction of 51% of the current loan balance as of the April 2025 remittance date. The loan has a reported in-place NOI DSCR at 2.23X as of December 2024 based on interest only payments and 4.1% interest rate, however, due to declining property performance, the higher interest rate environment and weak Los Angeles office market fundamentals the loan has been unable to refinance. The loan sponsor is Brookfield Office Properties Inc. and the guarantor of certain nonrecourse carveouts is Brookfield DTLA Holdings LLC, which has previously reported defaults and sales on other office properties in Downtown Los Angeles. The loan is cash managed and was last paid through its February 2025 payment date. Servicer commentary indicates that they intend to pursue rights and remedies while evaluating all possible workout strategies. The second largest specially serviced loan is the Stamford Plaza Portfolio Loan ($90.4 million – 21.8% of the pool), which represents a pari passu portion of a $244.0 million senior mortgage loan. The property is also encumbered by $227.2 million of mezzanine financing. The loan is secured by a four-building office complex representing approximately 982,500 SF and located in Stamford, Connecticut. The loan has been in special servicing since August 2024 after failing to pay off at maturity. As of December 2024, the portfolio was 63% occupied, compared to 65% in December 2022, 63% as of December 2021, and 88% at securitization. The portfolio's cash flow has been distressed since 2018 due to lower occupancy and the loan's actual reported NOI DSCR has been below 1.00X since 2018. The portfolio's year-end 2024 NOI has declined over 50% since securitization and the loan is actively under cash management with all property cash flow being controlled by the lender. Servicer commentary indicates a modification proposal is being reviewed while also dual tracking foreclosure. The trust portion of the loan has an appraisal reduction (ARA) as of April 2025, of $22.7 million (25% of its outstanding principal balance) as an updated appraisal value has not yet been reported. As of April 2025 remittance, this loan was last paid through July 2024 and has accrued servicer advances of approximately $4.1 million. Due to the weak office fundamental performance in the CBD of Stamford and the distressed performance of this loan, Moody's anticipates a significant loss on this loan. The third largest specially serviced loan is the Offices at Broadway Station Loan ($47.6 million – 11.5% of the pool), which is secured by a 318,053 SF office property located in Denver, Colorado. The loan transferred to special servicing in April 2024 for imminent maturity default, ahead of its August 2024 maturity date. As of December 2024, the property was 82% occupied compared to 63% in 2022 and 95% at securitization. Servicer commentary indicates that the loan is being dual tracked for foreclosure and potential modification and extension of the loan. The loan is cash managed and was last paid through its March 2025 payment date. The remaining three specially serviced loans (each less than 1.5% of the pool balance) are secured by a mix of property types, of which two loans have experienced significant performance decline since securitization. The sole non-specially serviced loan is the Columbus Square Portfolio Loan ($113.4 million – 27.3% of the pool), which represents a pari passu portion of a $362.7 million mortgage loan. The loan is secured by five mixed-use buildings containing approximately 500,000 SF and located on the Upper West Side in New York City. The property contains 31 condominium units at 775, 795, 805, 808 Columbus Avenue and 801 Amsterdam Avenue, a retail component, which contains approximately 276,000 SF and three parking garages. As of December 2024, the property was 97% occupied, compared to 94% in December 2021, 98% in December 2018 and 96% at securitization. Property performance has been stable since securitization. The loan has a reported in-place NOI DSCR at 1.2X as of December 2024, compared to 1.17X in December 2021, and 1.17X at securitization. The loan transferred to special servicing in November 2023 for imminent maturity default and was returned to the master servicer in June 2024 after receiving a three-year maturity extension with the extended maturity date in August 2027. As of the April 2025 remittance date, the loan has amortized by 9% since securitization and remains current on debt service payments. Moody's LTV and stressed DSCR are 118% and 0.74X, respectively, compared to 120% and 0.73X at the last review. WIND RIVER 2021-4: Moody's Cuts Rating on $8MM Cl. E-3 Notes to B2 ------------------------------------------------------------------ Moody's Ratings has downgraded the ratings on the following notes issued by Wind River 2021-4 CLO Ltd.: US$5,500,000 Class E-1 Junior Secured Deferrable Floating Rate Notes due 2035, Downgraded to Ba2 (sf); previously on December 17, 2021 Assigned Ba1 (sf) US$12,750,000 Class E-2 Junior Secured Deferrable Floating Rate Notes due 2035, Downgraded to Ba3 (sf); previously on December 17, 2021 Assigned Ba2 (sf) US$8,000,000 Class E-3 Junior Secured Deferrable Floating Rate Notes due 2035, Downgraded to B2 (sf); previously on December 17, 2021 Assigned Ba3 (sf) US$10,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2035, Downgraded to Caa2 (sf); previously on December 17, 2021 Assigned B3 (sf) Wind River 2021-4 CLO Ltd., issued in December 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 will end in January 2027. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating actions on the Class E-1, Class E-2, Class E-3 and Class F notes reflect the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's April 2025 report[1], the OC ratio for the Class E notes is reported at 103.73% versus April 2024 level[2] of 105.39%. Also, Moody's calculated OC ratio for the Class F notes is currently 101.52%. Additionally, based on Moody's calculations, the total collateral par balance, including recoveries from defaulted securities, is currently $477.1 million, or $22.9 million less than the $500.0 million initial par amount targeted during the deal's ramp-up. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the level is currently 3.13%[3], compared to 3.68% in April 2024[4]. No actions were taken on the Class A, Class B, Class C and Class D 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: $475,963,758 Defaulted par: $4,685,734 Diversity Score: 79 Weighted Average Rating Factor (WARF): 2648 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.91 % Weighted Average Recovery Rate (WARR): 46.15% Weighted Average Life (WAL): 5.9 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. WIRELESS PROPCO 2025-1: Fitch Gives 'BB-(EXP)sf' Rating on C Debt ----------------------------------------------------------------- Fitch Ratings has issued a presale report for Wireless PropCo Funding LLC, Securities, Series 2025-1. Fitch expects to rate the transaction as follows: - $85.0 million(a) 2025-1 class A-1-V 'A-sf'; Outlook Stable; - $89.5 million 2025-1 class A-2 'A-sf'; Outlook Stable; - $68.1 million 2025-1 class B 'BBB-sf'; Outlook Stable; - $68.1 million 2025-1 class C 'BB-sf'; Outlook Stable. (a) This note is a variable funding note (VFN) and has a maximum commitment of $85.0 million contingent on class A note leverage consistent with an 8.5x leverage ratio. This class will reflect a zero balance at issuance. Transaction Summary Wireless PropCo Funding LLC, Securities, Series 2025-1 is a $310.7 million issuance of notes out of a master trust backed by mortgages, representing 90.0% of the annualized run rate net cash flow (ARRNCF) on the tower sites, and is 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 issuer, direct subsidiaries of which own or lease 977 wireless communication sites. Unlike typical wireless tower transactions, this transaction is predominantly backed by a portfolio of easement interests in rooftops and land beneath towers, comprising 630 sites and 65.2% of ARRNCF. The 371 traditional, macro tower sites contributed to the securitization account for 31.7% of ARRNCF with the remaining sites being attributed to wireless equipment affixed atop steeples, water towers, etc. (3.1% ARRNCF). Transaction cash flow is supported by 1,427 leases primarily delivering telephony/data services (90.0% of annualized run-rate revenue [ARRR]), with a weighted average (WA) final remaining term of 18.4 years. Additionally, 83.6% of annualized run-rate revenue (ARRR) is derived from contracts with tenants that have an investment-grade rating and 69.5% of ARRR is derived from national wireless carriers. KEY RATING DRIVERS Net Cash Flow and Trust Leverage: Fitch's net cash flow (NCF) on the pool is $33.5 million, implying a 1.6% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 12.7x, against the debt/issuer NCF leverage of 12.5x. The inclusion of the cash flow required to draw on the maximum VFN commitment of $85 million results in a Fitch NCF on the pool of $42.6 million, implying a 3.2% haircut to issuer NCF. Credit Risk Factors: The primary factors informing Fitch's cash flow assessment and rating-specific maximum potential leverage (MPL) include: the large and diverse collateral pool; creditworthy customer base with limited historical churn; market position of the operator; capability of the operator; limited operational requirements; high barriers to entry; and transaction structure. Technology-Dependent Credit: 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, limit ratings on the senior classes to 'Asf'. The 30-year term increases the risk that alternative technology will render current technology obsolete before the full repayment of the securities. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of higher site expenses or lease churn, and the development of an alternative technology for the transmission of wireless signal could lead to downgrades. Fitch's NCF was 1.6% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 from 'A-sf' to 'BBBsf'; class B from 'BBB-sf' to 'BBsf'; and class C from 'BB-sf' to 'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing cash flow without an increase in corresponding debt, from 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. Upgrades are further constrained by the VFNs, which will likely offset any improvements in cash flow with a corresponding increase in debt, keeping leverage levels relatively flat. A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 from 'As-f' to 'Asf'; class B from 'BBB-sf' to 'BBBsf'; class C from 'BB-sf' to 'BBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with third-party due diligence information from FTI Consulting, Inc. The third-party due diligence information was provided on Form ABS Due Diligence Form-15E and focused on a comparison of certain characteristics with respect to the portfolio of wireless communication sites and related tenant leases in the data file. Fitch considered this information in its analysis, and the findings did not have an impact on its analysis. Copies of the ABS Due Diligence Forms-15E received by Fitch in connection with this transaction may be obtained through the link contained on the bottom of the related rating action commentary. 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. Z CAPITAL 2018-1: Moody's Cuts Rating on $25MM Cl. E Notes to Caa1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Z Capital Credit Partners CLO 2018-1 Ltd.: US$26,000,000 Class C Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aaa (sf); previously on July 24, 2024 Upgraded to Aa1 (sf) US$28,000,000 Class D Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Upgraded to Baa1 (sf); previously on July 24, 2024 Upgraded to Baa2 (sf) Moody's have also downgraded the rating on the following notes: US$25,000,000 Class E Secured Deferrable Floating Rate Notes due 2031 (current outstanding balance of $26,262,320.81) (the "Class E Notes"), Downgraded to Caa1 (sf); previously on January 7, 2019 Assigned Ba3 (sf) Z Capital Credit Partners CLO 2018-1 Ltd., issued in January 2019 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 transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the notes' over-collateralization (OC) ratios since July 2024. The Class A-1 and A-2 notes have been paid down by approximately 75.8% or $51.5 million since July 2024. Based on Moody's calculations, the OC ratios for the Class C and Class D notes are currently 192.76% and 137.93%, respectively, versus July 2024 levels of 162.77% and 132.38%, respectively. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and spread deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the Class E OC ratio has deteriorated, and has fallen to 108.89% from 112.65% in July 2024. Additionally, the portfolio weighted average spread (WAS) has also been deteriorating and the current level is 3.87%, compared to 4.55% in July 2024. No actions were taken on the Class A-1, Class A-2 and Class B 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: $131,004,321 Defaulted par: $11,330,828 Diversity Score: 34 Weighted Average Rating Factor (WARF): 3939 Weighted Average Spread (WAS): 3.87% Weighted Average Recovery Rate (WARR): 44.80% Weighted Average Life (WAL): 3.17 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. [] DBRS Reviews 199 Classes From 21 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 199 classes from 21 U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed transactions are classified as legacy RMBS. Of the 199 classes reviewed, Morningstar DBRS upgraded its credit ratings on 14 classes and confirmed its credit ratings on 185 classes. The Affected Ratings are available at https://bit.ly/3Fz7Sq6 The Issuers are: Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2 Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8 Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5 Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-3 Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-7 Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-4 Credit Suisse First Boston Mortgage Acceptance Corp. Home Equity Asset Trust 2005-9 Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-5 Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6 Structured Asset Investment Loan Trust, Series 2004-11 J.P. Morgan Mortgage Trust 2005-A4 Soundview Home Loan Trust 2005-3 Long Beach Mortgage Loan Trust 2005-WL1 Argent Securities Inc. Series 2004-W11 Securitized Asset Backed Receivables LLC Trust 2006-OP1 Securitized Asset Backed Receivables LLC Trust 2006-FR1 Securitized Asset Backed Receivables LLC Trust 2006-WM1 Asset Backed Funding Corporation Series 2004-OPT5 Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1 Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC3 Citigroup Mortgage Loan Trust, Inc., Series 2005-WF1 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update" published on March 26, 2025 (https://dbrs.morningstar.com/research/450604).These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in U.S. dollars unless otherwise noted. [] Fitch Affirms BB Ratings on 3 Hotwire Funding Note Series ------------------------------------------------------------ Fitch Ratings has affirmed Hotwire Funding LLC's Secured Fiber Network Revenue Notes, Series 2021-1, 2023-1, and 2024-1. Entity/Debt Rating Prior ----------- ------ ----- Hotwire Secured Fiber Network Revenue Notes, Series 2023-1 2023-1 A-2 44148HAA1 LT Asf Affirmed Asf 2023-1 B 44148HAC7 LT BBBsf Affirmed BBBsf 2023-1 C 44148HAE3 LT BBsf Affirmed BBsf Hotwire Secured Fiber Network Revenue Notes, Series 2024-1 2024-1 A-2 44148JAH2 LT Asf Affirmed Asf 2024-1 B 44148JAK5 LT BBBsf Affirmed BBBsf 2024-1 C 44148JAM1 LT BBsf Affirmed BBsf Hotwire Secured Fiber Network Revenue Notes, Series 2021-1 2021-1 A-1-V LT Asf Affirmed Asf 2021-1 A-2 44148JAA7 LT Asf Affirmed Asf 2021-1 B 44148JAB5 LT BBBsf Affirmed BBBsf 2021-1 C 44148JAC3 LT BBsf Affirmed BBsf Transaction Summary The transaction is a securitization of the contract payments derived from an existing Fiber to the Home (FTTH) network. Debt is secured by the net cash flow (NCF) from operations and benefits from a perfected security interest in the securitized assets. This includes conduits, cables, network-level equipment, access rights, customer contracts, transaction accounts and an equity pledge from the asset entities. The collateral consists of best-in-class fiber lines supporting the provision of internet, cable, and telephony services to a portfolio of homeowners' associations (HOAs) and condominium owners' associations (COAs), located predominantly in Florida (96.3% of annualized run rate return [ARRR]). These agreements are governed by long-term contracts directly with the associations. KEY RATING DRIVERS Net Cash Flow and Trust Leverage: NCF on the pool is $255.2 million, an increase of 12.72% since the last issuance. Total rated leverage relative to NCF has dropped to 9.88x from 11.05x at last issuance. Fitch has not redetermined Fitch NCF or maximum potential leverage (MPL) given no 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 high quality of the underlying collateral networks, scale, creditworthiness and diversity of the customer base, market position and penetration, capability of the operator, and strength of the transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology will be developed that renders obsolete the current transmission of data through fiber optic cables. Fiber optic cable networks are currently the fastest and most reliable means to transmit information and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of higher expenses, rate decreases, contract churn, contract amendments or the development of an alternative technology for the transmission of data could lead to downgrades. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing cash flow without an increase in corresponding debt, from rate increases, additional contracts, lower expenses, or contract amendments could lead to upgrades. Upgrades are unlikely for these transactions due to the provision for the issuer to issue additional notes, which rank pari passu with or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, considering the risk of technological obsolescence. SUMMARY OF FINANCIAL ADJUSTMENTS No financial adjustments were made 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 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. [] Moody's Takes Action on 26 Bonds From 12 US RMBS Deals --------------------------------------------------------- Moody's Ratings, on May 19, 2025, upgraded the ratings of 14 bonds and downgraded the ratings of 12 bonds from 12 US residential mortgage-backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CWABS Asset-Backed Certificates Trust 2004-AB2 Cl. M-3, Downgraded to Caa1 (sf); previously on May 24, 2018 Upgraded to B1 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Mar 17, 2011 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-8 Cl. M-5, Downgraded to Caa1 (sf); previously on Jun 17, 2020 Downgraded to B1 (sf) Cl. M-7, Upgraded to Caa3 (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-BC2 Cl. M-2, Upgraded to Caa1 (sf); previously on Oct 19, 2016 Upgraded to Ca (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-7 Cl. MF-2, Downgraded to Caa1 (sf); previously on May 24, 2018 Upgraded to B1 (sf) Cl. MF-3, Downgraded to Caa1 (sf); previously on Dec 20, 2018 Upgraded to B3 (sf) Cl. MV-4, Downgraded to Caa1 (sf); previously on Oct 19, 2016 Confirmed at B1 (sf) Cl. MV-5, Upgraded to Caa1 (sf); previously on May 24, 2018 Upgraded to Caa2 (sf) Cl. MV-6, Upgraded to Caa3 (sf); previously on Apr 16, 2012 Downgraded to C (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF11 Cl. M-2, Downgraded to Caa1 (sf); previously on May 18, 2017 Upgraded to B1 (sf) Cl. M-3, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF2 Cl. M-5, Downgraded to Caa1 (sf); previously on May 18, 2017 Upgraded to B1 (sf) Cl. M-6, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF8 Cl. M-2, Downgraded to Caa1 (sf); previously on Aug 3, 2016 Upgraded to B1 (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on Jan 5, 2018 Upgraded to Ca (sf) Issuer: GSAMP Trust 2006-NC1 Cl. M-2, Upgraded to Caa3 (sf); previously on Jun 21, 2010 Downgraded to C (sf) Issuer: MASTR Adjustable Rate Mortgages Trust 2007-HF2 Cl. A-2, Upgraded to Ca (sf); previously on Aug 6, 2010 Downgraded to C (sf) Issuer: MASTR Asset Backed Securities Trust 2004-WMC2 Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Jan 30, 2018 Upgraded to Caa3 (sf) Issuer: MASTR Asset Backed Securities Trust 2004-WMC3 Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-5, Downgraded to Caa1 (sf); previously on Feb 27, 2018 Upgraded to B1 (sf) Cl. M-6, Upgraded to Caa2 (sf); previously on Feb 27, 2018 Upgraded to Caa3 (sf) Issuer: MASTR Asset Securitization Trust 2003-NC1 Cl. M-4, Downgraded to Caa1 (sf); previously on May 3, 2012 Confirmed at B1 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to C (sf) Cl. M-6, Upgraded to Caa3 (sf); previously on Jun 9, 2020 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. The 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 downgrades for most bonds are the result of outstanding credit interest shortfalls that are unlikely to be recouped. These 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. The rating downgrade on Class M-3 from CWABS Asset-Backed Certificates Trust 2004-AB2 is the result of missed interest that is unlikely to be recouped. The bond has incurred historical principal losses but subsequently recouped those losses, and as a result, missed interest on principal for those periods will not be recouped. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Action on 33 Bonds From 14 US RMBS Deals --------------------------------------------------------- Moody's Ratings, on May 23, 2025, upgraded the ratings of 32 bonds and downgraded the rating of one bond from 14 US residential mortgage-backed transactions (RMBS), backed by Alt-A, option-ARM and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Aames Mortgage Investment Trust 2006-1 Cl. M-1, Upgraded to Caa2 (sf); previously on Apr 27, 2017 Upgraded to Caa3 (sf) Issuer: ABFC Asset-Backed Certificates, Series 2006-HE1 Cl. A-1, Upgraded to Caa1 (sf); previously on Jun 3, 2010 Downgraded to Caa3 (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa2 (sf); previously on Jun 3, 2010 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on Jun 3, 2010 Downgraded to Ca (sf) Issuer: ABFS Mortgage Loan Trust 2001-3 Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Apr 3, 2014 Downgraded to Caa2 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Negative on October 3, 2024) Issuer: ABFS Mortgage Loan Trust 2002-4 Cl. M-1, Downgraded to Caa3 (sf); previously on May 3, 2012 Confirmed at Caa2 (sf) Issuer: AFC Mtg Loan AB Notes 2000-4 Cl. 1A, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Apr 9, 2018 Upgraded to Caa3 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Negative on October 3, 2024) Issuer: Banc of America Funding Corporation 2007-6 Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Confirmed at Caa2 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Nov 5, 2010 Downgraded to C (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB5 Cl. A-3, Upgraded to Caa1 (sf); previously on Apr 8, 2013 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Apr 8, 2013 Affirmed Ca (sf) Issuer: CHL Mortgage Pass-Through Trust 2006-3 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Aug 22, 2013 Confirmed at Caa3 (sf) Cl. 1-A-2, Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to C (sf) Issuer: CSFB Adjustable Rate Mortgage Trust 2005-10 Cl. 5-A-2, Upgraded to Caa2 (sf); previously on Feb 9, 2018 Downgraded to C (sf) Issuer: GSAMP Trust 2006-FM2 Cl. A-1, Upgraded to Caa2 (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) Issuer: GSAMP Trust 2006-HE6 Cl. A-2, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) Issuer: GSAMP Trust 2006-NC2 Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 15, 2011 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa2 (sf); previously on Sep 17, 2010 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on Sep 17, 2010 Confirmed at Ca (sf) Issuer: HASCO 2006-WMC1 Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Issuer: Morgan Stanley Home Equity Loan Trust 2005-2 Cl. M-6, Upgraded to Caa2 (sf); previously on Mar 14, 2013 Affirmed C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Action on 34 Bonds From 12 US RMBS Deals --------------------------------------------------------- Moody's Ratings, on May 21, 2025, upgraded the ratings of 21 bonds and downgraded the ratings of 13 bonds from 12 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: Merrill Lynch Mortgage Investors Trust 2006-OPT1 Cl. A-1, Upgraded to Baa1 (sf); previously on Feb 15, 2024 Upgraded to Ba2 (sf) Cl. A-2C, Upgraded to A2 (sf); previously on Feb 15, 2024 Upgraded to Ba1 (sf) Cl. A-2D, Upgraded to Baa1 (sf); previously on Feb 15, 2024 Upgraded to Ba3 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE4 Cl. B-3, Upgraded to Caa1 (sf); previously on Feb 1, 2024 Upgraded to Caa3 (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 17, 2020 Downgraded to B1 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE6 Cl. B-1, Upgraded to Caa1 (sf); previously on Sep 23, 2013 Downgraded to C (sf) Cl. B-2, Upgraded to Caa2 (sf); previously on Sep 23, 2013 Downgraded to C (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Sep 23, 2013 Downgraded to B1 (sf) Cl. M-3, Downgraded to Caa1 (sf); previously on Feb 1, 2024 Upgraded to B2 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC3 Cl. B-1, Downgraded to Caa1 (sf); previously on Feb 1, 2024 Upgraded to B2 (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 17, 2020 Downgraded to B1 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC5 Cl. B-1, Upgraded to Caa2 (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Cl. B-2, Upgraded to Caa2 (sf); previously on Mar 25, 2016 Downgraded to C (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Mar 25, 2016 Upgraded to B1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Dec 20, 2018 Upgraded to Caa2 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC7 Cl. M-2, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) 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 Nov 21, 2019 Upgraded to B1 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-NC1 Cl. B-2, Upgraded to Caa1 (sf); previously on Jul 15, 2010 Downgraded to C (sf) Cl. B-3, Upgraded to Caa1 (sf); previously on Mar 13, 2009 Downgraded to C (sf) Cl. M-4, Downgraded to B1 (sf); previously on Jan 25, 2017 Upgraded to Ba2 (sf) Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-NC1 Cl. B-1, Upgraded to Caa1 (sf); previously on Mar 15, 2011 Downgraded to C (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Mar 25, 2016 Upgraded to B1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Jul 11, 2016 Upgraded to Ca (sf) Issuer: New Century Home Equity Loan Trust 2005-4 Cl. M-4, Downgraded to Caa1 (sf); previously on Nov 27, 2018 Upgraded to B1 (sf) Cl. M-6, Upgraded to Ca (sf); previously on Jun 1, 2010 Downgraded to C (sf) Issuer: NovaStar Mortgage Funding Trust 2005-3 Cl. M-3, Upgraded to Aa1 (sf); previously on Oct 26, 2023 Upgraded to Baa1 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Jul 14, 2010 Downgraded to C (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2005-1 Cl. B-1, Upgraded to Ca (sf); previously on Jul 14, 2010 Downgraded to C (sf) Cl. M-6, Upgraded to Aa1 (sf); previously on Oct 26, 2023 Upgraded to Baa1 (sf) Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-AR6 Trust Cl. B-1, Upgraded to Caa1 (sf); previously on Feb 28, 2011 Downgraded to Ca (sf) Cl. B-2, Upgraded to Caa2 (sf); previously on Feb 28, 2011 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. The rating upgrades on Class A-2C, A-2D and A-1 of Merrill Lynch Mortgage Investors Trust 2006-OPT1, Class M-3 of NovaStar Mortgage Funding Trust 2005-3 and Class M-6 of NovaStar Mortgage Funding Trust, Series 2005-1 are a result of the improving performance of the related pools, and an increase in credit enhancement available to the bonds. The rest 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 Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Action on 46 Bonds From 12 US RMBS Deals --------------------------------------------------------- Moody's Ratings, on May 23, 2025, upgraded the ratings of 34 bonds and downgraded the ratings of 12 bonds from 12 US residential mortgage-backed transactions (RMBS), backed by subprime and jumbo 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: Centex Home Equity Loan Trust 2006-A Cl. M-4, Upgraded to Caa1 (sf); previously on May 5, 2010 Downgraded to C (sf) Issuer: GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-1 Cl. M-2, Upgraded to Caa3 (sf); previously on Aug 21, 2015 Upgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-WMC1 Cl. A-2c, Upgraded to Aaa (sf); previously on May 22, 2019 Upgraded to Aa3 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Apr 21, 2017 Upgraded to Ca (sf) Issuer: New Century Home Equity Loan Trust, Series 2005-C Cl. M-1, Downgraded to Caa1 (sf); previously on May 5, 2017 Upgraded to B1 (sf) Cl. M-2, Upgraded to Caa3 (sf); previously on Jun 1, 2010 Downgraded to C (sf) Issuer: RESI Finance Limited Partnership 2003-CB1/RESI Finance DE Corporation 2003-CB1 Cl. B3, Downgraded to Caa1 (sf); previously on Oct 12, 2022 Downgraded to B3 (sf) Cl. B5, Upgraded to Caa1 (sf); previously on Oct 12, 2022 Downgraded to Caa2 (sf) Cl. B6, Upgraded to Caa1 (sf); previously on Oct 12, 2022 Downgraded to Ca (sf) Issuer: Saxon Asset Securities Trust 2004-3 Cl. B-1, Upgraded to Caa3 (sf); previously on May 4, 2012 Downgraded to C (sf) Cl. B-2, Upgraded to Caa3 (sf); previously on Feb 3, 2009 Downgraded to C (sf) Cl. B-3, Upgraded to Caa3 (sf); previously on Feb 3, 2009 Downgraded to C (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-3, Downgraded to Caa1 (sf); previously on Oct 28, 2015 Upgraded to B2 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Oct 28, 2015 Upgraded to Caa2 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Issuer: Saxon Asset Securities Trust 2005-1 Cl. B-1, Upgraded to Ca (sf); previously on Mar 13, 2009 Downgraded to C (sf) Cl. B-2, Upgraded to Ca (sf); previously on Oct 22, 2008 Downgraded to C (sf) Cl. B-3, Upgraded to Ca (sf); previously on Oct 22, 2008 Downgraded to C (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Sep 22, 2015 Upgraded to B1 (sf) Cl. M-3, Downgraded to Caa1 (sf); previously on Dec 19, 2019 Upgraded to B1 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Jul 16, 2010 Downgraded to C (sf) Cl. M-5, Upgraded to Caa3 (sf); previously on Jul 16, 2010 Downgraded to C (sf) Cl. M-6, Upgraded to Ca (sf); previously on Mar 13, 2009 Downgraded to C (sf) Issuer: Saxon Asset Securities Trust 2005-2 Cl. B-1, Upgraded to Ca (sf); previously on Mar 6, 2013 Affirmed C (sf) Cl. B-2, Upgraded to Ca (sf); previously on Mar 6, 2013 Affirmed C (sf) Cl. B-3, Upgraded to Ca (sf); previously on Mar 6, 2013 Affirmed C (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Feb 16, 2016 Upgraded to B1 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Mar 6, 2013 Affirmed C (sf) Cl. M-5, Upgraded to Ca (sf); previously on Mar 6, 2013 Affirmed C (sf) Cl. M-6, Upgraded to Ca (sf); previously on Mar 6, 2013 Affirmed C (sf) Issuer: Saxon Asset Securities Trust 2005-3 Cl. M-3, Downgraded to Caa1 (sf); previously on Aug 10, 2015 Upgraded to B1 (sf) Cl. M-4, Downgraded to Caa1 (sf); previously on Jun 20, 2017 Upgraded to B1 (sf) Cl. M-5, Upgraded to Caa3 (sf); previously on Mar 15, 2013 Affirmed C (sf) Issuer: Saxon Asset Securities Trust 2007-1, Mortgage Loan Asset Backed Certificates, Series 2007-1 Cl. A-1, Upgraded to A1 (sf); previously on Mar 15, 2024 Upgraded to Baa3 (sf) Cl. A-2d, Upgraded to Aaa (sf); previously on Mar 15, 2024 Upgraded to A1 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Mar 13, 2009 Downgraded to C (sf) Issuer: Securitized Asset Backed Receivables LLC Trust 2006-CB1 Cl. AF-2, Upgraded to Caa1 (sf); previously on May 16, 2014 Downgraded to Ca (sf) Cl. AF-3, Upgraded to Caa1 (sf); previously on Jul 12, 2010 Downgraded to Ca (sf) Cl. AF-4, Upgraded to Caa1 (sf); previously on Jul 12, 2010 Downgraded to Ca (sf) Cl. AV-1, Upgraded to Aaa (sf); previously on Feb 26, 2018 Upgraded to Aa3 (sf) Issuer: Sequoia Mortgage Trust 2007-3, Mortgage Pass-Through Certificates, Series 2007-3 Cl. 1-A1, Downgraded to Caa1 (sf); previously on Apr 20, 2010 Downgraded to B1 (sf) Cl. 1-A2, Upgraded to Caa1 (sf); previously on Apr 20, 2010 Downgraded to Ca (sf) Cl. 1-XA*, Downgraded to Caa1 (sf); previously on Oct 27, 2017 Confirmed at B2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. Most of 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. The rest of the rating upgrades are a result of the improving performance of the related pools, or an increase in credit enhancement available to the bonds. Credit enhancement grew by 44.2% on average for these bonds upgraded 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Action on 49 Bonds From 17 US RMBS Deals --------------------------------------------------------- Moody's Ratings, on May 21, 2025, upgraded the ratings of 43 bonds and downgraded the rating of one bond from 17 US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM, and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: AFC Mtg Loan AB Certs 1999-02 1A, Upgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) 2A, Upgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: AFC Mtg Loan AB Notes 1999-03 Cl. 1A, Upgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. 2A, Upgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: AFC Mtg Loan AB Notes 2000-2 Cl. 2A, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Negative on October 03, 2024) Issuer: American Home Mortgage Assets Trust 2006-5 Cl. A-1, Upgraded to Caa3 (sf); previously on Sep 11, 2013 Downgraded to Ca (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB4 Cl. AV-3, Upgraded to Caa1 (sf); previously on Apr 8, 2013 Downgraded to Ca (sf) Cl. AV-4, Upgraded to Caa2 (sf); previously on Apr 8, 2013 Affirmed Ca (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB7 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 8, 2013 Affirmed Caa3 (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Apr 8, 2013 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Apr 8, 2013 Affirmed Ca (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Apr 8, 2013 Affirmed Ca (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB9 Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 14, 2012 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa3 (sf); previously on Apr 12, 2010 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 Downgraded to Ca (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB1 Cl. AF-1A, Upgraded to Caa1 (sf); previously on Apr 8, 2013 Downgraded to Ca (sf) Cl. AF-1B, Upgraded to Caa1 (sf); previously on Apr 8, 2013 Downgraded to Ca (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB2 Cl. A1, Upgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Cl. A2-B, Upgraded to Caa2 (sf); previously on Nov 13, 2013 Downgraded to Ca (sf) Cl. A2-C, Upgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Cl. A2-D, Upgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Cl. A2-E, Upgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB3 Cl. A-1, Upgraded to Caa2 (sf); previously on Apr 9, 2018 Downgraded to Ca (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB5 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 8, 2013 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Apr 8, 2013 Affirmed Ca (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Apr 8, 2013 Affirmed Ca (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB6 Cl. A-1, Upgraded to Caa1 (sf); previously on Jan 18, 2013 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Jan 18, 2013 Affirmed Ca (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Jan 18, 2013 Affirmed Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Jan 18, 2013 Affirmed Ca (sf) Issuer: CHL Mortgage Pass-Through Trust, Series 2006-OA5 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to Caa3 (sf) Cl. 1-A-2, Upgraded to Caa2 (sf); previously on Dec 5, 2010 Downgraded to C (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to Caa3 (sf) Issuer: CSFB Home Equity Asset Trust 2006-2 Cl. M-1, Downgraded to Caa3 (sf); previously on Nov 17, 2017 Upgraded to Caa2 (sf) Issuer: CSMC Mortgage-Backed Trust Series 2006-9 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Jun 21, 2017 Downgraded to Caa2 (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Jun 21, 2017 Downgraded to Caa2 (sf) Cl. 3-A-1, Upgraded to Caa1 (sf); previously on Jun 21, 2017 Downgraded to Caa2 (sf) Cl. D-P, Upgraded to Caa1 (sf); previously on Jun 21, 2017 Downgraded to Caa2 (sf) Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust I Inc. 2002-NC2 Cl. B-1, Upgraded to Caa2 (sf); previously on Feb 11, 2009 Downgraded to C (sf) Issuer: Saxon Asset Securities Trust 2004-2 Cl. MF-3, Upgraded to Caa1 (sf); previously on Jun 5, 2018 Upgraded to Caa2 (sf) Cl. MF-4, Upgraded to Caa1 (sf); previously on Sep 23, 2013 Downgraded to C (sf) Cl. MF-5, Upgraded to Ca (sf); previously on Sep 23, 2013 Downgraded to C (sf) Cl. MF-6, Upgraded to Ca (sf); previously on Mar 5, 2013 Affirmed C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools, and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or are 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. Some of the upgraded bonds benefit from a financial guaranty insurance policy. In most instances, the bond insurer, who provides the financial guaranty insurance policy, is no longer rated by us. As such, each of the upgrades reflects Moody's forward looking view of the performance of the underlying assets in relation to the available credit enhancement, without giving credit to the financial guaranty insurance policy. 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 22 Bonds From 11 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 22 bonds from 11 US residential mortgage-backed transactions (RMBS), backed by Option ARM mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: WaMu Mortgage Pass-Through Certificates, Series 2007-OA6 Cl. 1A, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to Caa3 (sf) Cl. 2A, Upgraded to Caa2 (sf); previously on Dec 3, 2010 Downgraded to Caa3 (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2005-AR1 Trust Cl. A-1A, Upgraded to Caa1 (sf); previously on Dec 7, 2010 Downgraded to Caa3 (sf) Cl. A-1B, Upgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to C (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR1 Trust Cl. A-1A, Upgraded to Caa1 (sf); previously on Dec 7, 2010 Downgraded to Caa3 (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR2 Trust Cl. A-1A, Upgraded to Caa1 (sf); previously on Dec 7, 2010 Downgraded to Ca (sf) Cl. X*, Upgraded to Caa3 (sf); previously on Dec 20, 2017 Confirmed at Ca (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR3 Trust Cl. A-1A, Upgraded to Caa1 (sf); previously on Dec 7, 2010 Downgraded to Ca (sf) Cl. X-1*, Upgraded to Caa3 (sf); previously on Feb 7, 2018 Confirmed at Ca (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR8 Cl. 1A, Upgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to Ca (sf) Cl. 2A, Upgraded to Caa2 (sf); previously on Dec 7, 2010 Downgraded to Ca (sf) Cl. 3A-1A, Upgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to Ca (sf) Cl. CX-2-PPP*, Upgraded to Caa3 (sf); previously on Feb 7, 2018 Confirmed at Ca (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR9 Trust Cl. 1-A, Upgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to Ca (sf) Cl. 2-A, Upgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to Ca (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2007-OA1 Trust Cl. 1A, Upgraded to Caa3 (sf); previously on Dec 22, 2010 Downgraded to Ca (sf) Cl. 2A, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Ca (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2007-OA2 Trust Cl. 1A, Upgraded to Caa3 (sf); previously on Dec 22, 2010 Downgraded to Ca (sf) Cl. 2A, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Ca (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2007-OA4 Trust Cl. A-1A, Upgraded to Caa1 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Issuer: Washington Mutual Mortgage Pass-Through Certificates, WMALT Series 2007-OA5 Cl. A-1A, Upgraded to Caa1 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. A-1B, Upgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to C (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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 26 Bonds From 8 US RMBS Deals ------------------------------------------------------------ Moody's Ratings, on May 22, 2025, upgraded the ratings of 26 bonds from eight 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: American Home Mortgage Assets Trust 2007-5 Cl. A-1, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Issuer: Long Beach Mortgage Loan Trust 2006-10 Cl. I-A, Upgraded to Caa1 (sf); previously on Jul 10, 2014 Downgraded to Ca (sf) Cl. II-A2, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Cl. II-A3, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Cl. II-A4, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Issuer: Long Beach Mortgage Loan Trust 2006-11 Cl. I-A, Upgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to Ca (sf) Cl. II-A2, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Cl. II-A3, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Cl. II-A4, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Issuer: Long Beach Mortgage Loan Trust 2006-9 Cl. I-A, Upgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to Ca (sf) Cl. II-A2, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Cl. II-A3, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Cl. II-A4, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Issuer: Soundview Home Loan Trust 2006-NLC1 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Issuer: Soundview Home Loan Trust 2007-OPT1 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Jul 18, 2011 Downgraded to Caa3 (sf) Cl. II-A-1, Upgraded to Caa1 (sf); previously on Sep 17, 2013 Downgraded to Ca (sf) Cl. II-A-2, Upgraded to Caa2 (sf); previously on Sep 17, 2013 Downgraded to Ca (sf) Cl. II-A-3, Upgraded to Caa2 (sf); previously on Jun 17, 2010 Downgraded to Ca (sf) Cl. II-A-4, Upgraded to Caa2 (sf); previously on Jun 17, 2010 Downgraded to Ca (sf) Issuer: Soundview Home Loan Trust 2007-OPT4 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Jun 17, 2010 Downgraded to Caa3 (sf) Cl. II-A-2, Upgraded to B3 (sf); previously on May 25, 2017 Upgraded to Caa1 (sf) Cl. II-A-3, Upgraded to B3 (sf); previously on May 25, 2017 Upgraded to Caa1 (sf) Cl. X-1*, Upgraded to Caa1 (sf); previously on Jun 17, 2010 Downgraded to Caa3 (sf) Cl. X-2*, Upgraded to B3 (sf); previously on Nov 29, 2017 Confirmed at Caa1 (sf) Issuer: Soundview Home Loan Trust 2007-WMC1 Cl. I-A-1, Upgraded to Caa3 (sf); previously on Jun 17, 2010 Downgraded to Ca (sf) Cl. III-A-1, Upgraded to Caa2 (sf); previously on Jul 24, 2012 Downgraded to Ca (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for any bond which has experienced a loss. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal 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 54 Bonds From 11 US RMBS Deals ------------------------------------------------------------- Moody's Ratings, on May 22, 2025, upgraded the ratings of 54 bonds from 11 US residential mortgage-backed transactions (RMBS), backed by Alt-A, Option ARM, subprime, and resecuritized mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Lehman ABS Mortgage Loan Trust 2007-1 Cl. 1-A1, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Caa3 (sf) Cl. 2-A1, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Caa3 (sf) Cl. 2-A2, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Caa3 (sf) Cl. 2-A3, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Confirmed at Caa3 (sf) Cl. 2-A4, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Confirmed at Caa3 (sf) Issuer: Lehman Mortgage Trust 2005-2 Cl. 1-A1, Upgraded to Caa1 (sf); previously on Nov 1, 2018 Downgraded to Caa2 (sf) Cl. 1-A2*, Upgraded to Caa1 (sf); previously on Nov 1, 2018 Downgraded to Caa2 (sf) Cl. 1-A4, Upgraded to Ca (sf); previously on Apr 10, 2013 Affirmed C (sf) Cl. 2-A1, Upgraded to Caa1 (sf); previously on Nov 1, 2018 Downgraded to Caa3 (sf) Cl. 2-A2*, Upgraded to Caa1 (sf); previously on Nov 1, 2018 Downgraded to Caa3 (sf) Cl. 2-A4, Upgraded to Caa2 (sf); previously on Nov 1, 2018 Downgraded to Caa3 (sf) Cl. 2-A5, Upgraded to Caa2 (sf); previously on Nov 1, 2018 Downgraded to Caa3 (sf) Cl. 3-A1, Upgraded to Caa2 (sf); previously on Nov 1, 2018 Downgraded to Caa3 (sf) Cl. 3-A2*, Upgraded to Caa2 (sf); previously on Nov 1, 2018 Downgraded to Caa3 (sf) Cl. 3-A3, Upgraded to Caa1 (sf); previously on Nov 1, 2018 Downgraded to Caa3 (sf) Cl. 3-A5, Upgraded to Caa2 (sf); previously on Nov 1, 2018 Downgraded to Caa3 (sf) Cl. 3-A7, Upgraded to Caa2 (sf); previously on Nov 1, 2018 Downgraded to Caa3 (sf) Issuer: Lehman Mortgage Trust 2006-8 Cl. 1-A1, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 1-A3, Upgraded to Caa1 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 2-A1, Upgraded to Ca (sf); previously on Jul 20, 2018 Downgraded to C (sf) Cl. 2-A2*, Upgraded to Ca (sf); previously on Oct 27, 2017 Confirmed at C (sf) Cl. 2-A3, Upgraded to Caa3 (sf); previously on Jul 20, 2018 Downgraded to C (sf) Cl. 3-A1, Upgraded to Ca (sf); previously on Jul 20, 2018 Downgraded to C (sf) Cl. 3-A2*, Upgraded to Ca (sf); previously on Jul 20, 2018 Downgraded to C (sf) Cl. 4-A1, Upgraded to Ca (sf); previously on Jul 20, 2018 Downgraded to C (sf) Cl. 4-A2*, Upgraded to Ca (sf); previously on Jul 20, 2018 Downgraded to C (sf) Cl. AP, Upgraded to Caa1 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Issuer: Lehman Mortgage Trust 2006-9 Cl. 1-A1, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 1-A14, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 1-A16, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 1-A21, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 1-A22, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 1-A25, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. AP, Upgraded to Caa1 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Issuer: Lehman XS Trust 2007-10H Cl. II-A1, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Downgraded to Caa3 (sf) Cl. II-A2, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Downgraded to Caa3 (sf) Issuer: Lehman XS Trust Series 2005-2 Cl. 2-A3A, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Sep 3, 2010 Downgraded to Caa2 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Negative on October 03, 2024) Cl. 2-A3B, Upgraded to Caa1 (sf); previously on Sep 3, 2010 Downgraded to Caa2 (sf) Issuer: Lehman XS Trust Series 2005-6 Cl. 3-A3A, Upgraded to Caa3 (sf); previously on Sep 3, 2010 Downgraded to Ca (sf) Cl. 3-A4B, Upgraded to Caa1 (sf); previously on Sep 2, 2014 Downgraded to Caa2 (sf) Issuer: Lehman XS Trust Series 2005-9N Cl. 1-A1, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa2 (sf) Cl. 1-A2, Upgraded to Caa3 (sf); previously on Oct 22, 2010 Downgraded to C (sf) Cl. 2-A1, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Issuer: Lehman XS Trust Series 2006-10N Cl. 1-A3A, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 1-A4A, Upgraded to Caa2 (sf); previously on Oct 22, 2010 Downgraded to Ca (sf) Issuer: Lehman XS Trust, Series 2007-16N Cl. 1-A1, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 2-A1, Upgraded to B1 (sf); previously on Dec 17, 2018 Upgraded to Caa2 (sf) Cl. 2-A2, Upgraded to B1 (sf); previously on Dec 17, 2018 Upgraded to Caa2 (sf) Cl. 2-A3, Upgraded to Ca (sf); previously on Oct 22, 2010 Downgraded to C (sf) Cl. 3-A1, Upgraded to B1 (sf); previously on Dec 17, 2018 Upgraded to Caa1 (sf) Cl. 3-A2, Upgraded to Caa3 (sf); previously on Oct 22, 2010 Downgraded to C (sf) Cl. AF2, Upgraded to Ca (sf); previously on Oct 22, 2010 Downgraded to C (sf) Issuer: Lehman Mortgage Trust 2008-4 Cl. A1, Upgraded to Caa1 (sf); previously on Jun 4, 2019 Upgraded to Caa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. In addition, the rating action on the bond from the resecuritization transaction, Lehman Mortgage Trust 2008-4, reflect the rating action on the bond underlying that transaction. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all deals except Lehman Mortgage Trust 2008-4 and interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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 56 Bonds From 12 US RMBS Deals ------------------------------------------------------------- Moody's Ratings, on May 19, 2025, upgraded the ratings of 51 bonds from 12 US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-HE3 Cl. A-2d, Upgraded to Caa1 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-NC5 Cl. A-1, Upgraded to Caa2 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2b, Upgraded to Caa1 (sf); previously on Aug 6, 2015 Downgraded to Ca (sf) Cl. A-2c, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2d, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2fpt, Upgraded to Caa1 (sf); previously on Aug 6, 2015 Downgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2007-HE1 Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2b, Upgraded to Caa2 (sf); previously on Apr 30, 2014 Downgraded to Ca (sf) Cl. A-2c, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2d, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2fpt, Upgraded to Caa1 (sf); previously on Apr 30, 2014 Downgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2007-HE2 Cl. A-1, Upgraded to Caa2 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2b, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2c, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2d, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Confirmed at Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2007-HE3 Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2a, Upgraded to Caa1 (sf); previously on Sep 12, 2012 Downgraded to Ca (sf) Cl. A-2b, Upgraded to Caa3 (sf); previously on Jan 28, 2011 Downgraded to Ca (sf) Cl. A-2c, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2d, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Confirmed at Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2007-HE5 Cl. A-1, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2a, Upgraded to Caa1 (sf); previously on Jan 9, 2013 Downgraded to Ca (sf) Cl. A-2b, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2c, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2d, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Confirmed at Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2007-NC1 Cl. A-1, Upgraded to Caa2 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2b, Upgraded to Caa2 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. A-2c, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2d, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Confirmed at Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2007-NC2 Cl. A-1, Upgraded to Caa1 (sf); previously on Dec 28, 2010 Upgraded to Caa3 (sf) Cl. A-2a, Upgraded to Caa1 (sf); previously on Dec 2, 2013 Downgraded to Ca (sf) Cl. A-2b, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2c, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2d, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2fpt, Upgraded to Caa1 (sf); previously on Dec 2, 2013 Downgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2007-NC3 Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2a, Upgraded to Caa1 (sf); previously on Dec 20, 2013 Downgraded to Ca (sf) Cl. A-2b, Upgraded to Caa2 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2c, Upgraded to Caa2 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2d, Upgraded to Caa2 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2007-NC4 Cl. A-1, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to C (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-2a, Upgraded to Caa2 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-2b, Upgraded to Caa3 (sf); previously on Mar 26, 2009 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on Mar 13, 2009 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-2c, Upgraded to Caa3 (sf); previously on Mar 26, 2009 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on Mar 13, 2009 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-2d, Upgraded to Caa3 (sf); previously on Mar 26, 2009 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on Mar 13, 2009 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: Morgan Stanley Home Equity Loan Trust 2007-2 Cl. A-1, Upgraded to Caa1 (sf); previously on Dec 31, 2013 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa3 (sf); previously on Jul 18, 2011 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Issuer: Morgan Stanley IXIS Real Estate Capital Trust 2006-2 Cl. A-1, Upgraded to Caa1 (sf); previously on Jan 9, 2013 Downgraded to Ca (sf) Cl. A-fpt, Upgraded to Caa1 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] S&P Takes Various Action on 199 Classes From 15 US RMBS Deals ---------------------------------------------------------------- S&P Global Ratings completed its review of 199 classes from 15 U.S. RMBS issued between 2018 and 2022. The ratings were previously placed under criteria observation (UCO) on Feb. 21, 2025, following changes in our U.S. RMBS methodology. The review yielded 174 upgrades, 18 affirmations and seven discontinuances. S&P also removed all the ratings from UCO. Of the 199 classes reviewed, 166 are related modifiable and exchangeable certificates (MACRs). Excluding the MACRs, the review yielded 28 upgrades, three affirmations, and two discontinuances. A list of Affected Ratings can be viewed at: https://tinyurl.com/nwyyjnwy Analytical Considerations S&P said, "Based on our updated criteria, we performed a credit analysis for each mortgage pool using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate with each rating level, after which we applied our cash flow stresses where relevant. We applied adjustments at the loan and pool levels when warranted, including a 1.04x pool-level adjustment, in most instances, to account for the risk of estimated self-employed borrowers in the respective pools. We also applied the same mortgage operational assessment and due diligence factors that were applied at deal issuance. "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by the application of our criteria. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." They include: -- Collateral performance/delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Expected duration; and -- Available subordination; and Credit enhancement minimums/floors. Rating Actions S&P said, "The upgrades primarily reflect the application of our updated methodology and incorporate continued deleveraging since the respective transactions benefit from low accumulated losses to date and a growing percentage of credit support to the rated classes. See the ratings list for the specific rationales associated with each of the classes with rating transitions that supplement the application of the updated U.S. RMBS criteria as the primary driver of the changes. "The affirmations reflect our projected credit support on these classes, which we believe are sufficient to cover our projected losses for those rating scenarios." [] S&P Takes Various Action on 40 Classes From Six U.S. CLO Deals ----------------------------------------------------------------- S&P Global Ratings took various rating actions on 40 classes of debt from six broadly syndicated U.S. CLO transactions. S&P raised its ratings on 21 classes and removed 20 of them from CreditWatch, where it had placed them with positive implications on March 14, 2025. At the same time, S&P affirmed its ratings on 18 classes from the six transactions. S&P also withdrew its rating on one class following paydowns reported in the April payment date report. A list of Affected Ratings can be viewed at: https://tinyurl.com/bdd5td4m 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 credit support. 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, S&P also incorporates other considerations into its decision to raise, affirm, or limit rating movements. These considerations typically include: -- Whether the CLO is reinvesting or paying down its notes; -- Existing subordination or 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. 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 debt, 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 debt remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." [] S&P Takes Various Action on 829 Classes From 27 US RMBS Deals ---------------------------------------------------------------- S&P Global Ratings completed its review of 829 classes from 27 U.S. RMBS issued between 2013 and 2022. The review included 169 ratings that were placed under criteria observation on Feb. 21, 2025, following changes in S&P's U.S. RMBS methodology. The 'AAA (sf)' ratings associated with these transactions were not placed under criteria observation. The review yielded 31 upgrades and 798 affirmations. S&P also removed 169 ratings from criteria observation. A list of Affected Ratings can be viewed at: https://tinyurl.com/36t5fpr2 Analytical Considerations S&P said, "Based on our updated criteria, we performed a credit analysis for each mortgage pool using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate with each rating level, after which we applied our cash flow stresses where relevant. We applied adjustments at the loan and pool levels when warranted, including updates to the pool-level representation and warranty (R&W) loss coverage adjustment factor in certain instances, based on the updated criteria's regrouping of the specific considerations that determine the factor. Specifically, for the R&W, greater emphasis is given to mitigants such as third-party due diligence, our assessment of the aggregation quality and/or origination process, and the diversification of contributing originators. We also applied the same mortgage operational assessment and due diligence factors that were applied at deal issuance. "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." They include: -- Collateral performance/delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Tail risk; -- Expected duration; and -- Available subordination, credit enhancement minimums/floors, and/or excess spread (where available). Rating Actions S&P said, "The upgrades primarily reflect the application of our updated methodology and incorporate continued deleveraging since the respective transactions benefit from low accumulated losses to date and a growing percentage of credit support to the rated classes. See the ratings list for more detail on the classes with rating transitions that supplement the application of the updated U.S. RMBS criteria as the primary driver of the changes. "The affirmations reflect our projected credit support on these classes, which we believe are sufficient to cover our projected losses for those rating scenarios." [] S&P Takes Various Actions on 223 Classes From 32 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 223 classes from 32 U.S. RMBS issued between 2019 and 2024. The review included 180 ratings that were placed under criteria observation (UCO) on Feb. 21, 2025, following changes in its U.S. RMBS methodology. The 'AAA (sf)' ratings associated with these transactions were not placed on UCO. The review yielded 83 upgrades and 140 affirmations. S&P also removed 180 ratings from UCO. A list of Affected Ratings can be viewed at: https://tinyurl.com/4ptvy9m9 Analytical Considerations S&P said, "Based on our updated criteria, we performed a credit analysis for each mortgage pool using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate with each rating level, after which we applied our cash flow stresses where relevant. We applied adjustments at the loan and pool levels when warranted, including a reduction in the pool-level representation and warranty (R&W) loss coverage adjustment factor in certain instances, based on the updated criteria's regrouping of the specific considerations that determine the factor. Specifically, for the R&W, greater emphasis is given to mitigants such as third-party due diligence, our assessment of the aggregation quality and/or origination process, and the diversification of contributing originators. We also applied the same mortgage operational assessment and due diligence factors that were applied at deal issuance. "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." Some of these considerations may include: -- Collateral performance/delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Tail risk; -- Expected duration; and -- Available subordination, credit enhancement floors, and/or excess spread (where available). Rating Actions S&P said, "The upgrades primarily reflect the application of our updated methodology and incorporate continued deleveraging since the respective transactions benefit from low accumulated losses to date and a growing percentage of credit support to the rated classes. See the ratings list for more detail on the classes with rating transitions that supplement the application of the updated U.S. RMBS criteria as the primary driver of the changes. "The affirmations reflect our projected credit support on these classes, which we believe are sufficient to cover our projected losses for those rating scenarios." [] S&P Takes Various Actions on 234 Classes From 36 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 234 classes from 36 U.S. RMBS transactions issued between 2020 and 2025. The review included 180 ratings that were placed under criteria observation on Feb. 21, 2025, following changes in its U.S. RMBS methodology. The 'AAA (sf)' ratings associated with these transactions were not placed under criteria observation. The review yielded 103 upgrades and 131 affirmations. S&P also removed 180 ratings from criteria observation. A list of Affected Ratings can be viewed at: https://tinyurl.com/ycky65cx Analytical Considerations S&P said, "Based on our updated criteria, we performed a credit analysis for each mortgage pool using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate with each rating level, after which we applied our cash flow stresses where relevant. We applied adjustments at the loan and pool levels when warranted, including updates to the pool-level representation and warranty (R&W) loss coverage adjustment factor in certain instances, based on the updated criteria's regrouping of the specific considerations that determine the factor. Specifically, for the R&W, greater emphasis is given to mitigants such as third-party due diligence, our assessment of the aggregation quality and/or origination process, and the diversification of contributing originators. We also applied the same mortgage operational assessment and due diligence factors that were applied at deal issuance. "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." They include: -- Collateral performance/delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Tail risk; -- Expected duration; and -- Available subordination, credit enhancement minimums/floors, and/or excess spread (where available). Rating Actions S&P said, "The upgrades primarily reflect the application of our updated methodology and incorporate continued deleveraging since the respective transactions benefit from low accumulated losses to date and a growing percentage of credit support to the rated classes. See the ratings list for more detail on the classes with rating transitions that supplement the application of the updated U.S. RMBS criteria as the primary driver of the changes. "The affirmations reflect our projected credit support on these classes, which we believe are sufficient to cover our projected losses for those rating scenarios." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. 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. 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