250615.mbx

250615.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 15, 2025, Vol. 29, No. 165 Headlines AIMCO CLO 24: S&P Assigns B- (sf) Rating on Class F Notes ANCHORAGE CAPITAL 26: Fitch Assigns 'BBsf' Rating on Cl. E-R Notes ANCHORAGE CAPITAL 26: Moody's Assigns B3 Rating to Class F-R Notes AVIS BUDGET 2023-4: Moody's Assigns Ba1 Rating to Class D Notes AVIS BUDGET 2023-6: Moody's Assigns Ba1 Rating to Class D Notes AVIS BUDGET 2023-8: Moody's Assigns Ba1 Rating to Class D Notes BBCMS 2019-BWAY: Fitch Lowers Rating on Class HRR Certs to 'Dsf' BBCMS 2020-BID: DBRS Confirms B Rating on Class X-EXT Certs BBCMS MORTGAGE 2020-C6: Fitch Affirms B-sf Rating on Cl. G-RR Debt BEANFIELD SECURITIZATION 2025-1: Fitch Rates Cl. C Notes 'BB-sf' BLACKROCK DLF 2025-1: DBRS Gives Prov. B Rating on Class W Notes BLUEMOUNTAIN CLO 2018-2: S&P Lowers F Notes Rating to 'CCC (sf)' BX TRUST 2025-LUNR: Fitch Assigns BB-sf Final Rating on Cl. E Certs BX TRUST 2025-TAIL: Fitch Assigns 'BB-sf' Rating on Class E Certs CARLYLE US 2023-1: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R Notes CARVANA AUTO 2025-P2: Fitch Gives 'BB+(EXP)sf' Rating on Cl. N Debt CD 2017-CD4: Fitch Affirms 'BBsf' Rating on Three Tranches CFMT 2025-AB3: DBRS Finalizes B Rating on Class M5 Notes CITIGROUP 2014-GC21: Fitch Lowers Rating on 3 Tranches to BBsf CITIGROUP COMMERCIAL 2017-P8: S&P Cuts V-3D Certs Rating to 'CCC' COMM 2012-LTRT: DBRS Cuts Rating on 2 Classes to C COMM 2014-CCRE15: DBRS Confirms C Rating on Class F Certs CONNECTICUT AVE 2023-R07: Moody's Ups Rating on 2B-1B Certs to Ba1 CSAIL 2015-3: Fitch Lowers Rating on Class C Notes to 'BBsf' DBWF 2015-LCM: DBRS Confirms BB(low) Rating on 2 Classes EFMT 2025-CES3: Fitch Assigns 'B(EXP)sf' Rating on Class B-2 Certs ELMWOOD CLO 42: S&P Assigns B- (sf) Rating on Class F Notes FLATIRON CLO 23: Moody's Assigns B3 Rating to $1MM Class F-R Notes FORTRESS CREDIT XVIII: Fitch Assigns 'BB+sf' Rating on E-R Notes GALAXY 31: S&P Assigns BB- (sf) Rating on Class E-R Notes GFH 2025-IND: Fitch Assigns 'B-(EXP)s' Rating on Class HRR Certs GOODLEAP SUSTAINABLE 2023-2: Fitch Cuts Rating on Cl. C Notes to B- GREAT LAKES 2014-1: Moody's Ups Rating on $10.5MM F-R Notes to B1 GS MORTGAGE 2019-GC40: Fitch Lowers Rating on 2 Tranches to CCCsf GS MORTGAGE 2021-IP: DBRS Confirms BB Rating on Class F Certs HARVEST COMMERCIAL 2024-1: DBRS Confirms B Rating on M5 Notes HOMES 2025-NQM3: S&P Assigns B (sf) Rating on Class B-2 Certs HOOK PARK CLO: Moody's Assigns B3 Rating to $250,000 Class F Notes HOOK PARK: Fitch Assigns 'BB+sf' Rating on E Notes, Outlook Stable HPS PRIVATE 2025-3: S&P Assigns Prelim BB- (sf) Rating on E Notes JOURNEY PERSONAL: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes JP MORGAN 2018-ASH8: DBRS Confirms CCC Rating on Class F Certs JP MORGAN 2025-4: DBRS Finalizes B(low) Rating on B5 Certs JP MORGAN 2025-NQM2: DBRS Finalizes B(low) Rating on B2 Certs KSL 2025-MAK: DBRS Finalizes B(low) Rating on Class G Certs LENDMARK FUNDING 2025-1: DBRS Finalizes BB(low) Rating on E Notes MADISON PARK LXIII: Fitch Assigns 'BB+sf' Rating on Class E-R Notes MADISON PARK LXIII: Moody's Assigns B3 Rating to $250,000 F-R Notes MAGNETITE LTD XII: Moody's Ups Rating on $32.63MM E-R Notes to Ba2 MAGNETITE LTD XXXVI: Moody's Assigns (P)B3 Rating to Cl. F-R Notes NEW RESIDENTIAL 2025-NQM3: S&P Assigns B+ (sf) Rating on B-2 Notes OBRA CLO 2: S&P Assigns Prelim BB- (sf) Rating on Class E Notes OCTAGON 64: Fitch Hikes Rating on Class E Notes to 'BB+sf' OFSI BSL IX: S&P Lowers Class E Notes Rating to 'B (sf)' OHA CREDIT 22: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes OHA CREDIT 22: Fitch Assigns 'BB-sf' Rating on Class E Notes OPORTUN ISSUANCE 2025-B: Fitch Rates Class E Notes 'BB-sf' OZLM LTD XXII: Moody's Affirms Ba3 Rating on $24MM Class D Notes PEAKS CLO 1: S&P Corrects/Lowers Class F Notes Rating to 'D (sf)' PIKES PEAK 14(2023): Fitch Assigns 'BB-(EXP)sf' Rating on E-R Notes RAD CLO 18: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ROCKFORD TOWER 2018-1: Moody's Cuts Rating on $27.5MM E Notes to B1 RR 23 LTD: Fitch Assigns 'BB-(EXP)' Rating on Class D-R2 Notes SEQUOIA MORTGAGE 2025-6: Fitch Assigns B(EXP)sf Rating on B5 Certs SILVER POINT 9: Fitch Assigns 'BB-sf' Rating on Class E Notes SUTTONPARK STRUCTURED 2021-A: DBRS Keeps BB Rating Under Review SYMPHONY CLO XVIII: Moody's Cuts Rating on $2MM F-R Notes to Caa2 TABERNA PREFERRED IV: Moody's Ups Rating on Class A-1 Notes to Ba1 TABERNA PREFERRED VI: Moody's Upgrades Rating on 2 Tranches to Ba2 TOWD POINT 2018-SL1: DBRS Confirms BB Rating on Class D-2 Notes TOWD POINT 2025-CES1: DBRS Finalizes B(low) Rating on B2 Notes VELOCITY COMMERCIAL 2025-3: DBRS Gives Prov. B Rating on 3 Classes WELLS FARGO 2018-C47: DBRS Confirms BB Rating on GRR Certs WELLS FARGO 2019-JWDR: Fitch Affirms 'Bsf' Rating on Class F Debt WELLS FARGO 2025-NYCH: DBRS Gives Prov. BB Rating on E Certs WFRBS COMMERCIAL 2014-C20: Moody's Cuts Rating on Cl. B Certs to B3 [] DBRS Hikes 3 Credit Ratings on 4 GLS Auto Issuer Trust [] DBRS Reviews 132 Classes From 24 US RMBS Transactions [] DBRS Reviews 19 Classes From 9 US RMBS Transactions [] DBRS Reviews 38 Classes in 4 US RMBS Transactions [] DBRS Reviews 934 Classes From 26 US RMBS Transactions [] Moody's Takes Action 44 Bonds From 13 US RMBS Deals [] Moody's Takes Action on 32 Bonds from 14 US RMBS Deals [] Moody's Takes Action on 35 Bonds From 11 US RMBS Deals [] Moody's Takes Action on 41 Bonds from 10 US RMBS Deals [] Moody's Takes Rating Action on 19 Bonds from 6 US RMBS Deals [] Moody's Takes Rating Action on 29 Bonds from 10 US RMBS Deals [] Moody's Upgrades Ratings on 12 Bonds from 9 US RMBS Deals [] Moody's Upgrades Ratings on 13 Bonds from 3 US RMBS Deals [] Moody's Upgrades Ratings on 26 Bonds From 3 US RMBS Deals [] Moody's Upgrades Ratings on 27 Bonds from 8 US RMBS Deals [] Moody's Upgrades Ratings on 71 Bonds From 16 US RMBS Deals [] S&P Takes Various Actions on 196 Classes From 41 US RMBS Deals ********* AIMCO CLO 24: S&P Assigns B- (sf) Rating on Class F Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to AIMCO CLO 24 Ltd./AIMCO CLO 24 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 Allstate Investment Management Co. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned AIMCO CLO 24 Ltd./AIMCO CLO 24 LLC Class A-1, $307.80 million: AAA (sf) Class A-2, $17.20 million: NR Class B-1, $50.00 million: NR Class B-2, $5.00 million: NR Class C (deferrable), $29.00 million: NR Class D (deferrable), $31.00 million: NR Class E (deferrable), $18.00 million: NR Class F (deferrable), $0.20 million: B- (sf) Subordinated notes, $51.20 million: NR NR--Not rated. ANCHORAGE CAPITAL 26: Fitch Assigns 'BBsf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage Capital CLO 26, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Anchorage Capital CLO 26, Ltd. A-1R LT NRsf New Rating A-2 03331TAC4 LT PIFsf Paid In Full AAAsf A-2R LT AAAsf New Rating B 03331TAE0 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C-1 03331TAG5 LT PIFsf Paid In Full Asf C-2 03331TAL4 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 03331TAJ9 LT PIFsf Paid In Full BBB-sf D-1R LT BBB-sf New Rating D-2R LT BBB-sf New Rating E 03331UAA5 LT PIFsf Paid In Full BB+sf E-R LT BBsf New Rating F-R LT NRsf New Rating Transaction Summary Anchorage Capital CLO 26, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage Collateral Management, L.L.C. that originally closed in May 2023. On June 4, 2025, the existing secured notes will be redeemed in full with refinancing proceeds. 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. 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 96.4% first lien senior secured loans and has a weighted average recovery assumption of 72.19%. 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 11.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 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 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-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, and between less than 'B-sf' and 'BB+sf' for class D-2R 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-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1R, and 'A-sf' for class D-2R 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 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. ESG Considerations Fitch does not provide ESG relevance scores for Anchorage Capital CLO 26, 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. ANCHORAGE CAPITAL 26: Moody's Assigns B3 Rating to Class F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Anchorage Capital CLO 26, Ltd. (the Issuer): US$240,000,000 Class A-1R Senior Secured Floating Rate Notes Due 2038, Assigned Aaa (sf) US$250,000 Class F-R Junior Secured Deferrable Floating Rate Notes Due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. Anchorage Capital CLO 26, Ltd. 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 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. Anchorage Collateral Management, L.L.C. (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, six other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to 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 methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $400,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3103 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. AVIS BUDGET 2023-4: Moody's Assigns Ba1 Rating to Class D Notes --------------------------------------------------------------- Moody's Ratings has assigned a definitive rating of Ba1 (sf) to the series 2023-4 class D rental car asset backed notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck, LLC. The complete rating action is as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-4 Series 2023-4 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE The definitive rating assigned to the series 2023-4 class D notes is based on (1) the credit quality of the collateral in the form of rental fleet vehicles which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the track-record and expertise of ABCR as sponsor and administrator, (4) the available credit enhancement, which consists of subordination and over-collateralization, (5) minimum liquidity in the form of cash and/or a letter of credit, and (6) the transaction's legal structure. The class D notes benefit from dynamic credit enhancement primarily in the form of overcollateralization. The credit enhancement level for the 2023-4 class D note will fluctuate over time with changes in the fleet composition and will be determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.00% minimum for non-program (risk) vehicles and (4) 35.75% for medium and heavy duty trucks, in each case, as a percentage of the aggregate outstanding balance of the class A, B, C and D notes net of the series allocated cash amount. As in prior issuances, the transaction documents will stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the rating of the series 2023-4 class D note, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and a stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the rating of the series 2023-4 class D note if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 bankruptcy were to decrease, and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and a weaker credit quality of vehicle manufacturers. AVIS BUDGET 2023-6: Moody's Assigns Ba1 Rating to Class D Notes --------------------------------------------------------------- Moody's Ratings has assigned a definitive rating of Ba1 (sf) to the series 2023-6 class D rental car asset backed notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck. The complete rating actions is as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-6 Series 2023-6 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE The definitive rating assigned to the series 2023-6 class D notes is based on (1) the credit quality of the collateral in the form of rental fleet vehicles which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the track-record and expertise of ABCR as sponsor and administrator, (4) the available credit enhancement, which consists of subordination and over-collateralization, (5) minimum liquidity in the form of cash and/or a letter of credit, and (6) the transaction's legal structure. The class D notes benefit from dynamic credit enhancement primarily in the form of overcollateralization. The credit enhancement level for the 2023-6 class D note will fluctuate over time with changes in the fleet composition and will be determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.00% minimum for non-program (risk) vehicles and (4) 35.80% for medium and heavy duty trucks, in each case, as a percentage of the aggregate outstanding balance of the class A, B, C and D notes net of the series allocated cash amount. As in prior issuances, the transaction documents will stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the rating of the series 2023-6 class D note, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and a stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the rating of the series 2023-6 class D note if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 bankruptcy were to decrease, and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and a weaker credit quality of vehicle manufacturers. AVIS BUDGET 2023-8: Moody's Assigns Ba1 Rating to Class D Notes --------------------------------------------------------------- Moody's Ratings has assigned a definitive rating of Ba1 (sf) to the series 2023-8 class D rental car asset backed notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck LLC. The complete rating actions is as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-8 Series 2023-8 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE The definitive rating assigned to the series 2023-8 class D notes is based on (1) the credit quality of the collateral in the form of rental fleet vehicles which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the track-record and expertise of ABCR as sponsor and administrator, (4) the available credit enhancement, which consists of subordination and over-collateralization, (5) minimum liquidity in the form of cash and/or a letter of credit, and (6) the transaction's legal structure. The class D notes benefit from dynamic credit enhancement primarily in the form of overcollateralization. The credit enhancement level for the 2023-8 class D note will fluctuate over time with changes in the fleet composition and will be determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.00% minimum for non-program (risk) vehicles and (4) 35.80% for medium and heavy duty trucks, in each case, as a percentage of the aggregate outstanding balance of the class A, B, C and D notes net of the series allocated cash amount. As in prior issuances, the transaction documents will stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the ratings of the series 2023-8 class D note, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and a stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2023-8 class D note if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 bankruptcy were to decrease, and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and a weaker credit quality of vehicle manufacturers. BBCMS 2019-BWAY: Fitch Lowers Rating on Class HRR Certs to 'Dsf' ---------------------------------------------------------------- Fitch Ratings has downgraded four classes and affirmed three classes of BBCMS 2019-BWAY Mortgage Trust (BBCMS 2019-BWAY) commercial mortgage pass-through certificates. Fitch has also removed two of the downgraded classes, classes A and X-NCP, from Rating Watch Negative. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2019-BWAY A 05492NAA1 LT CCCsf Downgrade B-sf B 05492NAC7 LT Csf Downgrade CCsf C 05492NAE3 LT Csf Affirmed Csf D 05492NAG8 LT Csf Affirmed Csf E 05492NAJ2 LT Csf Affirmed Csf HRR 05492NAL7 LT Dsf Downgrade Csf X-NCP 05492NAQ6 LT CCCsf Downgrade B-sf KEY RATING DRIVERS Limited Workout Progress/Further Decline in Appraised Value: The downgrades of classes A and interest-only class X-NCP to 'CCCsf' from 'B-sf' reflect the limited progress towards a commercially viable workout including a modification for the 1407 Broadway loan, and a further decline in the reported appraised value. The updated appraisal values, both 'as-is' and 'as-stabilized', are significantly below the balance of the senior classes and without a modification and/or a ground lease extension, full recovery is unlikely. These factors, combined with insufficient property level cash flows to amortize the loan contribute to limited recovery prospects on the senior classes A and X-NCP. Losses are now possible absent improved collateral performance and a ground-lease extension. The downgrade of class B to 'Csf' from 'CCsf' and affirmations of classes C, D and E at 'Csf' reflect limited, if any, recovery prospects due to the declining expected recovery value of the collateral absent an extension of the ground lease. Fitch considers losses to these classes inevitable. The downgrade of class HRR to 'Dsf' from 'Csf' reflects realized losses to the class, which total $2.15 million as of the May 2025 remittance. Excess Cash Flow Used to Pay Senior Classes; Realized Losses: As of the May 2025 remittance, the specially serviced 1407 Broadway loan was classified as performing matured. All cash from property operations is trapped by the special servicer. In the March 2025 through May 2025 remittance reports, excess amounts were used to pay class A and X-NCP the full amount of interest due, as well as pay class A unscheduled principal; class A has paid down by approximately $2.3 million since March 2025. As a result of the unscheduled principal reduction of class A, the lowest bond in the transaction, class HRR, has incurred $2.15 million in realized losses. Classes B through HRR continue to incur interest shortfalls. The total cumulative appraisal reduction is $245.3 million, and the cumulative ASER is approximately $15.2 million as of May 2025. The master servicer is not currently making principal and interest advances; available funds from the property operations since March 2025 have been used to pay the current interest and unscheduled principal to the senior classes. Updated Appraisal Value/Short-Term Leasehold Interest: An updated appraisal value for 1407 Broadway was posted with the April 2025 remittance, which indicated an as-is value of $120 million, or an 11.8% decline compared with the May 2024 as-is value of $136 million. The updated values from 2024 and 2025 incorporate the impact of the short-term ground lease on the property's value. The property is subject to a 76-year ground lease through December 2030, with one 18-year renewal option remaining, which would extend the ground lease through December 2048. The current ground lease payments are a fixed $414,000 per annum, which are set to increase to a fixed $450,000 per annum on January 2031 through December 2048. The 2025 reported appraisal value represents a 76% decline from the $510 million issuance appraised value. The updated 2025 appraisal also contemplated an 'as-stabilized' value of $168 million in February 2030 with no ground lease extension, a hypothetical 'as-is' value of $188 million with a ground lease extension and a hypothetical 'as-stabilized' value of $290 million with a ground lease extension. Absent a ground lease extension, Fitch expects the property value to continue to decline along with the net present value of the cash flows as the final ground lease maturity draws nearer. Property Performance: The property performance continues to lag the submarket averages. Per the most recent appraisal, occupancy has declined to 75.3% as of YE 2024 from 81.7% as of YE 2023, 83.9% at YE 2022, 86.1% at YE 2021 and 93.8% at issuance in 2019. The weighted average in place rent for all tenant space is approximately $55.88 psf per the appraisal. Per recent CoStar reports (as of Q1 2025), the Penn Plaza/Garment office submarket has a reported vacancy rate of approximately 13.6% (availability rate of 14.5%) and average office asking base rents of approximately $57 psf for comparable office property types. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes A and X-NCP to 'CCsf' or lower, including 'Dsf', are possible if losses become more certain or are incurred. This would occur without a viable workout or a modification, and/or ground lease extension that would result in a greater certainty of recovery to these classes. Further downgrades to the remaining classes are possible as losses are realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are not likely due to the loan's specially serviced status and market conditions that could affect the property's cash flow and recovery value. In addition, near-term upgrades are not expected as a ground lease extension may take time to negotiate. However, upgrades may be possible for classes A and X-NCP with an extension of the ground lease coupled with a sustained improvement in collateral performance and greater certainty on the ultimate resolution of the loan. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BBCMS 2020-BID: DBRS Confirms B Rating on Class X-EXT Certs ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2020-BID issued by BBCMS 2020-BID Mortgage Trust as follows: -- Class A at A (high) (sf) -- Class B at BBB (sf) -- Class C at BB (low) (sf) -- Class X-EXT at B (sf) -- Class D at B (low) (sf) -- Class E at CCC (sf) -- Class HRR at CCC (sf) The trends on all Classes remain Negative, with the exception of Classes E and HRR, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. During the prior credit rating action in July 2024, Morningstar DBRS downgraded its credit ratings on all classes, based on the updates to its Loan-to-Value (LTV) Sizing and resulting LTV Sizing Benchmarks. Those results suggested downward pressure across the capital stack, following a revision to the Morningstar DBRS Value for the underlying collateral. The loan is secured by a 506,000-square-foot (sf), Class A office building in Manhattan's Upper East Side submarket. Senior debt of $423.5 million (structured on a floating-rate, interest-only (IO) basis) is held in the trust, while $60.0 million of mezzanine debt is held outside the trust. At issuance. the building was fully leased to Sotheby's, one of the world's largest auction houses, through September 2035. However, in June 2023, Sotheby's announced its acquisition of the Breuer Building with plans to relocate to that property in 2025. Sotheby's subsequently amended its lease in order to re-lease floors five through nine (approximately 53.0% of the net rentable area) to Weill Cornell Medicine (Cornell), reportedly for use as a research lab. Although the current credit ratings continue to reflect Morningstar DBRS' overall outlook for the transaction, refinance risk remains elevated as the loan's fully extended maturity date approaches in October 2025. Given the remainder of the Sotheby's space is expected to be dark in the near to moderate term, these factors supported the persisted Negative trends with this review. According to the servicer, the borrower is working toward a refinancing ahead of the loan's October 2025 maturity date; however, as of the date of this press release, an agreement has yet to be finalized. The transaction is exposed to affiliate lease risk given the borrower under the mortgage loan (Bidfair USA) has leased the property to an affiliated tenant. While a true lease opinion was provided in connection with the transaction at issuance, Morningstar DBRS noted that there is still a possibility that the lease could be recharacterized as financing in the event of a bankruptcy proceeding. Sotheby's began relocating to the Breuer building in 2024 with plans to open to the public toward the end of 2025. According to the servicer, Sotheby's is expected to remain at the subject in some capacity through at least loan maturity, given that the tenant's back-end operations are housed at the property. It was previously noted that Cornell may also elect to lease the 10th floor, ultimately occupying up to 313,000 sf; however, as of the December 2024 rent roll, the 10th floor continues to be leased by Sotheby's. Cornell entered a 30-year triple-net lease for the space, which includes 15 months of free rent and will pay a rental rate of $68.50 per square foot (psf) starting in May 2025 for floors five and six, with the first rent step to $74.50 psf occurring in November 2030, which is well beyond loan maturity. The servicer confirmed that the buildout for the floors turned over to Cornell, presumably floors five and six, remains ongoing. The rent commencement date for floors seven through nine is unknown at this time, but the starting rental rate will also be $68.50 psf for the first five years. In comparison, Sotheby's was paying $79.04 psf for its space and will continue to pay that rate on the remaining space until its lease expiration in September 2035. The servicer confirmed that, per the terms of the lease modification, Sotheby's will cover the 15-month free-rent period for floors five and six of Cornell's space; however, it is uncertain if Sotheby's will also continue to pay rent on floors seven through nine until Cornell starts paying rent on those floors. A leasing reserve of $5.0 million was established to cover buildout costs for Cornell's space while the tenant is expected to fund any remaining costs out of pocket. According to the servicer, the borrower has spent approximately $1.9 million toward its obligations under the lease to date. As part of the analysis for the prior credit rating action, the Morningstar DBRS Net Cash Flow (NCF) was updated to account for the amendment to Sotheby's lease and the signing of Cornell for the re-leased space. Morningstar DBRS gave long-term credit-tenant treatment (LTCT) to Cornell as it is currently rated investment grade by Moody's Investor Services and Standard and Poor's. The concluded Morningstar DBRS NCF was $26.1 million, which is approximately 44.0% below the YE2024 NCF of $46.4 million and 23.0% below the Morningstar DBRS NCF at issuance of $33.8 million. The overall reduction in rental revenue was the primary reason for the variance between the updated Morningstar DBRS NCF and the Morningstar DBRS NCF at issuance. In addition, Morningstar DBRS removed LTCT treatment for Sotheby's, with the conservative approach warranted given Sotheby's is expected to largely vacate the property soon. Although the property is generally well positioned to capture demand from hospitals and biomedical research institutions in the area given its proximity to Hospital Row, large floorplates, and freight infrastructure, Morningstar DBRS notes that tenant improvement costs will likely be considerable to convert the space for medical use, a factor that may limit the sponsor's commitment to the asset and/or lower investor demand should a sale of the property be pursued. Morningstar maintained the cap rate of 8.0%, resulting in a Morningstar DBRS Value of $326.8 million compared with the issuance Morningstar DBRS Value of $519.7 million (cap rate of 6.5%) and issuance appraised value of $830.0 million. It is worthy to note that at issuance, the appraiser determined a go-dark value of $575.0 million; however, considering the shift in the economic landscape and interest rate environment, Morningstar DBRS believes that the dark value has likely declined. The implied LTV based on the updated Morningstar DBRS Value and the trust debt is 130.0%. Morningstar DBRS maintained positive qualitative adjustments totaling 4.0% to account for the generally favorable property quality and market fundamentals as well as the overall stable cash flows, considering the long-term leases in place. Morningstar DBRS' credit ratings assigned to Classes A through D are higher than the results implied by the LTV Sizing Benchmarks by three or more notches. The variances are warranted given the long-term leases in place, which extend well beyond loan maturity, as well as the positive leasing momentum as the borrower secured a backfill for a portion of Sotheby's space in a relatively short amount of time. Notes: All figures are in U.S. dollars unless otherwise noted. BBCMS MORTGAGE 2020-C6: Fitch Affirms B-sf Rating on Cl. G-RR Debt ------------------------------------------------------------------ Fitch Ratings has affirmed 15 classes of BBCMS Mortgage Trust 2020-C6 (BBCMS 2020-C6). The Rating Outlooks for affirmed classes A-S, B, C, D, E, F-RR, G-RR, X-B, and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2020-C6 A-2 05492TAB6 LT AAAsf Affirmed AAAsf A-3 05492TAC4 LT AAAsf Affirmed AAAsf A-4 05492TBP4 LT AAAsf Affirmed AAAsf A-S 05492TAG5 LT AAAsf Affirmed AAAsf A-SB 05492TAD2 LT AAAsf Affirmed AAAsf B 05492TAH3 LT AA-sf Affirmed AA-sf C 05492TAJ9 LT A-sf Affirmed A-sf D 05492TAK6 LT BBB+sf Affirmed BBB+sf E 05492TAM2 LT BBB-sf Affirmed BBB-sf F-RR 05492TAP5 LT BB+sf Affirmed BB+sf G-RR 05492TAR1 LT B-sf Affirmed B-sf H-RR 05492TAT7 LT CCCsf Affirmed CCCsf X-A 05492TAE0 LT AAAsf Affirmed AAAsf X-B 05492TAF7 LT A-sf Affirmed A-sf X-D 05492TAZ3 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss is 3.5%, down from 4.5% at Fitch's prior rating action. Fitch has identified eight loans (30.5% of the pool) as Fitch Loans of Concern (FLOCs), including three loans (11.7%) in special servicing, with the ParkMerced loan (7.5%) being the largest among them. The Negative Outlooks reflect the high concentration of specially serviced loans, and the potential for downgrades to these classes if pool loss expectations increase from further performance deterioration and/or prolonged workouts and/or valuation declines on the specially serviced loans, particularly ParkMerced. The Negative Outlooks also consider the office exposure for the pool of 27%. Largest Loss Contributor: The largest contributor to overall pool loss expectations is the 2000 Park Lane loan, secured by a 234,859-sf office building located in Pittsburgh, PA. The largest tenant, New York Life (fka Life Insurance Co. of North America), which occupies 40.6% of the NRA, vacated the majority of its space before lease expiration in April 2025. Additionally, Coterra Energy, which occupies 24% of the NRA, is not expected to renew its lease expiring in August 2025. According to CoStar, 172,500 sf (73% of the NRA) is listed as available for lease. While two new leases were executed in 2024, with HarbisonWalker International (10.7%) and AMG Resources (5.4%), occupancy is expected to further decline to 16% from the current level of 40%. As of result of the tenant departures, DSCR is projected to fall below 1.0x. A cash sweep was activated, with approximately $2.4 million reflected in the May 2025 loan-level reserve report. Fitch's 'Bsf' rating case loss of 23.1% (prior to concentration adjustments) reflects an elevated 10.25% cap rate, a 25% stress to the YE 2023 NOI and factors a higher probability of default to account for the departure of major tenants, high availability rate at the subject property, and term default risk. FLOC; ParkMerced: The largest loan in the pool and largest FLOC is ParkMerced, which is secured by a 3,165-unit multifamily property in San Francisco, CA. The loan transferred to special servicing in March 2024, prior to its scheduled December 2024 maturity. According to the servicer, a modification agreement was not reached, and the servicer is proceeding with the enforcement of remedies. Recent updates indicate that a receiver was confirmed in March 2025 and a new property manager will be hired to manage, lease and commence work to address deferred maintenance items. Fitch's analysis reflects recent occupancy declines and stagnating cashflow at the property due to headwinds in the San Francisco employment sector, competition from nearby San Francisco State University (SFSU) and weakening market conditions that have affected housing demand. Collateral occupancy declined to 80% as of YE 2024 from 82.7% in September 2023 and remains below issuance occupancy of 94.2%. The updated Fitch NCF of $50.4 million, which is 13% below Fitch's issuance NCF of $57.7 million, reflects leases-in-place as of the August 2024 rent roll, with a lease-up of vacant units to market rental rates at a long-term sustainable occupancy of 88%. Fitch's sustainable long-term vacancy assumption of 12% reflects the sustained leasing challenges in stabilizing the asset to reach market levels. Fitch's recovery expectations for the ParkMerced loan securitized in the transaction are high, driven by an updated appraisal of $1.4 billion that significantly exceeds the total A-note debt of $547 million, along with moderate leverage reflected in a Fitch-stressed LTV of 75.9% for the A notes. The second-largest FLOC is the 650 Madison loan, which is secured by a 27- story, class A office building in Midtown Manhattan. This loan was flagged as a FLOC given the renewal terms for Ralph Lauren (RL), which includes the tenant downsizing from 41% of the NRA to 24%, with a rental rate per square footage that is 30% below the previous in-place rent. The renewed RL lease expires in April 2036. As of September 2024, the servicer-reported DSCR and occupancy were 1.82x and 53%, respectively, compared to 2.89x and 90% at YE 2021. Fitch's 'Bsf' rating case loss of 2.9% (prior to concentration add-ons) is based on an updated Fitch NCF of $42.1 million, which is 20% below Fitch's issuance NCF of $52.7 million, and reflects leases-in-place as of the January 2025 rent roll. Fitch utilized a 7.25% cap rate, up from 7% at issuance, reflecting comparable properties in the market along with the deteriorating outlook for office properties. Increased Credit Enhancement (CE): As of the April 2025 distribution date, the pool's aggregate principal balance has paid down by 4.6% to $862 million from $904 million at issuance. Two loans (3.5% of the pool) are fully defeased. Cumulative interest shortfalls of $39,016 are impacting the non-rated classes NR-RR and VRRI. 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 or are expected to occur. Downgrades to junior 'AAAsf' rated classes with a Negative Outlook could occur if performance of the FLOCs continued to deteriorate, workouts are prolonged, or the valuations of specially serviced loans decline, leading to increased loss expectations without improvement in class CE. Additionally, downgrades may happen if interest shortfalls arise. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur should performance of the FLOCs, most notably ParkMerced, 650 Madison and 2000 Park Lane, deteriorate further or if more loans than expected default at or prior to maturity. Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the aforementioned FLOCs, and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed 'CCCsf' ratings would occur if 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. 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. 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. BEANFIELD SECURITIZATION 2025-1: Fitch Rates Cl. C Notes 'BB-sf' ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Beanfield Securitization Issuer L.P., Secured Fiber Network Revenue Notes, series 2025-1. Entity/Debt Rating ----------- ------ Beanfield Securitization Issuer L.P., Secured Fiber Network Revenue Notes, Series 2025-1 A-1-L LT Asf New Rating A-1-V LT A-sf New Rating A-2 LT A-sf New Rating B LT BBB-sf New Rating C LT BB-sf New Rating Transaction Summary Beanfield Securitization Issuer, L.P., Secured Fiber Network Revenue Notes, Series 2025-1, is a $565.0 million issuance of notes, the proceeds of which will be utilized to fund reserve accounts, pay transaction fees, repay existing debt and for general corporate purposes. All note balances and amounts are denominated in CAD$. The $75 million balance for the variable funding notes (VFN) reflects the maximum commitment, contingent on leverage consistent with the total class A leverage ratio of 6.27x. The ability to draw on the VFN is predicated on incremental cash flow growth from existing customers and additional penetration of existing markets. Draws under the VFNs are subject to eligibility requirements. The notes will be secured by a first-priority perfected security interest in all equity interests in the issuer and asset entities, all the obligors' rights, titles and interests in all customer contracts within the geographic footprint, any other fiber network assets owned by the obligors, and funds held in transaction accounts. These include perfected security interests in the conduits, fiber optic cables, network-level equipment, access rights and transaction accounts. At closing, the transaction is secured by the sponsor's fiber network of approximately 3,939 fiber route kilometers (FRK) that serves on-net 5,161 facilities, 37,000 residential customers and 600 multi-dwelling units (MDUs). The collateral is primarily located in Toronto, ON (79.1% of annualized monthly recurring revenue [AMRR]), Montreal, QC (13.6%), and Vancouver, BC (7.4%). The network supports approximately 55,673 contracts that provide internet (32.1%), ethernet (22.9%), transport (15.5%), and managed hosting & colocation (6.8%) services for enterprise customers and residential internet and video (22.7%) MDUs. The ratings reflect Fitch's structured finance analysis of cash flow from the ownership interest in the underlying fiber optic network, rather than an assessment of the corporate default risk of the parent, Beanfield Technologies, Inc. KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's base case NCF is $44.7 million, implying a 17.5% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 10.5x, compared with debt/issuer NCF leverage of 8.7x. Inclusive of the cash flow required to draw upon the $75 million VFN, Fitch NCF is $55.8 million, implying a 15.8% haircut to the implied issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.8x, compared with debt/issuer NCF leverage of 8.2x. Based on the Fitch NCF and assumed annual revenue growth of 0.9%, and following the transaction's anticipated repayment date (ARD), the notes would be repaid 19.4 years from the closing date. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and maximum potential leverage (MPL) include the high quality of the underlying collateral network, low historical churn, the creditworthiness of contract counterparties, market position, market diversity, capability of the operator and 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 35 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology, rendering obsolete the current transmission of data through fiber optic cables, will be developed. Fiber optic cable networks are currently the fastest and most reliable means to transmit information, and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Declining cash flow as a result of higher expenses, contract churn, contract amendments or the development of an alternative technology for the transmission of data could lead to downgrades; - Fitch's base case NCF is 17.5% 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 Maximum Potential Leverage: class A notes to 'BBB-sf' from 'A-sf', class B to 'BBsf' from 'BBB-sf', and class C to B-sf' from 'BB-sf'. 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; - A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of Maximum Potential Leverage: class A notes to 'Asf' from 'A-sf', class B to 'BBBsf' from 'BBB-sf', and class C to 'BBsf' from 'BB-sf'; - However, upgrades are unlikely given the provision to issue additional debt, increasing leverage without the benefit of additional collateral. Upgrades may also be limited given the ratings are capped at 'Asf', given the risk of technological obsolescence. 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 certain characteristics with respect to the portfolio of fiber network assets and related contracts in the data file. 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. BLACKROCK DLF 2025-1: DBRS Gives Prov. B Rating on Class W Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes, and the Class W Notes (together, the Secured Notes) issued by BlackRock DLF X CLO 2025-1, LLC (the Issuer). The Secured Notes are issued pursuant to the Note Purchase and Security Agreement, dated as of May 30, 2025, among the Issuer, Wilmington Trust, N.A., as Collateral Agent, Custodian, Collateral Administrator, Information Agent and Note Agent, and the Purchasers referred to therein: -- Class A-1 Notes at AAA (sf) -- Class A-2 Notes at AA (high) (sf) -- Class B Notes at A (sf) -- Class C Notes at BBB (sf) -- Class D Notes at BB (sf) -- Class W Notes at B (sf) The provisional credit ratings on the Class A-1 Notes and the Class A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate repayment of principal on or before the Stated Maturity of May 30, 2037. The provisional credit ratings on the Class B Notes, the Class C Notes, the Class D Notes, and the Class W Notes address the ultimate payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate repayment of principal on or before the Stated Maturity of May 30, 2037. The Class W Notes have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Secured Notes. The Class W Notes also benefit from the Class W Note Payment Amount, which allows for principal repayment of the Class W Notes with collateral interest proceeds, in accordance with the Priority of Payments. CREDIT RATING RATIONALE/DESCRIPTION The Issuer is a cash flow collateralized loan obligation (CLO) transaction that will be collateralized primarily by a portfolio of U.S. senior secured middle-market (MM) corporate loans and managed by BlackRock Capital Investment Advisors, LLC (BlackRock Capital or BCIA) as the Collateral Manager. BlackRock Capital is a wholly owned subsidiary of BlackRock, Inc. (BlackRock). The Reinvestment Period is scheduled to end on May 30, 2029. The Stated Maturity is May 30, 2037. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Secured Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Assets. (5) Morningstar DBRS' assessment of the CLO management capabilities of BlackRock Capital as the Collateral Manager. (6) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology (the Legal Criteria). The transaction has a dynamic structural configuration that permits variations of certain asset metrics via a selection of an applicable row from a collateral quality matrix (the CQM, as defined in Schedule G of the NPSA). Depending on a given Diversity Score (DScore), the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, Advance Rate, Weighted-Average (WA) Recovery Rate, and WA Spread Level. Morningstar DBRS analyzed each structural configuration (row) as a unique transaction, and all configurations passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS modeled in its base-case analysis are presented below. Coverage Tests: Class A Overcollateralization (OC) Ratio: minimum 134.18% Class B OC Ratio: minimum 119.11% Class C OC Ratio: minimum 117.63% Class D OC Ratio: minimum 112.76% Class A Interest Coverage (IC) Ratio: minimum 150.00% Class B IC Ratio: minimum 140.00% Class C IC Ratio: minimum 120.00% Class D IC Ratio: minimum 110.00% Class W IC Ratio: minimum 100.00% Collateral Quality Tests: Minimum Weighted Average Spread: Subject to CQM; min 5.00% Minimum Weighted Average Coupon: 7.00% Maximum Morningstar DBRS Risk Score: Subject to CQM; min 28.75% Minimum Weighted Average Recovery Rate: Subject to CQM; min 41.50% Minimum Diversity Score: Subject to CQM; min 8 Maximum Weighted Average Life Test: 7.25 years from Closing Date Maximum Advance Rate Level: Subject to CQM; max 85.63 Some particular strengths of the transaction are (1) the collateral quality, which will consist mostly of senior-secured middle-market loans; (2) the expected adequate diversification of the portfolio of collateral obligations (Diversity Score, matrix driven); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Loans. Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public ratings once purchased, and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the Global Methodology for Rating CLOs and Corporate CDOs (November 19, 2024). The model-based analysis, which incorporated the above-mentioned collateral quality matrix, produced satisfactory results. Considering the analysis, as well as the transaction's legal aspects and structure, Morningstar DBRS assigned the provisional credit ratings on the Secured Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Secured Notes. As of the Closing Date, Morningstar DBRS' credit ratings on the Secured Notes will be provisional. The provisional credit ratings reflect the fact that the finalization of the provisional credit ratings are subject to certain conditions after the Closing Date, such as compliance with the Eligibility Criteria (as defined in the NPSA). Morningstar DBRS' credit ratings on the Secured Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the principal and interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) due on the Secured Notes. Notes: All figures are in US dollars unless otherwise noted. BLUEMOUNTAIN CLO 2018-2: S&P Lowers F Notes Rating to 'CCC (sf)' ---------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B and C debt from BlueMountain CLO 2018-2 Ltd. S&P also lowered its ratings on the class E and F debt and removed the rating on the class E debt from CreditWatch, where S&P had placed it with negative implications in May 2025. At the same time, S&P affirmed its ratings on the class A and D debt. The rating actions follow its review of the transaction's performance using data from the March 2025 monthly trustee report and the May 2025 payment date 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 both experienced principal paydowns (which increased the senior credit support) and faced principal losses and an increase in defaults (which decreased the junior credit support). The transaction has paid down $164.20 million to the class A debt since S&P's June 2022 rating actions. The reported overcollateralization (O/C) ratios have changed since the May 2022 trustee report, which it used for its previous rating actions: -- The class B O/C ratio improved to 146.70% from 132.96%. -- The class C O/C ratio improved to 124.61% from 119.99%. -- The class D O/C ratio improved to 112.82% from 112.38%. -- The class E O/C ratio declined to 104.71% from 106.83%. Class F is not supported by an O/C test. The upgraded class B and C ratings reflect the improved credit support available to the debt at prior rating levels. S&P said, "The affirmed rating on the class D debt reflects our view that the credit support available is commensurate with the current rating level. Though our cash flow analysis indicates the potential for a higher rating on all three notes, the transaction has exposure to 'CCC' collateral obligations, as well as to some assets with low market values. Our rating decisions reflect our consideration of the credit enhancement available for these debt under additional sensitivity analyses that evaluated these exposures." While the senior O/C ratios experienced a positive movement due to the lower balances of the senior debt, the junior O/C ratio declined due to a combination of par losses and increases in 'CCC' rated and defaulted assets. In addition, though the absolute level of collateral obligations rated in the 'CCC' category decreased to $27.21 million from $38.96 million in June 2022, the relative exposure percentage of the 'CCC' balance increased to 8.7% from 7.8%, primarily 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/C ratios. Defaulted obligations have also increased to $3.24 million as of the May 2025 payment date report from $1.40 million as of the May 2022 trustee report. The lowered ratings on the class E and F debt reflect the decrease in their credit support levels and failing cash flow runs at their respective prior ratings. On a standalone basis, the results of the cash flow analysis indicated lower ratings than the ones reflected by the rating actions. S&P said, "However, our actions considered the pure O/C ratios (O/C ratios without haircuts) of the class E and F debt in comparison to similarly rated classes, the relatively low exposure to 'CCC' and 'CCC-' rated collateral obligations, and the application of our 'CCC' rating definitions." The committee concluded that that class E debt does not yet require favorable conditions to meet its obligation of timely interest and ultimate repayment of principal by legal final maturity. However, any increase in defaults and/or further portfolio credit quality deterioration could lead to potential negative rating actions on them. 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 2018-2 Ltd. Class B to 'AA+ (sf)' from 'AA (sf)' Class C to 'A+ (sf)' from 'A (sf)' Rating Lowered And Removed From CreditWatch BlueMountain CLO 2018-2 Ltd. Class E to 'B (sf)' from 'BB- (sf)/Watch Neg' Rating Lowered BlueMountain CLO 2018-2 Ltd. Class F to 'CCC (sf)' from 'CCC+ (sf)' Ratings Affirmed BlueMountain CLO 2018-2 Ltd. Class A: AAA (sf) Class D: BBB- (sf) BX TRUST 2025-LUNR: Fitch Assigns BB-sf Final Rating on Cl. E Certs ------------------------------------------------------------------- Fitch Ratings has assigned final 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. The following classes have not been rated by Fitch: - $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 holds a $1.0 billion, two-year, floating-rate, interest-only mortgage loan with three one-year extension options. The mortgage is 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 are used to refinance approximately $981.1 million of existing debt and pay $18.9 million in closing costs. The certificates 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 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 acts as the servicer and special servicer. Computershare Trust Company, N.A. acts as trustee and certificate administrator. 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. BX TRUST 2025-TAIL: Fitch Assigns 'BB-sf' Rating on Class E Certs ----------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Ratings Outlooks to BX Trust 2025-TAIL, commercial mortgage pass-through certificates series 2025-TAIL: - $366,130,000 class A 'AAAsf'; Outlook Stable; - $43,130,000 class B 'AA-sf'; Outlook Stable; - $46,260,000 class C 'A-sf'; Outlook Stable; - $65,270,000 class D 'BBB-sf'; Outlook Stable. - $87,210,000 class E 'BB-sf'; Outlook Stable. The following classes are not rated by Fitch: - $24,000,000(a) class RR; - $8,000,000(a) RR Interest; (a) Class RR and RR Interest represent a non-offered vertical risk retention interest totaling approximately 5.0% of the fair value of the offered certificates. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $640 million, two-year, floating-rate, interest-only mortgage loan with three one-year extension options. The mortgage is secured by the borrower's fee simple interest in a portfolio of 23 grocery anchored properties located across 12 states. The properties were acquired by affiliates of BREIT Operating Partnership L.P., who will serve as initial borrower sponsor. The properties were acquired through various separate transactions between 2019 and 2022 for a total cost basis of approximately $916.0 million. Mortgage loan proceeds were used to refinance approximately $493.0 million of existing debt, pay a total of $2.5 million in closing costs, and return approximately $144.5 million in equity to the sponsor. 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, subject to a loan-to-value (LTV) and debt yield (DY) no worse than closing date, among other provisions outlined in the loan agreement. The loan was co-originated by German American Capital Corporation, Barclays Capital Real Estate Inc., and Bank of Montreal. KeyBank National Association will act as both the master servicer and special servicer. Computershare Trust Company, National Association will act as the trustee and Deutsche Bank National Trust Company, National Association will be the certificate administrator. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio is estimated at $49.8 million. This is 11.3% lower than the issuer's NCF and 9.5% lower than YE24 NCF. Fitch applied a 7.50% cap rate to derive a Fitch value of $664.4 million. High Overall Fitch Leverage: The $640.0 million trust loan equates to a debt of $212.83 psf with a Fitch debt service coverage ratio (DSCR) of 0.92x, loan-to-value ratio (LTV) of 96.3% and debt yield of 7.8%. The loan represents around 68.6% of the appraised value of $993.1 million. The Fitch market LTV at 'BB-sf' (the lowest Fitch-rated non-investment grade tranche) is 85.2%. The Fitch market LTV is based on a blend of the Fitch cap rate and the market cap rate of 5.77%. Geographic Diversity: The portfolio exhibits geographic diversity with 23 grocery anchored properties (3.0 million sf) located across 12 states and 16 markets, per CoStar. The three largest state concentrations are are Illinois (two properties; 17.0% of ALA), New York (one property; 15.7% of ALA), Texas (four properties; 12.4% of ALA). The three largest markets are New York, NY (13.7% of NRA; 20.7% of allocated loan amount [ALA]), Chicago, IL (14.8% of NRA; 17.0% of ALA) and Seattle, WA (10.2% of NRA; 10.6% of ALA). The Fitch effective MSA count for the pool is 9.0. The portfolio also exhibits significant tenant diversity, as it features 314 distinct tenants. Institutional Sponsorship and Management: The loan is sponsored by BREIT Operating Partnership L.P., an affiliate of Blackstone Inc. Blackstone is one of the largest owners of commercial real estate in the world and had approximately $315 billion of assets under management as of February 2025 per the termsheet. The portfolio in this transaction is managed by ShopCore Properties TRS Management LLC, Jones Lang LaSalle Americas, Inc. and Mid-America Asset Management, Inc. ShopCore will manage 20 of the 23 properties and is an affiliate of the borrowers. ShopCore Properties operates over nine million square feet of retail centers. ShopCore Properties' portfolio consists of over 60 shopping centers in various regions across the United States. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'. - 10% NCF Decline: 'AA-sf'/'A-sf'/'BBB-f'/'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 list below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'. - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'BBBsf'/'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 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 the mortgage loan. Fitch considered this information in its analysis, and the findings did not have an impact on the analysis. 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. CARLYLE US 2023-1: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Carlyle US CLO 2023-1, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Carlyle US CLO 2023-1, Ltd. A-1-R LT AAA(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1-R LT BBB-(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Transaction Summary Carlyle US CLO 2023-1 (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. The CLO originally closed in June 2023, and its secured notes will be refinanced on June 30, 2025. 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: 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 24.09, and will be managed to a WARF covenant from a Fitch test matrix. 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: The indicative portfolio consists of 95.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.33% and will be managed to a WARF covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40.1% 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: 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: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B-sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle CLO 2023-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CARVANA AUTO 2025-P2: Fitch Gives 'BB+(EXP)sf' Rating on Cl. N Debt ------------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to Carvana Auto Receivables Trust 2025-P2 (CRVNA 2025-P2). Entity/Debt Rating ----------- ------ Carvana Auto Receivables Trust 2025-P2 A1 ST F1+(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating N LT BB+(EXP)sf Expected Rating KEY RATING DRIVERS Collateral — Prime Credit Quality: CRVNA 2025-P2 is backed by collateral that is consistent with that of prior prime securitizations issued by Carvana. The CRVNA 2025-P2 pool has a weighted average FICO score of 701, which is on the lower end relative to peer prime issuers. However, FICO scores above 750 total 26.0% of the pool. The transaction's percentage of extended-term loans (61+ months) is elevated at 95.3% of the pool and loans with terms of more than 72 months formed 47.9% of the pool, both higher than most comparable transactions. The pool is diversified by vehicle brand, model and geography. Used vehicles make up 100% of the pool. Forward-Looking Approach to Derive Rating-Case Loss Proxy: Carvana provided managed portfolio data beginning in 2015, which showed consistent performance for its prime originations between 2015 and the start of the pandemic. Post-pandemic performance was strong, owing to significant government stimulus and strong used car prices, which had a positive impact on pre-pandemic vintages with loans outstanding in addition to the 2020 vintage originations. Performance deterioration began with the 2021 vintage, with each subsequent vintage experiencing higher loss levels through 2023, impacted by both higher defaults and lower recoveries as used vehicle values declined. At this early stage, the 2024 vintage shows improvement, with losses coming in lower than 2023. In the absence of a full cycle of detailed historical performance data, Fitch supplemented the Carvana managed performance data with proxy data from a comparable auto loan platform to derive the credit loss expectation. Fitch used Carvana's 2021-2023 performance data and recessionary data from 2007-2008 from peer auto ABS issuers to determine the rating case loss proxy. In addition, Fitch took potential risks of the current economic environment and the state of the auto industry and wholesale vehicle market (WVM) into consideration, as well as future expectations and their potential impact on the pool when deriving the rating case loss proxy. Fitch's forward-looking rating case credit cumulative net loss (CNL) proxy is 3.50%. Payment Structure — Adequate Credit Enhancement: Initial hard credit enhancement (CE) totals 10.65%, 6.45%, 1.95%, 0.50% and 0.25% for classes A, B, C, D and N, respectively. Initial expected excess spread is 6.65%. Initial CE is sufficient to withstand Fitch's rating case CNL proxy of 3.50% at the applicable rating loss multiples of 5.00x for 'AAAsf', 4.00x for 'AAsf', 3.00x for 'Asf' 2.00x for 'BBBsf', and 1.67x for 'BB+sf'. Operational and Servicing Risks — Stable Origination/Underwriting/Servicing: Carvana demonstrates adequate abilities as an originator and underwriter, and Bridgecrest demonstrates adequate abilities as a servicer. The performance history of Carvana's managed portfolio demonstrates its abilities as an originator and underwriter, and prior Carvana and DriveTime securitizations demonstrate Bridgecrest's abilities as a servicer. In addition, Vervent serves as a backup servicer in case Bridgecrest is unable to perform. Fitch deems Carvana to be an adequate originator and Bridgecrest an adequate servicer for this transaction. Fitch's base-case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 3.00% based on Fitch's "Global Economic Outlook — April 2025 Update" report and historical managed portfolio performance and projections. 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 that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. In addition, unanticipated declines in recoveries could result in lower net loss coverage, which may make certain note ratings susceptible to negative rating action, depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a 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 rating case 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 break-even loss coverage provided by the CE structure. Fitch increases the rating case CNL proxy by 1.5x and 2.0x to represent moderate and severe stresses, respectively. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and the rating impact with a 50% haircut. These analyses aim to indicate the rating sensitivity of notes to unexpected deterioration of a trust'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 lead to consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected ratings for the subordinate notes could be upgraded by up to two notches. 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 150 loans from the statistical data file. 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 2017-CD4: Fitch Affirms 'BBsf' Rating on Three Tranches ---------------------------------------------------------- Fitch Ratings has downgraded four and affirmed 13 classes of CD 2017-CD4 Mortgage Trust Commercial Mortgage Pass-Through Certificates Series 2017-CD4. The Rating Outlooks for classes B, C, X-B, D, X-D, V-BC and V-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- CD 2017-CD4 A-3 12515DAQ7 LT AAAsf Affirmed AAAsf A-4 12515DAR5 LT AAAsf Affirmed AAAsf A-M 12515DAT1 LT AAAsf Affirmed AAAsf A-SB 12515DAP9 LT AAAsf Affirmed AAAsf B 12515DAU8 LT AA-sf Affirmed AA-sf C 12515DAV6 LT A-sf Affirmed A-sf D 12515DAF1 LT BBsf Affirmed BBsf E 12515DAG9 LT CCCsf Downgrade B-sf F 12515DAH7 LT CCsf Downgrade CCCsf V-A 12515DAW4 LT AAAsf Affirmed AAAsf V-BC 12515DBU7 LT A-sf Affirmed A-sf V-D 12515DAZ7 LT BBsf Affirmed BBsf X-A 12515DAS3 LT AAAsf Affirmed AAAsf X-B 12515DAA2 LT A-sf Affirmed A-sf X-D 12515DAB0 LT BBsf Affirmed BBsf X-E 12515DAC8 LT CCCsf Downgrade B-sf X-F 12515DAD6 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Fitch's loss expectations are relatively stable, with Fitch's deal-level 'Bsf' rating case loss modestly increasing to 6.8% from 6.6% at Fitch's prior rating action. The downgrades to classes E, X-E, F and X-F are the result of higher certainly of loss given the increase in expected losses on the specially serviced loans. Thirteen loans (32.7% of the pool) are considered Fitch Loans of Concern (FLOCs), including seven specially serviced loans (13.9%), two of which transferred to specially servicing in May 2025 (260 West 36th Street and SSM Health HQ). The Negative Outlooks reflect possible future downgrades due to the potential for further occupancy and cashflow declines of the FLOCs, including those primarily secured by office collateral (28.2% of the pool). Additionally, downgrades could be caused by lower valuations and recovery expectations on specially serviced loans, and/or if additional loans transfer to special servicing prior to or at maturity. Large office FLOCs include Key Center Cleveland, Hamilton Crossing, 111 Livingston Street, Los Angeles Corporate Center, Troy Office Portfolio, Malibu Vista and 5015 Shoreham Place. Largest Contributors to Expected Loss: The largest contributor to overall expected losses is the delinquent 260 West 36th Street loan (3.3% of the pool), which is secured by an 85,000-sf office building located between Seventh and Eighth Avenue in the Garment District section of New York City. Performance has declined, with the NOI debt service coverage ratio (DSCR) at September 2023 of 0.55x compared with 1.08x at YE 2021, and 1.79x at YE 2019. There has been limited performance updates since, with the loan classified as 60 days delinquent as of the May 2025 remittance. The loan transferred to special servicing subsequent to the remittance cutoff date. Occupancy was at 76% per the October 2023 rent roll, which is fairly granular with several leases classified as month-to-month or with near-term lease expiration. In December 2022, the loan was assumed by Ouni Mamrout and partner Meyer Equities for $33 million ($400 psf). Fitch's 50% loss expectation factors a 10.25% cap rate, 25% stress to the annualized 3Q23 NOI and increasing total loan exposure. It also assumes a value of $67 psf. The second largest contributor to overall losses is the specially serviced Hamilton Crossing loan (2.4%), secured by a 590,917-sf office complex in Carmel, IN. The loan transferred to the special servicer in July 2019 for imminent default after the property's top tenant, ADESA, which leased 30% of the NRA, vacated at its July 2019 lease expiry. Occupancy has since recovered slowly. As of the March 2025 rent roll, occupancy was approximately 62.3%, compared to 72.6% as of September 2022, 67.7% at YE 2021, 53.8% at YE 2020 and 56.5% at YE 2019. Fitch's loss expectation of 29% reflects a stressed value of $57 psf, factoring in a 10.75% cap rate and a 30% stress to the annualized YE 2023 NOI to account for rollover. The third largest contributor to expected loss is Malibu Office (1.6%), which transferred to special servicing in May 2024. The 18,643-sf office property is located on the Pacific Coast Highway in Malibu, CA, was built in 1989 and renovated in 2016. The single tenant, Regus, vacated in 2020 and the property remains fully vacant. Fitch's 'Bsf' rating case loss of 48% (prior to a concentration adjustment) is based on a 10% cap rate and assumes a 50% discount to the income derived from the prior tenant's rent to account for the dark property and the lag in re-tenanting office assets, with an implied recovery value of $282 psf. The fourth largest contributor to overall loss expectations is the 111 Livingston Street loan (3.3% of the pool), secured by a 407,861-sf office building located in Downtown Brooklyn, NY. Major tenants include Legal Aid (27% of the NRA; October 2037), C.U.N.Y. (10.4%; August 2027) and Brooklyn Law School (9.5%, January 2032). The prior largest tenant, the Office of Temporary and Disability Assistance (OTDA) (29.8%) vacated in 2024. As of June 2024, the property was 67% occupied, compared to 74% at YE 2023, 85.6% in March 2023, 98.6% in June 2020, and 100% at issuance. Per the March 2025 servicer provided rent roll, there were recently executed leases; however, some tenants did not have lease start and/or end date indicated, which would significantly improve the occupancy and cash flow at the property. Fitch's 'Bsf' rating case loss of 19% (prior to concentration add-ons) reflects a 9.5% cap rate and a 20% stress to the YE 2023 NOI due to the previous rollover. Increased Credit Enhancement (CE): As of the May 2025 remittance reporting, the pool's aggregate balance has been reduced by 20.2% to $718.5 million from $900.45 million at issuance. Nine loans (16.7% of the pool) have been fully defeased. Nine loans (22.4%) are full-term IO and 18 loans (51.3%) were partial-term IO, with all amortizing. To date, the trust has incurred $6.3 million in realized principal losses which have been absorbed by the non-rated class G and non-rated risk retention classes. Most of the pool matures in 2027 (87.7%); however, 2.2% of the pool matures in 2025, and 7.9% in 2026. One loan (2.2%) has an anticipated repayment date in 2027 (final maturity in 2035). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the 'AAAsf' rated classes are not likely due to the high CE and continued expected paydown from loan repayments and amortization, but may occur should if expected losses increase significantly, and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf', 'Asf' and 'BBsf' categories, which have Negative Outlooks, may occur if expected losses increase on FLOCs, including 260 West 36th Street, 111 Livingston Street, Hamilton Crossing, Malibu Office, Los Angeles Corporate Center, Key Center Cleveland and Troy Office Portfolio and/or if workout times are prolonged resulting in increased exposures or value deterioration for the specially serviced loans. Downgrades to distressed classes may occur as losses are incurred and/or with a greater certainty of loss expectations. 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 loan payoffs and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance and recovery expectations on the FLOCs. Upgrades to the 'BBsf' 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 (especially loans secured by office properties), are better than expected and there is sufficient CE to the classes. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to distressed ratings are not expected but would be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CFMT 2025-AB3: DBRS Finalizes B Rating on Class M5 Notes -------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Asset-Backed Notes, Series 2025-1 (the Notes) issued by CFMT 2025-AB3, LLC as follows: -- $454.0 million Class A at AAA (sf) -- $10.5 million Class M1 at AA (low) (sf) -- $8.4 million Class M2 at A (low) (sf) -- $9.4 million Class M3 at BBB (low) (sf) -- $8.9 million Class M4 at BB (low) (sf) -- $5.8 million Class M5 at B (sf) The AAA (sf) credit rating reflects 13.2% of credit enhancement. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) credit ratings reflect 11.2%, 9.6%, 7.8%, 6.1%, and 5.0% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues, if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the Cut-Off Date (March 31, 2025), the collateral consists of approximately $523.07 million in unpaid principal balance (UPB) from 1,631 performing home equity conversion mortgage reverse mortgage loans typically on single-family residential properties, condominiums, multifamily (two- to four-family), manufactured homes, and planned unit developments. The mortgage assets were all originated between 1996 and 2016. Of the total assets, 433 have a fixed interest rate (29.76% of the balance), with a 5.225% weighted-average (WA) mortgage interest rate. The remaining 1,198 assets have floating-rate interest (70.24% of the balance) with a 6.276% mortgage interest rate, bringing the entire collateral pool to a 5.963% mortgage interest rate. All the mortgage assets in this transaction are currently performing loans. Further, all these loans are insured by the United States Department of Housing and Urban Development (HUD), which mitigates losses vis-à-vis uninsured loans. See the discussion in the Analysis section of the related presale report. Because the insurance supplements the home value, the industry metric for this collateral is not the loan-to-value ratio (LTV) but rather the WA effective LTV adjusted for HUD insurance, which is 49.75% for these loans. To calculate the WA LTV, Morningstar DBRS divides the UPB by the sum of the maximum claim amount plus the asset value. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A Notes) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have available fund caps. Classes M1, M2, M3, M4, and M5 (together, the Class M Notes) have principal lockout terms insofar as they are not entitled to principal payments prior to a Redemption event, unless an Acceleration Event or Auction Failure Event occurs. Available cash will be trapped until these dates, at which stage the notes will start to receive payments. Note that the Morningstar DBRS cash flow as it pertains to each note models the first payment being received after these dates for each of the respective notes; hence, at the time of issuance, these rules are not likely to affect the natural cash flow waterfall. A failure to pay the Notes in full on the Mandatory Call Date (May 2030) will trigger a mandatory auction of all assets. If the auction fails to elicit sufficient proceeds to pay off the notes, another auction will follow every three months for up to nine months after the Mandatory Call Date. If these have failed to pay off the notes, this is deemed an Auction Failure, and subsequent auctions will proceed every six months. 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 Note Amounts. In addition, the associated financial obligations for the Class A Notes include the related Cap Carryover and Interest Payment Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP 2014-GC21: Fitch Lowers Rating on 3 Tranches to BBsf -------------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed four classes of Citigroup Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2014-GC21 (CGCMT 2014-GC21). Following their downgrades, Fitch assigned Negative Rating Outlooks to three classes. Fitch has also affirmed four classes of Citigroup Commercial Mortgage Trust commercial mortgage pass-through certificates series 2014-GC23 (CGCMT 2014-GC23). Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2014-GC21 C 17322MBA3 LT BBsf Downgrade BBBsf D 17322MAA4 LT CCCsf Affirmed CCCsf E 17322MAC0 LT CCsf Affirmed CCsf F 17322MAE6 LT Csf Affirmed Csf PEZ 17322MBD7 LT BBsf Downgrade BBBsf X-B 17322MBC9 LT BBsf Downgrade BBBsf X-C 17322MAJ5 LT CCsf Affirmed CCsf CGCMT 2014-GC23 D 17322VAE6 LT Bsf Affirmed Bsf E 17322VAG1 LT CCCsf Affirmed CCCsf F 17322VAJ5 LT CCsf Affirmed CCsf X-C 17322VAA4 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Concentrated Transactions: All loans across the two transactions are Fitch Loans of Concern (FLOC), as they are past their initial scheduled maturity dates. Both the CGCMT 2014-GC21 and CGCMT 2014-GC23 transactions have three loans remaining in the pool, all of which are in special servicing. Due to the concentrated nature of the pools, Fitch conducted a paydown analysis that categorized the remaining loans according to their status, collateral quality, and anticipated losses. CGCMT 2014-GC21: The downgrade to class C reflects heightened pool loss expectations since Fitch's previous rating action, driven by the Maine Mall and Regional One Medical and the dependency on recoveries from these loans to repay classes. The Negative Outlook for class C highlights the potential for further downgrades if performance for the remaining loans continues to decline and the recovery prospects worsen. CGCMT 2014-GC23: The affirmations and Negative Outlook for class D reflects the high concentration of loans in special servicing. Furthermore, all remaining loans have surpassed their initial maturity dates. Downgrades may occur if the performance or appraisal values of the remaining loans continue to decline, and anticipated recoveries worsen. Largest Remaining Loans and Largest Contributors to Loss: The largest loan in the pool and largest contributor to overall loss expectations in CGCMT 2014-GC21 is the Maine Mall loan, which is secured by a 747,660-sf portion of a 1,022,208-sf regional mall located approximately six miles southwest of Portland, ME. The loan transferred to special servicing in February 2024 for imminent maturity default as the loan was scheduled to mature in April 2024. Recent servicer commentary indicates that terms for a loan modification and extension are being negotiated. Non-collateral anchors include Macy's and a dark anchor box previously occupied by Sears. Collateral anchors include Jordan's Furniture (which backfilled the majority of the former Bon-Ton space that closed in August 2017; 16.0% of collateral NRA; July 2030) and JCPenney (11.5%; July 2028). Junior anchors include Best Buy, Round 1 Bowling & Amusement, and Old Navy. The mall also features the only Apple store in the state of Maine. The collateral was 85.6% occupied at YE 2024, compared to 91% occupied at YE 2023, 91.1% at YE 2021, and 93.9% at YE 2020. There is upcoming lease rollover of 9% in 2025. The servicer reported NOI debt service coverage ratio (DSCR) was 1.62x at YE 2024, 1.58x at YE 2023, 1.48x at YE 2022, 1.40x YE 2021, and 1.45x at YE 2020. Fitch's expected loss of 33.3 % (prior to concentration adjustments) reflects a haircut to the most recent reported appraisal value that is approximately 50% below the issuance appraisal. The second largest loan in the pool and second largest contributor to overall loss expectations in CGCMT 2014-GC21 is the Regional One Medical loan, which is secured by a five-story office building totaling 112,233 NRSF located in Memphis, TN. The property was built in 1990 as a traditional office space but has since been renovated and repositioned to a medical office space. The loan transferred to special servicing in June 2024 due to its failure to pay at maturity in April 2024. The borrower was initially granted a 60-day forbearance from the maturity date in April to facilitate the closing of a potential collateral sale, but the sale did not close before the forbearance period expired. Fitch's expected loss of 1.7% (prior to concentration adjustments) indicates a discount to the most recent appraisal value and reflects a stressed value of $135 psf. The final loan in the CGCMT 2014-GC21 pool is the Brier Creek Corporate Center 6, which is secured by an office building located in Raleigh, NC. The loan transferred to the special servicer in March 2024 due to Borrowers default following the maturity date. The property is 100% occupied and the lender is working towards finalizing the forbearance proposal. Fitch's expected loss of 1%% reflects a haircut to the appraisal value and accounts for special servicing fees. The largest loan in the pool and largest contributor to overall loss expectations in CGCMT 2014-GC23 is the Selig Portfolio loan, which is secured by a portfolio of seven office properties totaling 1.1 million-sf, located in the CBD of Seattle, WA. The loan transferred to special servicing in March 2024 due to its inability to pay at its May 2024 maturity. Per the January 2024 rent roll, portfolio occupancy was 60%, which is a slight decline from 63% as of YE 2023, down from 72% in 2022 and 84% in 2021. The servicer reported interest only YE 2023 NOI DSCR was 1.72x, compared with 1.58x at YE 2022 and 2.12x at YE 2021. According to servicer updates, workout discussions with the borrower are ongoing. Fitch's expected loss of 38.4% (prior to concentration add-ons) reflects a discount to the February 2025 appraisal, indicating a stressed value of approximately $109 psf. Another special servicing loan in CGCMT 2014-GC23 is 5185 MacArthur Boulevard, secured by a mixed-use building located in Washington, D.C. The loan transferred to special servicing in July 2024 for non-performing maturity balloon ahead of its initial maturity date of July 2024. The lender was the successful bidder at the foreclosure sale in January 2025 and the property is real estate owned (REO). The property manager and leasing team are actively engaged, with the property currently at 73% occupancy. Fitch's expected loss of 16.2% (prior to concentration adjustments) reflects a haircut to the August 2024 appraisal value resulting in a stressed value of approximately $220 psf. The third loan and final loan in the pool is Lake Shore Plaza, secured by a 96K SF shopping center located in Ronkonkoma, NY. The loan transferred to special servicing due to expected maturity default in June 2024. The borrower and special servicer have entered into a forbearance agreement through June 2025. Fitch's expected loss of 1% (prior to concentration adjustments) indicates a haircut to the most recent appraisal value and accounts for special servicing fees. Increased Credit Enhancement (CE), Concentrated Loan Maturities: As of the May 2025, the pool's aggregate balances have been reduced by 85.2% in CGCMT 2014-GC21 and 90.6% in the CGCMT 2014-GC23 transaction. Each of the transactions have incurred realized losses to date which include $16,189,702 in CGCMT 2014-GC21 and $1,052,749 in CGCMT 2014-GC23. Cumulative interest shortfalls of $998,697 are affecting class G in CGCMT 2014-GC21 and $646,793 are affecting class G in CGCMT 2014-GC23. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - The Negative Outlook for class C in CGCMT 2014-GC21 and class D in CGCMT 2014-GC23 reflect the possibility for future downgrades due to potential further declines in performance and/or value declines that could result in higher expected losses on loans in special servicing. If expected losses increase, Fitch anticipates downgrading these classes. - Downgrades to distressed classes would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to class C in GCGMT 2021-GC21, class D in CGCMT 2023-GC23 and distressed rated classes are not anticipated given the adverse selection for each transaction and concentration of defaulted loans. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CITIGROUP COMMERCIAL 2017-P8: S&P Cuts V-3D Certs Rating to 'CCC' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on 17 classes of commercial mortgage pass-through certificates from Citigroup Commercial Mortgage Trust 2017-P8, a U.S. CMBS conduit transaction. At the same time, S&P affirmed its ratings on four other classes from the transaction. Rating Actions The downgrades on classes A-S, B, C, D, E, and F primarily reflect: -- S&P's lower revised net cash flow (NCF) and expected-case valuations for the office or lodging properties securing seven loans, comprising 24.3% of the pooled trust balance, due to reported or expected declines in operating performance since our last review in December 2024. -- S&P's significant (greater than 60.0% of the current loan balance) loss assumption on the specially serviced Grant Building loan (3.5% of the pooled trust balance) using the most recent market value obtained from the special servicer, which represents a 25.5% decline from the appraisal value in April 2024 and is 69.9% below the appraisal value at issuance. -- The affirmations on classes A-2, A-3, A-4, and A-AB reflect that in S&P's analysis the model-indicated ratings are in line with the current outstanding ratings even after making these adjustments. S&P said, "The downgrades on class D to 'CCC (sf)' and classes E and F to 'CCC- (sf)' also reflect our qualitative consideration that their repayments are dependent upon favorable business, financial, and economic conditions and that these classes are vulnerable to default. As of the May 16, 2025, trustee remittance report, the trust incurred monthly interest shortfalls of $106,452 due primarily to appraisal subordinate entitlement reduction amounts of $58,313, special servicing fees of $38,907, and reimbursement of interest on advances to the servicer of $12,986. The shortfalls affected classes F and G. (Class G is not rated by S&P Global Ratings.) If class F continues to incur interest shortfalls for a prolonged period of time, we may further lower our rating to 'D (sf)'. "The downgrades on the class X-A, X-B, X-D, X-E, and X-F interest-only (IO) certificates are based on our criteria for rating IO securities, which state that the ratings on the IO securities would not be higher than that of the lowest-rated reference class." The notional amounts of the IO classes reference the principal- and interest-paying classes as follows: -- Class X-A references classes A-1 (repaid in full), A-2, A-3, A-4, A-AB, and A-S; -- Class X-B references class B; -- Class X-D references class D; -- Class X-E references class E; and -- Class X-F references class F. S&P said, "In addition, we lowered our ratings on the exchangeable classes V-2A, V-2B, V-2C, V-2D, V-3AC, and V-3D. These exchangeable classes represent a certain percentage, as defined in the transaction documents, of the vertical risk retention interest. The exchangeable classes' interest distribution is based on a formula referencing the aggregate amount of interest distributed to the principal- and interest-paying classes." The notional amounts of the exchangeable classes reference the principal- and interest-paying classes as follows: -- Class V-2A references classes A-1, A-2, A-3, A-4, A-AB, X-A, and A-S; -- Class V-2B references classes B and X-B; -- Class V-2C references class C; -- Class V-2D references classes D and X-D; -- Class V-3AC references classes A-1, A-2, A-3, A-4, A-AB, X-A, X-B, A-S, B, and C; and -- Class V-3D references classes D and X-D. S&P said, "At issuance and in our last review, we applied loan-level loan-to-value (LTV) threshold adjustments for the Starwood Capital Group Hotel Portfolio loan (4.1% of the pooled trust balance) to account for the geographic diversity and granularity of the portfolio. In our current review, we carried forward the adjustments. "We will continue to monitor the performance of the transaction and the collateral loans, including any developments around the loans with reported or expected declines in performance and the resolution of the specially serviced loans. To the extent future developments differ meaningfully from our underlying assumptions, we may update our analysis for these loans and take further rating actions as we determine necessary." Property-Level Analysis Updates S&P revised its S&P Global Ratings NCFs and expected-case values on collateral properties securing seven loans, totaling $246.9 million or 24.3% of the pooled trust balance, primarily due to reported or expected declines in the operating performance below its expectations since our December 2024 review. The seven loans include: -- 225 & 233 Park Avenue South ($60.0 million, 5.9% of the pooled trust balance). The trust loan represents a pari passu portion of a $235.0 million whole loan; -- Corporate Woods Portfolio ($43.0 million, 4.2%). The trust loan represents a pari passu portion of a $190.3 million whole loan; -- Bank of America Plaza ($42.1 million, 4.1%); -- Starwood Capital Group Hotel Portfolio ($41.8 million, 4.1%). -- The trust loan represents a pari passu portion of a $577.3 million whole loan; -- 440 Mamaroneck Avenue ($29.4 million, 2.9%); -- 1450 Veterans ($17.8 million, 1.8%); and -- 215 & Town Center ($12.8 million, 1.3%). Three of these loans--225 & 233 Park Avenue South, Bank of America Plaza, and Starwood Capital Group Hotel Portfolio, totaling 14.1% of the pooled trust balance--are in special servicing. S&P said, "Based on the servicers' comments, we expect them to be modified and returned to the master servicer as corrected mortgage loans. For the remaining specially serviced loan, Grant Building ($35.7 million; 3.5%), the special servicer filed for foreclosure and appointed a receiver in early 2024. The loan, which has a reported July 2024 paid-through date, has a total reported exposure of $37.8 million. Using the most recent market value obtained from the special servicer, which represented a 25.5% decline from the appraised value in April 2024 of $23.5 million and is 69.9% below the appraised value at issuance of $58.1 million, we estimated a significant loss (greater than 60.0% of the current loan balance) upon the loan's eventual liquidation. In our last review, we utilized the April 2024 appraised value to project our loss on the loan." 225 & 233 Park Avenue South The loan, which has a reported current payment status, was transferred to the special servicer on March 20, 2024, due to the imminent monetary default. The largest tenant, Facebook/Meta (39.4% of the net rentable area [NRA]), terminated its lease (expiring October 2027), on March 31, 2024, and the third largest tenant, STV Inc. (19.7%), vacated the property upon its lease expiration on May 31, 2024. In addition, the second-largest tenant, Buzzfeed (28.7%), which has a lease that expires May 2026, is subleasing its space to multiple tenants. The servicer reported that occupancy fell to 40.0% as of year-end 2024 from 99.0% in 2023. According to CoStar, the vacant spaces are currently still being marketed for lease. S&P said, "Given the lack of leasing progress and still weak fundamentals in the Gramercy Park office submarket, we revised our whole loan NCF to $16.6 million by assuming a 20.0% vacancy rate, a $71.39 per-sq.-ft. S&P Global Ratings gross rent, and 50.0% operating expense ratio. This revised NCF shows a decline of 7.7% from our last-review NCF of $17.9 million. Using an S&P Global Ratings capitalization rate of 8.25% (unchanged from last review), we arrived at an S&P Global Ratings expected-case value of $200.6 million or $297 per sq. ft., an 8.1% decrease from our last review value of $218.4 million and 70.3% below the appraised value at issuance of $675.0 million." According to the special servicer, KeyBank Real Estate Capital, it is currently in discussion with the borrower to potentially modified the loan. The modification terms and resolution timing are unknown at this time. According to the May 2025 CRE Finance Council Investor Reporting Package loan-level reserve report, there is approximately $57.6 million in tenant and other reserve accounts. Corporate Woods Portfolio The loan, which has a reported current payment status, is on the master servicer's watchlist due to low reported debt service coverage (DSC) and occupancy, which were 1.03x and 73.5%, respectively, as of year-end 2024. In comparison, the reported DSC and occupancy were 1.29x and 83.3% in 2023. S&P said, "In our current analysis, assuming a 73.0% occupancy, we revised our whole loan NCF to $13.8 million, 19.7% lower than our last-review NCF of $17.2 million. Using an S&P Global Ratings capitalization rate of 9.50%, up 100 basis points (bps) from our last review rate of 8.50%, to reflect our perceived higher market risk premium for class B office properties in a weak office submarket, we arrived at an S&P Global Ratings expected-case value of $145.5 million or $72 per sq. ft., a 28.1% decline from our last-review value of $202.4 million and a 51.3% decrease from the appraised value at issuance of $299.1 million." Bank of America Plaza The loan, which has a nonperforming matured balloon payment status (paid through April 2025), was transferred to special servicing on Aug. 1, 2024, due to imminent maturity default. The loan matured Sept. 6, 2024. According to the special servicer, KeyBank, it has agreed with the borrower on preliminary terms of a modification and extension and the borrower has executed a pre-negotiation agreement. However, specific terms of the modifications have not been disclosed at this time. The special servicer recently released an updated appraised value of $24.9 million as of Dec. 30, 2024, which is 68.6% lower than the issuance appraised value of $79.2 million. S&P said, "In our current analysis, we revised our expected-case value to $22.4 million, about 10.0% below the most recent reported appraised value, by assuming an S&P Global Ratings NCF of $2.4 million and an S&P Global Ratings capitalization rate of 10.50%. In our last review, we assumed that the loan would liquidate through the special servicer. We estimated a minimal loss (less than 25.0% of the loan balance) upon its eventual resolution, using an S&P Global Ratings liquidation value of $37.4 million at that time. Given the potential for the borrower and the special servicer to arrive at a modification and extension of the loan, we will continue to track the process and may revise our assumptions, as needed." Starwood Capital Group Hotel Portfolio 440 Mamaroneck Avenue The loan, which has a reported current payment status, is on the master servicer's watchlist due to low reported DSC and occupancy, which were 0.37x and 68.1%, respectively, as of year-end 2024. The property has reported low occupancy and DSC below 1.00x since 2021. S&P said, "In our current analysis, using an S&P Global Ratings NCF of $2.4 million, unchanged from our last review, and an S&P Global Ratings capitalization rate of 9.00%, up 25 bps from our last review, we arrived at an S&P Global Ratings expected-case value of $26.3 million or $110 per sq. ft., 2.8% below our last review value of $27.0 million, and a 49.5% decrease from the appraised value at issuance of $52.0 million." 1450 Veterans The loan, which has a reported current payment status, is on the master servicer's watchlist because the single tenant, which occupies 100% of the NRA at the property, did not renew its lease one year prior to lease expiration. According to the master servicer, the borrower has extended the tenant's lease on a short-term basis to Sept. 30, 2025. S&P said, "As a result, in our current analysis, using an S&P Global Ratings NCF of $1.7 million (the same as in our last review) and an S&P Global Ratings capitalization rate of 9.25% (up 50 bps from our last review rate of 8.75% to reflect the uncertainty around the eventual stabilization of the property's performance in a weak office submarket), we arrived at an S&P Global Ratings expected-case value of $18.2 million or $344 per sq. ft., 5.4% below our last-review value of $19.2 million and 46.4% lower than the appraised value at issuance of $34.0 million." 215 & Town Center The loan, which has a reported current payment status, is on the master servicer's watchlist due to low reported DSC and occupancy, which was 0.96x and 57.4%, respectively, as of year-end 2024. Occupancy at the property has declined year over year since 2022. S&P said, "In our current analysis, using an S&P Global Ratings NCF of $1.1 million (unchanged from our last review) and an S&P Global Ratings capitalization rate of 9.50% (up 25 bps from our last review rate of 9.25% to reflect the uncertainty around the eventual stabilization of the property's performance in a weak office submarket), we derived an S&P Global Ratings expected-value value of $12.0 million or $178 per sq. ft., 2.6% below our last-review value of $12.3 million and a 43.1% decline from the appraised value at issuance of $21.1 million." Transaction Summary As of the May 16, 2025, trustee remittance report, the collateral pool balance was $1.02 billion, which is 93.6% of the pool balance at issuance. The pool currently includes 52 fixed-rate loans, down from 53 loans at issuance. Five of these loans ($199.1 million; 19.6% of the pooled trust balance) are with the special servicer, eight ($157.1 million; 15.4%) are on the master servicer's watchlist, and seven ($93.1 million; 9.2%) are defeased. Excluding one of the specially serviced loans (Grant Building) and the seven defeased loans and adjusting the servicer-reported numbers, S&P calculated an S&P Global Ratings weighted average DSC of 1.80x and an S&P Global Ratings weighted average LTV ratio of 98.6% using an S&P Global Ratings weighted average capitalization rate of 8.15% for the remaining 44 loans. The trust has not experienced any principal losses to date. S&P expects losses to reach approximately 2.2% of the original pool trust balance upon the eventual resolution of the specially serviced Grant Building loan. Ratings Lowered Citigroup Commercial Mortgage Trust 2017-P8 Class A-S to 'A (sf)' from 'AA+ (sf)' Class B to 'BBB- (sf)' from 'AA- (sf)' Class C to 'B+ (sf)' from 'BBB (sf)' Class D to 'CCC (sf)' from 'B- (sf)' Class E to 'CCC- (sf)' from 'CCC (sf)' Class F to 'CCC- (sf)' from 'CCC (sf)' Class X-A to 'A (sf)' from 'AA+ (sf)' Class X-B to 'BBB- (sf)' from 'AA- (sf)' Class X-D to 'CCC (sf)' from 'B- (sf)' Class X-E to 'CCC- (sf)' from 'CCC (sf)' Class X-F to 'CCC- (sf)' from 'CCC (sf)' Class V-2A to 'A (sf)' from 'AA+ (sf)' Class V-2B to 'BBB- (sf)' from 'AA- (sf)' Class V-2C to 'B+ (sf)' from 'BBB (sf)' Class V-2D to 'CCC (sf)' from 'B- (sf)' Class V-3AC to 'B+ (sf)' from 'BBB (sf)' Class V-3D to 'CCC (sf)' from 'B- (sf)' Ratings Affirmed Citigroup Commercial Mortgage Trust 2017-P8 Class A-2: AAA (sf) Class A-3: AAA (sf) Class A-4: AAA (sf) Class A-AB: AAA (sf) COMM 2012-LTRT: DBRS Cuts Rating on 2 Classes to C -------------------------------------------------- DBRS, Inc. downgraded its credit ratings on two classes of COMM 2012-LTRT Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT issued by COMM 2012-LTRT Mortgage Trust as follows: -- Class D to C (sf) from CCC (sf) -- Class E to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class X-A at AA (sf) -- Class A2 at AA (low) (sf) -- Class B at A (low) (sf) -- Class C at B (high) (sf) Morningstar DBRS also changed the trends on Classes B and C to Negative from Stable. The trend on Class A-2 remains Stable and Classes D and E have credit ratings that do not typically carry a trend in commercial mortgage backed securities (CMBS) credit ratings. The credit rating downgrades and Negative trends reflect the increased risks for the transaction in Morningstar DBRS' increased liquidated loss expectations for one of the underlying loans, The Oaks Mall, which is in special servicing and was recently re-valued as part of a December 2024 appraisal obtained by the special servicer, and the sustained net cash flow (NCF) for the Westroads Mall loan, as further described below. The underlying collateral represents two mortgage loans secured by two regional mall properties; the loans are not cross collateralized or cross defaulted. The largest of the two loans, Westroads Mall (collateral mall in Omaha, Nebraska), had an outstanding principal balance of $88.3 million as of the May 2025 remittance (53.6% of the total transaction balance) and the smaller loan, The Oaks Mall (collateral mall in Gainesville, Florida), had an outstanding principal balance of $76.4 million (46.4% of the total transaction balance) at the May 2025 remittance. The Oaks Mall loan transferred to special servicing in October 2024 and reported paid through April 1, 2025 as of the May 2025 remittance report. The Westroads Mall loan is not in special servicing and reported current with the May 2025 remittance. The sponsor and manager of both loans is Brookfield Property Partners L.P. (Brookfield; rated BBB (low) with a Stable trend). Both loans were granted extensions for the original October 2022 maturity dates; most recently, The Oaks defaulted on its October 2024 maturity date and the Westroads Mall maturity was extended by one year to October 2025. As of the May 2025 remittance, the transaction balance has been reduced by 36.4% since issuance. The paydown since issuance is largely the result of principal curtailments required as part of the maturity extensions granted for both loans. Morningstar DBRS considered a loan-to-value (LTV) sizing as part of the analysis, with the resulting Morningstar DBRS LTV Sizing Benchmarks supporting the credit rating confirmations for the top three classes with this review. Morningstar DBRS also considered its ultimate expectation of recoverability based on the most recent appraisal values obtained by the servicer, as of December 2024 and September 2022 for the Oaks Mall and Westroads Mall, respectively. That analysis suggested liquidated losses for The Oaks loan would erode the entirety of the Class E certificate, with losses continuing through the Class D certificate, supporting the credit rating downgrades with this review. At the previous credit rating action in June 2024, Morningstar DBRS noted Brookfield's willingness to turn other underperforming properties back to the lender when replacement loans could not be procured, noting that the underperforming status of The Oaks property could suggest Brookfield would ultimately walk away from the asset. In October 2024, the loan transferred to special servicing and the servicer quickly noted a foreclosure was expected to be filed as a result. As of the most recently reported financials, for the trailing six months (T-6) ended June 30, 2024, the servicer reported a debt service coverage ratio (DSCR) of 1.19 times (x) for The Oaks loan, down from 1.23x at YE2023; cash flows at this property have been sustained well below issuance expectations for the last several years. Despite the relatively healthy servicer-reported DSCR of 1.40x as of YE2024 for the Westroads Mall, Morningstar DBRS expects Brookfield could have similar difficulty securing a replacement loan at the extended maturity date for that loan given the much lower implied DSCR on today's interest rates (the loan's current fixed interest rate is 4.3%) and value decline suggested by the 2022 appraisal obtained by the special servicer, as further discussed below. The Westroads Mall loan, which is secured by the fee interests in 540,304 square feet (sf) of a 1.1 million-sf regional mall in Omaha, Nebraska, has been the stronger performer. The noncollateral anchor spaces are occupied by JCPenney, Von Maur, and First Westroads Bank, while the largest collateral anchor and junior anchors at the property include Dick's Sporting Goods and AMC Theatres. The servicer reported a YE2024 occupancy rate of 96.0% for the collateral, which includes former junior anchor Forever 21 (2.9% of NRA) that vacated prior to its scheduled lease expiration in January 2027 following bankruptcy proceedings. In the analysis for this review, Morningstar DBRS considered a Morningstar DBRS Value of $120.5 million, which was based on a 10.3% cap rate and a 2.0% haircut to the YE2024 NCF and represents a variance of -19.1% from the September 2022 appraisal value of $149.0 million and -17.6% from the initial Morningstar DBRS Value of $146.2 million. At issuance, the appraised value was $242.0 million. The Oaks Mall loan is secured by the fee interest in 581,849 sf of a 906,349-sf super regional mall in Gainesville, Florida. The property is approximately four miles from the University of Florida's main campus and is anchored by Belk, two Dillard's stores (one of which is collateral), and JCPenney (noncollateral). JCPenney and Belk recently extended their leases by an additional five years to 2028. The mall historically drew traffic from the nearby college campus, but Butler Plaza, a 2.0 million-sf open-air shopping center, is also nearby and has become the primary retail destination for the area. As previously mentioned, an updated appraisal as of December 2024 was obtained by the servicer, reflecting an as-is value decline to $81.0 million, down from the September 2022 appraisal value of $85.0 million and the appraisal value at issuance of $227.0 million. For this credit rating action, Morningstar DBRS updated its value for the property, based on a 12.5% cap rate and the Morningstar DBRS NCF of $7.9 million, which represents a 2.0% haircut to the annualized NCF figure for the T-6 ended June 30 2024. The resulting Morningstar DBRS value of $63.5 million represents a variance of -21.7% from the December 2024 appraisal value estimate and represents an LTV of 120.4% on the outstanding loan balance as of the May 2025 remittance. 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 2014-CCRE15: DBRS Confirms C Rating on Class F Certs --------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE15 issued by COMM 2014-CCRE15 Mortgage Trust as follows: -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class PEZ at AA (sf) -- Class X-B at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E at CCC (sf) -- Class F at C (sf) The trends on Classes X-B and D remain Negative. The remaining classes have Stable trends with the exception of Classes E and F, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. The credit rating confirmations and Stable trends reflect Morningstar DBRS' recoverability expectations for the remaining loans in the pool, most notably 625 Madison Avenue (Prospectus ID#3, 38.2% of the pool), a pari passu loan that is also secured in the COMM 2014-CCRE14 Mortgage Trust transaction (rated by Morningstar DBRS). The loan, which is secured by the leased-fee interest in the land under 625 Madison Avenue, a 17-story Class A office tower in Manhattan, continues to exhibit a favorable credit profile and is expected to be fully recovered upon resolution. Additional details are outlined below. Morningstar DBRS considered liquidation scenarios for the three loans in special servicing (45.5% of the pool), applying conservative haircuts to the most recent appraised values, resulting in aggregate projected losses totaling $42.2 million. Those losses would erode the remaining non-rated Class G balance, and approximately 60.0% of the C (sf)-rated Class F balance. The Negative trend on the Class D certificate reflects the possibility of further value deterioration for the underlying collateral backing the defaulted loans. In addition, Morningstar DBRS has concerns regarding the accumulation of interest shortfalls, which have increased by $400,000 since the previous credit rating action and are currently accruing at a rate of approximately $110,000 per month. The Class F certificate has not received full interest payments since the March 2025 remittance. Although the Class D certificate continues to receive full interest due, the servicer could elect to withhold those payments if the workout periods for the specially serviced loans continue to extend, further supporting the Negative trend on that class. As of the May 2025 remittance, the pool's aggregate principal balance of $192.6 million represents a collateral reduction of 80.9% since issuance. Five loans remain in the pool, two of which, 625 Madison Avenue and 600 Commonwealth (Prospectus ID#6, 16.3% of the current pool balance), transferred back to the master servicer since the previous credit rating action with both underlying properties in various stages of redevelopment. To date, the trust has realized $18.8 million in losses, which have been contained to the non-rated Class G certificate. The largest contributor to Morningstar DBRS' loss projections is the 25 West 45th Street loan (Prospectus ID#4, 32.6% of the current pool balance), which is secured by a 17-story Class B office tower in Manhattan's Grand Central submarket. The loan transferred to special servicing after failing to repay at maturity in January 2024. Foreclosure proceedings and the appointment of a receiver are being pursued while discussions with the borrower continue. Two large tenants, WeWork and FedEx (collectively representing 17.0% of net rentable area (NRA)), vacated in 2023. In addition, seven tenants, representing 28.1% of NRA, have leases scheduled to expire within the next 12 months. The property was 70.4% occupied as of the March 2025 rent roll, whereas the Grand Central submarket reported a vacancy figure of 12.0% as of Q1 2025, according to Reis. The property was appraised in January 2025 at a value of $60.0 million, a sharp decline from the issuance appraised value of $107.0 million and below the $62.7 million loan balance. As a result of significant near-term tenant rollover, the Class B quality of the property, the sharp decline in value from issuance, and the general challenges for office properties in today's environment, Morningstar DBRS analyzed the loan with a liquidation scenario by applying a conservative 40.0% haircut to the most recent appraised value, resulting in an implied loss of $36.0 million and a loss severity of 57.0%. The second-largest specially serviced loan, River Falls Shopping Center (Prospectus ID#15, 7.7% of the current pool balance), is secured by a 287,717-square-foot (sf) portion of an 872,969-sf anchored shopping center in Clarksville, Indiana, approximately seven miles north of the Louisville, Kentucky, central business district. The loan originally transferred to special servicing in May 2020 for monetary default, and the borrower and lender subsequently executed a forbearance agreement that extended the loan's maturity date to January 2025. The borrower requested an additional eight-month extension, after the initial forbearance period ended in January 2025. According to the servicer, a formal agreement is expected to be finalized in June 2025. The subject's third-largest tenant, Gabriel Brothers Inc. (Gabe's) (11.6% of NRA, lease expiring July 2028), will vacate its current space and occupy the Old Time Pottery space (29.6% of NRA; currently the largest tenant at the property) after the tenant vacates in August 2025, ahead of its October 2026 lease expiration date. Gabe's will pay a rental rate of $4.0 per sf (psf) for the first five years and $4.5 psf until lease expiration in January 2036, according to a March 2025 asset status report. Although the current Gabe's space will be vacant from August 2025 onward, the increased rental rate of $4.0 psf compared with Old Time Pottery's current rental rate of approximately $1.0 psf will partially offset the overall reduction in total base rent. In addition, the second-largest tenant, Dick's Sporting Goods (17.1% of NRA), has a lease expiring in January 2026. According to the December 2024 financial reporting, net cash flow remains stable at $1.3 million (reflecting a debt service coverage ratio of 1.13 times), in line with 2023 levels. The property was most recently appraised in July 2024 for $20.3 million, down from the issuance appraised value of $24.0 million. Given the recent departure of Old Time Pottery and the loan's extended stint in special servicing, Morningstar DBRS liquidated the loan in its analysis by applying a 35% haircut to the July 2024 appraisal, resulting in a loss severity of 19.0% and an implied loss of $2.8 million. As noted above, the largest loan in the pool, 625 Madison Avenue, is secured by the leased-fee interest in the land under a 17-story Class A office tower in Manhattan. SL Green (SLG) was the ground-lease tenant and owned the improvements; however, following a default on the mezzanine loan, SLG also acquired the former sponsor's interest in the land. The senior loan was modified in December 2023 to terminate the ground lease, preapprove an equity transfer in the land interest, and extend the loan maturity to December 2026, with a $25.0 million principal paydown contributed to close the modification. Ross Related Companies (Related) was the equity interest transferee, and SLG and Related have spoken publicly about their plans to redevelop the subject property. A demolition contract was signed in August 2024 to tear down the improvements and construct a new tower that is expected to include hotel, retail, and luxury condominium components. Based on the November 2023 appraisal, the value of the land was reported at $415.1 million, an increase from the $400.0 million appraised land value at issuance, and well above the current whole-loan balance of $168.7 million (subject trust balance of $73.6 million). Given these developments and the estimated land value, Morningstar DBRS expects the loan will ultimately be fully recovered. 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. CONNECTICUT AVE 2023-R07: Moody's Ups Rating on 2B-1B Certs to Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 49 bonds issued by Connecticut Avenue Securities Trust 2023-R07, which is a credit risk transfer (CRT) RMBS issued by Fannie Mae to share the credit risk on a reference pool of mortgages with the capital markets. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Connecticut Avenue Securities Trust 2023-R07 Cl. 2A-I1*, Upgraded to A2 (sf); previously on Aug 8, 2024 Upgraded to A3 (sf) Cl. 2A-I2*, Upgraded to A2 (sf); previously on Aug 8, 2024 Upgraded to A3 (sf) Cl. 2A-I3*, Upgraded to A2 (sf); previously on Aug 8, 2024 Upgraded to A3 (sf) Cl. 2A-I4*, Upgraded to A2 (sf); previously on Aug 8, 2024 Upgraded to A3 (sf) Cl. 2B-1, Upgraded to Baa3 (sf); previously on Aug 8, 2024 Upgraded to Ba1 (sf) Cl. 2B-1A, Upgraded to Baa2 (sf); previously on Aug 8, 2024 Upgraded to Baa3 (sf) Cl. 2B-1B, Upgraded to Ba1 (sf); previously on Aug 8, 2024 Upgraded to Ba2 (sf) Cl. 2B-1X*, Upgraded to Baa3 (sf); previously on Aug 8, 2024 Upgraded to Ba1 (sf) Cl. 2B-1Y, Upgraded to Baa3 (sf); previously on Aug 8, 2024 Upgraded to Ba1 (sf) Cl. 2C-I1*, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2C-I2*, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2C-I3*, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2C-I4*, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2E-A1, Upgraded to A2 (sf); previously on Aug 8, 2024 Upgraded to A3 (sf) Cl. 2E-A2, Upgraded to A2 (sf); previously on Aug 8, 2024 Upgraded to A3 (sf) Cl. 2E-A3, Upgraded to A2 (sf); previously on Aug 8, 2024 Upgraded to A3 (sf) Cl. 2E-A4, Upgraded to A2 (sf); previously on Aug 8, 2024 Upgraded to A3 (sf) Cl. 2E-C1, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2E-C2, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2E-C3, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2E-C4, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2E-D1, Upgraded to A2 (sf); previously on Aug 8, 2024 Upgraded to A3 (sf) Cl. 2E-D2, Upgraded to A2 (sf); previously on Aug 8, 2024 Upgraded to A3 (sf) Cl. 2E-D3, Upgraded to A2 (sf); previously on Aug 8, 2024 Upgraded to A3 (sf) Cl. 2E-D4, Upgraded to A2 (sf); previously on Aug 8, 2024 Upgraded to A3 (sf) Cl. 2E-D5, Upgraded to A2 (sf); previously on Aug 8, 2024 Upgraded to A3 (sf) Cl. 2E-F1, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2E-F2, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2E-F3, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2E-F4, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2E-F5, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2-J1, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2-J2, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2-J3, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2-J4, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2-K1, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2-K2, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2-K3, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2-K4, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2M-1, Upgraded to Aa3 (sf); previously on Aug 8, 2024 Upgraded to A1 (sf) Cl. 2M-2, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2M-2A, Upgraded to A2 (sf); previously on Aug 8, 2024 Upgraded to A3 (sf) Cl. 2M-2C, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2M-2X*, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2M-2Y, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2-Y1*, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2-Y2*, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2-Y3*, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) Cl. 2-Y4*, Upgraded to A3 (sf); previously on Aug 8, 2024 Upgraded to Baa1 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, recent performance, and Moody's updated loss expectations on the underlying pool. The transaction Moody's reviewed continues to display strong collateral performance, with cumulative loss lower than .01% and low delinquency. In addition, enhancement levels for the tranches have grown significantly as the pools amortized. The credit enhancement since closing has grown, on average, by 10% for the tranches upgraded. Moody's analysis also considered the relationship of exchangeable bonds to the bonds they could be exchanged for. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief No actions were taken on the remaining rated classes in this deal because their expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. CSAIL 2015-3: Fitch Lowers Rating on Class C Notes to 'BBsf' ------------------------------------------------------------ Fitch Ratings has downgraded one class and affirmed 11 classes of CSAIL 2015-C3 Commercial Mortgage Trust commercial mortgage pass-through certificates, series 2015-C3. Class C has been assigned a Negative Outlook following the downgrade. The Rating Outlooks for classes B and X-B remain Negative. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2015-C3 A-4 12635FAT1 LT AAAsf Affirmed AAAsf A-S 12635FAX2 LT AAAsf Affirmed AAAsf B 12635FAY0 LT Asf Affirmed Asf C 12635FAZ7 LT BBsf Downgrade BBBsf D 12635FBA1 LT CCCsf Affirmed CCCsf E 12635FAG9 LT CCsf Affirmed CCsf F 12635FAJ3 LT Csf Affirmed Csf X-A 12635FAV6 LT AAAsf Affirmed AAAsf X-B 12635FAW4 LT Asf Affirmed Asf X-D 12635FBB9 LT CCCsf Affirmed CCCsf X-E 12635FAA2 LT CCsf Affirmed CCsf X-F 12635FAC8 LT Csf Affirmed Csf KEY RATING DRIVERS Increase in 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss has increased to 19.7% from 10.9% at Fitch's prior rating action. Fitch identified 14 loans (58% of the pool) as Fitch Loans of Concern (FLOCs), five of which (25.7%) are in special servicing. All the loans in the pool are scheduled to mature by August 2025. 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. The downgrade on class C reflects increased pool loss expectations since Fitch's prior rating action, driven primarily by further performance decline and refinance concerns on the FLOCs, including the specially serviced loans, most notably The Mall of New Hampshire (14.3% of the pool), Westfield Wheaton (13.9%), Westfield Trumbull (5.9%), and 21 Astor place (3.8%). The Negative Outlooks reflect possible further downgrades if there is continued degradation of value and a prolonged workout for the specially serviced loans, as well as if more loans default at maturity than are currently expected. Regional Malls/Largest Contributors to Loss Expectations: The largest contributor to Fitch's overall loss expectations is the Westfield Wheaton loan, which is secured by a 1.6 million-sf regional mall sponsored by Unibail-Rodamco-Westfield and located in Wheaton, MD. Anchor tenants include JCPenney, Target, Macy's and Costco. There is also a nine-screen AMC Theater and two ground-leased outparcels leased to Giant Food and American Freight. There are five other large retail centers located within a 10-mile radius, with another competing mall owned by the same sponsor, Westfield Montgomery, located seven miles away with a similar inline tenant profile. The loan transferred to special servicing in March 2025 due to maturity default. The special servicer is considering a possible sale of the mall, with the buyer assuming the modified and extended loan. As of September 2024, the property was 90% occupied and the YE 2024 NOI DSCR was 2.41x, compared to 84% and 2.21x at YE 2023, and 96% and 2.47x at YE 2022. Total mall sales as of TTM September 2023 were $437 psf, which compares to $389 psf at TTM March 2022, $317 psf at YE 2020, and $353 psf at YE 2019. Excluding the major anchors and grocer, tenant sales are approximately $355 psf, compared with $296 psf at TTM March 2022, $189 psf at YE 2020, and $255 psf at YE 2019. Fitch's 'Bsf' rating case loss expectations (prior to concentration add-ons) is approximately 42%, which reflects a 15% cap rate to the Fitch cash flow based off a 20% stress to the YE 2023 NOI. The second largest contributor to overall loss expectations is the Mall of New Hampshire loan, which is secured by a regional mall sponsored by Simon Property Group and located in Manchester, NH. Sears, a non-collateral anchor, closed in November 2018; a portion of that space has since been re-leased to Dick's Sporting Goods and Dave & Buster's. The loan transferred to special servicing in May 2020 due to the pandemic and the special servicer agreed to a forbearance agreement that deferred payments between May 2020 and December 2020. The loan was returned to the master servicer in April 2021 and has remained on the servicer's watchlist due to ongoing cash management and monitored for the upcoming maturity date of July 1, 2025. As of YE 2024, the property was 88% occupied and NOI DSCR was 1.79x, compared to 84% and 1.87x at YE 2023, 83% and 1.96x at YE 2021, and 87% and 2.11x at YE 2019. Tenant sales for stores less than 10,000 sf excluding Apple as of July 2024 were $378 psf, which compares to $390 psf at YE 2023, and $417 psf at YE 2021. Including Apple, tenant sales were approximately $760psf, compared with $1,535 psf at YE 2023, and $1,294 psf at YE 2021. As of June 2024, Apple's sales were $80 million. Apple's lease expires in February 2030. Fitch's 'Bsf' rating case loss prior to concentration add on is approximately 34%, which reflects a cap rate of 15% to the Fitch net cash flow based off a 10% stress to the YE 2024 NOI. Fitch increased the probability of default in its analysis to reflect the increasing maturity default risk given the regional mall property type. The loan matures in July 2025. The third largest contributor to overall loss expectations is the Westfield Trumbull loan, which is secured by a 1.1 million-sf regional mall located in Trumbull, CT, now called Trumbull Mall. In January 2023 the mall was sold and the loan assumed by Namdar Realty Group. Anchor tenants include Target, JCPenney, Macy's and LA Fitness. Lord and Taylor closed in early 2021 following the retailer's bankruptcy. Macy's extended its lease through January 2029, from its lease expiration in April 2025. Both Macy's and Target are anchors at a competing mall located 9.5 miles away. The occupancy has declined year-over year, reporting at 90.75% as of December 2024, which is a decrease from 93.7% as of December 2023 and 100% as of December 2022. The reported NOI DSCR has increased year-over-year to 2.36x as of YE 2023 from 1.69x at YE 2022, 1.56x at YE 2021 and 1.93x at YE 2019. The increased NOI was due to a large drop in expenses as revenues increased slightly from YE 2023 to YE 2024. The YE 2023 NOI is 19.3% below the issuers underwritten NOI. The loan transferred to special servicing in March 2025 due to maturity default. The borrower requested a modification and discussions with the special servicer are continuing. Fitch's 'Bsf' rating case loss prior to concentration add on is approximately 47%, which reflects a 15% cap rate to the Fitch cash flow based off a 15% stress to the YE 2021 NOI given the lack of certainty regarding the stability of the YE 2023 expense decline, as well as a heightened probability of default as the loan is in special servicing. Increased Credit Enhancement: As of the June 2025 distribution date, the pool's aggregate balance has been reduced by 51% to $698 million from $1.42 billion at issuance. There are five loans that are fully defeased comprising 2.9% of the pool. Cumulative interest shortfalls of $4.4 million are currently impacting Classes D, E, and F and the non-rated class NR. Realized losses of $23.3 million are impacting the non-rated class NR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not likely due to high and increasing CE, and expected pay-off mostly from performing loans. However, downgrades are possible should a large portion of loans that Fitch expects to pay off at maturity default and expected losses increase significantly, and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf' rated classes are possible with continued performance deterioration of the FLOCs and more loans transferring to the special servicer, increased expected losses and limited to no improvement in CE, or if interest shortfalls occur or are expected to occur. Downgrades to classes rated 'Asf' and 'BBsf', which have Negative Outlooks, may occur should performance of The Mall of New Hampshire, Westfield Wheaton, and Westfield Trumbull experience further performance declines or other larger performing loans default at or before maturity. A downgrade to 'CCCsf', 'CCsf', or 'Csf'rated classes would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the classes rated 'Asf' and 'BBsf' may occur with performance improvements of the FLOCs including The Mall of New Hampshire, Westfield Wheaton, and Westfield Trumbull coupled with improving CE and/or defeasance. Upgrades to classes rated 'CCCsf', 'CCsf' and 'Csf' are unlikely absent significant performance improvement and substantially higher recoveries than expected on the FLOCs and specially serviced loans. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DBWF 2015-LCM: DBRS Confirms BB(low) Rating on 2 Classes -------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-LCM issued by DBWF 2015-LCM Mortgage Trust as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BB (low) (sf) -- Class F at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the underlying mall, which benefits from a nontraditional anchor and major tenant mix that includes Macy's, Costco Wholesale, JCPenney, Target, and The Home Depot. The mall is in a densely populated and well-trafficked area of Los Angeles, with several other big-box and commercial developments in the surrounding area. The consistent performance of the collateral mall is evidenced by occupancy rates, tenant sales, and cash flows that are in line with Morningstar DBRS' expectations since the previous credit rating action in June 2024. The collateral for the underlying loan consists of the fee-simple and leasehold interests in the 2.1 million-square-foot (sf) Lakewood Center mall in Lakewood, California, located approximately 10 miles north of Long Beach. At issuance, the whole loan of $410.0 million consisted of $240.0 million of senior debt and $170.0 million of junior debt. The subject transaction is backed by $120.0 million of the senior debt and the entirety of the junior debt. The remaining $120.0 million of senior debt is secured in the Morningstar DBRS-rated COMM 2015-CCRE24 Mortgage Trust transaction. The trust loan has an 11-year term and amortizes over a 30-year schedule, maturing in June 2026. Morningstar DBRS estimates a negligible refinance gap, which, in combination with the continued stable performance, suggests minimal maturity risk. As of the May 2025 remittance, the trust debt had amortized by 15.6% with a current trust balance of $244.9 million. The loan sponsor, Macerich Company, retains 60.0% ownership of the property following the sale of a 40.0% minority interest to Singapore's sovereign wealth fund, Government of Singapore Investment Corporation, in 2015. As per the December 2024 rent roll, the property was 94.8% occupied, a marginal decrease from the March 2024 figure of 95.0% but an improvement over the December 2022 figure of 91.2%. The largest tenants include Macy's (17.5% of the net rentable area (NRA), lease expires in June 2030), Costco (8.0% of the NRA, lease expires in February 2029), JCPenney (7.8% of the NRA, lease expires in May 2025), and Target (7.7% of the NRA, lease expires in June 2035). Tenant rollover risk is notable, with approximately 20.7% of the NRA having leases scheduled to expire in the next 12 months, including JCPenney and Starlight Cinemas (4.4% of the NRA, lease expires May 2025). Morningstar DBRS has requested an update on JCPenney and Starlight Cinemas' plans upon their lease expirations but has not received a response as of this commentary. One of the larger tenants, Forever 21 (3.9% of the NRA, lease expired in January 2025), appears to have vacated as part of a countrywide closure of all their stores following the company's second bankruptcy filing. As per Reis, the Long Beach/Cerritos/Carson retail submarket has an average vacancy of 8.2% as of Q1 2025, supporting strong leasing activity and making it notably easier to backfill vacant space relative to submarkets with softer fundamentals. According to the tenant sales report for the trailing 12-month (T-12) period ended December 31, 2024, total mall sales were $435.51 per square foot (psf), an increase from the T-12 period ended March 31, 2024, figure of $433.01 psf. In-line tenants reported sales of $552.82 psf compared with $535.04 psf for the T-12 periods ended December 31, 2024, and March 31, 2024, respectively. Department stores, however, reported a marginal decrease with sales of $161.91 psf for the T-12 period ended December 31, 2024, compared with $165.87 psf for the T-12 period ended March 31, 2024. Starlight Cinemas reported total sales of approximately $1.4 million, equating to $86,100 per screen, compared with $53,100 at YE2023; however, the tenant took occupancy only toward the end of July 2023. The YE2024 net cash flow (NCF) was reported at $29.1 million, a small decrease from the YE2023 NCF of $29.2 million and slightly above the YE2022 figure of $28.7 million. For those same periods, the subject reported a debt service coverage ratio (DSCR) of 1.33 times (x), 1.33x, and 1.31x, respectively. Morningstar DBRS maintained the analysis from last review, which includes a Morningstar DBRS Value of $363.0 million based on a Morningstar DBRS NCF of $28.1 million, derived from a 2.0% haircut to the YE2022 NCF, and a Morningstar DBRS capitalization rate of 7.75%. The $363.0 million value implies an 88.1% loan-to-value ratio (LTV) on the $319.8 million remaining whole loan balance. Morningstar DBRS maintained positive qualitative adjustments totaling 2.5% to the LTV sizing benchmarks to account for the ongoing amortization and the desirable location within the Los Angeles market. Notes: All figures are in U.S. dollars unless otherwise noted. EFMT 2025-CES3: Fitch Assigns 'B(EXP)sf' Rating on Class B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to EFMT 2025-CES3. EFMT 2025-CES3 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 ----------- ------ EFMT 2025-CES3 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The EFMT 2025-CES3 residential mortgage-backed certificates are backed by 100% closed-end second lien (CES) loans on residential properties. This is the fourth transaction to be rated by Fitch that includes 100% CES loans off the EFMT shelf. The transaction is scheduled to close on or about June 10, 2025. The pool consists of 3,268 non-seasoned, performing CES loans with a current outstanding balance (as of the cutoff date) of $281.03 million. The entire pool is mainly originated by PennyMac Loan Services, LLC which is considered an 'Acceptable' originator by Fitch. The pool is serviced by PennyMac Loan Services (RPS3+/Stable). Nationstar Mortgage LLC (RMS1-/Stable) is the Master Servicer. Distributions of interest and principal are based on a sequential structure, while losses are allocated reverse sequentially, starting with the most subordinate class. The servicers will not be advancing delinquent monthly payments of principal and interest (P&I). The collateral comprises 100% fixed-rate loans. Class A-1A, A-1B, A-2 and A-3 certificates with respect to any distribution date prior to the distribution date in June 2029 will have an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates or (ii) the net weighted average coupon (WAC) for such distribution date. On and after June 2029, the pass-through rate will be a per annum rate equal to the lower of (i) the sum of (a) the applicable fixed rate set forth in the table above for such class of certificates and (b) the step-up rate (1.0%) or (ii) the net WAC rate for the related distribution date. The pass-through rate on the class M-1, B-1 and B-2 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates or (ii) the net WAC for such distribution date. The pass-through rate on class B-3 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the net WAC for such distribution date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.3% above a long-term sustainable level (versus 11.1% on a national level 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). High-Quality Prime Mortgage Pool (Positive): The pool consists of 3,268 performing, fixed-rate loans secured by CES on primarily one- to four-family residential properties (including planned unit developments [PUDs]) condos, and townhouses totaling $281.03 million. The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of 6.5 months, according to Fitch, and three months, per the transaction documents. The pool has a weighted average (WA) original FICO score of 739, as determined by Fitch, indicative of very high credit-quality borrowers. About 37.8% of the loans, as determined by Fitch, have a borrower with an original FICO score equal to or above 750. The original WA combined loan-to-value ratio (CLTV) of 69.7%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 78.4%. The transaction documents stated a WA original LTV of 20.2% and a WA CLTV of 68.3%. The LTVs represent moderate borrower equity in the property and reduced default risk, compared with a borrower CLTV of over 80%. Of the pool loans, 91.6% were originated by a retail channel. Based on Fitch's documentation review, it considers 100.0% of the loans to be fully documented. Of the pool, 100.0% of the loans are owner occupied. Single-family homes, PUDs, townhouses and single-family attached dwellings constitute 97.6% of the pool; condos make up 2.2%, and multifamily homes makes up 0.11%. The pool consists of 100.0% cashout refinances (cashouts) based on Fitch's analysis of the pool and per the transaction documents). Fitch only considers loans a cashout if the cashout amount is greater than 2% of the original balance. None of the loans in the pool have a current balance over $1.0 million. Of the pool of loans, 16.2% are concentrated in California. The largest MSA concentration is the Washington/Arlington/Alexandria MSA (6.1%), followed by the Los Angeles MSA (4.5%) and the Atlanta MSA (4.3%). The top three MSAs account for 15.0% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. As a majority of the loans are fully documented with high FICOs, Fitch's prime loan loss model was used for the analysis of this pool. Second-Lien Collateral (Negative): The entire collateral pool consists of CES loans originated by mainly PennyMac Loan Services, LLC. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans, based on the historical behavior of the 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. Sequential Structure with No Advancing of Delinquent P&I (Mixed): The proposed structure is a sequential structure in which principal is distributed, first, to the A-1A and A-1B classes pro rata and then sequentially to the A-2, A-3, M-1, B-1, B-2 and B-3 classes. Interest is prioritized in the principal waterfall, and any unpaid interest amounts are paid prior to principal being paid. The transaction has monthly excess cash flows that are used to repay any realized losses incurred and then unpaid cap carryover interest shortfalls. A realized loss will occur if, after giving effect to the allocation of the principal remittance amount and monthly excess cash flow on any distribution date, the aggregate collateral balance is less than the aggregate outstanding balance of the outstanding classes. Realized losses will be allocated reverse sequentially, with the losses allocated, first, to class B-3 and, once the A-2 class is written off, class A-1B will take losses first prior to class A-1A taking losses (class A-1A will only take losses once A-1B is written off). The transaction will have subordination and excess spread, providing credit enhancement (CE) and protection from losses. 180-Day Chargeoff Feature/Best Execution (Positive): With respect to any mortgage loan that becomes 180 days MBA delinquent, the servicer will review, and may charge off, such mortgage loan (based on an equity analysis review performed by the servicer) if such review indicates no significant recovery is likely in respect of such mortgage loan. Fitch views the servicer conducting an equity analysis to determine the best execution strategy for the liquidation of severely delinquent loans as a positive, as the servicer and controlling holder are acting in the best interest of the certificateholders to limit losses on the transaction. The servicer deciding to write off the losses at 180 days would compare favorably to a delayed liquidation scenario, whereby the loss occurs later in the life of the transaction and less excess is available. In its cash flow analysis, Fitch assumed the loans would be written off at 180 days, as this is the most likely scenario in a stressed case when there is limited equity in the home. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.3%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis. The review confirmed strong origination practices, with 100.0% of the loans reviewed receiving a final grade of "A" or "B". Based on the results of the due diligence performed on the pool, Fitch reduced the overall 'AAAsf' expected loss by 0.77%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Consolidated Analytics was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and property grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. 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. ELMWOOD CLO 42: S&P Assigns B- (sf) Rating on Class F Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Elmwood CLO 42 Ltd./Elmwood CLO 42 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Elmwood Asset Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Elmwood CLO 42 Ltd./Elmwood CLO 42 LLC Class A, $217.00 million: AAA (sf) Class B, $49.00 million: AA (sf) Class C (deferrable), $21.00 million: A (sf) Class D (deferrable), $21.00 million: BBB- (sf) Class E (deferrable), $11.20 million: BB- (sf) Class F (deferrable), $6.30 million: B- (sf) Subordinated notes, $30.00 million: NR NR--Not rated. FLATIRON CLO 23: Moody's Assigns B3 Rating to $1MM Class F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes issued by Flatiron CLO 23 LLC (the "Issuer"). Moody's rating action is as follows: US$256,000,000 Class A-R Senior Secured Floating Rate Notes due 2036 (the "Class A-R Notes"), Assigned Aaa (sf) US$1,000,000 Class F-R Senior Secured Deferrable Floating Rate Notes due 2036 (the "Class F-R Notes"), Assigned B3 (sf) A comprehensive review of all credit ratings for the respective transaction has/have been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. NYL Investors 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 remaining reinvestment period. In addition to the issuance of the Refinancing Debt and the other four classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: changes to certain collateral quality tests and changes to the overcollateralization test 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: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3196 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 6.5% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 5.91 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 a 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. FORTRESS CREDIT XVIII: Fitch Assigns 'BB+sf' Rating on E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Fortress Credit BSL XVIII Limited refinancing notes classes X-R, A-2-R, B-R, C-1-R, C-2-R, D-1-R, D-2-R, and E-R. Entity/Debt Rating Prior ----------- ------ ----- Fortress Credit BSL XVIII Limited X-R LT AAAsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-1 34965DAE3 LT PIFsf Paid In Full AAsf B-2 34965DAL7 LT PIFsf Paid In Full AAsf B-R LT AA+sf New Rating C 34965DAG8 LT PIFsf Paid In Full A+sf C-1-R LT A+sf New Rating C-2-R LT A+sf New Rating D-1 34965DAJ2 LT PIFsf Paid In Full BBBsf D-1-R LT BBB+sf New Rating D-2-A 34965DAN3 LT PIFsf Paid In Full BBB+sf D-2-B 34965DAQ6 LT PIFsf Paid In Full BBBsf D-2-R LT BBB-sf New Rating E 34965JAA8 LT PIFsf Paid In Full BB+sf E-R LT BB+sf New Rating F-R LT NRsf New Rating Transaction Summary Fortress Credit BSL XVIII Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by FC BSL CLO Manager II LLC that originally closed in March 2023. On June 6, 2025 (refinancing date), classes A-T, A-L, B-1, B-2, C, D-1, D-2-A, D-2-B, E and F will be refinanced from proceeds of the issuance of new secured notes. 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: 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: The indicative portfolio consists of 98.4% first-lien senior secured loans and has a weighted average recovery assumption of 74.69%. 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: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 2.9-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: 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. KEY PROVISION CHANGES The refinancing is being implemented via the First Supplemental Indenture, which amended certain provisions of the transaction. The changes include but are not limited to: A reorganization of classes that includes adding X-R and A-2-R notes, consolidating the B classes into a single B-R class, splitting the C class into pari passu floating rate C-1-R and fixed rate C-2-R classes, and changing D notes to sequential D-1-R and D-2-R classes. The refinancing tightened spreads across the capital structure. The non-call period for the refinancing notes will end in June 2026. The reinvestment period, WAL schedule, and stated maturity of the refinanced notes will be the same as the original notes. FITCH ANALYSIS The portfolio includes 176 assets from 154 primarily high yield obligors. The portfolio balance, including the amount of principal cash, is approximately $400 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Floating Spread and Weighted Average Rating tests and was beyond the 'CCC'/'Caa' concentration limitation. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B'/'B-'. Fitch has an explicit rating, credit opinion or private rating for 21.8% of the current portfolio par balance; ratings for 77.6% of the portfolio were derived using Fitch's IDR equivalency map. The analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 15%, 12%, and 12%, respectively; - Assumed risk horizon: 6.0 years; - Minimum weighted average spread of 3.5%; - Fixed rate Assets: 5.0%; - 'CCC' obligors as defined by Fitch's ratings: 17.0%; - Minimum weighted average coupon of 7.0%; - Non-first priority senior secured assets: 7.5%; The transaction will exit reinvestment period on April 23, 2028. Current Portfolio The Fitch Portfolio Credit Model (PCM) default rate output for the current portfolio of classes X-R and A-2-R at the 'AAAsf' rating stress was 49.0%. The PCM recovery rate output for the current portfolio of classes X-R and A-2-R at the 'AAAsf' rating stress was 39.8%. In the analysis of the current portfolio, the classes X-R and A-2-R notes passed the 'AAAsf' threshold in all nine cash flow scenarios with minimum cushions of 51.0% and 10.2%, respectively. The PCM default rate output for the current portfolio of class B-R at the 'AA+sf' rating stress was 48.0%. The PCM recovery rate output for the current portfolio of class B-R at the 'AA+sf' rating stress was 49.2%. In the analysis of the current portfolio, the class B-R notes passed the 'AA+sf' threshold in all nine cash flow scenarios with a minimum cushion of 10.4%. The PCM default rate output for the current portfolio of class C-1-R/C-2-R at the 'A+sf' rating stress was 42.6%. The PCM recovery rate output for the current portfolio of class C-1-R/C-2-R at the 'A+sf' rating stress was 59.2%. In the analysis of the current portfolio, the class C-1-R/C-2-R notes passed the 'A+sf' threshold in all nine cash flow scenarios with a minimum cushion of 10.6%. The PCM default rate output for the current portfolio of class D-1-R at the 'BBB+sf' rating stress was 35.8%. The PCM recovery rate output for the current portfolio of class D-1-R at the 'BBB+sf' rating stress was 68.7%. In the analysis of the current portfolio, the class D-1-R notes passed the 'BBB+sf' threshold in all nine cash flow scenarios with a minimum cushion of 8.7%. The PCM default rate output for the current portfolio of class D-2-R at the 'BBB-sf' rating stress was 31.8%. The PCM recovery rate output for the current portfolio of class D-2-R at the 'BBB-sf' rating stress was 68.6%. In the analysis of the current portfolio, the class D-2-R notes passed the 'BBB-sf' threshold in all nine cash flow scenarios with a minimum cushion of 8.3%. The PCM default rate output for the current portfolio of class E-R at the 'BB+sf' rating stress was 29.9%. The PCM recovery rate output for the current portfolio of class E-R at the 'BB+sf' rating stress was 73.9%. In the analysis of the current portfolio, the class E-R notes passed the 'BB+sf' threshold in all nine cash flow scenarios with a minimum cushion of 12.6%. Fitch Stressed Portfolio (FSP) The PCM default rate output for the stressed portfolio of classes X-R and A-2-R at the 'AAAsf' rating stress was 54.9%. The PCM recovery rate output for the stressed portfolio of classes X-R and A-2-R at the 'AAAsf' rating stress was 37.0%. In the analysis of the stressed portfolio, the classes X-R and A-2-R notes passed the 'AAAsf' threshold in all nine cash flow scenarios with minimum cushions of 45.1% and 2.3%, respectively. The PCM default rate output for the stressed portfolio of class B-R at the 'AA+sf' rating stress was 53.6%. The PCM recovery rate output for the stressed portfolio of class B-R at the 'AA+sf' rating stress was 45.7%. In the analysis of the stressed portfolio, the class B-R notes passed the 'AA+sf' threshold in all nine cash flow scenarios with a minimum cushion of 2.4%. The PCM default rate output for the stressed portfolio of class C-1-R/C-2-R at the 'A+sf' rating stress was 47.7%. The PCM recovery rate output for the stressed portfolio of class C-1-R/C-2-R at the 'A+sf' rating stress was 55.3%. In the analysis of the stressed portfolio, the class C-1-R/C-2-R notes passed the 'A+sf' threshold in all nine cash flow scenarios with a minimum cushion of 2.4%. The PCM default rate output for the stressed portfolio of class D-1-R at the 'BBB+sf' rating stress was 41.0%. The PCM recovery rate output for the stressed portfolio of class D-1-R at the 'BBB+sf' rating stress was 64.6%. In the analysis of the stressed portfolio, the class D-1-R notes passed the 'BBB+sf' threshold in all nine cash flow scenarios with a minimum cushion of 0.6%. The PCM default rate output for the stressed portfolio of class D-2-R at the 'BBB-sf' rating stress was 36.6%. The PCM recovery rate output for the stressed portfolio of class D-2-R at the 'BBB-sf' rating stress was 64.5%. In the analysis of the stressed portfolio, the class D-2-R notes passed the 'BBB-sf' threshold in all nine cash flow scenarios with a minimum cushion of 2.0%. The PCM default rate output for the stressed portfolio of class E-R at the 'BB+sf' rating stress was 34.4%. The PCM recovery rate output for the stressed portfolio of class E-R at the 'BB+sf' rating stress was 69.8%. In the analysis of the stressed portfolio, the class E-R notes passed the 'BB+sf' threshold in all nine cash flow scenarios with a minimum cushion of 4.8%. The rating actions reflect that the notes can sustain a robust level of defaults combined with low recoveries, as well as other factors, such as the degree of cushion when analyzing the indicative portfolio and the strong performance in the sensitivity scenarios. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BBB-sf' and 'AA-sf' for class B-R, between 'BB-sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBB-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 'BBsf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, and 'Asf' 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 Fortress Credit BSL XVIII Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. GALAXY 31: 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 Galaxy 31 CLO Ltd./Galaxy 31 CLO LLC, a CLO managed by PineBridge Investments 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-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 stated maturity and reinvestment period were extended by 2.25 years, and the non-call period was extended by 2.20 years. -- The transaction's liabilities increased by $26.93 million, with target par increasing by $25 million. 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 Galaxy 31 CLO Ltd./Galaxy 31 CLO LLC Class A-R, $289.750 million: AAA (sf) Class B-R, $71.250 million: AA (sf) Class C-R (deferrable), $28.500 million: A (sf) Class D-R (deferrable), $28.500 million: BBB- (sf) Class E-R (deferrable), $16.625 million: BB- (sf) Ratings Withdrawn Galaxy 31 CLO Ltd./Galaxy 31 CLO LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C-1 to NR from 'A+ (sf)' Class C-2 to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Galaxy 31 CLO Ltd./Galaxy 31 CLO LLC Class A subordinated notes, $40.060 million: NR Class B subordinated notes, $100,000: NR NR--Not rated. GFH 2025-IND: Fitch Assigns 'B-(EXP)s' Rating on Class HRR Certs ---------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Rating Outlooks to GFH 2025-IND Mortgage Trust commercial pass-through certificates, series 2025-IND: - $129,100,000 class A 'AAAsf'; Outlook Stable; - $15,200,000 class B 'AA-sf'; Outlook Stable; - $16,300,000 class C 'A-sf'; Outlook Stable; - $23,000,000 class D 'BBB-sf'; Outlook Stable; - $35,300,000 class E 'BB-sf'; Outlook Stable; - $18,600,000 class F 'Bsf'; Outlook Stable; - $12,500,000(a) class HRR 'B-sf'; Outlook Stable. (a) Class HRR represents a non-offered horizontal risk retention interest totaling approximately 5.0% of the fair value of the offered certificates. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $250 million, three-year, fixed-rate, interest-only (IO) mortgage loan. The mortgage will be secured by a first mortgage lien against the borrower's fee simple interests in a portfolio of seven industrial properties comprising approximately 2.3 million sf located across seven states and seven distinct markets. The properties were acquired by affiliates of GFH Financial Group BSC and Scannell Properties between 2022 and 2023 for an estimated cost of approximately $372.6 million. Mortgage loan proceeds are being used to refinance approximately $234.3 million of existing debt, pay a total of $6.0 million in closing costs, and return approximately $9.7 million in equity to the sponsors. The loan is being originated by Barclays Capital Real Estate Inc. who will act as the mortgage loan seller. Berkadia Commercial Mortgage LLC is expected to serve as the master servicer with Torchlight Loan Services, LLC as special servicer. Computershare Trust Company, National Association will act as both the trustee and certificate administrator. Park Bridge Lender Services LLC will act as operating advisor. The transaction is scheduled to close on June 17, 2025. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio is estimated at $16.7 million. This is 7.4% lower than the issuer's NCF and 8.5% lower than the YE24 NCF. Fitch applied a 7.50% cap rate to derive a Fitch value of $222.3 million. High Fitch Leverage: The $250.0 million trust loan equates to debt of $108.89 psf with a Fitch debt service coverage ratio (DSCR) of 0.79x, loan-to-value ratio (LTV) of 112.3% and debt yield of 6.7%. The loan represents about 70.8% of the appraiser concluded portfolio value of $353.0 million and 72.2% of the aggregate as-is appraised value of the individual properties of $346.5 million. The Fitch market LTV at 'B-sf' (the lowest Fitch-rated non-investment-grade tranche) is 93.6%. The Fitch market LTV is based on a blend of the Fitch cap rate and the market cap rate of 5.25%. Long-Term Creditworthy Tenancy: Of the portfolio, 100.0% of the net rentable area (NRA) is leased by tenants considered creditworthy and tenants with creditworthy parent entities. The two creditworthy tenants are FedEx Ground (85.9% of NRA) and General Mills (14.1% of NRA). The weighted average remaining lease term of the portfolio is 11.1 years, with no early termination or contraction options. Geographic Diversity: The portfolio exhibits geographic diversity with seven industrial logistics facilities (2.3 million sf) located across seven states and markets. The three largest MSAs in the portfolio by ALA are Cedar Rapids, IA (24.8% of ALA), Sioux Falls, SD (16.6% of ALA), and Columbia, SC (14.6% of ALA). The effective MSA count for the portfolio is 6.2. Institutional Sponsorship: The sponsorship for this transaction will be a joint venture between GFH Financial Group BSC (98.0% ownership interest) and Scannell Properties (2.0%). GFH Financial Group BSC is a diversified financial group that was founded in 1999 and is headquartered in Bahrain's Financial Harbor. According to its 2024 annual report, GFH Financial Group BSC has extensive experience and a significant portfolio within the commercial real estate industry, including approximately $6.5 billion worth of assets across the U.S., the Gulf Cooperation Council, and the U.K. Scannell Properties is a privately owned real estate development and investment company, focusing on build-to-suit and speculative projects throughout the U.S., Canada and Europe. Scannell Properties developed this portfolio in 2022. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf'/'B-sf'; - 10% NCF Decline: 'AA-sf'/'A-sf'/'BBB-f'/'BBsf'/'Bsf'/'CCC+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 list below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'BBBsf'/'BBsf'/'BB-sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GOODLEAP SUSTAINABLE 2023-2: Fitch Cuts Rating on Cl. C Notes to B- ------------------------------------------------------------------- Fitch Ratings has downgraded the class B and C notes for the GoodLeap Sustainable Home Solutions Trust (GoodLeap) 2023-2 and 2023-3 transactions. For GoodLeap 2023-2, the class B notes have been downgraded to 'Bsf' from 'BBBsf' and the class C notes to 'B-sf' from 'BBsf'. For GoodLeap 2023-3, the class B notes have been downgraded to 'BBsf' from 'BBBsf' and the class C notes to 'CCCsf' from 'BB-sf'. The Rating Outlooks for these downgraded notes are Negative, except for the GoodLeap 2023-3 class C notes with no Rating Outlook. The remaining ratings on 14 classes of six GoodLeap transactions have been affirmed. The downgrades of the class B and C notes from the GoodLeap 2023-2 and 2023-3 transactions are primarily driven by their increasing susceptibility to economic pressures resulting from lower prepayment rates and rising default levels. Since these transactions closed, there has been a notable decrease in overcollateralization and substantial negative excess spread, exacerbating the financial strain on these subordinated notes. These economic trends are shown by the class A notes in both deals which have not yet achieved their target overcollateralization. The prepayment rates have persistently fallen short of Fitch's initial projections, particularly in 2023-2, leading to extended note life cycles and heightened exposure to loss risks. In addition, the broader economic environment, characterized by subdued housing activity and anticipated delayed monetary easing, suggests that prepayments will continue to remain low, impacting the credit enhancement levels available to safeguard against defaults. These factors collectively underscore the vulnerabilities faced by GoodLeap's 2023-2 and 2023-3 class B and C notes, prompting the downgrades and reflecting Fitch's adjusted assessment of future performance. Entity/Debt Rating Prior ----------- ------ ----- GoodLeap Sustainable Home Solutions Trust 2024-1 A 38237BAA8 LT Asf Affirmed Asf B 38237BAB6 LT BBBsf Affirmed BBBsf C 38237BAC4 LT BBsf Affirmed BBsf GoodLeap Sustainable Home Solutions Trust 2023-2 A 38237AAA0 LT A-sf Affirmed A-sf B 38237AAB8 LT Bsf Downgrade BBBsf C 38237AAC6 LT B-sf Downgrade BBsf GoodLeap Sustainable Home Solutions Trust 2023-3 A 38237CAA6 LT Asf Affirmed Asf B 38237CAB4 LT BBsf Downgrade BBBsf C 38237CAC2 LT CCCsf Downgrade BB-sf GoodLeap Sustainable Home Solutions Trust 2021-5 A 38237HAA5 LT Asf Affirmed Asf B 38237HAB3 LT BBBsf Affirmed BBBsf C 38237HAC1 LT BBsf Affirmed BBsf GoodLeap Sustainable Home Solutions Trust 2022-1 A 38237JAA1 LT Asf Affirmed Asf B 38237JAB9 LT BBBsf Affirmed BBBsf C 38237JAC7 LT BBsf Affirmed BBsf GoodLeap Sustainable Home Solutions Trust Series 2023-4 A 38237YAA8 LT Asf Affirmed Asf B 38237YAB6 LT BBBsf Affirmed BBBsf C 38237YAC4 LT BBsf Affirmed BBsf Transaction Summary The transactions subject to this review are securitizations of consumer loans backed by residential solar equipment and a small portion of home efficiency loans which are originated by GoodLeap (formerly known as Loanpal), a frequent securitization sponsor and currently one of the largest specialized solar lenders by originations in the U.S., which started advancing solar loans in December 2017 (although the company already existed as a mortgage lender). KEY RATING DRIVERS Prepayments Exacerbate Negative Excess Spread: Prepayments in GoodLeap Solar ABS transactions have been below Fitch's initial expectations both before and after the re-amortization date (month 18). This is particularly true for 2023-2, which has had the lowest average prepayment levels when compared with other GoodLeap transactions rated by Fitch. This transaction also has the lowest excess spread. The current weighted average (WA) cost of funds (rebased to stated principal balance) for GoodLeap transactions ranges from 2.46% to 6.80%, which results in annual excess spread, before accounting for fees, ranging from -1.41% to 0.62%. Specifically, those with annual negative excess spread are 2023-2, 2023-3 and 2023-4. While the loans were purchased at a discount to mitigate negative or low excess spreads, the lower prepayments extend the life of rated notes increasing the impact from negative excess spreads, which erodes credit enhancement (CE) to protect against credit losses. Fitch anticipates prepayment rates to remain subdued in the short term as most of the Fitch-rated Goodleap transactions have seasoned pools that have surpassed their re-amortization date. In addition, the current low housing activity, driven by high mortgage rates, contributes to this outlook. The Fitch economic team projects that the Federal Reserve will likely wait until the fourth quarter of 2025 to cut rates, which in turn reduces the likelihood of a resurgence in refinancing activity in the U.S. Apart from GoodLeap 2024-1, most of the loans in the other GoodLeap transactions exhibit seasoning that exceeds the re-amortization term. As a result, Fitch has adopted a post re-amortization assumption in its considerations and lowered the base case CPR assumptions both on a pre and post re-amortization basis. Before the re-amortization period, 2021-5 saw its prepayment rate decrease by 0.6% to 6.1%, while 2022-1 dropped by 0.5% to 6.5%. The prepayment rate for 2023-2 decreased by 0.6%, reaching 6.4%, and for 2023-3 it fell by 0.6% to 6.7%. In addition, 2023-4 experienced a decrease of 0.6% to 6.1%, and 2024-1 saw a reduction of 0.7% to 6.1%. In the post re-amortization segment, which is the more important one given majority of the underlying loans within these deals have moved past their re-amortization date, 2021-5's prepayment rate decreased by 0.8% to 4.3% while 2022-1 fell by 0.7% to 4.6%. The prepayment rate for 2023-2 decreased by 0.8% to 4.4%, and for 2023-3 it dropped by 0.8% to 4.8%. Furthermore, 2023-4 experienced a decrease of 0.8% to 4.3% and 2024-1 saw a reduction of 0.8% to 4.4%. These adjustments reflect Fitch's modifications to the prepayment assumptions across the various groups. Lower Prepayments and CE Levels Drive Downgrades for 2023-2 and 2023-3 Classes B and C: The downgrades on the class B and C notes in 2023-2 and 2023-3 along with the Negative Outlooks reflect their vulnerability to the effects of lower prepayment rates and the rising default rates. In addition, the class B and C notes have not received any principal payments since closing, further increasing the stress on these subordinate notes. Currently, the CE levels for the class A notes in GoodLeap 2023-2 and 2023-3 are 39.31% and 41.22%, respectively, of the stated balance, falling short of their target CE levels of 41.5% and 42.96%, respectively. In addition, the CE levels for the Class B and C notes have been declining since closing, with current levels at 34.78% and 30.86% for 2023-2 and 34.3% and 28.17% for 2023-3. In contrast, other GoodLeap deals have shown improvements, with the CE levels of all the class A notes improving and sitting at or close to their target CE levels since closing. Defaults Higher Than Fitch's Expectations: Default performance has exceeded Fitch's expectations since its last review, prompting an increase in the WA base case lifetime default rates across all GoodLeap deals. Fitch increased cumulative WA default assumptions: GoodLeap 2021-5 saw its default rate rise by 1.27% to 11.07%, GoodLeap 2022-1 increased by 2.42% to 12.32%, GoodLeap 2023-2 grew by 3.30% to 12.40%, GoodLeap 2023-3 rose by 3.20% to 12.10%, GoodLeap 2023-4 jumped by 3.43% to 13.03%, and GoodLeap 2024-1 climbed by 3.50% to 12.50%. In addition, adjustments were made to the default multiples Fitch used to stress performance at higher rating levels. The WA default multiples at 'Asf' for GoodLeap 2021-5 increased by 0.04x to 2.96x and for GoodLeap 2022-1 by 0.09x to 2.98x. GoodLeap 2023-2 and 2023-3 decreased 0.04x to 2.97x and 0.07x to 3.03x, respectively. GoodLeap 2023-4 also decreased by 0.01x to 2.95x and GoodLeap 2024-1 decreased by 0.07x to 2.98x. These updates incorporate additional FICO-based performance data and Fitch's macroeconomic outlook. Amortization Trigger Offers Stronger Structural Protection for Senior Class: The senior notes benefit from structural protections guided by target overcollateralization (OC) percentages. In scenarios where asset performance encounters stress, first, extra principal payments are allocated to offset any defaulted amounts. Second, if predefined cumulative loss thresholds are surpassed, the payment waterfall adjusts to a "turbo" mode, prioritizing sequential payments to the senior class. This dynamic mechanism enhances the protection of senior noteholders by rapidly redirecting cash flows, thereby mitigating risks associated with deteriorating asset performance and ensuring greater stability in adverse conditions. Notes initially amortize based on target OC percentages. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Asset performance worsening or sustained low prepayments without expectation of future increases may put pressure on the ratings. Material changes in policy support, the economics of purchasing and financing photovoltaic panels and batteries, and/or ground-breaking technological advances that make the existing equipment obsolete may also affect the ratings negatively. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch currently caps this transaction's ratings in the 'Asf' category due to limited performance history, while the assigned 'A-sf' rating is further constrained by the level of CE. As a result, a positive rating action could result from an increase of CE due to deleveraging, underpinned by low defaults. 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. GREAT LAKES 2014-1: Moody's Ups Rating on $10.5MM F-R Notes to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Great Lakes CLO 2014-1, Ltd.: US$21,900,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2029 (the "Class D-R Notes"), Upgraded to Aaa (sf); previously on March 15, 2024 Upgraded to A1 (sf) US$28,5000,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2029 (the "Class E-R Notes"), Upgraded to Baa1 (sf); previously on October 6, 2020 Confirmed at Ba2 (sf) US$10,500,000 Class F-R Deferrable Mezzanine Floating Rate Notes due 2029 (the "Class F-R Notes"), Upgraded to B1 (sf); previously on October 6, 2020 Downgraded to Caa1 (sf) Great Lakes CLO 2014-1, Ltd., originally issued in April 2014 and refinanced in October 2017, 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 October 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 April 2024. The Class A-R, Class B-R, and Class C-R notes have been paid down completely by 98.2 million and the Class D-R notes have been paid down by approximately 3.1% or $0.7 million since then. Based on Moody's calculations, the OC ratios for the Class D-R, Class E-R, and Class F-R notes are currently 367.62%, 156.92%, and 129.34%, respectively, versus April 2024 levels of 163.91%, 124.90%, and 114.83%, respectively. Nevertheless, the Class F-R notes have started to defer interest. The trustee reported interest shortfall as of April 2025 [1] is $0.1 million. 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: $69,514,267 Defaulted par: $18,411,552 Diversity Score: 15 Weighted Average Rating Factor (WARF): 5828 Weighted Average Spread (WAS) (before accounting for reference rate floors): 5.22% Weighted Average Recovery Rate (WARR): 47.53% Weighted Average Life (WAL): 1.43 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. GS MORTGAGE 2019-GC40: Fitch Lowers Rating on 2 Tranches to CCCsf ----------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of GS Mortgage Securities Trust series 2019-GC38 commercial mortgage pass-through certificates (GSMS 2018-GC38). The Rating Outlooks for four affirmed classes are Negative. Fitch has also downgraded 10 and affirmed four classes of GS Mortgage Securities Trust 2019-GC40 commercial mortgage pass-through certificates, series 2019-GC40 (GSMS 2019-GC40). Fitch has assigned Negative Rating Outlooks to eight classes following their downgrades. Entity/Debt Rating Prior ----------- ------ ----- GSMS 2019-GC38 A-3 36252SAU1 LT AAAsf Affirmed AAAsf A-4 36252SAV9 LT AAAsf Affirmed AAAsf A-AB 36252SAW7 LT AAAsf Affirmed AAAsf A-S 36252SAZ0 LT AAAsf Affirmed AAAsf B 36252SBA4 LT AA-sf Affirmed AA-sf C 36252SBB2 LT A-sf Affirmed A-sf D 36252SAA5 LT BBBsf Affirmed BBBsf E-RR 36252SAE7 LT BBB-sf Affirmed BBB-sf F-RR 36252SAG2 LT BB+sf Affirmed BB+sf G-RR 36252SAJ6 LT BB-sf Affirmed BB-sf H-RR 36252SAL1 LT B-sf Affirmed B-sf X-A 36252SAX5 LT AAAsf Affirmed AAAsf X-B 36252SAY3 LT A-sf Affirmed A-sf X-D 36252SAC1 LT BBBsf Affirmed BBBsf GSMS 2019-GC40 A-3 36257HBN5 LT AAAsf Affirmed AAAsf A-4 36257HBP0 LT AAAsf Affirmed AAAsf A-AB 36257HBQ8 LT AAAsf Affirmed AAAsf A-S 36257HBT2 LT A+sf Downgrade AA+sf B 36257HBU9 LT BBB+sf Downgrade A+sf C 36257HBV7 LT BB+sf Downgrade BBB+sf D 36257HAA4 LT B+sf Downgrade BB+sf E 36257HAE6 LT B-sf Downgrade BB-sf F 36257HAG1 LT CCCsf Downgrade B-sf G-RR 36257HAL0 LT CCsf Affirmed CCsf X-A 36257HBR6 LT A+sf Downgrade AA+sf X-B 36257HBS4 LT BB+sf Downgrade BBB+sf X-D 36257HAC0 LT B-sf Downgrade BB-sf X-F 36257HAJ5 LT CCCsf Downgrade B-sf KEY RATING DRIVERS 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 5.2% in GSMS 2019-GC38 and 8.4% in GSMS 2019-GC40. The GSMS 2019-GC38 transaction has five Fitch Loans of Concern (FLOCs; 14.9% of the pool), including one loan (5.1%) in special servicing. The GSMS 2019-GC40 transaction has eight FLOCs (43.1%), including one loan (2.6%) in special servicing. The affirmations in GSMS 2019-GC38 reflect the generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Rating Outlooks reflect the continued higher loss expectations from office FLOCs, including 3 Park Avenue (5.1% of the pool), 5444 & 5430 Westheimer (3.2%), Fairbridge Office Portfolio (2.1%) and Mission Point Office (1.5%). The Negative Outlooks also consider a sensitivity scenario where the office FLOCs 3 Park Avenue, Dublin Office, Fairbridge Office Portfolio and Mission Point Office were analyzed with an elevated probability of default. Downgrades are possible without performance stabilization of these office FLOCs. The downgrades in GSMS 2019-GC40 reflect higher pool loss expectations since the prior rating action and continued performance deterioration on FLOCs such as 250 Livingston (9.9% of the pool) and 57 East 11th Street loan (2.6%). At the prior rating action, Fitch was concerned about the anticipated exit of the largest tenant at the 250 Livingston property. With confirmation of the tenant's departure, the downgrades reflect higher certainty of loss on this loan given the increased vacancy. The Negative Outlooks reflect the high office concentration in the pool of approximately 48%. The Negative Outlooks also consider a sensitivity scenario where the office FLOC 250 Livingston was analyzed with an elevated probability of default, given the expected departure of the largest tenant in August 2025. The largest contributor to overall loss expectations in GSMS 2019-GC38 is the 3 Park Avenue loan, which is secured by 641,186-sf of office space on floors 14 through 41 and 26,260-sf of multi-level retail space located on Park Avenue and 34th Street in the Murray Hill office submarket of Manhattan. This FLOC was flagged for low occupancy and DSCR. The loan transferred to special servicing in September 2024 for imminent default and the lender is dual tracking the foreclosure process while discussing borrower's request for a loan modification. As of YE 2023, the property occupancy was 51% compared with 54% at YE 2023, in line with 2022, but remains below 86% at issuance, largely from the departure of TransPerfect Translations (13.7%) in 2019, Icon Capital Corporation (3.4%) in 2023 and several tenants that have downsized their spaces. The largest three tenants are Houghton Mifflin Harcourt (15.2%, through December 2027), P. Kaufman (6.9%, through December 2030) and Return Path, Inc. (3.5%, through July 2025). The servicer-reported NOI DSCR was 0.91x at YE 2023, compared with 0.81x at YE 2022 and significantly below 2.08x based on the originator's underwritten NOI at issuance. Fitch's 'Bsf' rating case loss of 24.0% (prior to concentration add-ons) reflects an 8.5% cap rate, 10% stress to the September 2024 NOI, and a higher probability of default due to the performance declines and low DSCR. Fitch also included an additional sensitivity scenario in its analysis to account for elevated refinance risk where the loan-level 'Bsf' sensitivity case loss increases to 32.1% (prior to concentration add-ons); this scenario contributed to the Negative Outlooks. The second largest contributor to overall loss expectations in GSMS 2019-GC38 is the 5444 & 5430 Westheimer loan, which is secured by a 404,762-sf suburban office building located in Houston, TX. Per the March 2025 rent roll, occupancy was 43.2%, compared to 58% at YE 2023 and 78% at YE 2022. The March 2025 rent roll shows a new lease for Westlake Chemical (29.7% of the NRA) with no specified lease term. According to CoStar, Westlake's lease started in April 2025, increasing in-place occupancy to approximately 72.9%. Near-term lease rollover includes 13.8% in 2025 and 9.6% in 2026. The Galleria/Uptown office submarket remains challenged, exhibiting a high vacancy rate of 34.3%, as reported by CoStar for 2Q25. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 23.1% reflects a cap rate of 10.25% and no additional stress to the YE 2024 NOI to account for the increase in occupancy. The fourth largest contributor to overall loss expectations in GSMS 2019-GC38 is the Fairbridge Office Portfolio loan, which is secured by a two-property office portfolio located in Illinois, totaling 385,525-sf. Performance of the portfolio continues to be depressed with YE 2024 occupancy and NOI DSCR of 59% and 1.02x, relatively unchanged from 59% and 1.01x at YE 2023. Major tenants at the property include Sargent & Lundy (8.5% of the NRA through December 2033) and Lewis University (7.3%; May 2029). As of the May 2025 remittance, the loan remains current. Fitch's 'Bsf' rating case loss of 23.6% (prior to concentration adjustments) reflects a cap rate of 10.5% and a 10% stress to the YE 2024 NOI and factors a higher probability of default given the deteriorating performance and weakness of the submarket. Fitch also included an additional sensitivity scenario in its analysis to account for elevated refinance risk where the loan-level 'Bsf' sensitivity case loss increases to 31.5% (prior to concentration add-ons); this scenario contributed to the Negative Outlooks. The largest contributor to overall loss expectations in GSMS 2019-GC40 is the 250 Livingston loan, secured by a 370,305-sf office property located in Brooklyn, NY that was built in 1910 and renovated in 2013. The largest tenant, The City of New York (92.5% of NRA), has exercised a termination option to end its lease in August 2025, five years ahead of expiration in August 2030. The loan was structured with a springing cash flow sweep if the City of New York vacates, terminates, goes dark, goes bankrupt, or fails to renews 18-months prior to lease expiration or its termination option. Per the May 2025 reporting, there is approximately $1.7 million in reserves. Fitch has requested additional information from the servicer regarding the termination fee along with potential leasing updates. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 23.4% factors a higher probability of default to account for the largest tenant's expected departure coupled with weakening submarket conditions with CoStar reporting a vacancy rate of 17.9% for the Downtown Brooklyn office submarket as of 2Q25. Fitch also included an additional sensitivity scenario in its analysis to account for elevated refinance risk where the loan-level 'Bsf' sensitivity case loss increases to 31.2% (prior to concentration add-ons); this scenario contributed to the Negative Outlooks. The second largest contributor to overall loss expectations in GSMS 2019-GC40 is the 57 East 11th Street loan, which is secured by a 64,460-sf office building located in the Greenwich Village neighborhood of New York City. The property was formerly 100% occupied by WeWork. The servicer noted that WeWork stopped paying rent in October 2023 and is no longer operating at the subject after rejecting the lease during bankruptcy proceedings. The loan transferred to special servicing in February 2024 due to payment default. As of the May 2025 reporting, the property remains vacant. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 70% reflects the most recent appraisal value, which is approximately $275 psf. The largest increase in overall loss expectations since the prior rating action in GSMS 2019-GC40 is the MGBW Portfolio loan, which is secured by portfolio of a four-building industrial portfolio totaling 910k-sf, in different cities of North Carolina, all approximately an hour away from the Charlotte MSA. At issuance, the portfolio was 100% occupied by The Mitchell Gold Co., a manufacturer, retailer, and wholesaler of home furnishings. In September 2023, the sole tenant filed for Chapter 11 Bankruptcy and rejected its 4 leases in November 2023. The judge then converted the Chapter 11 to Chapter 7, and Surya, a home furnishings brand, acquired Mitchell Gold Co.'s intellectual property, the brand's inventory, and all of its manufacturing equipment. The property remains fully occupied, but the rental rate for Surya (100% of the NRA through March 2026) is $2.72 per square foot (on a triple net lease), significantly below the market rate of $9.83 psf as reported by CoStar for the second quarter of 2025. Due to the decline in rental revenue, the servicer-reported NOI DSCR was 0.93x as of 3Q 24, compared to 2.29x at 3Q24, 2.31x at YE 2022, and 2.27x at YE 2021. Fitch's 'Bsf' rating case loss of 10.2% (prior to concentration adjustments) reflects a cap rate of 9% and a 7.5% stress to the annualized 3Q23 NOI. Increased Credit Enhancement (CE): As of the May 2025 distribution date, the aggregate balance for GSMS 2019-GC38 has been reduced by 12.1% to $665.2 million from $756.4 million at issuance. Three loans (3.0% of pool) have been defeased. There are 18 loans (72%) that are full-term, interest-only and the remaining 28% of the pool is amortizing. As of the May 2025 distribution date, the aggregate balance for GSMS 2019-GC40 has been paid down by 27.1% to $755.2 million from $1.0 billion at issuance. There are 21 loans (72% of the pool) that are full-term interest-only and the remaining 28% of the pool is amortizing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' classes are not likely due to their 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 'AAsf' and 'Asf' category rated classes are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'BBBsf' category could occur if deal-level losses increase significantly from outsized losses on the office FLOCs, particularly 3 Park Avenue, 5444 & 5430 Westheimer, Fairbridge Office Portfolio and Mission Point Office in GSMS 2019-GC38 and 250 Livingston and 57 East 11th Street in GSMS 2019-GC40, or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to the 'BBsf' and 'Bsf' rated category are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the office loans with deteriorating performance and/or with greater certainty of losses on other FLOCs. A downgrade to the 'CCCsf' and 'CCsf' rated class would occur with a greater certainty of losses and/or as losses are realized. 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 of the FLOCs, including 3 Park Avenue, 5444 & 5430 Westheimer, Fairbridge Office Portfolio and Mission Point Office in GSMS 2019-GC38 and 250 Livingston and 57 East 11th Street in GSMS 2019-GC40. 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', 'Bsf' and distressed 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. 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. GS MORTGAGE 2021-IP: DBRS Confirms BB Rating on Class F Certs ------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-IP issued by GS Mortgage Securities Corporation Trust 2021-IP as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class HRR at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect the stable performance of the underlying collateral, which remains in line with Morningstar DBRS' expectations given the strong tenant mix, prime market location, and experienced sponsorship. The interest-only floating-rate loan is secured by the borrower's fee-simple and leasehold interest in the non-department store component of International Plaza, a 1.2 million square foot (sf) Class A super-regional mall, of which approximately 740,000 sf serve as collateral for the loan. The property is four miles west of downtown Tampa and is anchored by noncollateral tenants Neiman Marcus, Nordstrom, and Dillard's, all of which remain open as of this press release. The subject features two additional anchor boxes on the first and second floors: the first-floor space serves as collateral and was formerly occupied by Lifetime Athletic, discussed further below. The second floor was divided up, and about 20,000 sf was formerly occupied by Ballard Designs, but the remaining 50,000 sf space has been vacant for more than 10 years and is currently used as storage space. The loan was added to the servicer's watchlist in April 2025 ahead of its upcoming October 2025 maturity date. The loan is structured with three one-year extension options for a fully extended maturity date of October 2026. Per the most recent servicer commentary, the borrower has not yet indicated if it will exercise its final extension option. To use its extension option, the borrower is required to enter into an interest rate cap agreement with a strike rate equal to 4.0% during each of the three extension periods. Goldman Sachs Bank USA originated the mortgage loan to Tampa Westshore Associates Limited Partnership, which is indirectly owned and controlled by the Taubman Realty Group LLC; Simon Property Group, L.P.; Nuveen; and the Teachers Insurance and Annuity Association of America-College Retirement Equities Fund. According to the most recent rent roll available on file from May 2024, the collateral was 80.8% occupied, a decline from the YE2023 rate of 88.6% and YE2022 rate of 96.6%. The decline in 2024 was primarily attributable to the departure of Lifetime Athletic (7.6% of the net rentable area (NRA)), Ballard Designs (2.7% of the NRA), and Forever 21 (4.7% of the NRA). According to the subject's online directory and various news articles, the former Lifetime Athletic space appears to have been backfilled by Dick's House of Sport. An updated rent roll showing lease terms was not provided as of this press release; however, the YE2024 financials do note an occupancy rate of 95.2%. According to the May 2024 rent roll, the largest collateral tenants include Restoration Hardware (5.9% of the NRA, lease expiry in January 2031); Crate & Barrel (4.5% of the NRA, lease expiry in January 2029), and H&M (2.9% of the NRA, lease expired in January 2024). Morningstar DBRS has inquired about the status of the H&M lease as the tenant shows as open on the property's online directory. Outside of the largest collateral tenants, the property features a strong tenant mix with a number of upscale retailers, including Tiffany & Co., Burberry, Saint Laurent, Gucci, and others. Near-term rollover risk is heightened with leases representing approximately 10.0% of the NRA scheduled to roll by May 2026. An updated tenant sales report was not provided. However, according to the most recent file on hand dated YE2022, when excluding Apple, Tesla, and Louis Vuitton, in-line sales totaled $984 per square foot (psf) compared with the YE2021 figure of $833 psf. According to the most recent financials, the loan reported a YE2024 net cash flow (NCF) of $55.8 million (debt service coverage ratio (DSCR) of 1.58 times (x)), compared to the YE2023 and YE2022 figures of $47.6 million (DSCR of 1.41x) and $51.2 million (3.06x), respectively. The significant fluctuations in DSCR from YE2022 to YE2024 are primarily attributable to the floating-rate nature of the loan with current debt service payments more than double those in YE2022; however, this is generally mitigated by the interest rate cap agreement required with each extension option. Morningstar DBRS maintained its issuance analysis with this review, which includes a Morningstar DBRS value of $549.6 million, based on a capitalization rate of 7.0% and a Morningstar DBRS NCF of $38.4 million. This results in a loan-to-value (LTV) ratio of 86.8%, compared with the LTV of 48.9% based on the issuance-appraised value of $976 million. Positive qualitative adjustments totaling 5.5% were maintained to account for the generally stable historical occupancy and tenant sales, the strong property quality with its appeal to upper-moderate price point consumers, and market fundamentals for the subject's location, which caters to international and domestic tourism demand. 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. HARVEST COMMERCIAL 2024-1: DBRS Confirms B Rating on M5 Notes ------------------------------------------------------------- DBRS, Inc. confirmed the credit ratings on the following classes of notes issued by Harvest Commercial Capital Loan Trust 2024-1. -- Class A AAA (sf) Confirmed -- Class M-1 A (sf) Confirmed -- Class M-2 A (sf) Confirmed -- Class M-3 BBB (sf) Confirmed -- Class M-4 BB (sf) Confirmed -- Class M-5 B (sf) Confirmed The credit rating actions are based on the following analytical considerations: -- The transactions' performance, which is within Morningstar DBRS' expectations. -- Transaction capital structure, including the credit enhancement provided through subordination and excess spread. The notes also benefit from a reserve account that may be used to fund shortfalls in the interest payment amount ("current interest") and to create and maintain a required level of parity between the principal balance of the Rated Notes and the principal balance of the collateral pool. -- Capabilities, experience and track record of the transaction parties with respect to originating, underwriting, and servicing of first-lien, SBA 504 and conventional commercial real estate loans. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (April 10, 2025). HOMES 2025-NQM3: S&P Assigns B (sf) Rating on Class B-2 Certs ------------------------------------------------------------- S&P Global Ratings assigned its ratings to HOMES 2025-NQM3 Trust's series 2025-NQM3 mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans, including some loans with interest-only features, secured by single-family residences, townhouses, planned-unit developments, condominiums, cooperatives, condotels, two- to four-family homes, and manufactured housing properties to both prime and nonprime borrowers. The pool has 1,052 loans, which are qualified mortgage (QM) safe harbor, QM rebuttable presumption, ability-to-repay-exempt (ATR-exempt) loans, and non-QM/ATR-compliant loans. 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 mortgage originators; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned(i) HOMES 2025-NQM3 Trust Class A-1, $373,204,000: AAA (sf) Class A-1A, $322,255,000: AAA (sf) Class A-1B, $50,949,000: AAA (sf) Class A-2, $31,589,000: AA (sf) Class A-3, $51,204,000: A (sf) Class M-1, $19,870,000: BBB (sf) Class B-1, $14,521,000: BB (sf) Class B-2, $11,973,000: B (sf) Class B-3, $7,133,386: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, N/A(iii): NR (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate stated principal balance. (iii)This class will receive certain excess amounts including prepayment premium and default interest and will not be entitled to payments of principal. NR--Not rated. N/A--Not applicable. HOOK PARK CLO: Moody's Assigns B3 Rating to $250,000 Class F Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of notes issued by Hook Park CLO, Ltd. (the Issuer or Hook Park): US$307,500,000 Class A-1 Senior Secured Floating Rate Notes due 2037, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Hook Park is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 96.0% of the portfolio must consist of first lien senior secured loans and up to 4.0% of the portfolio may consist of second lien loans, first lien last out loans, unsecured loans and senior secured bonds. The portfolio is approximately 80% ramped as of the closing date. Blackstone CLO Management LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued eight other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3004 Weighted Average Spread (WAS): 3.00% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. HOOK PARK: Fitch Assigns 'BB+sf' Rating on E Notes, Outlook Stable ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Hook Park CLO, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Hook Park CLO, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT AAsf New Rating AA(EXP)sf C LT A+sf New Rating A+(EXP)sf D-1 LT BBB+sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf D-3 LT BBB-sf New Rating E LT BB+sf New Rating BB+(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Hook Park CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Blackstone CLO 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. Fitch deviated from the model-implied rating (MIR) for classes B-1 and B-2. The MIR for both classes is 'AA+sf', and Fitch assigned 'AAsf' ratings to these classes. Since the expected ratings were assigned, there have not been any material changes to the portfolio nor the senior part of the capital structure and there is limited default cushion at the MIR. Fitch also assigned a different rating than the expected rating for class D-1, driven by the credit enhancement increase from 12% to 13.5%. The prior expected rating was 'BBB-(EXP)sf', and the current rating is 'BBB+sf'. Additionally, the class D-3 notes were not assigned an expected rating and are now rated 'BBB-sf'. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.25% first-lien senior secured loans and has a weighted average recovery assumption of 73.53%. 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 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 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 '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 'BB+sf' for class D-3 and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A+sf' for class D-2, and 'Asf' for class D-3 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Hook Park 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. HPS PRIVATE 2025-3: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to HPS Private Credit CLO 2025-3 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by HPS Investment Partners LLC. The preliminary ratings are based on information as of June 5, 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 HPS Private Credit CLO 2025-3 LLC Class A-1, $207.00 million: AAA (sf) Class A-1 loans(i), $25.00 million: AAA (sf) Class A-2, $10.00 million: AAA (sf) Class B, $30.00 million: AA (sf) Class C (deferrable), $32.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $24.00 million: BB- (sf) Subordinated notes, $49.60 million: NR (i)All or a portion of outstanding principal amount of the class A-1 loans may be converted into class A-1 notes. NR--Not rated. JOURNEY PERSONAL: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Orion CLO 2025-5 Ltd./Orion CLO 2025-5 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Antares Liquid Credit Strategies LLC, an affiliate of Antares Capital Advisers LLC. The preliminary ratings are based on information as of June 6, 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 Orion CLO 2025-5 Ltd./Orion CLO 2025-5 LLC Class A, $254.00 million: AAA (sf) Class B, $50.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $22.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $14.00 million: BB- (sf) Subordinated notes, $41.35 million: NR JP MORGAN 2018-ASH8: DBRS Confirms CCC Rating on Class F Certs -------------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2018-ASH8 issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8 as follows: -- Class A to AA (sf) from AAA (sf) -- Class B to A (sf) from AA (low) (sf) -- Class C to BBB (sf) from A (sf) -- Class D to B (sf) from BBB (sf) -- Class E to CCC (sf) from B (sf) -- Class X-EXT to B (high) (sf) from BBB (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class F at CCC (sf) Morningstar DBRS changed the trend on Class B to Negative from Stable. Class F doesn't carry a trend, and Class E no longer has a trend given the class now has a rating that does not typically carry a trend in Commercial Mortgage-Backed Securities (CMBS) ratings. The trend on all remaining classes is Stable. The credit rating downgrades reflect the deterioration in collateral performance as net cash flow (NCF) across the portfolio continues to decline. In its current credit analysis, Morningstar DBRS updated its loan-to-value ratio (LTV) sizing benchmarks as a result of the sustained declines in NCF, supporting the credit rating downgrades. In 2020, when Morningstar DBRS originally assigned the credit ratings, it noted the NCF declines were initially believed to be partially related to the COVID-19 pandemic-related demand fluctuations, with the possibility that performance could improve over time. Since YE2022, however, there have been sustained year-over-year cash flow declines with the most recent servicer reported NCF figure of $19.0 million as of YE2024. In comparison, the YE2023 and YE2022 NCF figures were $24.5 million and $25.1 million, respectively. As a result, the YE2024 debt service coverage ratio (DSCR) declined to 0.65 times (x). The loan transferred to special servicing in March 2025 because of imminent monetary default with loan modification discussions currently ongoing between the borrower and servicer. The Negative trends assigned to Classes B, C, and D reflect the increased risk that performance may continue to deteriorate if the loan term is extended further, and Morningstar DBRS may stress the value further. The $395.0 million mortgage loan is secured by the fee and leasehold interests in a portfolio of eight full-service hotels totaling 1,964 rooms across six states. There have been no property releases to date. The portfolio is primarily concentrated in California consisting of two hotels, Embassy Suites Santa Clara (257 rooms) and Hilton Orange County Costa Mesa (486 rooms), accounting for 33.7% of the allocated loan amount (ALA). There are also two properties in Florida: Embassy Suites Orlando Airport (174 rooms) and Key West Crowne Plaza La Concha (160 rooms), accounting for 22.24% of the ALA. The remaining hotels are spread across Oregon (276 rooms), Virginia (267 rooms), Minnesota (220 rooms), and Maryland (124 rooms). A loan modification agreement was executed in April 2024, extending the maturity date to February 2025 with an additional one-year extension option subject to a minimum 8.0% debt yield. To execute the extension, the borrower paid the loan down by $10 million with an additional $10 million paid in October 2024. In February 2025, the borrower made known its intent to exercise the second, one-year extension option to extend loan maturity to February 2026; however, collateral performance did not meet the debt yield test. The servicer provided a one-month waiver to allow the borrower to make an additional loan curtailment to meet the test; however, the loan transferred to special servicing after the borrower did not pay down the loan for the required amount. Based on the YE2024 net operating income of $24.5 million, the borrower would have been required to pay the outstanding loan balance of $325.0 million down by approximately $19.2 million to meet the 8.0% debt yield test. As of May 2025 reporting, the loan is current on debt service payments with $2.3 million held across all reserve accounts. Portfolio NCF decreased 22.4% between YE2024 and YE2023 driven by an increase in operating expenses with General and Administrative, Repairs and Maintenance, and Insurance cumulatively accounting for a year-over-year (YOY) increase of $3.9 million. Operating costs across the portfolio also rose significantly YOY, up $3.3 million. The portfolio's consolidated occupancy rate of 68.0% at YE2024 was consistent with the YE2023 figure of 69.4%. The reported YE2024 consolidated portfolio revenue per available room (RevPAR) of $134.52 also remained consistent with the YE2023 figure of RevPAR of $132.47 and the $133.49 figured concluded to by Morningstar DBRS in 2020. At the previous credit rating action in July 2024, Morningstar DBRS downgraded its credit ratings on Classes E and F and changed the trends on Classes C, D, E, and X-EXT to Negative from Stable to reflect the increased credit risk as exhibited in the downward pressure in the LTV sizing benchmarks following updates to the analysis. This included an updated Morningstar DBRS NCF of $259.9 million based on a haircut to the YE2023 figure. In its analysis for this review, Morningstar DBRS updated its LTV Sizing Benchmark, resulting in a collateral value of $201.7 million based on Morningstar DBRS' NCF of $18.6 million, derived from a 2.0% haircut to the YE2024 NCF and a capitalization rate of 9.2%. The Morningstar DBRS value reflects an LTV of 161.1%. Morningstar DBRS also maintained positive qualitative adjustments to the LTV sizing benchmarks totaling 1.00% to reflect positive market fundamentals for select properties in the portfolio. 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. JP MORGAN 2025-4: DBRS Finalizes B(low) Rating on B5 Certs ---------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2025-4 (the Certificates) issued by J.P. Morgan Mortgage Trust 2025-4: -- $328.5 million Class A-2 at AAA (sf) -- $328.5 million Class A-3 at AAA (sf) -- $328.5 million Class A-3-X at AAA (sf) -- $246.3 million Class A-4 at AAA (sf) -- $246.3 million Class A-4-A at AAA (sf) -- $246.3 million Class A-4-X at AAA (sf) -- $82.1 million Class A-5 at AAA (sf) -- $82.1 million Class A-5-A at AAA (sf) -- $82.1 million Class A-5-X at AAA (sf) -- $197.1 million Class A-6 at AAA (sf) -- $197.1 million Class A-6-A at AAA (sf) -- $197.1 million Class A-6-X at AAA (sf) -- $131.4 million Class A-7 at AAA (sf) -- $131.4 million Class A-7-A at AAA (sf) -- $131.4 million Class A-7-X at AAA (sf) -- $49.3 million Class A-8 at AAA (sf) -- $49.3 million Class A-8-A at AAA (sf) -- $49.3 million Class A-8-X at AAA (sf) -- $36.9 million Class A-9 at AAA (sf) -- $36.9 million Class A-9-A at AAA (sf) -- $36.9 million Class A-9-X at AAA (sf) -- $365.4 million Class A-X-1 at AAA (sf) -- $7.5 million Class B-1 at AA (low) (sf) -- $7.5 million Class B-1-A at AA (low) (sf) -- $7.5 million Class B-1-X at AA (low) (sf) -- $6.2 million Class B-2 at A (low) (sf) -- $6.2 million Class B-2-A at A (low) (sf) -- $6.2 million Class B-2-X at A (low) (sf) -- $3.3 million Class B-3 at BBB (low) (sf) -- $1.9 million Class B-4 at BB (low) (sf) -- $772.8 thousand Class B-5 at B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, 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, 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, and A-8-A are super-senior certificates. These classes benefit from additional protection from the senior support certificate (Class A-9-A) with respect to loss allocation. The AAA (sf) credit ratings on the Certificates reflect 5.45% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.50%, 1.90%, 1.05%, 0.55%, and 0.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages to be funded by the issuance of the Certificates. The Certificates are backed by 312 loans with a total principal balance of $386,425,361 as of the Cut-Off Date (May 1, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average loan age of three months. Approximately 85.1% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 14.9% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section in the related presale report. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage rule. United Wholesale Mortgage, LLC (UWM) and PennyMac Loan Services, LLC (PennyMac) originated 36.5% and 19.1% of the pool, respectively. Various other originators, each comprising less than 10%, originated the remainder of the loans. The mortgage loans will be serviced by Cenlar FSB (Cenlar) (35.8%), NewRez LLC d/b/a Shellpoint Mortgage Servicing (31.9%), and PennyMac (19.1%). For the UWM-serviced loans, Cenlar will act as the subservicer. For the loans serviced by JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by Morningstar DBRS), Shellpoint will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (September 1, 2025). For certain servicers in this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC will act as the Master Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable trend by Morningstar DBRS) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) 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. JP MORGAN 2025-NQM2: DBRS Finalizes B(low) Rating on B2 Certs ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the J.P. Morgan Mortgage Trust 2025-NQM2 (JPMMT 2025-NQM2 or the Trust) as follows: -- $253.5 million Class A-1A at AAA (sf) -- $43.1 million Class A-1B at AAA (sf) -- $296.6 million Class A-1 at AAA (sf) -- $36.4 million Class A-2 at AA (high) (sf) -- $43.3 million Class A-3 at A (high) (sf) -- $19.6 million Class M-1A at BBB (high) (sf) -- $9.9 million Class M-1B at BBB (low) (sf) -- $12.7 million Class B-1 at BB (low) (sf) -- $8.8 million Class B-2 at B (low) (sf) Class A-1 is an exchangeable certificate while the Class A-1A and A-1B are the depositible certificates. These classes can be exchanged in combinations as specified in the offering documents. The AAA (sf) credit ratings on the Certificates reflect 31.15% of credit enhancement provided by subordinated Certificates. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BBB (low) (sf), BB (low) (sf), and B (low) credit ratings reflect 22.70%, 12.65%, 8.10%, 5.80%, 2.85%, and 0.80% of credit enhancement, respectively. The transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and non-prime first-lien residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2025-NQM2. The Certificates are backed by 993 loans with a total principal balance of approximately $430,783,150 as of the Cut-Off Date (May 1, 2025). The pool is, on average, three months seasoned with loan ages ranging from one to 12 months. The Mortgage Loan Seller acquired approximately 36.6% and 20.5% of the Mortgage Loans, by aggregate Stated Principal Balance as of the Cut-off Date, from United Wholesale Mortgage, LLC (UWM) and Maxex Clearing, LLC, respectively. All the other originators individually comprised less than 15% of the overall mortgage loans. NewRez LLC, formerly known as New Penn Financial, LLC, doing business as (dba) Shellpoint will service approximately 87.5% of the loans and Selene Finance LP will service 12.5% of the loans. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as Master Servicer, Custodian, and Securities Administrator. Wilmington Savings Fund Society, FSB will act as Owner Trustee. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 52.2% of the loans by balance are designated as non-QM. Approximately 43.6% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 3.2% of the pool are designated as QM Safe Harbor, and 0.9% are QM Rebuttable Presumption (by unpaid principal balance (UPB)). Servicers will generally advance delinquent principal and interest on the mortgage loans for four months. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The EU/UK Retention Holder will retain at least 5.0% of the aggregate fair value of the Certificates (other than the Class A-R Certificates) consisting of a portion of the Class B-2, Class B-3, and Class XS Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On any date following the date on which the aggregate UPB of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Optional Clean-Up Call Holder will have the option to terminate the transaction by directing the master servicer to purchase all of the mortgage loans and any real estate owned (REO) property from the Issuer at a price equal to the sum of the aggregate UPB of the mortgage loans (other than any REO property) plus accrued interest thereon, the lesser of the fair market value of any REO property and the stated principal balance of the related loan, and any outstanding and unreimbursed servicing advances, accrued and unpaid fees, any non-interest-bearing deferred amounts, and expenses that are payable or reimbursable to the transaction parties. The holder of the Trust Certificates may, at its option, on or after the earlier of (1) the payment date in May 2028 or (2) the date on which the balance of mortgage loans and REO properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Certificates at the optional termination price described in the transaction documents. Master Servicer on behalf of the Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). In the case of a Credit Event, principal proceeds will be allocated to cover interest shortfalls on the Class A-1A then A-1B followed by a reduction of the Class A-1A then A-1B certificate balances, before an allocation of interest then principal to the Class A-2 (IPIP) followed by a similar allocation of funds to the other classes. For the Class A-3 Certificates (only after a Credit Event) and for the mezzanine and subordinate classes of Certificates (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior Certificates have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1A, A-1B, A-2, A-3, M-1A, and M-1B (and B-1 if issued with fixed rate). Of note, the Class A-1A, A-1B, A-2, and A-3 Certificates coupon rates step up by 100 basis points on and after the payment date in June 2029. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A-1A, A-1B, A-2, and A-3 Certificates Cap Carryover Amounts after the Class A coupons step up. Natural Disasters/Wildfires The mortgage pool contains loans secured by mortgage properties that are located within certain disaster areas (such as those affected by the Greater Los Angeles wildfires). The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections (PDI) for any property located in a known disaster zone prior to the transactions closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. To the extent that a PDI was ordered prior to closing, but notice of material damages were not available until after closing, the sponsor will repurchase the related loan/loans within 90 days of notification. The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties (including events such as fire, windstorm, flood, earth movement, and hurricane). Notes: All figures are in US dollars unless otherwise noted. KSL 2025-MAK: DBRS Finalizes B(low) Rating on Class G Certs ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-MAK (the Certificates) issued by KSL Trust 2025-MAK: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at AA (low) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The KSL Trust 2025-MAK transaction is collateralized by the borrower's fee-simple interest (and leasehold with respect to certain parcels) in one independent full-service hospitality property and one limited-service hospitality property with a combined 472 keys on Mackinac Island, Michigan. The transaction includes three ground leases with Mackinac Island government agencies for Grand Hotel's golf course through 2044, a borough lot through 2099, and Fort Mackinac Tea Room through 2027. Representing 388 keys of the total 472 keys in the portfolio is Grand Hotel, which is a AAA Four Diamond rated hotel of historical significance as a premier summer destination. Built in 1887 and recognized as a National Historic Landmark, the hotel has been preserved and continues to feature old-world hospitality and charm. Grand Hotel features a wide array of amenities including 15 food and beverage (F&B) outlets, an 18-hole golf course, a fitness center, an outdoor pool, a full-service shop, and retail outlets. The other hotel in the portfolio, representing 84 keys, is Bicycle Street Inn & Suites (Bicycle Inn), which is a limited-service, relatively new hotel off Main Street on Mackinac Island providing excellent accessibility to the ferry terminals; Mackinac Island is accessible only by ferry from St. Ignace and Mackinaw City, Michigan. Mackinac Island is an iconic tourist destination, particularly for the Midwest, which attracts approximately 1 million visitors per year. Mackinac Island provides a unique old-world charm that prohibits motor vehicles, and 80.0% of the island is a state park with extremely high barriers to entry. USA Today rated Mackinac Island as the best summer travel destination in 2023 and 2024, and PeopleForBikes ranked Mackinac Island number one for bicycling in the U.S. also in 2024. The transaction sponsor is KSL Capital Partners (KSL). KSL is a private equity firm that primarily invests in luxury hotels and resorts. Since inception, KSL has raised more than $25.0 billion and has invested in more than 185 travel and leisure businesses. Both hotels are managed by Davidson Hospitality Group, which is a highly experienced full-service hospitality management company. Prior to the acquisition, the hotels were family-owned. Morningstar DBRS learned on the site tour that, upon acquisition in 2019 for Grand Hotel and 2021 for Bicycle Inn, the sponsor began active revenue management and a dynamic pricing model to set room rates and increase F&B and other revenue spending. Since acquisition, KSL has invested $106.6 million ($225,795 per key) into the portfolio including $12.8 million invested in early 2025. In line with other hotels on the island, the hotels in this portfolio are seasonal, operating from early May until the end of October each year. The seasonal nature of the hotels allows for capital expenditure (capex) work to take place during the offseason, resulting in minimal disruption to guests' experience. The scope of this investment has been wide ranging from updating all restrooms at Grand Hotel to creating new amenities such as Woodlands Recreation Center and new F&B outlets such as Mackinac Island Pizza Company. The renovation also included the expansion and restoration of the retail corridor and swimming pool. In 2025, approximately $4.0 million was spent on cosmetic improvements and upkeep for Grand Hotel's iconic facade, and an additional $8.8 million is being spent on F&B and retail outlets to grow ancillary income. While the property has seasonal operations, the loan is structured with ongoing monthly deposits of approximately $4.0 million from May to October. On or prior to the first loan payment date, the sponsor will be required to pay a one-time $8.0 million into the seasonal working capital reserve account. As a result of capex investment and dynamic pricing, the portfolio generated a YE2024 revenue per available room (RevPAR) of $445.06 on a seasonal basis, and $215.82 on an annual basis, which represents a 12.8% increase since 2022. On the back of an impressive 9.6% increase in occupancy, the hotel portfolio's average daily rate (ADR) increased by 1.2% in the same period. Specifically, Grand Hotel's RevPAR experienced an enormous increase of 58.2% from 2019 to 2024, driven by an increase in ADR. From 2022 to 2024, Grand Hotel's RevPAR increased by 10.5%. On an annual basis, the hotel's RevPAR increased by 25.2% from 2019 and by 9.2% from 2022. Per management, the Grand Hotel already had approximately 40,000 rooms booked for the 2025 season. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. LENDMARK FUNDING 2025-1: DBRS Finalizes BB(low) Rating on E Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the classes of notes issued by Lendmark Funding Trust 2025-1 (Lendmark 2025-1), as follows: -- $228,660,000 Class A Notes at AAA (sf) -- $28,360,000 Class B Notes at AA (low) (sf) -- $31,590,000 Class C Notes at A (low) (sf) -- $30,870,000 Class D Notes at BBB (low) (sf) -- $32,310,000 Class E Notes at BB (low) (sf) The credit ratings are based on Morningstar DBRS review of the following analytical considerations: (1) The transaction assumptions consider Morningstar DBRS's 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's moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. (2) The Morningstar DBRS CNL assumption is 10.78% and is driven by the re-investment criteria in a worst-case pool scenario. The CNL assumption reflects the recent elevated but stable losses coming out from the inflation-led portfolio losses of 2022 and 2023. The CNL assumption additionally incorporates a 5.00% recovery credit for all products based upon historical recovery performance (3) Transaction capital structure and form and sufficiency of available credit enhancement. (A) Credit enhancement is in the form of OC, subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support Morningstar DBRS's stressed projected finance yield, principal payment rate, and charge-off assumptions under various stress scenarios. (4) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date. (5) Lendmark's capabilities with regard to originations, underwriting, and servicing. (A) Morningstar DBRS has performed an operational review of Lendmark and considers the entity to be an acceptable originator and servicer of unsecured personal loans with an acceptable back-up servicer. (B) Lendmark's senior management team has considerable experience and a successful track record within the consumer loan industry. (6) The credit quality of the collateral and performance of Lendmark's consumer loan portfolio. Morningstar DBRS has used a hybrid approach in analyzing the Lendmark portfolio that incorporates elements of static pool analysis employed for assets, such as consumer loans, and revolving asset analysis, employed for such assets as credit card master trusts. (A) The weighted-average (WA) remaining term of the Statistical Cut-Off Date is 42 months. (B) The WA Current Bureau Score as of the Statistical Cut-Off Date is approximately 611. (C) The weighted-average coupon (WAC) as of Statistical Cut-Off Date is 27.18%, and the transaction includes a Reinvestment Criteria Event if the WAC is less than 24.50%. -- The Morningstar DBRS base-case assumption for the finance yield is 24.50%. -- Morningstar DBRS applied a finance yield haircut of 10.00% for Class A, 7.78% for Class B, 5.33% for Class C, 3.33% for Class D and 1.33% for Class E. While these haircuts are lower than the range described in the Morningstar DBRS's Rating U.S. Credit Card Asset-Backed Securities methodology, the fixed-rate nature of the underlying loans, lack of interchange fees, and historical yield consistency support these stressed assumptions. (D) Principal payment rates for Lendmark's portfolio, as estimated by Morningstar DBRS, have generally averaged between 3.0% and 5.0% over the past several years. -- The Morningstar DBRS base-case assumption for the principal payment rate is 3.08%. -- Morningstar DBRS applied a payment rate haircut of 45.00% for Class A, 39.44% for Class B, 33.33% for Class C, 26.67% for Class D and 16.67% for Class E. (7) The legal structure and presence of legal opinions address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Lendmark, that the trust has a valid first-priority security interest in the assets, and consistency with the Morningstar DBRS's Legal Criteria for U.S. Structured Finance. Morningstar DBRS's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Distribution Amount, and the related Note Balance. Notes: All figures are in US dollars unless otherwise noted. MADISON PARK LXIII: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Madison Park Funding LXIII, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Madison Park Funding LXIII, Ltd. A-1 55817GAA9 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-2 55817GAC5 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B-1 55817GAE1 LT PIFsf Paid In Full AAsf B-2 55817GAL5 LT PIFsf Paid In Full AAsf B-R LT AA+sf New Rating C 55817GAG6 LT PIFsf Paid In Full Asf C-R LT A+sf New Rating D 55817GAJ0 LT PIFsf Paid In Full BBB-sf D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E 55821JAA7 LT PIFsf Paid In Full BBsf E-R LT BB+sf New Rating F-R LT NRsf New Rating Transaction Summary Madison Park Funding LXIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS Asset Management (Americas) LLC. The transaction originally closed in May 2023, and this will be the first reset. The existing secured notes will be refinanced in whole on June 5, 2025 from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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: The indicative portfolio consists of 97.24% first-lien senior secured loans and has a weighted average recovery assumption of 74.29%. 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: The largest three industries may comprise up to 39% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: 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: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, and 'Asf' 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, 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 Madison Park Funding LXIII, 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. MADISON PARK LXIII: Moody's Assigns B3 Rating to $250,000 F-R Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Madison Park Funding LXIII, Ltd. (the Issuer): US$384,000,000 Class A-1-R Floating Rate Senior Notes due 2038, Assigned Aaa (sf) US$250,000 Class F-R Deferrable Floating Rate Junior Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of not senior secured loans. UBS Asset Management (Americas) 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, six other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; 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: $600,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2949 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8 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 a 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. MAGNETITE LTD XII: Moody's Ups Rating on $32.63MM E-R Notes to Ba2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Magnetite XII, Ltd.: US$29,660,000 Class C-RR Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class C-RR Notes"), Upgraded to Aaa (sf); previously on March 26, 2024 Upgraded to Aa3 (sf) US$38,560,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class D-R Notes"), Upgraded to A1 (sf); previously on March 26, 2024 Upgraded to Baa1 (sf) US$32,630,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class E-R Notes"), Upgraded to Ba2 (sf); previously on September 6, 2018 Assigned Ba3 (sf) Magnetite XII, Ltd., originally issued in March 2015 and last refinanced in March 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 transactions 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 April 2024. The Class A-R4 notes have been paid down by approximately 67.6% or $230 million since that time. Based on the trustee's April 2025 report[1], the OC ratios for the Class C-RR, Class D-R and Class E-R notes are reported at 145.70%, 122.65% and 108.16%, respectively, versus April 2024[2] levels of 123.98%, 113.89% and 106.55%, respectively. No actions were taken on the Class A-R4, Class B-RR-A, Class B-RRR-B and Class F-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 methodologies 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: $302,937,153 Defaulted par: $3,898,982 Diversity Score: 58 Weighted Average Rating Factor (WARF): 3014 Weighted Average Spread (WAS): 3.00% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 47.83% Weighted Average Life (WAL): 3.44 years Par haircut in OC tests and interest diversion test: 1.95% 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. MAGNETITE LTD XXXVI: Moody's Assigns (P)B3 Rating to Cl. F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned a provisional ratings to two classes of CLO refinancing notes (the Refinancing Notes) to be issued by Magnetite XXXVI, Limited (the Issuer): US$273,500,000 Class A-R Senior Secured Floating Rate Notes due 2038, Assigned (P)Aaa (sf) US$250,000 Class F-R Deferrable Mezzanine Floating Rate Notes due 2038, Assigned (P)B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and bonds. BlackRock Financial Management, Inc. (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other five classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests and concentration limits; 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: $428,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2818 Weighted Average Spread (WAS): 2.90% Weighted Average Coupon (WAC): 5.50% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8 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. NEW RESIDENTIAL 2025-NQM3: S&P Assigns B+ (sf) Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned(i) 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 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. OBRA CLO 2: S&P Assigns Prelim BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Obra CLO 2 Ltd./Obra CLO 2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Obra CLO Management LLC. The preliminary ratings are based on information as of June 10, 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 Obra CLO 2 Ltd./Obra CLO 2 LLC Class A-1, $300.00 million: AAA (sf) Class A-2, $12.50 million: AAA (sf) Class B, $67.50 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $27.50 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $46.76 million: NR NR--Not rated. OCTAGON 64: Fitch Hikes Rating on Class E Notes to 'BB+sf' ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Octagon 64, Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Octagon 64, Ltd. A-1 67579AAD9 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-2 67579AAG2 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B-1 67579AAK3 LT PIFsf Paid In Full AA+sf B-1-R LT AA+sf New Rating B-2 67579AAU1 LT AA+sf Affirmed AA+sf C 67579AAN7 LT PIFsf Paid In Full A+sf C-R LT A+sf New Rating D 67579AAR8 LT PIFsf Paid In Full BBB+sf D-R LT BBB+s New Rating E 67579BAA3 LT BB+sf Upgrade BBsf Transaction Summary Octagon 64, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO), managed by Octagon Credit Investors, LLC., that originally closed in June 2022. The class A-1-R, A-2-R, B-1-R, C-R and D-R notes will be refinanced on June 5, 2025. Net proceeds from the issuance of the secured notes, along with existing subordinated notes will provide financing on a portfolio of approximately $834 million of primarily first lien senior secured leveraged loans (excluding defaults and including principal cash). Fitch has affirmed the class B-2 notes at 'AA+(sf)' with a Stable Outlook. Fitch has also upgraded the rating on class E notes from 'BB(sf)' to 'BB+(sf)' with a Stable Outlook. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.04% first-lien senior secured loans and has a weighted average recovery assumption of 74.33%. 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 2.1-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 is three 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. KEY PROVISION CHANGES The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to extending the refinancing notes non-call period to July 2026 (1.1 year from the first refinancing date) from July 2024 (2.1 years from the original closing date) and reducing the refinancing spreads across all rated notes ranging from 20 bps to 70 bps. The stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes, except for class A-1-R which is extended one year July 2024 to July 2025. FITCH ANALYSIS Fitch's analysis is based on the latest portfolio presented to Fitch from the arranger that includes 500 assets from 417 primarily high yield obligors. The portfolio balance is approximately $834 million, excluding defaulted assets and including principal cash. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 45.4% of the current portfolio par balance, while 53.7% of the ratings were derived using Fitch's Issuer Default Rate Equivalency Map. Assets unrated by Fitch or without public ratings from other agencies make up 0.9% of the portfolio. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries of 15.0%, 12% and 10%, respectively; - Assumed risk horizon: 6.0 years; - Minimum weighted average spread of 3.23%, based on the indicative weighted average spread level which was below the covenant; - Fixed rate assets: 5.0%; - Assets rated 'CCC+' or below: 9.9%, based on the indicative 'CCC+' or lower level which was below the covenant; - Non-first priority senior secured assets: 7.5%; - Minimum weighted average coupon of 5.17%, based on the indicative weighted average coupon level which was below the covenant; The transaction will exit the reinvestment period in July 2027. Fitch generated projected default and recovery statistics of the Fitch Stressed Portfolio (FSP) using its portfolio credit model (PCM) on the underlying collateral pool excluding defaulted assets. The PCM default and recovery rate outputs for the FSP at the 'AAAsf' rating stress were 49.3% and 37.1%, respectively. The PCM default and recovery rate outputs for the FSP at the 'AA+sf' rating stress were 48.0% and 45.4%, respectively. The PCM default and recovery rate outputs for the FSP at 'A+sf' rating stress were 42.5% and 54.6%, respectively. The PCM default and recovery rate outputs for the FSP at the 'BBB+sf' rating stress were 36.4% and 64.0%, respectively. The PCM default and recovery rate outputs for the FSP at the 'BB+sf' rating stress were 30.5% and 69.5%, respectively. In the current portfolio analysis, the class A-1-R, A-2-R, B-1-R, B-2, C-R and D-R and E notes passed the 'AAAsf', 'AAAsf', 'AA+sf', 'AA+sf', 'A+sf' and 'BBB+sf', 'BB+sf' rating thresholds in all nine cash flow scenarios with minimum cushions of 14.7%, 12.4%, 8.5%, 8.5%, 9.4%, 6.5% and 4.2%, respectively. In the analysis of the FSP, the class A-1-R, A-2-R, B-1-R, B-2, C-R, D-R and E notes passed the 'AAAsf', 'AAAsf', 'AA+sf', 'AA+sf', 'A+sf' and 'BBB+sf', 'BB+sf' rating thresholds in all nine cash flow scenarios with minimum cushions of 8.3%, 5.8%, 2.4%, 2.4%, 3.0%, 1.0% and 0.9%. The Stable Outlook on the class A-1-R, A-2-R, B-1-R, B-2, C-R, D-R and E notes reflects Fitch's expectation that the notes have a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolio. 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-R, between 'A-sf' and 'AAAsf' for class A-2-R, between 'BBB-sf' and 'AAsf' for class B, between 'BB-sf' and 'Asf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-R. 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-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, and 'AA+sf' for class C-R, 'A+sf' for class D-R 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 Octagon 64, 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. OFSI BSL IX: S&P Lowers Class E Notes Rating to 'B (sf)' -------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-1-R, B-2-R, and C debt from OFSI BSL IX Ltd. S&P also lowered its rating on the class E debt and removed it from CreditWatch, where it had placed it with negative implications in May 2025. At the same time, S&P affirmed its ratings on the class A-R and D debt from the same transaction. Although the same portfolio backs all the tranches, there can be circumstances 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, which decreased the junior credit support. The transaction has paid down $86.07 million to the class A-R debt since S&P's May 2024 rating actions. The following are the changes in the reported overcollateralization (O/C) ratios comparing the April 2025 trustee report and the April 2024 trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 141.33% from 127.95%. -- The class C O/C ratio improved to 124.64% from 118.00%. -- The class D O/C ratio improved to 111.48% from 109.49%. -- The class E O/C ratio declined to 104.14% from 104.46%. -- The upgraded ratings reflect the improved credit support available to the debt at prior rating levels primarily due the paydowns. Though cash flows suggested a higher rating on the class B-1-R, B-2-R, and C debt, S&P's rating actions reflect its consideration of the results of extra sensitivity analysis it ran given the CLO's exposure to 'CCC' rated collateral and some obligors with low market values. While the credit support to the senior debt has improved, support for the junior debt' was more affected by the combination of par losses and a decline in excess spread. In addition, the recovery rates have also declined overall. As a result of these factors, credit support has weakened for junior tranches, and the cash flows of the class D and E debt are no longer passing at their previous rating levels. S&P said, "At this time, we affirmed the class D debt rating at 'BBB (sf)' and limited the downgrade of class E to 'B (sf)' after considering their relatively stable O/C ratios that are above their respective minimum requirements, and the somewhat decreased par exposure to 'CCC' rated assets in the collateral pool. We do not hold the opinion that the credit risk profile of class E debt fulfills the 'CCC' definition, as the class is not currently vulnerable to non-payment or dependent upon favorable conditions to ultimately repay." However, any increase in defaults and/or further portfolio credit quality deterioration could lead to potential negative 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, 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 debt remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Raised OFSI BSL IX Ltd. Class B-1-R to 'AA+ (sf)' from 'AA (sf)' Class B-2-R to 'AA+ (sf)' from 'AA (sf)' Class C to 'A+ (sf)' from 'A (sf)' Ratings Lowered And Removed From CreditWatch OFSI BSL IX Ltd. Class E to 'B (sf)' from 'BB- (sf)/Watch neg' Ratings Affirmed OFSI BSL IX Ltd. Class A-R: AAA (sf) Class D: BBB (sf) Other Debt OFSI BSL IX Ltd. Subordinate notes: Not rated OHA CREDIT 22: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to OHA Credit Funding 22, Ltd. Entity/Debt Rating ----------- ------ OHA Credit Funding 22, 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 D-3 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary OHA Credit Funding 22, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Oak Hill Advisors, L.P. 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: 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 23.79, versus a maximum covenant, in accordance with the initial expected matrix point of 25.26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.53% versus a minimum covenant, in accordance with the initial expected matrix point of 68.73%. Portfolio Composition: The largest three industries may comprise up to 48.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: 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 to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: 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. 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 'BBB-sf' and 'A+sf' for class B, between 'BB-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'Bsf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB+sf' for class D-3 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class D-3 and 'BBBsf' 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 OHA Credit Funding 22, 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. OHA CREDIT 22: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to OHA Credit Funding 22, Ltd. Entity/Debt Rating Prior ----------- ------ ----- OHA Credit Funding 22, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB+sf New Rating BBB+(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf D-3 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary OHA Credit Funding 22, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Oak Hill Advisors, L.P. 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: 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 23.79, versus a maximum covenant, in accordance with the initial expected matrix point of 25.26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.53% versus a minimum covenant, in accordance with the initial expected matrix point of 68.73%. Portfolio Composition: The largest three industries may comprise up to 48.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: 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 to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: 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. 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 'BBB-sf' and 'A+sf' for class B, between 'BB-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'Bsf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB+sf' for class D-3 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class D-3 and 'BBBsf' 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. Date of Relevant Committee 04 June 2025 ESG Considerations Fitch does not provide ESG relevance scores for OHA Credit Funding 22, 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. OPORTUN ISSUANCE 2025-B: Fitch Rates Class E Notes 'BB-sf' ---------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the ABS issued by Oportun Issuance Trust 2025-B (OPTN 2025-B). Entity/Debt Rating Prior ----------- ------ ----- Oportun Issuance Trust 2025-B A LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf 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. Since assigning the expected ratings, the size of the OPTN 2025-B receivables pool was increased along with the size of note balances. This did not alter the pool composition, which remains consistent. The increase in pool balance and note balance did not materially alter the absolute level of credit enhancement. Overall, these updates did not affect the assigned ratings, which remain unchanged from the expected ratings. 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 3Q22, which led to a material improvement in default rates. Despite this improvement, however, 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 its 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 59.94%, 38.78%, 22.92%, 8.27% and 2.59% 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 decrease 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 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'/'BB-sf'/'B-sf'; Increased default base case by 50%: 'Asf'/'BBBsf'/'BB+sf'/'Bsf'/'NRsf'; Reduced recovery base case by 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'BB-sf'; Reduced recovery base case by 25%: 'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'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'/'BB-sf'/'B-sf'; Increased default base case by 50% and reduced recovery base case by 50%: 'Asf'/'BBBsf'/'BBsf'/'Bsf'/'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'/'BBBsf'/'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 LTD XXII: Moody's Affirms Ba3 Rating on $24MM Class D Notes ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by OZLM XXII, Ltd.: US$28.8M Class B Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Sep 30, 2024 Upgraded to Aa1 (sf) US$28.8M Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on Sep 30, 2024 Upgraded to Baa2 (sf) Moody's have also affirmed the ratings on the following notes: US$312M (Current outstanding amount US$40,517,839) Class A-1 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 30, 2024 Affirmed Aaa (sf) US$48M Class A-2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 30, 2024 Affirmed Aaa (sf) US$24M Class D Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Sep 30, 2024 Affirmed Ba3 (sf) US$9.6M Class E Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Sep 30, 2024 Downgraded to Caa3 (sf) OZLM XXII, Ltd., originally issued in February 2018, 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 Sculptor CLO Management LLC. The transaction's reinvestment period ended in January 2023. RATINGS RATIONALE The rating upgrades on the Class B and Class C notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in September 2024. The affirmations on the ratings on the Class A-1, Class A-2, Class D and Class E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1 notes have paid down by approximately USD107.6 million (34.5% of original balance) since the last rating action in September 2024 and by USD271.5m (87.0%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for Class A, Class B, Class C and Class D. According to the trustee report dated May 2025[1] the Class A, Class B, Class C and Class D OC ratios are reported at 202.16%, 152.54%, 122.47% and 105.19%, compared to September 2024[2] levels of 147.43%, 128.55%, 113.96%, 104.11%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. Key model inputs: 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 its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD184.0m Defaulted Securities: none Diversity Score: 51 Weighted Average Rating Factor (WARF): 3187 Weighted Average Life (WAL): 3.14 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.35% Weighted Average Recovery Rate (WARR): 45.64% Par haircut in OC tests and interest diversion test: 2.81% 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: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. PEAKS CLO 1: S&P Corrects/Lowers Class F Notes Rating to 'D (sf)' ----------------------------------------------------------------- S&P Global Ratings corrected its rating on the class F-R notes from Peaks CLO 1 Ltd. by reinstating the rating (which had inadvertently been withdrawn on April 19, 2025) at 'D (sf)' and then discontinuing the rating. The 'D (sf)' rating reflects S&P's view that the tranche did not receive its full principal back on the final redemption date. According to a notice provided by the trustee and the final distribution note valuation report for Peaks CLO 1 Ltd., despite the liquidation of most of the collateral obligations and other assets and the distribution of all available funds following the redemption, the class F-R noteholders were paid only a portion of the remaining outstanding principal balance plus accrued interest. The trustee notices also specified that the class F-R noteholders would receive a reduced redemption price and that there would be a non-cash principal adjustment. On April 19, 2025, the class F-R notes were inadvertently withdrawn. S&P corrected this error, and its ratings now reflect the correct ratings. The trustee reports reflected a zero balance for these notes following the redemption, but in its view these notes did not receive their entire outstanding balance on the redemption date. After speaking with the collateral manager, S&P is aware that there are assets still in the fund to the benefit of class F-R noteholders that ultimately could make them whole. S&P said, "However, under our criteria, we view a failure to repay the full principal when due (by legal final maturity, or sooner in the case of an optional redemption or liquidation) as a defaulted instrument regardless of any voluntary agreement by noteholders to receive less than the outstanding amount due. "As a result, we have reinstated the rating at 'D (sf)' on the class F-R notes to reflect that their principal balance was not fully repaid at the time of redemption, and subsequently we have discontinued the rating." Rating Reinstated Peaks CLO 1 Ltd. Class F-R: 'D (sf)' Rating Withdrawn Peaks CLO 1 Ltd. Class F-R, to NR from 'D (sf)' NR--Not rated. PIKES PEAK 14(2023): Fitch Assigns 'BB-(EXP)sf' Rating on E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Pikes Peak CLO 14 (2023) Ltd reset transaction. Entity/Debt Rating ----------- ------ Pikes Peak CLO 14 (2023) Ltd X LT NR(EXP)sf Expected Rating A-1R LT NR(EXP)sf Expected Rating A-2R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1R LT BBB-(EXP)sf Expected Rating D-2R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Transaction Summary Pikes Peak CLO 14 (2023) Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Partners Group US Management CLO LLC, that originally closed in April 2023. The existing secured notes will be redeemed in full on June 13, 2025 (the first refinancing date). Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $340 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. 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 97.79% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.38% versus a minimum covenant, in accordance with the initial expected matrix point of 71.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio 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-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, and between less than 'B-sf' and 'BB+sf' for class D-2R 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-2R 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-1R, and 'A-sf' for class D-2R 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 Pikes Peak CLO 14 (2023) 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. RAD CLO 18: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RAD CLO 18, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- RAD CLO 18, Ltd. A-1 75009AAJ9 LT PIFsf Paid In Full AAAsf A-1R LT AAAsf New Rating A-2 75009AAL4 LT PIFsf Paid In Full AAAsf A-2R LT AAAsf New Rating B 75009AAN0 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 75009AAQ3 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 75009AAS9 LT PIFsf Paid In Full BBB-sf D1-R LT BBBsf New Rating D2-R LT BBB-sf New Rating E 75009BAE8 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary RAD CLO 18, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC, that originally closed in March 2023. This is the first refinancing that will finance the existing secured notes in whole on June 4, 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. KEY RATING DRIVERS Asset Credit Quality: 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 24.33, and will be managed to a WARF covenant from a Fitch test matrix. 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: The indicative portfolio consists of 97.83% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.02% and will be managed to a WARF covenant from a Fitch test matrix. Portfolio Composition: 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: 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: 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-1R, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1R, and between less than 'B-sf' and 'BB+sf' for class D-2R 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-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, and 'A-sf' for class D-2R 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 18, 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. ROCKFORD TOWER 2018-1: Moody's Cuts Rating on $27.5MM E Notes to B1 ------------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Rockford Tower CLO 2018-1, Ltd.: US$25M Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Mar 23, 2023 Upgraded to Aa3 (sf) US$27.5M Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on May 25, 2018 Assigned Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$320M (Current outstanding amount US$122,934,000) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 25, 2018 Assigned Aaa (sf) US$55M Class B Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 23, 2023 Upgraded to Aaa (sf) US$32.5M Class D Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa2 (sf); previously on Mar 23, 2023 Upgraded to Baa2 (sf) Rockford Tower CLO 2018-1, Ltd., issued in May 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Rockford Tower Capital Management, L.L.C. The transaction's reinvestment period ended in May 2023. RATINGS RATIONALE The upgrade on the rating on the Class C notes is primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the payment date in May 2024; the downgrade to the rating on the Class E notes is due to the deterioration in the credit quality of the underlying collateral and the deterioration in the Class E over-collateralisation ratio since the payment date in May 2024. The affirmations on the ratings on the Class A, B and D notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately USD100.9 million (31.5%) in the last 12 months and USD197.1 million (61.6%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for the senior and mezzanine rated notes. According to the trustee report dated May 2025[1], the Class A/B, Class C and Class D OC ratios are reported at 151.36%, 133.65% and 116.01% compared to May 2024[2] levels of 133.81%, 124.02% and 113.24%, respectively. However, the OC ratio of the junior rated notes has deteriorated over the same time period, and is reported at 104.35% as of May 2025[1] compared to 105.48% in May 2024[2]. Moody's notes that the May 2025 principal payments are not reflected in the reported OC ratios. The credit quality has also deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF). According to the trustee report dated May 2025, the WARF was 3503, compared with 3262 a year ago. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD277.1m Defaulted Securities: USD9.0m Diversity Score: 55 Weighted Average Rating Factor (WARF): 3215 Weighted Average Life (WAL): 3.20 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.18% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.81% Par haircut in OC tests and interest diversion test: 1.64% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability Moody's are analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. RR 23 LTD: Fitch Assigns 'BB-(EXP)' Rating on Class D-R2 Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to RR 23 Ltd reset transaction. Entity/Debt Rating ----------- ------ RR 23 Ltd A-1a-R2 LT AAA(EXP)sf Expected Rating A-1b-R2 LT AAA(EXP)sf Expected Rating A-2-R2 LT AA(EXP)sf Expected Rating B-R2 LT A(EXP)sf Expected Rating C-1-R2 LT BBB-(EXP)sf Expected Rating C-2-R2 LT BBB-(EXP)sf Expected Rating D-R2 LT BB-(EXP)sf Expected Rating Transaction Summary RR 23 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Redding Ridge Asset Management LLC that previously reset in August 2023. Fitch expects the CLO's secured notes to be refinanced in whole on July 15, 2025, from proceeds of new secured and subordinated notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $850 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 23.39, versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.82% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.3% 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 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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-1a-R2, between 'BBB+sf' and 'AA+sf' for class A-1b-R2, between 'BB+sf' and 'A+sf' for class A-2-R2, between 'Bsf' and 'BBB+sf' for class B-R2, between less than 'B-sf' and 'BB+sf' for class C-1-R2, and between less than 'B-sf' and 'BB+sf' for class C-2-R2 and between less than 'B-sf' and 'B+sf' for class D-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1a-R2 and class A-1b-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2-R2, 'AAsf' for class B-R2, 'A-sf' for class C-1-R2, and 'A-sf' for class C-2-R2 and 'BBB+sf' for class D-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for RR 23 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. SEQUOIA MORTGAGE 2025-6: Fitch Assigns B(EXP)sf Rating on B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by Sequoia Mortgage Trust 2025-6 (SEMT 2025-6). Entity/Debt Rating ----------- ------ SEMT 2025-6 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating B1X LT AA-(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating B2X LT A(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 405 loans with a total balance of approximately $484.8 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High Quality Mortgage Pool (Positive): The collateral consists of 405 loans totaling approximately $484.8 million and seasoned at about three months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted average (WA) Fitch model FICO score of 779 and a 36.7% debt-to-income ratio (DTI). The borrowers also have moderate leverage, with an 79.1% sustainable loan-to-value ratio (sLTV) and a 70.0% mark-to-market combined loan-to-value ratio (cLTV). Overall, 93.1% of the pool loans are for a primary residence, while 6.9% are loans for second homes; 79.0% of the loans were originated through a retail channel. In addition, 100.0% of the loans are designated as safe harbor APOR qualified mortgage (QM) loans. Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.9% above a long-term sustainable level versus 11.0% 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. 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 2025-6 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 (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. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 42.1% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 23-bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2025-6 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2025-6 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SILVER POINT 9: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Silver Point CLO 9, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Silver Point CLO 9, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Silver Point CLO 9, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Silver Point Select C CLO Manager, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. Fitch deviated from the model-implied rating (MIR) for classes D-1. The MIR is 'BBBsf', and Fitch assigned 'BBB-sf' rating to this class. Since the expected ratings were assigned, there have not been any material changes to the portfolio nor the capital structure and there is limited default cushion at the MIR. 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 98.5% first-lien senior secured loans and has a weighted average recovery assumption of 73.7%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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 weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' 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 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 Silver Point CLO 9, 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. SUTTONPARK STRUCTURED 2021-A: DBRS Keeps BB Rating Under Review --------------------------------------------------------------- DBRS, Inc. maintained its Under Review with Negative Implications (URN) on nine credit ratings from four SuttonPark Structured Settlement transactions. SPSS 2021-A LLC -- Class A Notes AAA (sf) -- Class B Notes A (sf) -- Class C Notes BBB (sf) -- Class D Notes BB (sf) The credit rating actions are based on the following analytical considerations: -- The maintaining of the Under Review with Negative Implications (URN) designation is primarily due to the ongoing servicing transfer to Vervent which is expected to be finalized over the next several months. SuttonPark, Vervent, and the relevant investors have been in negotiations with respect to the servicing transfer to Vervent. The current plan is to stagger the servicing transfer separately for each transaction. SuttonPark is expected to be engaged as sub-servicer to ensure a more seamless transition. -- Additionally, the 2012-1 and 2021-A transactions have experienced recent asset deterioration with increasing delinquencies and unresolved aged defaulted payments. Thus, SuttonPark has identified a number of open receivables whereby collections were received but not identified and deposited to the respective collection accounts. SuttonPark is currently in the process of resolving these open receivables, which is expected to result in increased collections and reduced aged defaulted payments over the next several months which will benefit the transactions. In certain cases, the payors with outstanding past missed payments are making current payments. Morningstar DBRS will continue to monitor the servicing transfer and evaluate collateral performance and collections available to each transaction to resolve the URN designation. -- The generally high credit quality of annuity providers and their improved capitalization positions and risk-management frameworks, which have been enhanced since the global financial crisis of 2008-09. -- 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: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (April 10, 2025). SYMPHONY CLO XVIII: Moody's Cuts Rating on $2MM F-R Notes to Caa2 ----------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Symphony CLO XVIII, Ltd.: US$2,000,000 Class F-R Deferrable Mezzanine Floating Rate Notes due 2033 (the "Class F-R Notes"), Downgraded to Caa2 (sf); previously on Jun 17, 2024 Downgraded to Caa1 (sf) Symphony CLO XVIII, Ltd., originally issued in December 2016 and last refinanced in August 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 July 2024. 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 Moody's calculations, the OC ratio for the Class F-R Notes is currently at 104.47% compared to 106.40% in August 2024. No actions were taken on the Class A-1-RRR, Class A-2-RR, Class B-RR, Class C-RR, Class D-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: $410,090,925 Defaulted par: $9,578,812 Diversity Score: 81 Weighted Average Rating Factor (WARF): 3020 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.35% Weighted Average Coupon (WAC): 4.47% Weighted Average Recovery Rate (WARR): 46.03% Weighted Average Life (WAL): 4.23 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. TABERNA PREFERRED IV: Moody's Ups Rating on Class A-1 Notes to Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by Taberna Preferred Funding IV, Ltd.: US$313,350,000 Class A-1 First Priority Delayed Draw Senior Secured Floating Rate Notes due 2036 (current balance $87,277,830), Upgraded to Ba1 (sf); previously on April 11, 2019 Upgraded to Ba3 (sf) Taberna Preferred Funding IV, Ltd., issued in December 2005, is a collateralized debt obligation backed by a portfolio of REIT trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating action is primarily a result of the ongoing deleveraging of the Class A-1 notes, and the resulting increase in the transaction's over-collateralization (OC) ratios. The Class A-1 notes have paid down by approximately 6.7% or $6.2 million since a year ago, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratio for the Class A-1 has improved to 248.2%, from May 2024 level of 236.9%. The Class A-1 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 action also reflects the consideration that an event of default (EoD) is continuing for the transaction, and that as a remedy to the EoD, 66 2/3% of each class, voting separately, can direct the trustee to proceed with the sale and liquidation of the collateral. The EoD occurred in August 2009 due to failure to pay interest on the Class B notes. In September 2009, the controlling class voted to accelerate the deal. As a result of the acceleration of the deal, the Class A-1 notes have been receiving all proceeds after Class A-1, Class A-2, and Class A-3 interest, and will continue to receive until they are paid in full. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par: $216.7 million Defaulted/deferring par: $82.6 million Weighted average default probability: 20.6% (implying a WARF of 2029) 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-1 and Class B-2 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 this rating was "Moody's Approach to Rating TruPS CDOs" published in July 2024. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. TABERNA PREFERRED VI: Moody's Upgrades Rating on 2 Tranches to Ba2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Taberna Preferred Funding VI, Ltd.: US$50,000,000 Class A-1A First Priority Senior Secured Floating Rate Notes due 2036 (current outstanding balance $12,872,119), Upgraded to Ba2 (sf); previously on February 3, 2020 Upgraded to Ba3 (sf) US$305,000,000 Class A-1B First Priority Delayed Draw Senior Secured Floating Rate Notes due 2036 (current outstanding balance $78,519,927), Upgraded to Ba2 (sf); previously on February 3, 2020 Upgraded to Ba3 (sf) Taberna Preferred Funding VI, Ltd., issued in June 2006, is a collateralized debt obligation (CDO) backed by a portfolio of REIT trust preferred securities (TruPS), with exposure to bank TruPS and corporate bonds. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the ongoing deleveraging of the Class A-1A and Class A-1B notes and the resulting increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the underlying portfolio since a year ago. The Class A-1A and A-1B notes have paid down by approximately 4.3% or $4.1 million since a year ago, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratio for the Class A-1 notes has improved to 217.7%, from May 2024 level of 211.5%. The Class A-1A and Class A-1B 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 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 2256 from 2336 since a year ago. The actions also reflect the consideration that an event of default (EoD) is continuing for the transaction, and that as a remedy to the EoD, 66 2/3% of each class, voting separately, can direct the trustee to proceed with the sale and liquidation of the collateral. The EoD occurred in 2009, due to missed interest payment on the Class C notes, and a majority of the controlling class directed the trustee to declare the notes immediately due and payable. As a result of the declaration of acceleration of the notes, all proceeds after paying interest on the Class A-1A, Class A-1B and Class A-2 notes are currently used to pay down the principal of the Class A-1A and Class A-1B Notes. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par: $199.0 million Defaulted/deferring par: $77.5 million Weighted average default probability: 23.8% (implying a WARF of 2256) Weighted average recovery rate upon default of 12.5% 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 A-2, Class B, and Class C 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. TOWD POINT 2018-SL1: DBRS Confirms BB Rating on Class D-2 Notes --------------------------------------------------------------- DBRS, Inc. confirmed the credit ratings on two Towd Point Asset Trust Student Loan Transactions. Towd Point Asset Trust 2018-SL1 -- Class AB Notes AAA (sf) Confirmed -- Class B Notes AAA (sf) Confirmed -- Class AC Notes AA (sf) Confirmed -- Class C Notes AA (sf) Confirmed -- Class D-1 Notes BBB (sf) Confirmed -- Class D-2 Notes BB (sf) Confirmed Towd Point Asset Trust 2021-SL1 -- Class A1 Notes AAA (sf) Confirmed -- Class A2 Notes AAA (sf) Confirmed -- Class AB Notes AA (sf) Confirmed -- Class B Notes AA (sf) Confirmed -- Class AC Notes A (sf) Confirmed -- Class C Notes A (sf) Confirmed -- Class D Notes BBB (sf) Confirmed -- Class E Notes BB (sf) Confirmed -- Class F Notes B (high)(sf) Confirmed The credit rating confirmations are based on the following analytical considerations: -- Transaction capital structure, current rating, and sufficient credit enhancement levels. -- Credit enhancements are in the form of overcollateralization, reserve account, and excess spread with senior notes benefiting from subordination of junior notes. -- Credit enhancement levels are sufficient to support the Morningstar DBRS-expected default and loss severity assumptions under various stress scenarios. -- The transactions parties' capabilities with respect to origination, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns 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: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (April 10, 2025). TOWD POINT 2025-CES1: DBRS Finalizes B(low) Rating on B2 Notes -------------------------------------------------------------- DBRS, Inc. finalized provisional credit ratings on the following Asset-Backed Securities, Series 2025-CES1 (the Notes) issued by Towd Point Mortgage Trust 2025-CES1 (TPMT 2025-CES1 or the Trust): -- $313.9 million Class A1 at AAA (sf) -- $30.9 million Class A2 at AAA (sf) -- $21.9 million Class M1 at AA (low) (sf) -- $17.0 million Class M2A at A (low) (sf) -- $13.1 million Class M2B at BBB (low) (sf) -- $12.7 million Class B1 at BB (low) (sf) -- $7.5 million Class B2 at B (low) (sf) -- $30.9 million Class A2A at AAA (sf) -- $30.9 million Class A2AX at AAA (sf) -- $30.9 million Class A2B at AAA (sf) -- $30.9 million Class A2BX at AAA (sf) -- $30.9 million Class A2C at AAA (sf) -- $30.9 million Class A2CX at AAA (sf) -- $30.9 million Class A2D at AAA (sf) -- $30.9 million Class A2DX at AAA (sf) -- $21.9 million Class M1A at AA (low) (sf) -- $21.9 million Class M1AX at AA (low) (sf) -- $21.9 million Class M1B at AA (low) (sf) -- $21.9 million Class M1BX at AA (low) (sf) -- $21.9 million Class M1C at AA (low) (sf) -- $21.9 million Class M1CX at AA (low) (sf) -- $21.9 million Class M1D at AA (low) (sf) -- $21.9 million Class M1DX at AA (low) (sf) -- $17.0 million Class M2AA at A (low) (sf) -- $17.0 million Class M2AAX at A (low) (sf) -- $17.0 million Class M2AB at A (low) (sf) -- $17.0 million Class M2ABX at A (low) (sf) -- $17.0 million Class M2AC at A (low) (sf) -- $17.0 million Class M2ACX at A (low) (sf) -- $17.0 million Class M2AD at A (low) (sf) -- $17.0 million Class M2ADX at A (low) (sf) -- $13.1 million Class M2BA at BBB (low) (sf) -- $13.1 million Class M2BAX at BBB (low) (sf) -- $13.1 million Class M2BB at BBB (low) (sf) -- $13.1 million Class M2BBX at BBB (low) (sf) -- $13.1 million Class M2BC at BBB (low) (sf) -- $13.1 million Class M2BCX at BBB (low) (sf) -- $13.1 million Class M2BD at BBB (low) (sf) -- $13.1 million Class M2BDX at BBB (low) (sf) The AAA (sf) credit rating on the Notes reflects 19.65% of credit enhancement provided by subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 14.55%, 10.60%, 7.55%, 4.60%, and 2.85% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. TPMT 2025-CES1 is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Asset-Backed Securities, Series 2025-CES1 (the Notes). The Notes are backed by 5,100 mortgage loans with a total principal balance of $429,139,932 as of the Cut-Off Date. The portfolio, on average, is 11 months seasoned, though seasoning ranges from three to 34 months. Borrowers in the pool represent prime and near-prime credit quality with a weighted-average (WA) Morningstar DBRS-calculated FICO score of 733, a Morningstar DBRS-calculated original combined loan-to-value ratio (CLTV) of 74.4%, and are 100.0% originated with Issuer-defined full documentation. All the loans are current and 98.6% of the mortgage pool has been clean for the last 24 months or since origination. TPMT 2025-CES1 represents the ninth CES securitization by FirstKey Mortgage, LLC and second by CRM 2 Sponsor, LLC. Spring EQ, LLC (Spring EQ; 65.0%), Nationstar Mortgage LLC d/b/a Mr. Cooper (Nationstar; 17.6%), and Rocket Mortgage, LLC (Rocket; 17.3%) are the originators for the mortgage pool. Newrez, LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint; 65.0%), Nationstar, and Rocket are the Servicers of the loans in this transaction. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee, Administrative Trustee and Administrator. U.S. Bank National Association (rated AA with a Stable trend by Morningstar DBRS) and Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as Custodians. CRM 2 Sponsor, LLC (CRM) will acquire the loans from various transferring trusts on the Closing Date. The transferring trusts acquired the mortgage loans from the Originators. CRM and the transferring trusts are beneficially owned by funds managed by affiliates of Cerberus Capital Management, L.P. Upon acquiring the loans from the transferring trusts, CRM will transfer the loans to CRM 2 Depositor, LLC (the Depositor). The Depositor in turn will transfer the loans to Towd Point Mortgage Grantor Trust 2025-CES1 (the Grantor Trust). The Grantor Trust will issue two classes of certificates: P&I Grantor Trust Certificate and IO Grantor Trust Certificate. The Grantor Trust certificates will be issued in the name of the Issuer. The Issuer will pledge P&I Grantor Trust Certificate with the Indenture Trustee and will be the primary asset of the Trust. As a Sponsor, CRM, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 24.1% of the loans are designated as non-QM, 24.9% are designated as QM Rebuttable Presumption, and 48.5% are designated as QM Safe Harbor. Approximately 2.6% of the mortgages are loans made to investors for business purposes and were not subject to the QM/ATR rules. The Servicers (except servicers servicing the Scheduled Serviced Mortgage Loans) will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 60 days delinquent under the Office of Thrift Supervision (OTS) delinquency method (equivalent to 90 days delinquent under the Mortgage Bankers Association (MBA) delinquency method), contingent upon recoverability determination. However, the Servicer will stop advancing delinquent P&I if the aggregate amount of unreimbursed P&I advances owed to a Servicer exceeds 95.0% of the amounts on deposit in the custodial account maintained by such Servicer. In addition, the related servicer is obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that is 150 days delinquent under the OTS delinquency method (equivalent to 180 days delinquent under the MBA delinquency method), upon review by the related Servicer, may be considered a Charged Off Loan. With respect to a Charged Off Loan, the total unpaid principal balance (UPB) will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction incorporates a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M1 and subordinate bonds will not be paid from principal proceeds until the Class A1 and A2 Notes are retired. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 30 or more days delinquent within 90 days of the Closing Date 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. On or after (1) the payment date in May 2028 or (2) the first payment date when the aggregate pool balance of the mortgage loans (other than the Charged Off Loans and the REO properties) is reduced to less than 30.0% of the Cut-Off Date balance, the call option holder will have the option to purchase P&I Grantor Trust Certificate so long as the aggregate proceeds from such purchase exceeds the minimum price (Optional Redemption). Minimum price will at least equal sum of (A) class balances of the Notes plus the accrued interest and unpaid interest, (B) any fees, expenses and indemnification amounts, and (C) accrued and unpaid amounts owed to the Class X Certificates minus the Class AX distributable amount. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the REO properties is less than 10% of the aggregate pool balance as of the Cut-Off Date, the call option holder will have the option to purchase P&I Grantor Trust Certificate at the minimum price (Clean-Up Call). Notes: All figures are in U.S. dollars unless otherwise noted. VELOCITY COMMERCIAL 2025-3: DBRS Gives Prov. B Rating on 3 Classes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Certificates, Series 2025-3 (the Certificates) to be issued by Velocity Commercial Capital Loan Trust 2025-3 (VCC 2025-3 or the Issuer) as follows: -- $270.3 million Class A at (P) AAA (sf) -- $270.3 million Class A-S at (P) AAA (sf) -- $270.3 million Class A-IO at (P) AAA (sf) -- $20.4 million Class M-1 at (P) AA (low) (sf) -- $20.4 million Class M1-A at (P) AA (low) (sf) -- $20.4 million Class M1-IO at (P) AA (low) (sf) -- $21.4 million Class M-2 at (P) A (low) (sf) -- $21.4 million Class M2-A at (P) A (low) (sf) -- $21.4 million Class M2-IO at (P) A (low) (sf) -- $37.5 million Class M-3 at (P) BBB (low) (sf) -- $37.5 million Class M3-A at (P) BBB (low) (sf) -- $37.5 million Class M3-IO at (P) BBB (low) (sf) -- $24.1 million Class M-4 at (P) BB (sf) -- $24.1 million Class M4-A at (P) BB (sf) -- $24.1 million Class M4-IO at (P) BB (sf) -- $8.8 million Class M-5 at (P) B (high) (sf) -- $8.8 million Class M5-A at (P) B (high) (sf) -- $8.8 million Class M5-IO at (P) B (high) (sf) -- $4.9 million Class M-6 at (P) B (sf) -- $4.9 million Class M6-A at (P) B (sf) -- $4.9 million Class M6-IO at (P) B (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 31.10% of credit enhancement (CE) provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), (P) B (high) (sf), and (P) B (sf) credit ratings reflect 25.90%, 20.45%, 10.90%, 4.75%, 2.50%, and 1.25% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. VCC 2025-3 is a securitization of a portfolio of newly originated and seasoned fixed rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. Four of these loans were originated through the U.S. SBA 504 loan program, and are backed by first-lien, owner occupied, commercial real-estate. The securitization is funded by the issuance of the Mortgage-Backed Certificates, Series 2025-3 (the Certificates). The Certificates are backed by 973 mortgage loans with a total principal balance of $392,270,452 as of the Cut-Off Date (May 1, 2025). Approximately 45.5% of the pool comprises residential investor loans, about 53.7% of traditional SBC loans, and about 0.8% are the SBA 504 loans mentioned above. The majority of the loans in this securitization were originated by Velocity Commercial Capital, LLC (Velocity or VCC). Thirty-six loans (18.5%) were originated by New Day Commercial Capital, LLC, which is a wholly owned subsidiary of Velocity Commercial Capital, LLC, which is wholly owned by Velocity Financial, Inc. The loans were generally underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (with the exception being the four SBA 504 loans which, per SBA guidelines, were underwritten to the small business cash flows, rather than to the property value). For all of the New Day originated loans, underwriting was based on business cash flows, but loans were secured by real estate. For the SBC and residential investor loans, the lender reviews the mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt-service coverage ratio (DSCR) in underwriting SBC loans with balances more than USD 750,000 for purchase transactions and more than USD 500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA-RESPA Integrated Disclosure rule. On January 5, 2024, a suit was filed in the U.S. District Court for the Central District of California by Harvest Small Business Finance, LLC and Harvest Commercial Capital, LLC against certain employees of New Day Business Finance LLC and Velocity Commercial Capital, LLC doing business as New Day Commercial Capital, LLC (New Day) alleging violations of the Defend Trade Secrets Act, the California Uniform Trade Secrets Act and the California Unfair Competition Law. The suit was settled and dismissed with no money payable to any parties in April 2025. PHH Mortgage Corporation (PMC) will service all loans within the pool for a servicing fee of 0.30% per annum. New Day will act as subservicer for the 36 New Day originated loans (including the four SBA 504 loans), and PHH will also act as the Backup Servicer for these loans. In the event that New Day fails to service these loans in accordance with the related subservicing agreement, PHH will terminate the subservicing agreement and commence directly servicing such mortgage loans within 30 days. In addition, Velocity will act as a Special Servicer servicing the loans that defaulted or became 60 or more days delinquent under Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Mortgage Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Mortgage Loan, as described in the transaction documents. The Servicer will fund advances of delinquent principal and interest (P&I) until the advances are deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will act as the Custodian. U.S. Bank Trust Company, National Association will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class XS Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of REO (return on equity) properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A credit enhancement (CE) falling below 10.0% of the loan balance as of the Cut-off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each class's target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each class's target principal balance, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY--SBC LOANS The collateral for the SBC portion of the pool consists of 339 individual loans (two pairs of loans are pari passu, cross-defaulted loans on the same property, and are each treated as one loan) secured by 337 commercial and multifamily properties. All commentary in this report will refer to the pool as a 337-loan pool because Morningstar DBRS treated each pair of related loans as one. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its "North American CMBS Multi-Borrower Rating Methodology" (the CMBS Methodology). The commercial mortgage-backed security (CMBS) loans have a weighted average (WA) fixed interest rate of 10.8%. This is approximately 10 basis points (bps) lower than the VCC 2025-2 transaction, 40 bps lower than the VCC 2025-1 transaction, 20 bps lower than the VCC 2024-6 transaction, 20 bps higher than the VCC 2024-5 transaction, 60 bps lower than the VCC 2024-4 transaction, and 80 bps lower than the VCC 2024-3, VCC 2024-2, and VCC 2024-1 transactions. Most of the loans have original term lengths of 30 years and fully amortize over 30-year schedules. However, 13 loans, which represent 5.1% of the SBC pool, have an initial interest-only (IO) period of 24, 60, or 120 months. All the SBC loans were originated between February 2025 and April 2025 (100.0% of the cut-off pool balance), resulting in a WA seasoning of 0.5 months. The SBC pool has a WA original term length of approximately 360 months, or approximately 30 years. Based on the original loan amount and the current appraised values, the SBC pool has a WA loan-to-value ratio (LTV) of 61.4%. However, Morningstar DBRS made LTV adjustments to 44 loans that had an implied capitalization rate of more than 200 bps lower than a set of minimal capitalization rates established by the Morningstar DBRS Market Rank. The Morningstar DBRS minimum capitalization rates range from 5.50% for properties in Market Rank 7 to 8.00% for properties in Market Rank 1. This resulted in a higher Morningstar DBRS LTV of 66.6%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization; this amount of amortization is greater than what is typical for CMBS conduit pools. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in the CMBS Methodology, the most significant risk to an IO cash flow stream is term default risk. As Morningstar DBRS noted in the methodology, for a pool of approximately 72,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 28%, the refinance default rate was approximately 7% (approximately one-quarter of the total default rate), and the term default rate was approximately 21%. Morningstar DBRS recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Reference Obligation rating. When using the 10-year Idealized Default Table default probability to derive a probability of default (POD) for a CMBS bond from its rating, Morningstar DBRS estimates that, in general, a one-quarter reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for Morningstar DBRS to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The Morningstar DBRS CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to a 0% conditional prepayment rate (CPR). If the CMBS predictive model had an expectation of prepayments, Morningstar DBRS would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and Morningstar DBRS expects this pool will have prepayments over the remainder of the transaction. Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The assumption reflects Morningstar DBRS' opinion that, in a rising interest rate environment, fewer borrowers may elect to prepay their loan. As a result of higher interest rate and lending spreads, the SBC pool has a significant increase in interest rates compared with prior VCC transactions. Consequently, approximately 53.1% of the deal (183 SBC loans) has an Issuer net operating income (NOI) debt service coverage ratio (DSCR) less than 1.0 times (x), which is in line with the previous 2025 and 2024 transactions, but a larger composition than the previous VCC transactions in 2023 and 2022. Additionally, although the Morningstar DBRS CMBS Insight Model does not contemplate FICO scores, it is important to point out the WA FICO score of 721 for the SBC loans, which is relatively similar to prior VCC transactions. With regard to the aforementioned concerns, Morningstar DBRS applied a 2.5% penalty to the fully adjusted cumulative default assumptions to account for risks given these factors. The SBC pool is quite diverse based on loan count and size, with an average cut-off date balance of $625,128, a concentration profile equivalent to that of a transaction with 97 equal-size loans, and a top 10 loan concentration of 24.6%. Increased pool diversity helps insulate the higher-rated classes from event risk. The loans are mostly secured by traditional property types (i.e., multifamily, retail, office, and industrial). All loans in the SBC pool fully amortize over their respective remaining loan terms, reducing refinance risk. The SBC pool contains six loans where an Income Approach to value was not contemplated in the appraisal and an Issuer (net cash flow) NCF was not provided. Morningstar DBRS applied POD penalties to the six loans to mitigate this risk. The SBC pool includes one loan originated via New Day's Lite Doc Investor Loan Program, which does not require tax returns to be reviewed. Morningstar DBRS applied a POD penalty to the loan to mitigate this risk. As classified by Morningstar DBRS for modeling purposes, the SBC pool contains a significant exposure to retail (28.7% of the SBC pool) and office (23.4% of the SBC pool), which are two of the higher-volatility asset types. Loans counted as retail include those identified as automotive and potentially commercial condominium. Combined, retail and office properties represent approximately 52.0% of the SBC pool balance. Morningstar DBRS applied a -20.6% reduction to the NCF for retail properties and a -30.0% reduction to the NCF for office assets in the SBC pool, which is above the average NCF reduction applied for comparable property types in CMBS analyzed deals. Morningstar DBRS did not perform site inspections on loans within its sample for this transaction. Instead, Morningstar DBRS relied upon analysis of third-party reports and online searches to determine property quality assessments. Of the 80 loans Morningstar DBRS sampled, one was Average + quality (1.6% of sample), 21 were Average quality (32.9%), 38 were Average - quality (37.5%), 17 were Below Average quality (22.6%), and three were Poor quality (5.3%). Morningstar DBRS assumed unsampled loans were Average - quality, which has a slightly increased POD level. This is consistent with the assessments from sampled loans and other SBC transactions rated by Morningstar DBRS. Limited property-level information was available for Morningstar DBRS to review. Asset summary reports, property condition reports (PCRs), Phase I/II environmental site assessment (ESA) reports, and historical cash flows were generally not available for review in conjunction with this securitization. Morningstar DBRS received and reviewed appraisals for sampled loans within the top 33 of the pool, which represent 39.5% of the SBC pool balance. These appraisals were issued between December 2024 and April 2025. Morningstar DBRS was able to perform a loan-level cash flow analysis on 30 loans in the pool. The NCF haircuts for these loans ranged from -3.7% to -100.0%, with an average of -29.2%; however, Morningstar DBRS generally applied more conservative haircuts on the nonsampled loans. No ESA reports were provided nor required by the Issuer; however, all loans have an environmental insurance policy that provides coverage to the Issuer and the securitization trust in the event of a claim. No probable maximum loss (PML) information or earthquake insurance requirements are provided. Therefore, a loss given default penalty was applied to all properties in California to mitigate this potential risk. Morningstar DBRS received limited borrower information, net worth or liquidity information, and credit history. Additionally, the WA interest rate of the deal is 10.8%, which is indicative of the broader increased interest rate environment and represents a large increase over VCC deals in 2022 and early 2023. Morningstar DBRS generally initially assumed loans had Weak sponsorship scores, which increases the stress on the default rate. The initial assumption of Weak reflects the generally less sophisticated nature of small balance borrowers and assessments from past small balance transactions rated by Morningstar DBRS. Furthermore, Morningstar DBRS received a 12-month pay history on each loan through February 28, 2025. If any loan has more than two late payments within this period or is currently 30 days past due, Morningstar DBRS applies an additional stress to the default rate. This did not occur for any loans in the SBC pool. SBA 504 Loans The transaction includes four SBA 504 loans, totaling approximately $3.2 million or 0.82% of the aggregate 2025-3 collateral pool. These are predominantly owner-occupied, 1st lien CRE-backed loans, originated via the U.S. Small Business Administration's 504 loan program ('SBA 504') in conjunction with community development companies ('CDC'), made to small businesses, with the stated goal of community economic development. The SBA 504 loans are fixed rate with 360-month original terms and are fully amortizing. The loans were originated between June 6, 2024, and April 17, 2025, via New Day, which will also act as sub-servicer of the loans, The total outstanding principal balance as of the cutoff date is approximately $3,235,123, with an average balance of $808,781. The weighted average interest rate of the 504 loan sub-pool is 10.03%. The loans are subject to prepayment penalties of 5%,4%, 3%, 2% and 1% respectively in the first five years from origination. These loans are for properties which are owner-occupied by the small business borrower. Weighted average loan to value is 55.40%. Weighted average debt service coverage ratio is approximately 3.1x and the weighted average FICO of this sub-pool is 701. For these loans, Morningstar DBRS applied its Rating U.S. Structured Finance Transactions methodology, Small Business, Appendix (XVIII). As there is limited historical information for the originator, we utilized proxy data from the publicly available SBA data set, which contains several decades of performance data, stratified by industry categories of the small business operators, to derive an expected default rate. Recovery assumptions were derived from the Morningstar DBRS CMBS data set of loss given default stratified by property type, loan to value, and market rank. These were input into our proprietary model, the Morningstar DBRS CLO Insight Model, which uses a Monte Carlo process to generate stressed loss rates corresponding to a specific rating level. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 630 mortgage loans with a total balance of approximately $178.4 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to the No Ratio program guidelines for business-purpose loans. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update, published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2018-C47: DBRS Confirms BB Rating on GRR Certs ---------------------------------------------------------- DBRS, Inc. confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2018-C47 issued by Wells Fargo Commercial Mortgage Trust 2018-C47 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class X-D at A (sf) -- Class D at A (low) (sf) -- Class E-RR at BBB (sf) -- Class F-RR at BBB (low) (sf) -- Class G-RR at BB (sf) -- Class H-RR at B (high) (sf) Morningstar DBRS maintained the Negative trends on Classes F-RR, G-RR, and H-RR. All other trends are Stable. The Negative trends reflect the outstanding interest shortfalls to Classes F-RR, G-RR, and H-RR despite the improved outlook for the largest loan in special servicing, Holiday Inn Fidi (Prospectus ID#6; 4.0% of the pool balance). Interest shortfalls to the bonds were first reported in May 2025 and were categorized as interest on advances related to the subject loan, which is paid through December 2024. While Morningstar DBRS expects the outstanding loan balance as well as all associated fees and expenses to be paid in full, the uncertainty surrounding the timing of loan resolution supports the Negative trends. The loan and the resolution strategy are highlighted in greater detail below. The credit rating confirmations reflect the overall stable performance of the nonspecially serviced loans in the transaction and the favorable property type concentration across the pool, which includes 20 loans (35.9% of the current pool balance) secured by retail properties, and 12 loans (12.1% of the current pool balance) secured by multifamily properties. Additionally, loan collateral secured by office properties has decreased to 10.6% of the current pool balance since the previous credit rating action in July 2024 following the defeasance of three loans (totaling 4.5% of the current pool balance). As of the May 2025 remittance, 71 of the original 74 loans remained in the trust, with an aggregate balance of $879.0 million, representing a collateral reduction of 7.6% since issuance. The pool benefits from defeasance collateral as 17 loans, representing 14.4% of the current pool balance, have been defeased. There are 11 loans, representing 17.8% of the pool balance, on the servicer's watchlist that are being monitored for performance concerns, deferred maintenance items, and the occurrence of trigger events. An additional four loans, representing 5.2% of the current pool balance, are delinquent and specially serviced. With this review, Morningstar DBRS analyzed three of these loans, representing 1.2% of the current pool balance with liquidation scenarios. The analysis resulted in cumulative implied losses of approximately $2.5 million, contained to the unrated Class J-RR, which has a current balance of $39.3 million. The Holiday Inn Fidi loan is secured by a full-service hotel in the financial district of downtown Manhattan, New York. The whole loan includes $87.3 million of senior debt securitized across three commercial mortgage-backed security (CMBS) transactions and an securitized $50.0 million B-note. The loan transferred to the special servicer in May 2020 because of monetary default. In January 2023, while in bankruptcy, the borrower entered into an agreement with New York City Health and Hospitals Corporation to operate the hotel as a migrant family shelter. The agreement ultimately ended in March 2025. The loan is paid through December 2024, and the property is currently closed as the resolution strategy focuses on a potential property sale. According to a May 2025 update from the special servicer, the borrower has entered into an agreement with a third party for a loan assumption and subsequent asset sale. Servicer commentary notes the associated transaction documents are being reviewed by all parties with closing expected to occur in Q2 2025. Morningstar DBRS was unable to confirm the potential sale price of the property; however, the property was most recently appraised in May 2024 at $190.0 million, which represented a 29.3% increase from the August 2021 appraised value of $146.9 million and an 18.5% decline from the issuance appraised value of $233.0 million. In its previous analysis of the loan, Morningstar DBRS applied an increased probability of default (POD) penalty to the loan to reflect the uncertainty surrounding the asset's use as a migrant shelter and the future prospects of the property following the expiration of the agreement. Given the positive developments regarding the pending loan repayment, Morningstar DBRS has removed the adjustment in its current analysis, with a resulting loan expected loss (EL) below the overall EL for the pool. The loan of most concern, Meridian at North (2.8% of the pool balance), is secured by a two-building office property in downtown Indianapolis. The loan was added to the servicer's watchlist in March 2025 after the former second largest tenant, Centene Management Company, LLC (26.7% of the net rentable area (NRA)), vacated at lease expiration in January 2025, bringing the occupancy rate to 73.3% from 100.0%. The tenant was the sole occupant at the 550 North Meridan Street property and contributed $1.7 million in annual rental revenue. Additional tenant rollover risk includes the third largest tenant, Indiana Department of Child Services (24.5% of the NRA), which has an upcoming lease expiration in May 2025. The servicer has confirmed, however, the tenant executed a short-term, six-month extension through November 2025 as long-term lease renewal negotiations remain ongoing. The tenant contributes $1.3 million in annual rental revenue. The largest tenant at the property remains Hall Render (31.0% of the NRA), which has a lease expiry in March 2031 and uses the subject as its headquarters. Morningstar DBRS previously noted a portion of this space (6.2% of the NRA) was currently dark with an additional 4.1% of NRA subleased. In its analysis for this review, Morningstar DBRS was unable to receive confirmation on the current utilization of the space; however, Hall Render continues to pay rent as agreed on all leased space with total annual rental revenue of $1.7 million. According to YE2024 financial reporting, the property generated net cash flow (NCF) of $3.3 million, resulting in a debt service coverage ratio (DSCR) of 1.96 times (x). The figures compare similarly with the YE2023 metrics of $3.2 million and 1.90x, respectively; however, performance is expected to decrease given the increased vacancy rate. According to May 2025 servicer reporting, there is $1.5 million in the leasing reserve, equating to approximately $16.00 per square foot (psf) of available funds for the currently vacant space. Given necessary tenant buildout costs to execute new leases are likely greater than $16.00 psf, the borrower may be required to fund additional leasing costs out of pocket or from free cash flow to back fill vacancy. Morningstar DBRS also notes the increased vacancy risk in the submarket as a potential impediment for the borrower, as according to Reis Q1 2025 data, the vacancy rate for office properties in the Central Indianapolis submarket was elevated at 23.2%, and the vacancy rate is expected to remain above 22.0% through loan maturity in 2028. While Morningstar DBRS expects the loan to remain current, given the increased vacancy rate and lower projected cash flow, Morningstar DBRS applied an elevated POD adjustment to the loan, resulting in a loan EL approximately three times greater than the EL for the pool. At issuance, Morningstar DBRS assigned investment-grade shadow ratings to the Aventura Mall (Prospectus ID#2; 5.7% of the pool balance), Christiana Mall (Prospectus ID#3; 5.7% of the pool balance), and 2747 Park Boulevard (Prospectus ID#8; 2.9% of the pool balance) loans. With this review, Morningstar DBRS confirms the performance of these loans remains in line with the investment-grade shadow ratings. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2019-JWDR: Fitch Affirms 'Bsf' Rating on Class F Debt ----------------------------------------------------------------- Fitch Ratings has upgraded three classes and affirmed three class of Wells Fargo Commercial Mortgage Trust 2019-JWDR (WFCM 2019-JWDR). Fitch has also assigned Stable Outlooks to the three upgraded classes. The Outlooks are Positive for two affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2019-JWDR A 95002NAA5 LT AAAsf Affirmed AAAsf B 95002NAG2 LT AAAsf Upgrade AAsf C 95002NAJ6 LT AAsf Upgrade Asf D 95002NAL1 LT Asf Upgrade BBBsf E 95002NAN7 LT BBsf Affirmed BBsf F 95002NAQ0 LT Bsf Affirmed Bsf KEY RATING DRIVERS Improved Performance and Cash Flow: The upgrades reflect the sustained post-pandemic performance improvement of the property compared with issuance and strong asset quality. The Positive Outlooks on classes E and F reflect possible further upgrades with continued performance improvement and expected property-level cash flow growth. While the collateral has experienced higher average daily rate (ADR) and revenue per available room (RevPAR) in 2023, 2024, and for the TTM March 2025 period as compared with issuance, it has historically been heavily reliant on group business and demand that may be affected by a slowing macroeconomy and reduced consumer spending. Fitch will continue to monitor the property's performance and refinance expectations given the loan's maturity date in September 2026. Strong Asset Quality: The JW Marriott Phoenix Desert Ridge Resort & Spa is a 950-room, full-service, high-quality destination resort hotel situated on approximately 396 acres in the Sonoran Desert in Arizona. Property amenities include over 235,000 sf of indoor and outdoor meeting and event facilities; two 18-hole golf courses designed by Nick Faldo and Arnold Palmer; a 28,000-sf, full-service spa; fitness center; seven food and beverage (F&B) outlets; five pools, including a lazy river; as well as tennis courts, hiking/biking trails and pickle ball courts. Fitch assigned a property quality grade of 'A-' at issuance. The hotel was closed due to the pandemic between March and June of 2020. Fitch Net Cash Flow: The servicer-reported YE 2024 property net cash flow (NCF) improved to $60.5 million from $54.3 million at YE 2023, $44.3 million at YE 2022, and $18.3 million at YE 2021. Fitch's updated sustainable NCF of $46.6 million, which is 27.5% above Fitch's NCF of $36.6 million at issuance, relied upon the most recent financial reporting as of YE 2024 for the analysis. The current Fitch NCF incorporates the TTM March 2025 occupancy of 64.7%, which remains below issuance occupancy of 69.5%, and a 10% stress to the TTM March 2025 ADR. In addition, Fitch normalized Food and Beverage (F&B) and Other Income revenue items to be consistent with historical levels and inflated the YE 2024 insurance expense by 10%. According to the TTM March 2025 STR report, occupancy, ADR, and RevPAR were 64.7%, $350.21, and $226.74, respectively, compared with 65.9%, $348.75, and $229.88 as of TTM December 2024; 63.8%, $336.95, and $214.95 as of TTM March 2024; 62.2%, $323.63, and $201.36 as of TTM March 2023; and 69%, $253.03 and $174.60 as of TTM July 2019 at the time of issuance. The hotel reported TTM March 2025 respective occupancy, ADR, and RevPAR penetration ratios of 105.1%, 88.9%, and 93.4%, respectively. Fitch Leverage: The $403.0 million trust debt represents a Fitch-stressed debt service coverage ratio (DSCR) and loan-to-value (LTV) ratio of 1.16x and 90.8%, respectively, compared with 0.91x and 115.8% at issuance. Fitch's cap rate is 10.5%. Loan Maturity: The loan is a seven-year, fixed-rate loan that matures in September 2026. Sponsorship and Management: Sponsorship is a joint venture between Elliott Management Corporation and Trinity Real Estate Investments LLC. Marriott International, Inc. (Marriott) directly manages the property, which is not subject to a franchise agreement. A management agreement with Marriott is in place through December 2027, with five 10-year extension options. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior bonds are not likely due to the high level of recoverability based on the high quality of the property as well as the low leverage at the higher rating categories. Downgrades to the junior bonds are also not expected given the improved performance since the pandemic compared to issuance, but possible if the cash flow declines significantly and recovery is not expected. Potential headwinds for the hotel sector, including high gas prices and airfares, reduced flights, increased labor costs and staffing shortages, could impact cash flow and lead to potential Outlook revisions and/or downgrades. Downgrades are more likely if the loan is not expected to refinance at the maturity date, and/or defaults and value declines are determined to be prolonged or permanent. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Possible upgrades to classes E and F will occur with sustained performance improvement and property-level cash flow growth. In considering upgrades, Fitch may also consider the amount of leverage at each rating category, including debt per key, relative to the loan's recovery, and refinanceability. 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. WELLS FARGO 2025-NYCH: DBRS Gives Prov. BB Rating on E Certs ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-NYCH (the Certificates) to be issued by Wells Fargo Commercial Mortgage Trust 2025-NYCH (NYCH Portfolio Trust): -- Class A at (P) AAA (sf) -- Class B at (P) AA (high) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (sf) -- Class HRR at (P) BB (low) (sf) All trends are Stable. The NYCH Portfolio Trust transaction is secured by the borrower's fee-simple interests in seven hospitality properties across the Manhattan, New York, market. The portfolio totals 1,087 keys and includes three properties that operate under the Hilton brand family and four properties that operate under the IHG brand family. The portfolio only includes one full-service hotel, the Holiday Inn Wall Street (113 keys), while the rest of the properties are limited service (975 keys). The properties within the portfolio were constructed between 2003 and 2009 with a weighted-average (WA) year built of 2008 and a WA year renovated of 2018. The entirety of the portfolio was renovated in 2017, with only the Candlewood Suites getting additional renovations in 2020. While there have been no extensive renovations since, the sponsor has continued to put money into each of the properties on an as-needed basis. From 2022 to 2024, the sponsor put in $3.7 million ($3,388 per key). The loan is currently structured with $5.0 million in reserves that will be used to continue small upgrades throughout the properties as needed but there are no major renovations planned for any one hotel. The largest properties by Morningstar DBRS Net Cash Flow (NCF) are the Holiday Inn Express Times Square, which accounts for 20.8% of the Morningstar DBRS NCF and 210 keys; the Candlewood Suites Times Square, which represents 19.4% of the Morningstar DBRS NCF and 188 keys; and the Hampton Inn Times Square, which represents 18.4% of the Morningstar DBRS NCF and 184 keys. No other property accounts for more than 15.1% of the NCF. Three of the properties are located within the Times Square neighborhood of Midtown Manhattan, accounting for 582 keys; two properties are located within the Financial District of Manhattan, accounting for 225 keys; one hotel is located within the Chelsea neighborhood, accounting for 144 keys; and the final hotel is located within the Madison Square Garden area of Manhattan, accounting for 136 keys. All of the properties are well located within New York and provide access to a number of demand drivers. The portfolio has seen a strong recovery since the COVID-19 pandemic, which saw major disruptions to travel both nationally and globally. While the portfolio has not fully recovered in terms of occupancy since the pre-pandemic levels, revenue per available room (RevPAR) has seen a steady return with an increase in the average daily rate (ADR) for a number of the properties. In 2019, the portfolio had a WA occupancy of 96.2% and an ADR of $202.78, which resulted in a RevPAR of $195.15. Portfolio occupancy started to pick back up by 2022 when the WA occupancy was 71.3%, which represents a 69.4% increase over the low of 42.1% in 2020. This trend continued throughout the past few years and occupancy has now reached a WA of 86.2% as of the April 2025 trailing 12-month (T-12) period, which shows a 2.98% increase over the YE2024 occupancy. ADR within the same period has seen a decrease to $227.54 from $229.19, which represents a -0.72% decrease over the YE2024 figure. In total, RevPAR has increased 2.24% in April 2025 from the YE2024 figures, with a T-12 2025 figure of $196.18. Each of the properties has seen an increase in the overall RevPAR when compared with the YE2024 figures. The Morningstar DBRS-concluded occupancy of 85.4% and concluded ADR of $226.39 amount to a RevPAR figure of $13.48, accounting for the above-mentioned decrease. This represents a 0.16% decrease from the March T-12 RevPAR figure of $193.80. The mortgage loan proceeds of $235.0 million with an additional $45.0 million of sponsor equity will be used to repay $270.0 million of existing debt, fund a capital expenditure reserve, and cover closing costs. The two-year, floating-rate (one-month term Secured Overnight Financing Rate plus 395 basis points (bps)) interest-only mortgage loan has three one-year extension options. The borrower is required to enter into an interest rate cap with a strike price resulting in a debt service coverage ratio that is no less than 1.10 times. The sponsor for this transaction is Mack Real Estate Group (MREG) and the property will be managed by the Hersha Hospitality Group (Hersha Hospitality). MREG is a New York-based real estate group that was founded in 2013. The group has extensive experience in the New York City market. Hersha Hospitality has experience in managing hotels of the same flags as the collateral. The approximate As-Is Aggregate appraised value for the portfolio is $407.3 million, which equates to an Issuer Loan-to-Value (LTV) of 57.7%. The Morningstar DBRS-concluded value of $303.9 million represents a 25.4% discount from the appraised value and results in a Morningstar DBRS whole-loan LTV of 77.3%, which is considered to be high leverage financing. The Morningstar DBRS-concluded value is based on a capitalization rate (cap rate) of 8.53%, which is approximately 202 bps higher than the appraised value implied cap rate of 6.51%. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. WFRBS COMMERCIAL 2014-C20: Moody's Cuts Rating on Cl. B Certs to B3 ------------------------------------------------------------------- Moody's Ratings has downgraded the ratings on two classes in WFRBS Commercial Mortgage Trust 2014-C20 as follows: Cl. B, Downgraded to B3 (sf); previously on Jan 12, 2024 Downgraded to B1 (sf) Cl. C, Downgraded to C (sf); previously on Jan 12, 2024 Downgraded to Caa3 (sf) RATINGS RATIONALE The ratings on two P&I classes were downgraded due to higher anticipated losses and interest shortfall risks as a result of the significant exposure to specially serviced loans. All of the six remaining loans (100% of the pool) are in special servicing and have been deemed non-recoverable by the master servicer as of the May 2025 remittance date. As a result of the non-recoverability determination, no principal or interest proceeds have been distributed to the outstanding P&I classes since March 2025. Cl. B and Cl. C have accumulated interest shortfalls, and Moody's expects interest shortfalls to further accumulate until one or more of the remaining loans are resolved. The actions also reflect the risk of higher potential losses given the significant delinquency status and distressed performance of the remaining loans. Moody's rating action reflects a base expected loss of 57.3% of the current pooled balance, compared to 21.9% at Moody's last reviews. Moody's base expected loss plus realized losses is now 16.8% of the original pooled balance, compared to 14.6% 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 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced loan and estimate a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced to the most junior classes and the recovery as a pay down of principal to the most senior classes. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the May 16, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 86.3% to $172 million from $1.25 billion at securitization. The certificates are collateralized by six mortgage loans. All the remaining loans are in special servicing and have been deemed non-recoverable by the master servicer. As of the May 2025 remittance date the cumulative interest shortfalls were $22.2 million impacting up to Cl. B. Moody's anticipates interest shortfalls will continue due to the exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Four loans have been liquidated from the pool, resulting in an aggregate realized loss of $111.8 million (for an average loss severity of 67%). The largest loss was from the Woodbridge Center Loan, which was liquidated in March 2024 with a realized loss of $80.9 million (a loss severity of 70% based on the disposition balance). The largest specially serviced loan is the Sugar Creek I & II Loan ($57.4 million – 33.4% of the pool), which is secured by two adjacent, eight-story office buildings totaling 409,168 square feet (SF) located in Sugarland, Texas, 20 miles southwest of the Houston CBD. The asset is also encumbered with $8.6 million of mezzanine financing held outside the trust, which is currently in default. Sugar Creek-I was constructed in 2000 and Sugar Creek-II was constructed in 2008. Collateral for the loan also includes a four-story 1,198-space parking garage in addition to 326 surface parking spaces. The property was 36% occupied as of the first quarter of 2025 after the largest tenant, Noble Drilling Services Inc. (16% of the net rentable area (NRA)) vacated at their lease expiration in December 2024. As of the May 2025 remittance statement, the loan was last paid through its May 2024 payment date. The most recent appraisal value of the property from October 2024 was 56% below the outstanding loan amount causing an appraisal reduction amount (ARA) of approximately 68% of the outstanding balance as of the May 2025 remittance report. The property became real estate owned (REO) in February 2023. The second largest specially serviced loan is the Worldgate Center Loan ($51.9 million – 30.1% of the pool), which is secured by a 229,326 SF shopping center in Herndon, Virginia. The collateral for the loan also includes a two-level subterranean parking garage and surface parking totaling 1,170 parking spaces. As of December 2024, the property was 100% leased and is anchored by Worldgate Athletic Club & Spa (46% of NRA) and AMC Worldgate 9 Theaters (17% of NRA). The loan previously transferred to special servicing in June 2020 due to the coronavirus impact on the property, however, the loan was returned to the master servicer in August 2020 without a modification and was brought current in September 2020. The loan transferred to special servicing again in January 2024, prior to its scheduled maturity in May 2024. A forbearance agreement was executed in July 2024, extending the loan to July 2026, with an option for an extension to July 2027, contingent upon property performance criteria. However, the loan went into payment default under the forbearance on the January 2025 payment date and the loan was last paid through its December 2024 payment date as of the May 2025 remittance statement. The most recent appraisal value of the property from October 2024 was 50% below the outstanding loan amount causing an ARA of approximately 54% of the outstanding balance as of the May 2025 remittance report. The special servicer is currently working with the borrower on consensual receivership. The third largest specially serviced loan is the Savoy Retail & 60th Street Residential Loan ($30.1 million -- 17.5% of the pool), which is secured by a mixed-use retail and residential development located on Third Avenue between 60th Street and 61st Street in New York, New York. The collateral includes the Savoy Retail Condo and 60th Street Residential. The retail portion is comprised of approximately 36,000 SF of retail space and approximately 12,000 SF of subterranean garage containing 70 spaces. 60th Street Residential is comprised of four abutting 4-story walk-up residential buildings. As of September 2024, the total collateral was reported to be 54% leased compared to 75% in December 2020 and 87% at year-end 2019. The loan transferred to special servicing in June 2023 due to imminent monetary default and was last paid through the February 2024 payment date. Special servicer commentary indicates that they continue to engage in negotiations regarding a potential assumption while dual tracking foreclosure proceedings. The remaining specially serviced loans (19.0% of the pool) are secured by two suburban office properties located in Bethesda, Maryland and Kennesaw, Georgia, that have had a decline in performance due to lower occupancy and one single-tenant retail property in Baton Rouge, Louisiana. Moody's have estimated an aggregate loss of $98.6 million (a 57% expected loss on average) from the specially serviced loans. [] DBRS Hikes 3 Credit Ratings on 4 GLS Auto Issuer Trust --------------------------------------------------------- DBRS, Inc. upgraded three credit ratings and confirmed 15 credit ratings on four GLS Auto Receivables Issuer Trust and two GLS Auto Select Receivables Trust transactions as detailed in the summary chart below. The Affected Ratings are available at https://bit.ly/44fRDYr The Issuers are: GLS Auto Receivables Issuer Trust 2023-1 GLS Auto Select Receivables Trust 2024-4 GLS Auto Select Receivables Trust 2024-1 GLS Auto Receivables Issuer Trust 2020-4 GLS Auto Receivables Issuer Trust 2020-3 GLS Auto Receivables Issuer Trust 2023-4 The credit rating actions are based on the following analytical considerations: -- For GLS Auto Receivables Issuer Trust 2020-3 and GLS Auto Receivables Issuer Trust 2020-4, losses are tracking below Morningstar DBRS' initial base case CNL expectations. The current level of hard credit enhancement and estimated excess spread are sufficient to support the Morningstar DBRS' projected remaining cumulative net loss assumptions at multiples of coverage commensurate with the credit ratings. -- For GLS Auto Receivables Issuer Trust 2023-1 and GLS Auto Receivables Issuer Trust 2023-4, losses are tracking above Morningstar DBRS' initial base case CNL expectation. However, due to the transaction structures, credit enhancement has increased for all classes mitigating the weaker than expected collateral performance. The current level of hard credit enhancement and estimated future excess spread are sufficient to support the Morningstar DBRS' projected remaining cumulative net loss assumptions at multiples of coverage commensurate with the credit ratings. -- For GLS Auto Select Receivables Trust 2024-1 and GLS Auto Select Receivables Trust 2024-4, losses are tracking in line with Morningstar DBRS' initial base case CNL expectations. The current level of hard credit enhancement and estimated excess spread are sufficient to support the Morningstar DBRS' projected remaining cumulative net loss assumptions at multiples of coverage commensurate with the credit ratings. -- The transaction capital structures and form and sufficiency of available CE. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus 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). [] DBRS Reviews 132 Classes From 24 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 132 classes from twenty-four U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed transactions are classified as Non-Qualified Mortgages. Of the 132 classes reviewed, Morningstar DBRS upgraded its credit ratings on 51 classes and confirmed its credit ratings on the remaining 81 classes. The Affected Ratings are available at https://bit.ly/4n1hfQ4 The Issuers are: CIM Trust 2023-I2 MFA 2022-INV2 Trust MFA 2021-NQM2 Trust MFA 2022-CHM1 Trust PRKCM 2023-AFC2 Trust CHNGE Mortgage Trust 2023-3 Verus Securitization Trust 2021-5 PRPM 2024-NQM2 Trust Arroyo Mortgage Trust 2022-2 CHNGE Mortgage Trust 2022-1 CHNGE Mortgage Trust 2022-3 CHNGE Mortgage Trust 2022-2 CHNGE Mortgage Trust 2022-4 Imperial Fund Mortgage Trust 2022-NQM1 Imperial Fund Mortgage Trust 2021-NQM4 Imperial Fund Mortgage Trust 2021-NQM3 Angel Oak Mortgage Trust 2019-4 A&D Mortgage Trust 2024-NQM3 Residential Mortgage Loan Trust 2020-1 Bunker Hill Loan Depositary Trust 2019-2 Deephaven Residential Mortgage Trust 2022-3 Imperial Fund Mortgage Trust 2021-NQM2 Imperial Fund Mortgage Trust 2022-NQM6 Bravo Residential Funding Trust 2021-NQM2 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 US Dollars unless otherwise noted. The principal methodology applicable to the credit ratings is the U.S. RMBS Surveillance Methodology (June 28, 2024). [] DBRS Reviews 19 Classes From 9 US RMBS Transactions ------------------------------------------------------ DBRS, Inc. reviewed 19 classes from nine U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed transactions are classified as ReREMICs of legacy RMBS. Morningstar DBRS confirmed its credit ratings on 19 classes. The Affected Ratings are available at https://bit.ly/3ZSpVi7 The Issuers are: MASTR Resecuritization Trust 2008-3 Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS2 CSMC Series 2013-9R CSMC Series 2015-6R Financial Asset Securities Corp. AAA Trust 2005-2 Citigroup Mortgage Loan Trust 2010-2 Citigroup Mortgage Loan Trust 2009-11 CHL Mortgage Pass-Through Trust Resecuritization 2008-3R Deutsche ALT-A Securities, Inc. Re-REMIC Trust, Series 2007-RS1 CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns 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 US dollars unless otherwise noted. [] DBRS Reviews 38 Classes in 4 US RMBS Transactions ---------------------------------------------------- DBRS, Inc. reviewed 38 classes in four U.S. residential mortgage-backed securities (RMBS) transactions. Of the four transactions reviewed, each of which are classified as reperforming mortgage, manufactured housing, home equity line of credit or single-family rental. Of the 38 classes reviewed, Morningstar DBRS upgraded its credit ratings on 25 classes and confirmed its credit ratings on the remaining 13 classes. CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update" published on March 26, 2025 (https://dbrs.morningstar.com/research/450604). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of "U.S. RMBS Surveillance Methodology," published on June 28, 2024 or "Rating and Monitoring U.S. Single-Family Rental Securitizations," published on September 30, 2024. Notes: All figures are in US Dollars unless otherwise noted. [] DBRS Reviews 934 Classes From 26 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 934 classes from 26 U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed deals are classified as prime mortgage transactions. Of the 934 classes reviewed, Morningstar DBRS upgraded its credit ratings on 27 classes and confirmed its credit ratings on 907 classes. The Affected Ratings are available at https://bit.ly/3ST1JrQ The Issuers are: OBX 2021-J2 Trust CIM Trust 2019-J1 OBX 2020-EXP3 Trust Flagstar Mortgage Trust 2021-4 Flagstar Mortgage Trust 2018-1 CIM Trust 2019-J2 CIM Trust 2020-J1 Flagstar Mortgage Trust 2021-6INV Flagstar Mortgage Trust 2018-2 Flagstar Mortgage Trust 2018-5 Flagstar Mortgage Trust 2017-1 Flagstar Mortgage Trust 2018-4 Mello Mortgage Capital Acceptance 2021-MTG3 OBX 2018-EXP2 Trust J.P. Morgan Mortgage Trust 2023-4 J.P. Morgan Mortgage Trust 2022-7 J.P. Morgan Mortgage Trust 2023-6 Shellpoint Co-Originator Trust 2015-1 Chase Home Lending Mortgage Trust 2024-7 Chase Home Lending Mortgage Trust 2019-1 Chase Home Lending Mortgage Trust 2024-8 J.P. Morgan Mortgage Trust 2020-INV2 GS Mortgage-Backed Securities Trust 2020-PJ5 GS Mortgage-Backed Securities Trust 2021-PJ7 GS Mortgage-Backed Securities Trust 2020-PJ4 Mello Mortgage Capital Acceptance 2021-INV1 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. 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 US Dollars unless otherwise noted. The principal methodology applicable to the credit ratings is the U.S. RMBS Surveillance Methodology (June 28, 2024). [] Moody's Takes Action 44 Bonds From 13 US RMBS Deals ------------------------------------------------------ Moody's Ratings has upgraded the ratings of 43 bonds and downgraded the rating of one bond from 13 US residential mortgage-backed transactions (RMBS), backed by Subprime and Alt-A mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: HSI Asset Securitization Corporation Trust 2006-HE1 Cl. I-A, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. II-A-1, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. II-A-2, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. II-A-3, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. II-A-4, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. II-A-5, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Issuer: HSI Asset Securitization Corporation Trust 2006-HE2 Cl. I-A, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to Caa3 (sf) Issuer: HSI Asset Securitization Corporation Trust 2007-HE1 Cl. I-A, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Downgraded to Caa3 (sf) Cl. II-A-3, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. II-A-4, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Issuer: HSI Asset Securitization Corporation Trust 2007-HE2 Cl. I-A, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to Caa3 (sf) Cl. II-A-1, Upgraded to Caa1 (sf); previously on Jul 21, 2014 Downgraded to Caa2 (sf) Cl. II-A-2, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. II-A-3, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. II-A-4, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Issuer: HSI Asset Securitization Corporation Trust 2007-NC1 Cl. A-2, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR13 Cl. A-3, Downgraded to Caa2 (sf); previously on Dec 30, 2010 Downgraded to Caa1 (sf) Issuer: J.P. Morgan Alternative Loan Trust 2006-A3 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 17, 2010 Downgraded to Caa3 (sf) Cl. 1-A-4, Upgraded to Caa1 (sf); previously on Sep 14, 2015 Upgraded to Caa3 (sf) Issuer: J.P. Morgan Alternative Loan Trust 2006-A7 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 17, 2010 Downgraded to Caa3 (sf) Cl. 1-A-4, Upgraded to Caa3 (sf); previously on Sep 17, 2010 Downgraded to Ca (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-WF1 Cl. A-3-A, Upgraded to Caa3 (sf); previously on Sep 17, 2010 Downgraded to Ca (sf) Cl. A-3-B, Upgraded to Caa3 (sf); previously on Sep 17, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Sep 17, 2010 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on Sep 17, 2010 Downgraded to Ca (sf) Cl. A-6, Upgraded to Caa3 (sf); previously on Jan 12, 2016 Downgraded to Ca (sf) Issuer: Morgan Stanley Home Equity Loan Trust 2007-1 Cl. A-2, Upgraded to Caa2 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Confirmed at Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Confirmed at Ca (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2007-2AX Cl. 1-A, Upgraded to Caa3 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Aug 12, 2010 Downgraded to Caa3 (sf) Cl. 2-A-2, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Caa3 (sf) Cl. 2-A-3, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Caa3 (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2007-5AX Cl. 1-A, Upgraded to Caa3 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Aug 12, 2010 Downgraded to Caa3 (sf) Cl. 2-A-2, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Caa3 (sf) Cl. 2-A-3, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Caa3 (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2007-7AX Cl. 1-A, Upgraded to Caa3 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Cl. 2-A-2, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Cl. 2-A-3, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Cl. 2-A-5, Upgraded to Caa1 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change 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 32 Bonds from 14 US RMBS Deals --------------------------------------------------------- Moody's Ratings has upgraded the ratings of 21 bonds and downgraded the ratings of 11 bonds from 14 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: GSAA Home Equity Trust 2005-1 Cl. B-1, Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to C (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Jun 28, 2017 Upgraded to B2 (sf) Issuer: GSAA Home Equity Trust 2005-MTR1 Cl. M-2, Upgraded to Caa2 (sf); previously on Feb 19, 2009 Downgraded to C (sf) Issuer: GSAMP Trust 2005-HE5 Cl. M-4, Downgraded to Caa1 (sf); previously on Apr 30, 2017 Upgraded to B1 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Mar 4, 2013 Affirmed C (sf) Issuer: GSAMP Trust 2006-HE2 Cl. M-2, Upgraded to Caa1 (sf); previously on Apr 30, 2017 Upgraded to Ca (sf) Issuer: Homebanc Mortgage Trust 2005-5 Cl. A-1, Downgraded to Caa1 (sf); previously on Jun 21, 2019 Upgraded to B3 (sf) Cl. A-2, Downgraded to Caa1 (sf); previously on Jun 21, 2019 Upgraded to B3 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Oct 14, 2010 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-NC1 Cl. M-1, Downgraded to Caa1 (sf); previously on Mar 26, 2018 Upgraded to B1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 24, 2009 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-NC2 Cl. M-1, Downgraded to Caa1 (sf); previously on Mar 26, 2018 Upgraded to B1 (sf) Cl. M-2, Upgraded to Caa2 (sf); previously on Mar 24, 2009 Downgraded to C (sf) Issuer: Long Beach Mortgage Loan Trust 2006-WL3 Cl. I-A, Upgraded to A1 (sf); previously on Dec 12, 2023 Upgraded to Baa1 (sf) Cl. II-A4, Upgraded to Caa1 (sf); previously on May 17, 2018 Upgraded to Caa3 (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2006-A Cl. M-2, Upgraded to Caa1 (sf); previously on Jun 25, 2015 Upgraded to Ca (sf) Cl. M-3, Upgraded to Ca (sf); previously on Jul 21, 2010 Downgraded to C (sf) Issuer: RAMP Series 2005-EFC5 Trust Cl. M-4, Upgraded to Aaa (sf); previously on Mar 26, 2024 Upgraded to A1 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: RASC Series 2006-KS7 Trust Cl. M-1, Upgraded to A1 (sf); previously on Jun 29, 2023 Upgraded to Baa2 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: Soundview Home Loan Trust 2004-1 Cl. B-1, Upgraded to Caa3 (sf); previously on Mar 13, 2011 Downgraded to C (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 27, 2013 Downgraded to B1 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Jun 27, 2013 Downgraded to B1 (sf) Cl. M-5, Downgraded to Caa1 (sf); previously on Oct 1, 2015 Upgraded to B1 (sf) Cl. M-6, Downgraded to Caa1 (sf); previously on May 23, 2018 Upgraded to B1 (sf) Cl. M-7, Downgraded to Caa1 (sf); previously on May 23, 2018 Upgraded to B2 (sf) Cl. M-9, Upgraded to Caa1 (sf); previously on Mar 13, 2011 Downgraded to C (sf) Issuer: Soundview Home Loan Trust 2006-OPT1 Cl. M-1, Upgraded to Caa2 (sf); previously on Mar 24, 2017 Upgraded to Ca (sf) Issuer: Structured Asset Securities Corp Trust 2005-WF4 Cl. M7, Upgraded to Aaa (sf); previously on Feb 6, 2024 Upgraded to Aa1 (sf) Cl. M8, Upgraded to A2 (sf); previously on Feb 6, 2024 Upgraded to Ba2 (sf) Cl. M9, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The majority of the downgraded bonds also 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 upgrades on Class M-7 and M-8 of Structured Asset Securities Corp Trust 2005-WF4, Class I-A of Long Beach Mortgage Loan Trust 2006-WL3, Class M-4 of RAMP Series 2005-EFC5 Trust and Class M-1 of RASC Series 2006-KS7 are a result of an increase in credit enhancement available to the bonds. Credit enhancement grew by 9.6% 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 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 35 Bonds From 11 US RMBS Deals --------------------------------------------------------- Moody's Ratings has upgraded the ratings of 32 bonds and downgraded the ratings of three bonds from 11 US residential mortgage-backed transactions (RMBS), backed by option ARM, Alt-A, 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: Ameriquest Mortgage Securities Inc., Series 2005-R1 Cl. M-4, Downgraded to Caa1 (sf); previously on May 13, 2019 Downgraded to B1 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Mar 14, 2013 Affirmed C (sf) Cl. M-6, Upgraded to Ca (sf); previously on Mar 14, 2013 Affirmed C (sf) Issuer: CSMC 2008-1R Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 18, 2011 Downgraded to Caa3 (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Jul 16, 2013 Downgraded to Ca (sf) Issuer: DSLA Mortgage Loan Trust 2005-AR5 Cl. 1-A1A, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to Caa3 (sf) Cl. 2-A1B, Underlying Rating: Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to C (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook Stable on July 10, 2024) Issuer: HarborView Mortgage Loan Trust 2007-1 Cl. 1A-1B, Underlying Rating: Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to C (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook Stable on July 10, 2024) Cl. 2A-1A, Upgraded to Caa1 (sf); previously on Mar 8, 2016 Upgraded to Caa2 (sf) Cl. 2A-1B, Upgraded to Caa3 (sf); previously on Dec 5, 2010 Downgraded to C (sf) Issuer: IMC Home Equity Loan Trust 1998-5 B, Upgraded to Caa1 (sf); previously on Mar 9, 2011 Downgraded to C (sf) M-1, Upgraded to Caa1 (sf); previously on May 18, 2018 Downgraded to Caa3 (sf) M-2, Upgraded to Caa1 (sf); previously on Mar 9, 2011 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-WMC3 Cl. A-1MZ, Upgraded to Caa3 (sf); previously on Dec 14, 2010 Downgraded to C (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Confirmed at Ca (sf) Cl. A-5, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Confirmed at Ca (sf) Issuer: New Century Home Equity Loan Trust, Series 2005-D Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 10, 2017 Upgraded to B1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Jun 1, 2010 Downgraded to C (sf) Issuer: Newcastle Mortgage Securities Trust 2006-1 Cl. M-4, Downgraded to Caa1 (sf); previously on Nov 27, 2018 Upgraded to B2 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Mar 19, 2009 Downgraded to C (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 19, 2009 Downgraded to C (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2007-1 Cl. I-A-1A, Upgraded to Caa1 (sf); previously on Apr 18, 2013 Downgraded to Ca (sf) Cl. I-A-1B, Upgraded to Caa1 (sf); previously on Apr 18, 2013 Downgraded to Ca (sf) Cl. I-A-2, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Cl. I-A-3, Underlying Rating: Upgraded to Caa1 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook Stable on July 10, 2024) Cl. I-A-4, Underlying Rating: Upgraded to Caa1 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook Stable on July 10, 2024) Cl. I-A-5, Underlying Rating: Upgraded to Caa1 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook Stable on July 10, 2024) Cl. I-A-6, Underlying Rating: Upgraded to Caa1 (sf); previously on Apr 18, 2013 Downgraded to Ca (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook Stable on July 10, 2024) Cl. II-A-1, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Cl. II-A-2, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Cl. II-A-3, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Cl. II-A-4, Upgraded to Caa3 (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) Issuer: Saxon Asset Securities Trust 2006-2 Cl. M-2, Upgraded to Caa1 (sf); previously on Dec 2, 2015 Upgraded to Ca (sf) Issuer: Terwin Mortgage Trust 2007-6ALT Cl. A-2, Underlying Rating: Upgraded to Caa1 (sf); previously on Oct 15, 2010 Confirmed at Ca (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook Stable on July 10, 2024) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating downgrades are the result of outstanding credit interest shortfalls that are unlikely to be recouped. The downgraded bonds have a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. In addition, the rating actions on the bonds from the resecuritization transaction, CSMC 2008-1R, reflect the rating actions on the bonds underlying that transaction. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all deals except CSMC 2008-1R 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 41 Bonds from 10 US RMBS Deals --------------------------------------------------------- Moody's Ratings has upgraded the ratings of 29 bonds and downgraded the ratings of 12 bonds from ten 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: Asset Backed Securities Corporation Home Equity Loan Trust AEG 2006-HE1 Cl. M-1, Downgraded to Caa1 (sf); previously on Mar 10, 2016 Upgraded to B1 (sf) Cl. M-2, Upgraded to Caa3 (sf); previously on Jul 12, 2010 Downgraded to C (sf) Issuer: Citicorp Residential Mortgage Trust Series 2006-2 Cl. M-2, Upgraded to Caa2 (sf); previously on Jun 1, 2010 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2004-12 Cl. MF-1, Downgraded to Caa1 (sf); previously on May 24, 2018 Upgraded to B1 (sf) Cl. MF-2, Upgraded to Caa1 (sf); previously on Mar 2, 2023 Upgraded to Caa3 (sf) Cl. MF-3, Upgraded to Caa1 (sf); previously on Apr 16, 2012 Downgraded to C (sf) Cl. MF-4, Upgraded to Ca (sf); previously on Apr 16, 2012 Downgraded to C (sf) Cl. MV-5, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. MV-6, Upgraded to Ca (sf); previously on Apr 16, 2012 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-1 Cl. MF-2, Downgraded to Caa1 (sf); previously on Oct 13, 2016 Upgraded to B3 (sf) Cl. MF-3, Upgraded to Caa1 (sf); previously on Feb 3, 2023 Upgraded to Ca (sf) Cl. MF-4, Upgraded to Ca (sf); previously on Mar 12, 2013 Affirmed C (sf) Cl. MV-8, Upgraded to Ca (sf); previously on Mar 12, 2013 Affirmed C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-IM1 Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 4, 2018 Upgraded to B3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-13CB Cl. A-3, Downgraded to Caa1 (sf); previously on Feb 15, 2024 Downgraded to B2 (sf) Cl. A-4, Downgraded to Caa1 (sf); previously on Feb 15, 2024 Downgraded to B2 (sf) Cl. PO, Downgraded to Caa1 (sf); previously on Feb 15, 2024 Downgraded to B2 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-54CB Cl. 1-A-1, Upgraded to Caa2 (sf); previously on Sep 27, 2016 Downgraded to Caa3 (sf) Cl. 1-A-2*, Upgraded to Caa2 (sf); previously on Sep 27, 2016 Downgraded to Caa3 (sf) Cl. 1-A-3, Upgraded to Caa2 (sf); previously on Sep 27, 2016 Downgraded to Caa3 (sf) Cl. 1-A-4, Upgraded to Caa2 (sf); previously on Sep 27, 2016 Downgraded to Caa3 (sf) Cl. 1-A-5, Upgraded to Caa1 (sf); previously on Sep 27, 2016 Downgraded to Caa3 (sf) Cl. 1-A-6, Upgraded to Caa2 (sf); previously on Sep 27, 2016 Downgraded to Caa3 (sf) Cl. 1-A-7, Downgraded to Caa1 (sf); previously on Oct 7, 2016 Upgraded to B3 (sf) Cl. 1-A-9, Upgraded to Caa2 (sf); previously on Sep 27, 2016 Downgraded to Caa3 (sf) Cl. 1-A-10, Upgraded to Caa2 (sf); previously on Sep 27, 2016 Downgraded to Caa3 (sf) Cl. 1-A-11, Upgraded to Caa2 (sf); previously on Sep 27, 2016 Downgraded to Caa3 (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Sep 27, 2016 Downgraded to Caa3 (sf) Cl. 2-A-3, Upgraded to Caa1 (sf); previously on Sep 27, 2016 Downgraded to Caa3 (sf) Cl. 2-A-4, Upgraded to Caa2 (sf); previously on Sep 27, 2016 Downgraded to Caa3 (sf) Cl. 3-A-4, Upgraded to Caa2 (sf); previously on Sep 27, 2016 Downgraded to Caa3 (sf) Cl. 3-A-5, Upgraded to Caa1 (sf); previously on Sep 27, 2016 Downgraded to Caa3 (sf) Cl. 3-A-7, Upgraded to Caa1 (sf); previously on Sep 27, 2016 Downgraded to Caa3 (sf) Cl. 3-A-13, Upgraded to Caa1 (sf); previously on Sep 27, 2016 Downgraded to Caa3 (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Sep 27, 2016 Downgraded to Caa3 (sf) Issuer: GSAA Home Equity Trust 2005-8 Cl. M-1, Downgraded to Caa1 (sf); previously on Nov 21, 2019 Upgraded to B3 (sf) Cl. M-2, Upgraded to Caa3 (sf); previously on May 11, 2010 Downgraded to C (sf) Issuer: GSAMP Trust 2005-HE3 Cl. B-1, Upgraded to Ca (sf); previously on Jun 21, 2010 Downgraded to C (sf) Cl. M-4, Downgraded to Caa1 (sf); previously on Aug 7, 2019 Upgraded to B3 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-NC1 Cl. M-2, Downgraded to Caa1 (sf); previously on Feb 26, 2018 Upgraded to B3 (sf) Cl. M-3, Upgraded to Ca (sf); previously on Jul 15, 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 have 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 rating downgrades are due to outstanding interest shortfalls on the bonds that are not expected to be recouped. These bonds have weak interest recoupment mechanisms 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. 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 Rating Action on 19 Bonds from 6 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 16 bonds and downgraded the ratings of three bonds from six US residential mortgage-backed transactions (RMBS), backed by subprime, Alt-A and option arm mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bear Stearns ALT-A Trust 2007-3 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Issuer: HarborView Mortgage Loan Trust 2006-5 Cl. 1-A1A, Upgraded to Caa3 (sf); previously on Dec 5, 2010 Downgraded to Ca (sf) Cl. 2-A1A, Upgraded to Caa2 (sf); previously on Dec 5, 2010 Downgraded to Caa3 (sf) Cl. 2-A1B, Upgraded to Ca (sf); previously on Dec 5, 2010 Downgraded to C (sf) Cl. X-1*, Upgraded to Caa3 (sf); previously on Feb 13, 2019 Upgraded to Ca (sf) Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, SPMD 2004-C Cl. M-1, Downgraded to Caa1 (sf); previously on Feb 21, 2019 Downgraded to B1 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Mar 7, 2011 Downgraded to B3 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Jan 20, 2016 Upgraded to Caa3 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Mar 7, 2011 Downgraded to C (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 7, 2011 Downgraded to C (sf) Cl. M-7, Upgraded to Caa1 (sf); previously on Mar 7, 2011 Downgraded to C (sf) Cl. M-8, Upgraded to Caa1 (sf); previously on Jun 30, 2009 Downgraded to C (sf) Cl. M-9, Upgraded to Caa3 (sf); previously on Jun 30, 2009 Downgraded to C (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX2 Cl. A-2, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to C (sf) Issuer: Securitized Asset Backed Receivables LLC Trust 2004-NC1 Cl. B-1, Upgraded to Caa1 (sf); previously on Feb 28, 2023 Upgraded to Caa2 (sf) Cl. B-2, Upgraded to Caa1 (sf); previously on Mar 4, 2011 Downgraded to Ca (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Issuer: Soundview Home Loan Trust 2007-NS1, Asset-Backed Certificates, Series 2007-NS1 Cl. A-4, Upgraded to Aa1 (sf); previously on Apr 7, 2023 Upgraded to Baa1 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Jun 17, 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 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 rating downgrades are the result of outstanding credit interest shortfalls that are unlikely to be recouped. Each of these downgraded bonds has a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. The rating upgrade for Cl. A-4 from Soundview Home Loan Trust 2007-NS1, Asset-Backed Certificates, Series 2007-NS1 is a result of the improving performance of the related pool and an increase in credit enhancement available to this bond. Credit enhancement grew by 10.1% for this bond 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 Rating Action on 29 Bonds from 10 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 19 bonds and downgraded the ratings of ten bonds from ten 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: Argent Securities Inc., Series 2004-W3 Cl. A-3, Upgraded to Ba1 (sf); previously on Mar 2, 2023 Upgraded to Ba3 (sf) Underlying Rating: Upgraded to Ba1 (sf); previously on Mar 2, 2023 Upgraded to Ba3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. M-4, Upgraded to Caa1 (sf); previously on Mar 18, 2011 Downgraded to Ca (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Feb 11, 2009 Downgraded to C (sf) Issuer: Argent Securities Inc., Series 2005-W3 Cl. M-2, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Chase Funding Trust, Series 2004-1 Cl. IIA-2, Upgraded to A1 (sf); previously on Mar 26, 2014 Downgraded to A3 (sf) Cl. IM-1, Upgraded to B1 (sf); previously on Mar 7, 2011 Downgraded to Caa3 (sf) Cl. IM-2, Upgraded to Caa3 (sf); previously on Mar 7, 2011 Downgraded to Ca (sf) Issuer: Equifirst Mortgage Loan Trust 2004-2 Cl. B-1, Upgraded to Ca (sf); previously on Apr 30, 2009 Downgraded to C (sf) Cl. M-6, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-7, Downgraded to Caa1 (sf); previously on Nov 28, 2018 Upgraded to B1 (sf) Cl. M-8, Upgraded to Caa1 (sf); previously on Nov 28, 2018 Upgraded to Caa2 (sf) Cl. M-9, Upgraded to Caa2 (sf); previously on Apr 30, 2009 Downgraded to C (sf) Issuer: Equifirst Mortgage Loan Trust 2004-3 Cl. M-5, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-6, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-7, Downgraded to Caa1 (sf); previously on Nov 28, 2018 Upgraded to B1 (sf) Cl. M-8, Upgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to Caa3 (sf) Cl. M-9, Upgraded to Ca (sf); previously on Mar 5, 2013 Affirmed C (sf) Issuer: IXIS Real Estate Capital Trust 2004-HE4 Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 18, 2011 Downgraded to Ca (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on Mar 18, 2011 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2005-FLD1 Cl. M-6, Downgraded to Caa1 (sf); previously on Apr 20, 2018 Upgraded to B1 (sf) Cl. M-7, Upgraded to Caa1 (sf); previously on Apr 20, 2018 Upgraded to Caa3 (sf) Issuer: Long Beach Mortgage Loan Trust 2004-4 Cl. I-A1, Downgraded to A1 (sf); previously on Sep 28, 2004 Assigned Aaa (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed A1, Outlook Stable on July 10, 2024) Issuer: Long Beach Mortgage Loan Trust 2005-1 Cl. M-4, Downgraded to Caa1 (sf); previously on May 17, 2018 Upgraded to B1 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on May 17, 2018 Upgraded to Caa3 (sf) Cl. M-6, Upgraded to Ca (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: Long Beach Mortgage Loan Trust 2005-WL2 Cl. M-3, Downgraded to Caa1 (sf); previously on May 17, 2018 Upgraded to B1 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on May 17, 2018 Upgraded 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, and Moody's updated loss expectations on the underlying pools. Some of the bonds experiencing a rating change (both upgrades and downgrades) 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. Some of these same 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 action for Long Beach Mortgage Loan Trust 2004-4 is driven by the fact that the collateral pools backing the transaction has decreased to an effective number below the threshold established in the US RMBS Surveillance Methodology. Moody's do not maintain ratings on US RMBS securities in a structure where the effective number of borrowers has reduced below the threshold. However, Cl. I-A1 has the benefit of support provided by a certificate guarantee. For structured finance securities with third party support, the rating applied is the higher of the support provider's rating and the rating without any consideration of the third-party support. The rating downgrade for Cl. I-A1 reflects the rating of the support provider, Assured Guaranty Inc. 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 12 Bonds from 9 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 12 bonds from nine US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM, scratch and dent, and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: American Home Mortgage Assets Trust 2006-6 Cl. A1-A, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-AB5 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Oct 26, 2016 Confirmed at Ca (sf) Cl. 2-A-3, Upgraded to Caa1 (sf); previously on Oct 26, 2016 Upgraded to Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-45 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 27, 2016 Upgraded to Caa3 (sf) Cl. 2-A-1, Upgraded to Caa2 (sf); previously on Sep 27, 2016 Upgraded to Caa3 (sf) Cl. 3-A-1, Upgraded to Caa2 (sf); previously on Sep 27, 2016 Upgraded to Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-82 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 22, 2016 Upgraded to Caa2 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-J7 Cl. 2-A-1, Upgraded to Caa3 (sf); previously on Sep 22, 2016 Confirmed at Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-AL1 Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 27, 2016 Confirmed at Ca (sf) Issuer: GSAMP Trust 2005-NC1 Cl. M-2, Upgraded to Caa1 (sf); previously on Jun 21, 2010 Downgraded to C (sf) Issuer: GSR Mortgage Loan Trust 2007-OA2 Cl. 2A-1, Upgraded to Caa3 (sf); previously on Dec 14, 2010 Downgraded to Ca (sf) Issuer: Truman Capital Mortgage Loan Trust 2002-2 Cl. M-2, Upgraded to Caa3 (sf); previously on Jun 21, 2012 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. [] Moody's Upgrades Ratings on 13 Bonds from 3 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 13 bonds from three US residential mortgage-backed transactions (RMBS). The collateral backing these deals consists of prime jumbo and agency eligible mortgage loans issued by GS Mortgage-Backed Securities Trust. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2021-GR2 Cl. B, Upgraded to Aa3 (sf); previously on Aug 5, 2024 Upgraded to A1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Aug 5, 2024 Upgraded to Aa3 (sf) Cl. B-2-A, Upgraded to Aa2 (sf); previously on Aug 5, 2024 Upgraded to Aa3 (sf) Cl. B-2-X*, Upgraded to Aa2 (sf); previously on Aug 5, 2024 Upgraded to Aa3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Aug 5, 2024 Upgraded to Baa3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2021-PJ8 Cl. B-2, Upgraded to Aa1 (sf); previously on Aug 5, 2024 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Aug 5, 2024 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Aug 5, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Aug 5, 2024 Upgraded to Ba2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-PJ2 Cl. B-1, Upgraded to Aa1 (sf); previously on Oct 3, 2023 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Oct 3, 2023 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 5, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Aug 5, 2024 Upgraded to B1 (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 structure, and Moody's updated loss expectations on the underlying pools. The transactions Moody's reviewed continue to display strong collateral performance, with no or under .01% cumulative loss and a small number of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortized. The credit enhancement for each tranche upgraded has grown by, on average, 1.2x since closing. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 26 Bonds From 3 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 26 bonds from three US residential mortgage-backed transactions (RMBS), backed by Alt-A mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CWALT, Inc. Alternative Loan Trust 2007-22 Cl. 1-A-1, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 1-A-4, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 1-A-10, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 1-A-11*, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 1-A-12, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 1-A-13, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 1-A-14*, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 1-X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Cl. 2-A-1, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 2-A-2, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 2-A-3, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 2-A-8, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 2-A-9*, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 2-A-10, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 2-A-12, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 2-A-13*, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 2-A-14, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 2-A-15, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 2-A-16, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 2-A-18*, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 2-A-19, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 2-X*, Upgraded to Caa3 (sf); previously on Nov 29, 2017 Downgraded to Ca (sf) Cl. P-O, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2006-12XS Cl. A-3, Upgraded to Caa3 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2006-15XS Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 4, 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 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 27 Bonds from 8 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 27 bonds from eight 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: Fremont Home Loan Trust 2006-B Cl. 1-A, Upgraded to Caa2 (sf); previously on Apr 29, 2010 Downgraded to Ca (sf) Cl. 2-A-2, Upgraded to Caa1 (sf); previously on Nov 18, 2011 Downgraded to Ca (sf) Cl. SL-A, Upgraded to Ca (sf); previously on Jul 23, 2009 Downgraded to C (sf) Issuer: Fremont Home Loan Trust 2006-D Cl. 1-A1, Upgraded to Caa1 (sf); previously on Apr 29, 2010 Downgraded to Ca (sf) Cl. 2-A2, Upgraded to Caa3 (sf); previously on Apr 29, 2010 Downgraded to Ca (sf) Cl. 2-A3, Upgraded to Caa3 (sf); previously on Apr 29, 2010 Downgraded to Ca (sf) Cl. 2-A4, Upgraded to Caa3 (sf); previously on Apr 29, 2010 Downgraded to Ca (sf) Issuer: Fremont Home Loan Trust 2006-E Cl. 1-A1, Upgraded to Caa2 (sf); previously on Apr 29, 2010 Downgraded to Ca (sf) Cl. 2-A1, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. 2-A2, Upgraded to Caa3 (sf); previously on Apr 29, 2010 Downgraded to Ca (sf) Cl. 2-A3, Upgraded to Caa3 (sf); previously on Apr 29, 2010 Downgraded to Ca (sf) Cl. 2-A4, Upgraded to Caa3 (sf); previously on Apr 29, 2010 Downgraded to Ca (sf) Issuer: Soundview Home Loan Trust 2007-OPT5 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Jun 17, 2010 Downgraded to Caa3 (sf) Cl. II-A-2, Upgraded to Caa1 (sf); previously on Jun 17, 2010 Downgraded to Ca (sf) Cl. II-A-3, Upgraded to Caa2 (sf); previously on Jun 17, 2010 Downgraded to Ca (sf) Cl. X-1*, Upgraded to Caa1 (sf); previously on Jun 17, 2010 Downgraded to Caa3 (sf) Cl. X-2*, Upgraded to Caa2 (sf); previously on Oct 27, 2017 Confirmed at Ca (sf) Issuer: Washington Mutual Asset-Backed Certificates, WMABS Series 2006-HE4 Trust Cl. I-A, Upgraded to Caa1 (sf); previously on Jul 16, 2010 Downgraded to Ca (sf) Cl. II-A-2, Upgraded to Caa3 (sf); previously on Jul 16, 2010 Confirmed at Ca (sf) Issuer: Washington Mutual Asset-Backed Certificates, WMABS Series 2006-HE5 Trust Cl. I-A, Upgraded to Caa1 (sf); previously on Jul 16, 2010 Downgraded to Ca (sf) Cl. II-A-1, Upgraded to Caa1 (sf); previously on Jan 9, 2013 Downgraded to C (sf) Cl. II-A-2, Upgraded to Ca (sf); previously on Jul 16, 2010 Downgraded to C (sf) Cl. II-A-3, Upgraded to Ca (sf); previously on Jul 16, 2010 Downgraded to C (sf) Issuer: Washington Mutual Asset-Backed Certificates, WMABS Series 2007-HE1 Trust Cl. I-A, Upgraded to Caa1 (sf); previously on Jul 16, 2010 Downgraded to Ca (sf) Cl. II-A-1, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Issuer: Washington Mutual Asset-Backed Certificates, WMABS Series 2007-HE2 Trust Cl. I-A, Upgraded to Caa2 (sf); previously on Jul 16, 2010 Downgraded to Ca (sf) Cl. II-A-1, Upgraded to Caa1 (sf); previously on Jul 16, 2010 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 on the bonds. Each of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal 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 71 Bonds From 16 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 71 bonds from 16 US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by ACE Securities Corp. Home Equity Loan Trust. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: ACE Securities Corp. HEL Tr 2007-HE4 Cl. A-1, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP5 Cl. A-1A, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to Caa3 (sf) Cl. A-1B, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to Caa2 (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 Apr 14, 2010 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP6 Cl. A-1A, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to Caa3 (sf) Cl. A-1B, Upgraded to Caa1 (sf); previously on Apr 14, 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 Caa3 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM1 Cl. A-1, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Ca (sf); previously on Apr 19, 2013 Downgraded to C (sf) Cl. A-2C, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded to C (sf) Cl. A-2D, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded to C (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM2 Cl. A-1, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE3 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to Caa3 (sf) Cl. A-2B, Upgraded to Caa1 (sf); previously on Aug 2, 2012 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE4 Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 2, 2014 Downgraded to Ca (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Apr 16, 2013 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Cl. A-2C, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC2 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to Caa3 (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Sep 14, 2012 Downgraded to Caa3 (sf) Cl. A-2D, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded to C (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC3 Cl. A-1A, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Cl. A-1B, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Ca (sf); previously on Oct 10, 2013 Downgraded to C (sf) Cl. A-2C, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded to C (sf) Cl. A-2D, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded to C (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2007-ASAP1 Cl. A-1, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Downgraded to Caa3 (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE1 Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 2, 2014 Downgraded to Ca (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Apr 16, 2013 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE2 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to Caa3 (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Aug 2, 2012 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE3 Cl. A-1, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to C (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Downgraded to C (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Downgraded to C (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Downgraded to C (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE5 Cl. A-1, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Cl. A-2C, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2007-WM1 Cl. A-1, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Oct 2, 2014 Downgraded to C (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Oct 2, 2014 Downgraded to C (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Oct 2, 2014 Downgraded to C (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Oct 2, 2014 Downgraded to C (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2007-WM2 Cl. A-1, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Cl. A-2C, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Each of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal 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 Actions on 196 Classes From 41 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 196 classes from 41 U.S. RMBS transactions and seven U.S. RMBS re-securitized real estate mortgage investment conduits (re-REMIC) transactions issued between 2001 and 2010. The review yielded 81 affirmations, 22 downgrades, six discontinuances, and 87 withdrawals. A list of Affected Ratings can be viewed at: https://tinyurl.com/58ymfjxv Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both), and their potential effects on certain classes. Some of these considerations may include: -- Underlying collateral performance or delinquency trends; -- Available subordination and/or overcollateralization; -- Erosion of or increases in credit support; -- A small loan count; -- Historical and/or outstanding missed interest payments; and -- Reduced interest payments due to loan modifications. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, as well as the application of specific criteria applicable to these classes. "The rating affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "The downgrades due to interest shortfalls are consistent with our "S&P Global Ratings Definitions," Dec. 2, 2024, which imposes a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying our ratings definitions, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments (e.g., interest on interest) and if the missed interest payments will be repaid by the maturity date. "In instances where the class does receive additional compensation for outstanding interest shortfalls, our analysis considers the likelihood that the missed interest payments, including the capitalized interest, would be reimbursed under our various rating scenarios. Four classes from one transaction were affected in this review. "We withdrew our ratings on 84 classes from 23 transactions primarily due to the small number of loans remaining in the related underlying group or structure. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level. Additionally, we withdrew our ratings on two interest-only classes after applying our interest-only criteria, "Global Methodology for Rating Interest-Only Securities," April 15, 2010. We also withdrew our rating on one principal-only class after applying our principal-only criteria, "Methodology for Surveilling U.S. RMBS Principal-Only Strip Securities for Pre-2009 Originations," Oct. 11, 2016. "Lastly, we discontinued four ratings from four transactions that had observed interest shortfalls or missed interest payments during recent remittance periods. We had previously lowered our ratings on these classes to 'D (sf)'because of principal losses, accumulated interest shortfalls, missed interest payments, and/or credit-related reductions in interest due to loan modifications. 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Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The single-user TCR subscription rate is $1,400 for six months or $2,350 for twelve months, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each per half-year or $50 annually. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***