250622.mbx

250622.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 22, 2025, Vol. 29, No. 172 Headlines 1345 TRUST 2025-AOA: Moody's Assigns Ba2 Rating to Cl. E Certs ACACIA CDO 7: Moody's Hikes Rating on $231MM Class A Notes to Caa3 ACCESS GROUP 2004-2: Fitch Affirms 'CCCsf' Rating on Two Tranches AFFIRM MASTER 2025-2: DBRS Gives Prov. BB Rating on E Notes AIMCO CLO 24: Fitch Assigns 'BBsf' Rating on Class E Notes AMUR EQUIPMENT X: DBRS Confirms BB Rating on Class F Notes ANCHOR MORTGAGE 2025-RTL1: DBRS Finalizes B(low) Rating on M2 Notes ANTARES CLO 2023-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes APOGEM SRL 4: S&P Assigns 'BB- (sf)' Rating on Class B Loans ARES LIV CLO: S&P Lowers Class E Debt Rating to 'B+ (sf)' BACM 2017-BNK3: Fitch Affirms 'B-sf' Rating on Class F Certificates BATALLION CLO XXIX: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes BAYVIEW COMMERCIAL 2006-2: Moody's Ups Rating on M-5 Certs to B1 BCRED BSL CLO 2022-1: S&P Lowers Class E Notes Rating to 'B+ (sf)' BELLE HAVEN ABS: Moody's Upgrades Rating on 2 Tranches to Caa3 BENCHMARK 2019-B14: Fitch Lowers Rating on Class D Debt to 'B-sf' BENCHMARK 2022-B35: DBRS Cuts Class X-G Certs Rating to B BENCHMARK 2025-V15: Fitch Assigns 'B-sf' Final Rating on J-RR Certs BMO 2025-5C11: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches BMO 2025-C12: Fitch Assigns 'B-sf' Final Rating on Two Tranches CARLYLE US 2025-3: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes CARVANA AUTO 2025-P2: S&P Assigns BB+ (sf) Rating on Cl. N Notes CHASE AUTO 2025-1: Moody's Assigns (P)B3 Rating to Class F Notes CHASE HOME 2025-7: Fitch Assigns B-(EXP)sf) Rating on Cl. B-5 Certs CHESTNUT NOTES: DBRS Hikes Class C Notes Rating to BB CITIGROUP 2015-GC31: DBRS Cuts Rating on 2 Classes to D CITIGROUP 2016-C3: Fitch Lowers Rating on Two Tranches to 'B-sf' CLICKLEASE EQUIPMENT 2024-1: DBRS Confirms BB(low) on D Notes COLLEGIATE FUNDING 2005-B: Moody's Cuts Rating on Cl. B Notes to B1 COLT 2025-6: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs COMM 2015-LC19: DBRS Confirms B Rating on Class F Certs CROSSROADS ASSET 2025-A: DBRS Gives Prov. BB Rating on E Notes DAILYPAY SECURITIZATION 2025-1: DBRS Gives (P)BB Rating on D Notes DRYDEN 53 CLO: Moody's Cuts Rating on $22.5MM Class E Notes to B1 DWIGHT 2025-FL1: Fitch Assigns B-sf Final Rating on Three Tranches EFMT 2025-CES3: Fitch Assigns 'Bsf' Final Rating on Class B-2 Certs ELEMENT NOTES: DBRS Hikes Class C Notes Rating to BB ETRADE ABS III: Moody's Hikes Rating on Class A-2 Notes to Caa2 EXTENET ISSUER 2025-1: Fitch Gives BB-(EXP) Rating on C Notes FIGRE TRUST 2025-HE3: S&P Assigns B- (sf) Rating on Class F Notes FLATIRON CLO 23: Fitch Assigns 'BB+sf' Rating on Class E-R Notes GARNET CLO 2025-1: S&P Assigns Prelim BB- (sf) Rating on E Notes GCAT 2025-NQM3: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs GCAT TRUST 2025-INV2: Moody's Assigns B3 Rating to Cl. B-5 Certs GEMINI NOTES: DBRS Hikes Class C Notes Rating to BB GENERATE CLO 21: S&P Assigns Prelim BB- (sf) Rating on E Notes GFCM LLC 2003-1: Moody's Upgrades Rating on Cl. G Certs to B1 GREENACRE PARK: Fitch Assigns 'BB+sf' Rating on Class E-R Notes GREENACRE PARK: Moody's Gives B3 Rating to $200,000 F-R Notes GS MORTGAGE 2013-G1: DBRS Confirms BB Rating on DM Certs GS MORTGAGE 2025-NQM2: Fitch Assigns 'B(EXP)sf' Rating on B-2 Certs GS MORTGAGE 2025-NQM2: S&P Assigns BB (sf) Rating on Cl. B-2 Certs GS MORTGAGE 2025-PJ6: DBRS Gives Prov. B(low) Rating on B5 Notes HERTZ VEHICLE 2025-4: DBRS Gives Prov. BB Rating on D Notes HERTZ VEHICLE III: Moody's Assigns (P)Ba2 Rating to 2 Tranches HOMES 2025-AFC2: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes ILPT COMMERCIAL 2025-LPF2: Fitch Gives B-(EXP) Rating on HRR Certs IMSCI 2015-6: DBRS Confirms BB(low) Rating on G Certs JORDAN NOTES: DBRS Hikes Class C Notes Rating to BB JP MORGAN 2025-CCM3: DBRS Gives Prov. B(low) Rating on B5 Certs JP MORGAN 2025-CCM3: Moody's Assigns (P)B1 Rating to Cl. B-5 Certs KKR CLO 16: S&P Lowers Class D-R2 Notes Rating to 'B (sf)' KRR CLO 61: Fitch Assigns 'BB-sf' Rating on Class E Notes MADISON PARK LXXII: Fitch Assigns BB+(EXP)sf Rating on Cl. E Notes MADISON PARK XXIII: S&P Affirms B+ (sf) Rating on Class E Notes MAGNETITE XLIII: Fitch Assigns 'BB-sf' Rating on Class E Notes MAGNETITE XXXVI: Fitch Assigns 'BB-sf' Rating on Class E-R Notes MAGNETITE XXXVI: Moody's Gives B3 Rating to $250,000 F-R Notes MARBLE POINT XXIII: Moody's Cuts Rating on $15MM Cl. E Notes to B1 MORGAN STANLEY 2025-NQM4: DBRS Gives Prov. BB Rating on B-1 Certs MORGAN STANLEY 2025-NQM4: S&P Assigns Prelim B Rating on B-2 Certs N-STAR REL VI: Moody's Lowers Rating on Cl. K Notes to C NCMF TRUST 2025-MFS: Fitch Assigns B-sf Final Rating on Cl. F Certs OHA CREDIT 15-R: S&P Assigns BB- (sf) Rating on Class E Notes OWN EQUIPMENT II: DBRS Gives Prov. B(low) Rating on C Notes OZLM VI LTD: Moody's Affirms Ba3 Rating on $33MM Class D-S Notes PARK BLUE 2023-III: Moody's Assigns B3 Rating to $1MM Cl. F-R Notes PARLIAMENT FUNDING IV: DBRS Confirms BB(low) Rating on C Notes PIKES PEAK 14: Fitch Assigns 'BB-sf' Rating on Class E-R Notes PMT LOAN 2025-INV6: Moody's Assigns B3 Rating to Cl. B-5 Certs PMT LOAN 2025-J1: Moody's Assigns (P)Ba2 Rating to Cl. B-5 Certs PPM CLO 2: S&P Lowers Class E-R Notes Rating to 'B+ (sf)' PRESTIGE AUTO 2024-1: S&P Affirms BB- (sf) Rating on Class E Notes PRET TRUST 2025-RPL3: Moody's Assigns B2 Rating to Cl. B-2 Certs PRM TRUST 2025-PRM6: Fitch Assigns B-(EXP) Rating on Cl. HRR Certs PROVIDENT FUNDING 2025-2: Moody's Assigns B1 Rating to B-5 Certs RATE MORTGAGE 2025-J2: DBRS Gives Prov. B(low) Rating on B5 Notes RATE MORTGAGE 2025-J2: Moody's Assigns (P)B3 Rating to B-5 Certs REALT 2015-1: DBRS Confirms B Rating on Class G Certs REGATTA 33: Fitch Assigns 'BB-sf' Rating on Class E Notes REGATTA 34: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes RIPPLE NOTES: DBRS Hikes Class C Notes Rating to BB RR 40: S&P Assigns Preliminary BB- (sf) Rating on Class D Notes SANTANDER 2025-NQM3: S&P Assigns Prelim B (sf) Rating on B-2 Notes SARANAC CLO VII: Moody's Cuts Rating on $19MM Class E-R Notes to C SARANAC CLO VII: Moody's Lowers Rating on Class E-R Notes to C SBNA AUTO 2025-SF1: Fitch Gives 'B(EXP)sf' Rating on Class F Notes SIXTH STREET 29: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes SLM STUDENT 2010-1: S&P Raises Class B Notes Rating to 'CCC (sf)' TIDAL NOTES: DBRS Hikes Class C Notes Rating to BB TRESTLES CLO VIII: Fitch Assigns 'B-sf' Rating on Class F Notes TRICOLOR AUTO 2025-2: S&P Assigns B (sf) Rating on Class F Certs VARICK STRUCTURED: Moody's Hikes Rating on 2 Tranches to Caa1 VELOCITY COMMERCIAL 2025-3: DBRS Finalizes B Rating on 2 Classes VENTURE XIV CLO: Moody's Cuts Rating on $31.75MM E-R Notes to Ca VERUS SECURITIZATION 2025-5: S&P Assigns 'B+' Rating on B-2 Notes WELLS FARGO 2015-C28: DBRS Confirms C Rating on Class F Certs WELLS FARGO 2015-NXS1: DBRS Confirms BB Rating on X-E Certs WELLS FARGO 2017-RB1: Fitch Lowers Rating on Four Tranches to CCsf WHARF COMMERCIAL 2025-DC: DBRS Gives (P) BB(low) Rating on E Certs WHARF COMMERCIAL 2025-DC: Fitch Gives B(EXP)sf Rating on HRR Certs [] DBRS Hikes 3 Credit Ratings on 4 GLS Auto Issuer Trust [] DBRS Reviews 96 Classes in 13 US RMBS Transactions [] Moody's Takes Rating Action on 29 Bonds From 10 US RMBS Deals [] Moody's Takes Rating Action on 31 Bonds from 9 US RMBS Deals [] Moody's Takes Rating Action on 46 Bonds from 16 US RMBS Deals [] Moody's Takes Rating Action on 49 Bonds from 11 US RMBS Deals [] Moody's Takes Rating Actions on 6 Bonds from 2 US RMBS Deals [] Moody's Upgrades Ratings on 10 Bonds from 4 US RMBS Deals [] Moody's Upgrades Ratings on 11 Bonds from 3 US RMBS Deals [] Moody's Upgrades Ratings on 20 Bonds from 3 US RMBS Deals [] Moody's Upgrades Ratings on 21 Bonds from 3 US RMBS Deals [] Moody's Upgrades Ratings on 23 Bonds from 7 US RMBS Deals [] Moody's Upgrades Ratings on 25 Bonds from 5 US RMBS Deals [] Moody's Upgrades Ratings on 69 Bonds from 13 US RMBS Deals [] S&P Takes Various Actions on 187 Classes From 72 US RMBS Deals ********* 1345 TRUST 2025-AOA: Moody's Assigns Ba2 Rating to Cl. E Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to five classes of CMBS securities, issued by 1345 Trust 2025-AOA, Commercial Mortgage Pass-Through Certificates, Series 2025-AOA: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien commercial mortgage on the fee and leasehold interests in 1345 Avenue of the Americas (the "Property"). The Property is a 2,010,352 SF, 50-story, Class A office tower located in the Midtown Manhattan neighborhood of New York, NY. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. 1345 Avenue of the Americas is a 50-story, Class A office tower located in the heart of Midtown Manhattan. It encompasses 2,010,352 SF and is situated on Sixth Avenue between 54th and 55th Street, four blocks south of Central Park. The Property was developed in 1969, designed by Emery Roth & Sons, is LEED Silver certified, and has average floorplates of approximately 40,000 SF with Central Park views from upper floors. As of June 01, 2025, the Property is approximately 92.1% leased inclusive of a recent agreement executed with the largest tenant, Paul Weiss (765,956 SF, 38.1% of NRA, 43.3% of total rent). Their lease is anticipated to commence in August 2025. No other tenant accounts for more than 9.4% of NRA or 12.8% of total rent. The Property includes approximately 1,960,776 SF of office space, approximately 26,335 SF of restaurant and retail space, approximately 21,715 SF of ballroom space and approximately 1,525 SF of storage space. The ballroom space is the historic Ziegfield Ballroom, which also opened in 1969, and offers a column-free space that can accommodate over 1,300 guests for a wide range of events. The Property received approximately $97 million ($48 PSF) in capital expenditures between 2018 and 2024. Major renovations and improvements included a $45 million redesigned lobby with upgraded elevators in 2018/19, a $19 million 20,000 SF David Rockwell designed amenity center with fitness facility in 2020, and a $20 million reimagined outdoor plaza in 2021. The outdoor plaza, Fisher Park, is a public space with seating, plantings and art installations. The Property's amenity offering is driven by the recently added David Rockwell designed basement space which includes the fitness facility, a tenant lounge with grab-and-go café and a conference center. The Property benefits from a central location with three subway stations within two blocks, collectively offering access to B, D, E, F, N, Q, R and W MTA subway lines. In addition, the Property features 202 spaces in an on-site parking garage. The Property is subject to a ground lease between the borrowers, and the borrowers will have the right to collapse the ground lease in the loan documents. The whole loan is comprised of nine pari passu notes with an aggregate maximum principal balance of $850,000,000. Three notes with an aggregate outstanding balance of $650,000,000 will be assets of the trust. The remaining notes with an aggregate closing date principal balance of $0 and a maximum principal balance of $200,000,000 (the companion future funding loans) will be retained by Morgan Stanley Bank, N.A., Citibank, N.A. and JPMorgan Chase Bank, National Association. The companion future funding loans will be pari passu in right of payment with the trust notes, but will not be assets of the trust. The purpose of the companion future funding loans is to fund the first $200 million of outstanding landlord obligations. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.26X and Moody's first mortgage actual stressed DSCR is 0.90X. Moody's DSCR is based on Moody's stabilized net cash flow. The fully funded whole loan first mortgage balance of $850,000,000 represents a Moody's LTV ratio of 96.5% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 91.6%, compared to 91.0% in place at Moody's provisional ratings, based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The property's overall quality grade is 0.50. Notable strengths of the transaction include: superior asset quality, location and accessibility, institutional tenancy, recent leasing activity, limited rollover, and experienced sponsorship. Notable concerns of the transaction include: soft market fundamentals, above market rents, tenant concentration, tenant termination options, floating rate, interest-only mortgage loan profile and certain credit negative legal features. 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 approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. 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 may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. ACACIA CDO 7: Moody's Hikes Rating on $231MM Class A Notes to Caa3 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on notes issued by Acacia CDO 7, Ltd.: US$231,700,000 Class A Notes due 2045 (current balance of $58,937,607), Upgraded to Caa3 (sf); previously on Jun 25, 2010 Downgraded to Ca (sf) Acacia CDO 7, Ltd., issued in March 2005, is a collateralized debt obligation backed primarily by a portfolio of structured finance assets. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating action reflects the current level of credit enhancement available to the notes, 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. The notes have either incurred a missed interest payment or is currently undercollateralized. Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original notes balance. No actions were taken on the other rated classes in the deal 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. Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in July 2024. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the 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. Certain deal features and their characteristics, such as amortization profile assumptions, and waterfall features can also influence the rating outcomes. ACCESS GROUP 2004-2: Fitch Affirms 'CCCsf' Rating on Two Tranches ----------------------------------------------------------------- Fitch Ratings has taken various rating actions on the outstanding notes of Access Funding 2013-1 LLC, Access Funding 2015-1 LLC, and Access Group, Inc. 2004-2 Indenture of Trust. All ratings were affirmed at their current levels with unchanged Rating Outlooks. The one exception is the senior A-4 class notes of Access 2004-2, which have been upgraded to 'BBBsf' from 'BBsf' and assigned a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Access Group, Inc. - Federal Student Loan Notes, Series 2004-2 A-4 00432CBX8 LT BBBsf Upgrade BBsf A-5 00432CBY6 LT CCCsf Affirmed CCCsf B 00432CBZ3 LT CCCsf Affirmed CCCsf Access Funding 2013-1 LLC A 00434QAA6 LT AAsf Affirmed AAsf Access Funding 2015-1 LLC A 00435TAA9 LT AA+sf Affirmed AA+sf B 00435TAB7 LT AAsf Affirmed AAsf Transaction Summary Access Funding 2013-1 Senior class A notes have been affirmed at 'AAsf'/Stable, given observed performance stability and a consistent observed increase in total parity ratio. The remaining term has slightly increased since last review, while final legal maturity is on Feb. 25, 2036. Access Funding 2015-1 Senior class A notes have been affirmed at 'AA+sf'/Stable, while class B notes have been affirmed at 'AAsf'/Stable. Portfolio performance continues to show adequate stability since Fitch's last review. The remaining term has slightly increased since its last review, while final legal maturities are on July 25, 2056 and 2058, respectively. Access Group 2004-2 Class A-4 notes have been upgraded to 'BBBsf'/Stable from 'BBsf'/Stable. The notes pass maturity stresses up to 'AAsf' and all credit stresses. Performance has remained stable since its last review, with low maturity risk and sufficient credit enhancement. Class A-5 and B notes have been affirmed at 'CCCsf', commensurate with cash flow modeling results. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AA+'/Stable. Collateral Performance: For Access Group 2004-2, Fitch applied the standard default timing curve in its credit stress cash flow analysis. In addition, loan consolidation activity stemming from the Public Service Loan Forgiveness Program waiver, which ended in October 2022, drove the short-term inflation of constant prepayment rates (CPR). Voluntary prepayments are expected to return to historical levels. The claim reject rate was assumed to be 0.25% in the base case and 2.00% in the 'AA+' case for cash flow modeling. Fitch has maintained the sustainable constant default rates (sCDRs) for the following transactions: - Access Funding 2013-1 maintained at 3.0%; - Access Funding 2015-1 maintained at 2.5%; - Access Group 2004-2 maintained at 2.0%. Fitch has revised or maintained the sustainable constant prepayment rates (sCPRs) for the following transactions: - Access Funding 2013-1 maintained at 17.0%; - Access Funding 2015-1 maintained at 16.0%; - Access Group 2004-2 revised to 7.0% from 6.25%. For the modeled transaction (Access Group 2004-2) the 'AA+sf' default rate is 26.81%, and for 'Bsf' the default rate is 9.75%. Access Funding 2013-1 As of March 2025, the 31-60DPD decreased to 3.51% from 4.31% in March 2024, while 91-120 DPD slightly decreased to 0.80% from 0.84%. TTM levels of deferment and forbearance reached 2.45% (2.37% in March 2024) and 6.05% (6.84%). Access Funding 2015-1 As of March 2025, the 31-60DPD decreased to 2.00% from 2.89% in March 2024, while 91-120 DPD slightly increased to 1.12% from 0.60%. TTM levels of deferment, forbearance and income-based repayments (IBR) reached 2.12% (3.06%), 4.43% (4.84%) and 45.11% (48.65%). Access Group 2004-2 As of March 2025, the 31-60DPD decreased to 1.88% from 2.69% in March 2024, while 91-120 DPD slightly increased to 0.52% from 0.42%. TTM levels of deferment and forbearance reached 0.48% (0.63%) and 2.35% (2.24%). Subsequent declines or increases are modeled as per criteria. Fitch applies the standard default timing curve. The claim reject rate is assumed to be 0.25% in the base case and 1.65% in the 'AA' case. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the end of the most recent collection period, all trust student loans are indexed to either 91-day T-bills or 30-day Average SOFR plus spread adjustment (SA) and all notes are indexed to either 30-day or 90-day SOFR plus SA. Payment Structure: Credit enhancement (CE) is provided by excess spread, and the class A notes benefit from subordination provided by the class B notes. As of the last reporting date, 2013-1 reports a total parity of 290.07% and no excess cash can be released until all notes are paid in full. For 2004-2 and 2015-1, these are releasing excess cash as the parity of 101% is maintained for 2004-2 and the specified overcollateralization amount of the greater of 2.25% of the pool balance and $1,070,000 is maintained for 2015-1. Liquidity support is provided by reserve accounts sized at $398,785, $303,814 and $1,151,208 million, for 2013-1, 2015-1 and 2004-2, respectively. Operational Capabilities: Day-to-day servicing is provided by Nelnet, Inc., which Fitch believes to be an acceptable servicer of student loans due to its long servicing history. CRITERIA VARIATION Access Group 2004-2 The rating for class A-4 of 2004-2 is more than one category lower than the lowest model implied rating of 'AAsf'. As noted in the FFELP criteria, if the final ratings are different from the model results by more than one rating category, it would constitute a criteria variation. Fitch did not upgrade the note as cash flow modeling under the higher rating maturity stresses indicate that the note is paid in full a quarter before or on the legal final maturity date for ratings of 'BBB' through 'AA'. This limited margin of safety, full repayment just before or on the repayment date, was not considered commensurate with those ratings. If Fitch did not apply this variation, the notes could have been upgraded to 'AAsf'. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for most of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below 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. Access 2013-1 Downgrade sensitivities were not considered as cash flow modeling was not completed for this review. Access 2015-1 Downgrade sensitivities were not considered as cash flow modeling was not completed for this review. Access 2004-2 Current Rating: Class A 'BBBsf'; Class A-5 and Class B 'CCCsf' Credit Stress Rating Sensitivity - Default increase 25%: class A-4 'BBBsf'; class A-5 'CCCsf'; class B 'CCCsf'; - Default increase 50%: class A-4 'BBBsf'; class A-5 'CCCsf'; class B 'CCCsf'; - Basis Spread increase 0.25%: class A-4 'BBBsf'; class A-5 'CCCsf'; class B 'CCCsf'; - Basis Spread increase 0.50%: class A-4 'BBBsf'; class A-5 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A-4 'BBBsf'; class A-5 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A-4 'Bsf'; class A-5 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 25%: class A-4 'BBBsf'; class A-5 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 50%: class A-4 'Bsf'; class A-5 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 25%: class A-4 'CCCsf'; class A-5 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A-4 'CCCsf'; class A-5 'CCCsf'; class B 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Access 2013-1 Upgrade sensitivities were not considered as cash flow modeling was not required for this review. Access 2015-1 Upgrade sensitivities were not considered as cash flow modeling was not required for this review. Access 2004-2 Credit Stress Rating Sensitivity - Default decrease 25%: class A-4 'AAsf'; class A-5 'CCCsf'; class B 'CCCsf'; - Default decrease 50%: class A-4 'AAsf'; class A-5 'CCCsf'; class B 'CCCsf'; - Basis Spread decrease 0.25%: class A-4 'AAsf'; class A-5 'CCCsf'; class B 'CCCsf'; - Basis Spread decrease 0.50%: class A-4 'AAsf'; class A-5 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class A-4 'AA+sf'; A-5 'CCCsf'; class B 'CCCsf'; - CPR increase 50%: class A-4 'AA+sf'; A-5 'CCCsf'; class B 'CCCsf'; - IBR Usage decrease 25%: class A-4 'AAsf'; class A-5 'CCCsf'; class B 'CCCsf'; - IBR Usage decrease 50%: class A-4 'AA+sf'; class A-5 'CCCsf'; class B 'CCCsf'; - Remaining Term decrease 25%: class A-4 'AA+sf'; class A-5 'CCCsf'; class B 'CCCsf'; - Remaining Term decrease 50%: class A-4 'AA+sf'; class A-5 'CCCsf'; class B 'CCCsf'. CRITERIA VARIATION Rating for class A-4 of 2004-2 is more than one category lower than the lowest model implied rating of 'AAsf'. If final ratings are different from the model results by more than one rating category, it would constitute a criteria variation according to criteria. Fitch did not upgrade the note as cash flow modeling under the higher rating maturity stresses indicate that the note is paid in full a quarter before or on the legal final maturity date for ratings of 'BBB' through 'AA'. This limited margin of safety, full repayment just before or on the repayment date, was not considered commensurate with those ratings. If Fitch did not apply this variation, the notes could have been upgraded to 'AAsf'. 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. AFFIRM MASTER 2025-2: DBRS Gives Prov. BB Rating on E Notes ----------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following notes to be issued by Affirm Master Trust Series 2025-2 (AFRMT 2025-2): -- $373,000,000 Class A Notes at (P) AAA (sf) -- $32,400,000 Class B Notes at (P) AA (high) (sf) -- $32,900,000 Class C Notes at (P) A (high) (sf) -- $25,700,000 Class D Notes at (P) BBB (high) (sf) -- $36,000,000 Class E Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION (1) The transaction's form and sufficiency of available credit enhancement. -- Subordination, overcollateralization, amounts held in the Reserve Account, and excess spread create credit enhancement levels that are commensurate with the proposed credit ratings. -- Transaction cash flows are sufficient to repay investors under all (P) AAA (sf), (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), and (P) BB (sf) stress scenarios in accordance with the terms of the AFRMT 2025-2 transaction documents. (2) Inclusion of structural elements featured in the transaction such as the following: -- Eligibility criteria for Group 1 Receivables (Series 2025-2 Eligible Receivables) that are permissible in the transaction. -- Concentration limits for AFRMT 2025-2 designed to maintain a consistent profile of the receivables in the pool. -- Performance-based Amortization Events that, when breached, will end the Revolving Period and begin amortization. (3) 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. (4) The experience, sourcing, and servicing capabilities of Affirm, Inc. (5) The experience, underwriting, and origination capabilities of Affirm Loan Services LLC (ALS), Cross River Bank (CRB), Celtic Bank, and Lead Bank. (6) The ability of Nelnet Servicing, LLC to perform duties as a Backup Servicer. (7) The annual percentage rate charged on the loans and CRB, Celtic Bank, and Lead Bank's status as the true lenders. -- All loans in the initial pool included in AFRMT 2025-2 are originated by Affirm through its subsidiary ALS or by originating banks, CRB, Celtic Bank, and Lead Bank, New Jersey, Utah, and Missouri, respectively, state-chartered FDIC-insured banks. -- Loans originated by ALS utilize state licenses and registrations and interest rates are within each state's respective usury cap. -- Loans originated by CRB are all within the New Jersey state usury limit of 30.00%. -- Loans originated by Celtic Bank are all within the Utah state usury limit of 36.00%. -- Loans originated by Lead Bank are originated below 36.00%. -- Loans may be in excess of individual state usury laws; however, CRB, Celtic Bank, and Lead Bank as the true lenders are able to export rates that preempt state usury rate caps. -- The Series 2025-2 Eligible Receivables includes loans made to borrowers in New York that have Contract Rates below the usury threshold. -- The Series 2025-2 Eligible Receivables includes loans made to borrowers in Maine that have Contract Rates below the usury threshold. -- Affirm has obtained a supervised lending license from Colorado, permitting ALS to facilitate supervised loans in excess of the Colorado annual rate cap, complying with Assurance of Discontinuance's (AOD's) safe harbor. If the loan was originated in Colorado, the loan has a Contract Rate less than or equal to 12% if the loan was originated by CRB, Celtic Bank, or Lead Bank. -- Loans originated to borrowers in Connecticut with a Contract Rate above 12% will be ineligible to be included in the Series 2025-2 Eligible Receivables to be transferred to the Trust. Inclusion of these Receivables will be subject to Rating Agency Condition. -- Under the loan sale agreement, Affirm is obligated to repurchase any loan if there is a breach of representation and warranty that materially and adversely affects the interests of the purchaser. (8) The legal structure and expected legal opinions that will address the true sale of the unsecured consumer loans, the nonconsolidation of the Trust, and that the Trust has a valid perfected security interest in the assets and consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Distribution Amount and the related Note Balance. Notes: All figures are in US dollars unless otherwise noted. AIMCO CLO 24: Fitch Assigns 'BBsf' Rating on Class E Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AIMCO CLO 24, Ltd. Entity/Debt Rating Prior ----------- ------ ----- AIMCO CLO 24, Ltd. A-1 LT NRsf New Rating NR(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 Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BBsf New Rating BB(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary AIMCO CLO 24, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Allstate Investment Management Company. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. Fitch deviated from the model-implied rating (MIR) of 'BB-sf' for the class E notes. Fitch assigned a 'BBsf' rating to this class. Since the expected ratings were assigned, there have not been any material changes to the portfolio or the structure, and the default cushion shortfall in one of the rating stress scenarios was thus deemed immaterial. 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 98.87% first-lien senior secured loans and has a weighted average recovery assumption of 74.66%. 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 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, and between less than 'B-sf' and 'BB+sf' for class D and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, and 'Asf' for class D and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for AIMCO CLO 24, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, 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. AMUR EQUIPMENT X: DBRS Confirms BB Rating on Class F Notes ---------------------------------------------------------- DBRS, Inc. upgraded five credit ratings and confirmed seven credit ratings across two Amur Equipment Finance Transactions. Amur Equipment Finance Receivables X LLC -- Series 2022-1, Class A-2 Notes AAA (sf) Confirmed -- Series 2022-1, Class B Notes AAA (sf) Confirmed -- Series 2022-1, Class C Notes AAA (sf) Upgraded -- Series 2022-1, Class D Notes AA (sf) Upgraded -- Series 2022-1, Class E Notes BBB (high) (sf) Upgraded -- Series 2022-1, Class F Notes BB (sf) Confirmed Amur Equipment Finance Receivables XI LLC -- Series 2022-2, Class A-2 Notes AAA (sf) Confirmed -- Series 2022-2, Class B Notes AAA (sf) Upgraded -- Series 2022-2, Class C Notes AA (sf) Upgraded -- Series 2022-2, Class D Notes BBB (sf) Confirmed -- Series 2022-2, Class E Notes BB (sf) Confirmed -- Series 2022-2, Class F Notes B (sf) Confirmed The credit rating actions are based on the following analytical considerations: -- Amur Equipment Finance Receivables X LLC, Series 2022-1 has amortized to a pool factor of 20.05% and has a current cumulative net loss (CNL) to date of 5.25%. Despite losses tracking slightly above Morningstar DBRS' initial base case CNL expectation of 4.85%, available hard credit enhancement (CE) has grown across all tranches, sufficient to support a revised projected remaining CNL assumption at a multiple coverage commensurate with the credit ratings. Class A-2, B, C, D, and E Notes have benefited from deleveraging and their available CE has grown significantly relative to closing, sufficient to support a revised Morningstar DBRS projected remaining CNL assumption at a multiple above their current rating category range. Morningstar DBRS has confirmed and upgraded credit ratings on these classes. Although Class F Notes have also shown considerable growth in CE, given it is the most subordinate tranche, Morningstar DBRS has confirmed its credit rating. -- Amur Equipment Finance Receivables XI LLC, Series 2022-2 has amortized to a pool factor of 35.29% and has a current CNL to date of 6.60%. Losses are tracking above Morningstar DBRS' initial base case CNL expectation of 4.25%. Given the speed at which losses have come in in the past year and delinquencies remain at elevated levels with high roll rates, Morningstar DBRS has raised the projected CNL assumption for this transaction. Higher losses are primarily driven by exposure to the transportation industry, which has been under stress in recent years and may remain stressed in the near term. The current overcollateralization (OC) amount is 5.32%, below the target of 8.50% of the outstanding receivables balance and lower than the initial OC of 7.05%. Despite that, the Class F, E, and D Notes still have enough CE to support the revised CNL assumption commensurate with their current credit ratings. Therefore, Morningstar DBRS has confirmed the credit ratings on these classes. Class A-2, B and C Notes have benefited from deleveraging and their available CE has grown higher than CE at closing, sufficient to support the revised Morningstar DBRS projected remaining CNL assumption at a multiple above their current rating category range. Therefore, Morningstar DBRS has confirmed and upgraded credit ratings on these classes. -- The relative benefit from obligor and geographic diversification of collateral pools. -- The transaction 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: All figures are in US dollars unless otherwise noted. ANCHOR MORTGAGE 2025-RTL1: DBRS Finalizes B(low) Rating on M2 Notes ------------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RTL1 (the Notes) issued by Anchor Mortgage Trust 2025-RTL1 (the Issuer) as follows: -- $183.4 million Class A1 at A (low) (sf) -- $17.0 million Class A2 at BBB (low) (sf) -- $19.0 million Class M1 at BB (low) (sf) -- $18.1 million Class M2 at B (low) (sf) The A (low) (sf) credit rating reflects 26.65% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 19.85%, 12.25%, and 5.00% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a two-year revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Mortgage-Backed Notes, Series 2025-RTL1 (the Notes). As of the Initial Cut-Off Date, the Notes are backed by -- 191 mortgage loans with a total unpaid principal balance (UPB) of approximately $227,610,880 -- Approximately $22,389,120 in the Accumulation Account. -- Approximately $1,227,683 in the Pre-funding Interest Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. ANCHR 2025-RTL1 represents the 3rd RTL securitization issued from the ANCHR shelf. Founded in 1998 and headquartered in Thousand Oaks, California, Anchor Loans is a business purpose lender that provides financing to primarily experienced real estate investors engaged in acquiring, rehabilitating, and either reselling or holding for investment purposes residential properties. The revolving portfolio consists of first-lien, fixed-rate, interest-only (IO) balloon RTL with original terms to maturity primarily of 12 to 24 months. The loans may include extension options, which can lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include -- A minimum non-zero weighted-average (NZ WA) FICO score of 735. -- A maximum NZ WA Loan-to-Cost (LTC) ratio of 87.5%. -- A maximum NZ WA As Is Loan-to-Value (AIV LTV) ratio of 75.0%. -- A maximum NZ WA As Repaired Loan-to-Value (ARV LTV) ratio of 70.0%. RTL FEATURES RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or multifamily 5+ and mixed-use properties (the latter is limited to 5.0% of the revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Asset Manager. In the ANCHR 2025-RTL1 revolving portfolio, RTLs may be (1) Fully funded -- With no obligation of further advances to the borrower, -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction draw requests upon the satisfaction of certain conditions, or -- With a portion of the loan proceeds held back by the Servicers for future disbursement to fund interest draw requests upon the satisfaction of certain conditions. (2) Partially funded -- With a commitment to fund borrower-requested draws for approved rehab, construction, or repairs of the property (Rehabilitation Disbursement Requests) upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the ANCHR 2025-RTL1 eligibility criteria, unfunded commitments are limited to 60.0% of the portfolio by the assets of the issuer (UPB plus amounts in the Accumulation Account). CASH FLOW STRUCTURE AND DRAW FUNDING The transaction employs a sequential-pay cash flow structure. During the reinvestment period, the Notes will generally be IO. After the reinvestment period, principal will be applied to pay down the Notes, sequentially. If the Issuer does not redeem the Notes by the payment date in November 2027, the Class A1 and A2 fixed rates will step up by 1.000% the following month. There will be no advancing of delinquent (DQ) interest on any mortgage by the Servicers or any other party to the transaction. However, the Servicers are obligated to fund Servicing Advances, which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The Servicers will be entitled to reimbursements for Servicing Advances from available funds prior to any payments on the Notes. The Servicers will satisfy Disbursement Requests by (1) directing release of funds from the Rehab Escrow Account to the applicable borrower for loans with funded commitments; or (2) for loans with unfunded commitments, (a) advancing funds on behalf of the Issuer (Rehabilitation Advances) or (b) directing the release of funds from the Accumulation Account. The Servicers will be entitled to reimbursements for Rehabilitation Advances from the Accumulation Account. The Accumulation Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the reinvestment period, amounts held in the Accumulation Account, along with the mortgage collateral, must be sufficient to maintain a minimum credit enhancement (CE) of approximately 5.00% to the most subordinate rated class. The structure maintains this CE through a Maximum Effective Advance Rate Test, which if breached, redirects available funds to pay down the Notes, sequentially, prior to replenishing the Accumulation Account. The transaction also employs the Expense Reserve Account, which will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. A Pre-funding Interest Account is in place for the first two months of the securitization to help cover one month of interest payment to the Notes. Such account is funded upfront in an amount equal to $1,227,683. On the payment dates occurring in June and July 2025, the Paying Agent will withdraw a specified amount to be included in the available funds. Historically, Anchor Loans RTL originations have generated robust mortgage repayments, which have exceeded unfunded commitments within the same portfolio. In the RTL space, because of the lack of amortization and the short term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated Anchor Loans' historical mortgage repayments relative to draw commitments and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of this report for more details. OTHER TRANSACTION FEATURES Optional Redemption On any date on or after the Payment Date in June 2027, the Issuer, at its option, may purchase all of the outstanding Notes at the par plus interest and fees. Depositor Repurchase Option The Depositor will have the option to repurchase any DQ or defaulted mortgage loan at the Repurchase Price, which is equal to par plus interest and fees. However, such voluntary repurchases may not exceed 10.0% of the cumulative UPB of the mortgage loans. During the reinvestment period, if the Depositor repurchases DQ or defaulted loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ or default trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. LOAN SALES The Issuer may sell a mortgage loan under the following circumstances: -- The Sponsor is required to repurchase a loan because of a material breach, a material diligence defect, or a material document defect -- The Depositor elects to exercise its Repurchase Option -- An optional redemption occurs. U.S. CREDIT RISK RETENTION As the Sponsor, RCHF REIT, through a majority-owned affiliate, will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities (the Class XS Notes) to satisfy the credit risk retention requirements. NATURAL DISASTERS/WILDFIRES The pool contains loans secured by mortgage properties that are located within certain disaster areas (such as those impacted by the Greater Los Angeles wildfires). Although many RTL have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicers follow a standard protocol, which includes a review of the impacted area, borrower outreach if necessary, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with R&W specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. NOTES: All figures are in U.S. dollars unless otherwise noted. ANTARES CLO 2023-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement debt from Antares CLO 2023-1 Ltd./Antares CLO 2023-1 LLC, a CLO originally issued in March 2023 that is managed by Antares Capital Advisers LLC, a subsidiary of Antares Holdings L.P. The preliminary ratings are based on information as of June 12, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 10, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. At that time, S&P expects to withdraw its ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, S&P may affirm its ratings on the original debt and withdraw its preliminary ratings on the replacement debt. The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R, B-R, C-R, D-R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the original debt. -- New class A-2-R debt will be issued on the refinancing date, and class B-R will be comprised solely of notes. -- The non-call period will be extended to July 10, 2027. -- The reinvestment period will be extended to July 25, 2029. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to July 25, 2037. -- $500 million in additional assets will be purchased on the refinancing date, and the target initial par amount will increase to $1 billion. There will be an additional ramp-up period and effective date, and the first payment date following the refinancing will be Oct. 25, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- $57.01 million in additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Antares CLO 2023-1 Ltd./Antares CLO 2023-1 LLC Class A-1-R, $545.0 million: AAA (sf) Class A-2-R, $75.0 million: AAA (sf) Class B-R, $75.00 million: AA (sf) Class C-R (deferrable), $70.0 million: A (sf) Class D-R (deferrable), $55.0 million: BBB- (sf) Class E-R (deferrable), $60.0 million: BB- (sf) Other Outstanding Debt Antares CLO 2023-1 Ltd./Antares CLO 2023-1 LLC Subordinated notes, $114.6 million: Not rated APOGEM SRL 4: S&P Assigns 'BB- (sf)' Rating on Class B Loans ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Apogem SRL 4 LLC's floating-rate debt. The debt issuance is a $100 million middle market loan facility managed by Apogem Capital LLC, a wholly owned subsidiary of New York Life that was formed through the combination of Madison Capital Funding, GoldPoint Partners, and PA Capital. The ratings reflect S&P's view of: -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The coverage tests, which consider S&P Global Ratings' criteria as it relates to the required level of credit support. -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Apogem SRL 4 LLC Class A loans, $72.50 million: A- (sf) Class B loans (deferrable), $15.00 million: BB- (sf) Subordinated loans, $12.50 million: Not rated ARES LIV CLO: S&P Lowers Class E Debt Rating to 'B+ (sf)' --------------------------------------------------------- S&P Global Ratings raised its rating on the class B-R debt from Ares LIV CLO Ltd. At the same time, S&P lowered its rating on the class E debt and removed it from CreditWatch Negative. S&P also affirmed its ratings on the class A-R, C-R, and D-R debt. The rating actions follow its review of the transaction's performance using data from the May 2025 trustee report. Although the same portfolio backs all of 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. Since S&P's rating actions in May 2024, the transaction exited its reinvestment period in October 2024 and has paid down $54.38 million to the class A-R debt. The reported overcollateralization (O/C) ratios changed since the April 2024 trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 134.83% from 129.13%. -- The class C O/C ratio improved to 123.01% from 119.68%. -- The class D O/C ratio improved to 113.85% from 112.16%. -- The class E O/C ratio improved to 107.32% from 106.68%. The upgraded rating on the class B-R debt reflects the improved credit support available to the debt at the prior rating levels primarily due the senior note paydowns. The affirmed ratings for the class A-R, C-R and D-R debt reflect adequate credit support at the current rating levels. S&P said, "Though our cash flow analysis indicates the potential for a higher rating for the class C-R debt, we believe that its subordinated position may result in a greater likelihood of credit migration than that of more senior classes in the event of portfolio volatility. The transaction has exposure to 'CCC' collateral obligations, as well as to some assets with low market values. The affirmation of the class C-R debt ratings reflects our consideration of the credit enhancement available for this class under additional sensitivity analyses that evaluated these exposures." Although all O/C ratios improved and the collateral portfolio credit quality remained relatively stable, the trustee reported weighted average recovery rate (WARR) and weighted average spread (WAS) declined during the same period: -- The 'AAA' WARR decreased to 39.02 from 40.16. -- The WAS decreased to 3.31% from 3.66%. This, combined with par losses that occurred over time, affected the cash flows of the junior tranches, which are lower in the capital structure and hence more sensitive to such changes as the portfolio amortizes. On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class D-R debt than the rating action reflects. However, S&P affirmed the rating on class D-R after considering the margin of failure, credit enhancement, and expectation that continued paydowns to the senior debt may further improve the O/C ratio and cash flow results. The lowered rating on the class E debt reflects the failing results of the cash flow analysis at its prior rating. S&P said, "At the time of our previous rating action in May 2024, our cash flow analysis indicated the class E debt passed at the 'BB- (sf)' level, although the cushion between its breakeven default rate (BDR) and scenario default rate (SDR) was relatively small. While paydowns on the senior tranche improved O/C ratios, the impact of declining WAS and WARR, along with some par losses, has more than offset the benefits of the paydowns at the class E level and eroded the cushion between the BDR and SDR." S&P said, "Though cash flows point to a lower rating on the class E debt than the rating action reflects, we limited the downgrade to one notch at this time after considering its credit enhancement, the potential of the O/C ratio to increase following more paydowns, and the CLO's moderate exposure to 'CCC' category rated assets. However, any increase in defaults or par losses could lead to potential negative rating actions in the future. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." Rating Raised Ares LIV CLO Ltd. Class B-R to 'AA+ (sf)' from 'AA (sf)' Rating Lowered And Removed From CreditWatch Negative Ares LIV CLO Ltd. Class E to 'B+ (sf)' from 'BB- (sf)'/Watch Neg' Ratings Affirmed Ares LIV CLO Ltd. Class A-R: AAA (sf) Class C-R: A (sf) Class D-R: BBB- (sf) BACM 2017-BNK3: Fitch Affirms 'B-sf' Rating on Class F Certificates ------------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of BANK 2018-BNK13 commercial mortgage pass-through certificates. The Rating Outlook for classes A-S, B, C, D, X-B, and X-D remains Negative. Fitch has also affirmed 12 classes of Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3 Commercial Mortgage Pass-Through Certificates, Series 2017-BNK3. The Outlook for classes D and X-D were revised to Negative from Stable. The Outlook for classes E and F remains Negative. Entity/Debt Rating Prior ----------- ------ ----- BACM 2017-BNK3 A-3 06427DAR4 LT AAAsf Affirmed AAAsf A-4 06427DAS2 LT AAAsf Affirmed AAAsf A-S 06427DAV5 LT AAAsf Affirmed AAAsf A-SB 06427DAQ6 LT AAAsf Affirmed AAAsf B 06427DAW3 LT AA-sf Affirmed AA-sf C 06427DAX1 LT A-sf Affirmed A-sf D 06427DAC7 LT BBB-sf Affirmed BBB-sf E 06427DAE3 LT BBsf Affirmed BBsf F 06427DAG8 LT B-sf Affirmed B-sf X-A 06427DAT0 LT AAAsf Affirmed AAAsf X-B 06427DAU7 LT A-sf Affirmed A-sf X-D 06427DAA1 LT BBB-sf Affirmed BBB-sf BANK 2018-BNK13 A-2 06539LAX8 LT AAAsf Affirmed AAAsf A-3 06539LAY6 LT AAAsf Affirmed AAAsf A-4 06539LBA7 LT AAAsf Affirmed AAAsf A-5 06539LBB5 LT AAAsf Affirmed AAAsf A-S 06539LBE9 LT AAAsf Affirmed AAAsf A-SB 06539LAZ3 LT AAAsf Affirmed AAAsf B 06539LBF6 LT AA-sf Affirmed AA-sf C 06539LBG4 LT A-sf Affirmed A-sf D 06539LAJ9 LT BB-sf Affirmed BB-sf E 06539LAL4 LT CCCsf Affirmed CCCsf F 06539LAN0 LT CCsf Affirmed CCsf X-A 06539LBC3 LT AAAsf Affirmed AAAsf X-B 06539LBD1 LT AAAsf Affirmed AAAsf X-D 06539LAA8 LT BB-sf Affirmed BB-sf X-E 06539LAC4 LT CCCsf Affirmed CCCsf X-F 06539LAE0 LT CCsf Affirmed CCsf KEY RATING DRIVERS Overall Stable 'B' Loss Expectations: Deal-level 'Bsf' rating case losses have remained stable since Fitch's prior rating action, 5.6% for BANK 2018-BNK13 and 4.3% in BACM 2017-BNK3 compared to 6.2% and 3.8%, respectively, at their last rating actions. The BANK 2018-BNK13 transaction includes five loans (14.6% of the pool) that have been identified as Fitch Loans of Concern (FLOCs), including one specially serviced loan, Regal Cinemas Lincolnshire (1.8%). The BACM 2017-BNK3 transaction has six FLOCs (13.3%), including one loan, Parkwood Patio Apartments (0.3%) in special servicing. The Negative Outlooks on classes A-S, B, C, D, X-B, and X-D in BANK 2018-BNK13 reflect elevated losses for the specially serviced Regal Cinemas Lincolnshire (1.8%) and high exposure to office loans in the pool (39%), including Ditson Building (FLOC; 4.7%). Additionally, the Negative Outlooks reflect concerns with the ultimate resolution of the Fair Oaks Mall (3.7%) due to performance declines and the prolonged timeline for a proposed redevelopment of the property. The Negative Outlook on the classes D, E, F, and X-D in BACM 2017-BNK3 reflect maturity refinance concerns with underperforming office loans in the top 15 including, 191 Peachtree (4.7%), Calabasas Tech Center (3.8%), and Rio West Business Park (2.3%). Largest Contributors to Loss: The largest contributor to overall loss expectations in BANK 2018-BNK13 is the Regal Cinemas Lincolnshire (1.8%) loan, which transferred to special servicing in March 2023 due to imminent default. Regal Cinemas (100% NRA) filed bankruptcy in September 2022 and the lease at the subject property was subsequently rejected through the bankruptcy proceedings. The tenant continued to pay rent until February 2023 but has since vacated. A receiver was appointed in August 2023 and a foreclosure sale occurred in February 2025, with the Trust being the successful bidder. A deed transfer is in process. According to servicer updates, the value of the building has declined significantly from issuance primarily due to an existing development agreement containing restrictive covenants on property use, prohibiting a repurpose of the building for anything other than a theater. The property is expected to be marketed for sale once a transfer of the title is completed. The special servicer is attempting to work with the city and respective voting members of the development association to allow a potential change in use for prospective buyers. Due to Fitch's expectations of a prolonged disposition process, Fitch expects significant losses. Fitch's 'Bsf' Rating Case Loss (prior to concentration add-on) of 99.4% is based on the May 2024 appraised value, representing an approximately 92% decline compared to issuance. The second largest contributor to overall loss expectations in BANK 2018-BNK13 is the Ditson Building (4.7%) loan, which is secured by a 58,850-sf office property located in Midtown Manhattan. The loan has been designated as a FLOC due to declining occupancy and cashflow. The property's major tenants include Research Foundation CUNY (18.9% of NRA, leased through September 2026) and Modernus Walls, LLC (9.0%, February 2027). Occupancy was 28.3% as of the April 2025 servicer-provided rent roll, unchanged from September 2024, 43.0% at March 2024and YE 2023 and 91.0% at YE 2021. Occupancy recently declined as a result of former major tenant VR World (previously 15.0% of NRA) vacating ahead of the tenant's scheduled March 2028 lease expiry. In addition, the property's previous largest tenant, TTC USA Consulting (previously 47.2% of NRA), vacated at its lease expiration in June 2022. The servicer-reported NOI DSCR was 0.11x as of the trailing-nine-months ended September 2024, down from 0.39x at YE 2023, 0.82x at YE 2021, 1.04x at YE 2020 and 1.42x at YE 2019. Fitch's 'Bsf' Rating Case Loss (prior to concentration add-on) of 31.3% is based on an 9.50% cap rate and a 20% stress to the YE 2021 NOI. The largest contributor to overall loss expectations in BACM 2017-BNK3 is the Calabasas Tech Center (3.8%) loan, which is secured by a 282,434-sf suburban office property located in Calabasas, CA. The property's largest tenants include Yamaha Guitar Group (26.8% of NRA, leased through August 2026), Kim's a Princess (8.6%, January 2027) and Golden Entropy Marketing Inc, (5.4%, December 2026). The property was 71.1% (Physical occupancy) occupied as of the December 2024 rent roll. The Grant & Weber (11% of NRA) space is currently dark as the tenant vacated the premises on or about August 2022 prior to the May 2024 lease expiry date. Near term lease rollover includes 9.0% of the NRA in 2025 across two leases and 38.6% in 2026 across five leases. According to CoStar, the property lies within the Calabasas / Westlake Village Office Submarket of the Los Angeles market area. As of 1Q25, average rental rates were $35.05 psf and $42.10 psf for the submarket and market, respectively. Vacancy for the submarket and market was 17.5% and 16.1%, respectively. Fitch's 'Bsf' case loss of 25.0% (prior to a concentration adjustment) is based on a 10.25% cap rate and 20% stress to the YE 2024 NOI, and factors in an increased probability of default due to the low occupancy, lease rollover and loan's heightened maturity default risk. The second largest contributor to overall loss expectations in BACM 2017-BNK3 is the 191 Peachtree (4.7%) loan, which is secured by a 1.2 million-sf office tower located in Atlanta, GA and a leasehold interest in a parking garage. The loan is considered a FLOC due to declining occupancy, upcoming lease rollover concerns and maturity default risk. Upcoming rollover consists of 11.3% of the NRA (16.8% of base rent) across 10 leases in 2025. Occupancy declined to 67.0% as of the January 2025 rent roll from 84.2% at YE 2023 due to Deloitte downsizing from 19.4% of the NRA to 2.9% prior to its May 2025 lease expiration. As of April 2025, total reserves for the loan were $12.2 million. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 18.8% reflects a 9.5% cap rate and a 30% stress to the YE 2023 NOI due to lower occupancy. Fitch's analysis also factored in an increased probability of default because of anticipated refinance challenges. Increase in Credit Enhancement (CE): As of the May 2025 distribution date, the aggregate pool balances of the BANK 2018-BNK13 and BACM 2017-BNK3 transactions have been reduced by 15.0% and 12.2%, respectively, since issuance. The BANK 2018-BNK13 transaction includes two loans (0.7% of the pool) that have fully defeased. Five loans (4.3%) are fully defeased in BACM 2017-BNK3. Interest Shortfalls: Interest shortfalls totaling $1.5 million are impacting the non-rated class G and risk retention class RRI in the BANK 2018-BNK13 transaction, and interest shortfalls totaling $13,893 are impacting the non-rated class G and risk retention class RRI in the BACM 2017-BNK3 transaction. 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 the position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly or interest shortfalls occur or are expected to occur. For the BANK 2018-BNK13 transaction, a downgrade to the junior 'AAAsf' rated class A-S would be likely with continued performance deterioration of the FLOCs, particularly, Ditson Building, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs or more loans than expected experience performance deterioration or default at or before maturity. Downgrades to the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with higher than expected losses from continued underperformance of the FLOCs, in particular office loans with deteriorating performance or with greater certainty of losses on FLOCs. Loans of particular concern in the BANK 2018-BNK13 transaction include Ditson Building, Fair Oaks Mall and Regal Cinemas Lincolnshire. Loans of particular concern in the BACM 2017-BNK3 transaction include 191 Peachtree, Calabasas Tech Center, and Rio West Business Park. Downgrades to classes with distressed ratings 'CCCsf' and 'CCsf' 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' categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but would be possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BATALLION CLO XXIX: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Battalion CLO XXIX Ltd. Entity/Debt Rating ----------- ------ Battalion CLO XXIX Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Battalion CLO XXIX Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Brigade Capital Management, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.26, versus a maximum covenant, in accordance with the initial expected matrix point of 24. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.01% versus a minimum covenant, in accordance with the initial expected matrix point of 73%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between '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, 'AA+sf' 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, 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 Battalion CLO XXIX 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. BAYVIEW COMMERCIAL 2006-2: Moody's Ups Rating on M-5 Certs to B1 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on one tranche and upgraded the ratings on 14 tranches issued by five Bayview Commercial Asset Trust series. The loans are secured primarily by small commercial real estate properties in the US owned by small businesses. Complete rating actions are as follows: Issuer: Bayview Commercial Asset Trust 2006-2 Cl. M-1, Upgraded to Baa3 (sf); previously on Nov 2, 2022 Upgraded to Ba1 (sf) Cl. M-2, Upgraded to Ba1 (sf); previously on Nov 2, 2022 Upgraded to Ba2 (sf) Cl. M-3, Upgraded to Ba2 (sf); previously on Nov 2, 2022 Upgraded to Ba3 (sf) Cl. M-4, Upgraded to Ba3 (sf); previously on Nov 2, 2022 Upgraded to B1 (sf) Cl. M-5, Upgraded to B1 (sf); previously on Nov 2, 2022 Upgraded to B2 (sf) Cl. M-6, Upgraded to B2 (sf); previously on Nov 2, 2022 Upgraded to B3 (sf) Issuer: Bayview Commercial Asset Trust 2006-3 Cl. A-1, Upgraded to Ba1 (sf); previously on Nov 2, 2022 Upgraded to Ba2 (sf) Cl. A-2, Upgraded to Ba1 (sf); previously on Nov 2, 2022 Upgraded to Ba2 (sf) Cl. M-1, Upgraded to B1 (sf); previously on Nov 2, 2022 Upgraded to B2 (sf) Cl. M-2, Upgraded to B3 (sf); previously on Nov 2, 2022 Upgraded to Caa1 (sf) Issuer: Bayview Commercial Asset Trust 2008-1 Cl. A-4, Upgraded to Baa3 (sf); previously on Nov 2, 2022 Upgraded to Ba3 (sf) Issuer: Bayview Commercial Asset Trust 2008-3 Cl. A-4, Upgraded to Ba3 (sf); previously on Feb 1, 2017 Downgraded to B2 (sf) Issuer: Bayview Commercial Asset Trust 2008-4 Cl. A-4, Upgraded to Baa1 (sf); previously on Mar 4, 2024 Upgraded to Baa2 (sf) Cl. M-1, Upgraded to Ba1 (sf); previously on Mar 4, 2024 Upgraded to Ba2 (sf) Cl. M-3, Downgraded to C (sf); previously on Jun 29, 2023 Downgraded to Ca (sf) A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions on Bayview Commercial Asset Trust series 2006-2, 2006-3, 2008-1, 2008-3 and 2008-4 transactions are primarily driven by stable performance and an increase in the credit enhancement from subordination, overcollateralization and reserve fund, where applicable. For Bayview Commercial Asset Trust 2008-1, 2008-3 and the 2008-4 transactions, the upgrades are also a result of deleveraging due to the sequential pay structures. Moody's also considered loans with maturities in excess of the transaction maturity date, where applicable, which may introduce uncertainty in the final repayment of the bonds. The rating downgrade on the Cl. M-3 note from Bayview Commercial Asset Trust 2008-4, is primarily due to a decrease in subordination given additional write-downs that came through in the May 2025 payment date, as well as an increase in the outstanding credit related unpaid interest shortfalls. In addition, Moody's took into account credit related unpaid interest shortfalls, cumulative realized losses, stressed recoveries on assets, and increasing pool concentrations. No action was taken on the remaining rated tranches because of no material changes in collateral quality, and credit enhancement remains commensurate with the current ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "SME Asset-backed Securitizations" 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 expected losses could drive the ratings up. Moody's expectations of pool losses could decline as a result of a decrease in seriously delinquent loans or lower severities than expected on liquidated loans. As a primary driver of performance, positive changes in the US macro economy could also affect the ratings, as can changes in servicing practices. Reimbursement of interest shortfalls more rapidly than anticipated when applicable. For loans with maturities in excess of the transaction maturity date, levels of prepayments above expectations, or the further modification of those loans such that they mature prior to the transaction maturity date for their respective transactions. Down Levels of credit protection that are insufficient to protect investors against expected losses could drive the ratings down. Moody's expectations of pool losses could increase as a result of an increase in seriously delinquent loans and higher severities than expected on liquidated loans. As a primary driver of performance, negative changes in the US macro economy could also affect the ratings. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance, and fraud. Reimbursement of interest shortfalls slower than anticipated when applicable. For loans with maturities in excess of the transaction maturity date, levels of prepayments below expectations, or the modification of additional loans such that they mature after the transaction maturity date for their respective transactions. BCRED BSL CLO 2022-1: S&P Lowers Class E Notes Rating to 'B+ (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its rating on the class E debt from BCRED BSL CLO 2022-1 Ltd., a U.S. CLO transaction managed by Blackstone Private Credit Fund, and removed it from CreditWatch, where it was placed with negative implications. We also affirmed our ratings on the class A-2, B-1, B-2, C, and D debt from the same transaction. The rating actions follow its review of the transaction's performance using data from the April 7, 2025, trustee report. S&P had placed the class E debt on CreditWatch negative due to the weakened cash flow results and a decline in the overcollateralization (O/C) ratios. Following are the changes in the O/C ratios since the CLO closed in June 2022: -- The class A/B O/C ratio declined to 140.21% from 143.41%. -- The class C O/C ratio declined to 125.03% from 127.88%. -- The class D O/C ratio declined to 115.47% from 118.10%. These declines are primarily due to trading losses that occurred over time. Over the same time period, collateral obligations with ratings in the 'CCC' category have increased to $21.43 million as of the April 2025 trustee report from $4.99 million as of June 2022. In addition, the current portfolio's weighted average recovery and spread have also declined. While the increase in 'CCC' exposure increased the portfolio's scenario default rates (SDRs), the drop in the weighted average recovery rate affected the CLO's break-even default rates (BDRs). These led to the class E note's cash flows failing at their previous rating level. S&P said, "The lowered rating on the class E debt reflects the drop in the credit support and failing cash flow results at their previous rating. Though our cash flows indicate a lower rating, we restricted the downgrade at this time to one notch to the lower category after considering the low exposure to 'CCC/CCC-' rated assets and the existing credit support, which is commensurate with the new (downgraded) rating. "The affirmations on the class A-2, B-1, B-2, C, and D debt reflect our view that the existing credit support is commensurate with the current rating level. Though the cash flow results indicated higher ratings for classes B-1 and B-2, we affirmed their ratings considering that the CLO's reinvestment period ends only in July 2027 and that the future reinvestment activity has the potential to change the portfolio's characteristics. "The cash flow results indicated a one-notch failure for the class C and D debt's ratings. However, based on the margin of failure, low exposure to 'CCC/CCC-' rated assets, and their existing credit support, we affirmed both ratings, but any further increases in defaults or par losses could lead to negative rating actions. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Lowered And Removed From CreditWatch Negative BCRED BSL CLO 2022-1 Ltd. Class E to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed BCRED BSL CLO 2022-1 Ltd. Class A-2: AAA (sf) Class B-1: AA (sf) Class B-2: AA (sf) Class C: A (sf) Class D: BBB- (sf) BELLE HAVEN ABS: Moody's Upgrades Rating on 2 Tranches to Caa3 -------------------------------------------------------------- Moody's Ratings has upgraded the ratings on notes issued by Belle Haven ABS CDO, Ltd.: US$505,500,000 Class A1SB-1 Notes due 2044 (current balance of $121,054,032), Upgraded to Caa3 (sf); previously on July 13, 2010 Downgraded to Ca (sf) US$344,000,000 Class A1ST Senior Secured Floating Rate Notes due 2044 (current balance of $80,702,573), Upgraded to Caa3 (sf); previously on July 13, 2010 Downgraded to Ca (sf) A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the notes, 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. The notes have either incurred a missed interest payment or is currently undercollateralized. Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original notes balance. No actions were taken on the other rated classes in the deal 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. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in July 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. Certain deal features and their characteristics, such as amortization profile assumptions, and waterfall features can also influence the rating outcomes. BENCHMARK 2019-B14: Fitch Lowers Rating on Class D Debt to 'B-sf' ----------------------------------------------------------------- Fitch Ratings has downgraded 10 classes and affirmed five classes of Benchmark 2019-B14 Mortgage Trust. Negative Rating Outlooks were assigned to classes A-S, B, C, D, X-A, and X-B following their downgrades. Fitch has also downgraded 11 classes and affirmed five classes of Benchmark 2019-B15 Mortgage Trust. Negative Outlooks were assigned to classes A-S, B, C, D, E, X-A, X-B, and X-D following their downgrades. Entity/Debt Rating Prior ----------- ------ ----- BMARK 2019-B15 A-2 08160KAB0 LT AAAsf Affirmed AAAsf A-3 08160KAC8 LT AAAsf Affirmed AAAsf A-4 08160KAD6 LT AAAsf Affirmed AAAsf A-5 08160KAE4 LT AAAsf Affirmed AAAsf A-AB 08160KAF1 LT AAAsf Affirmed AAAsf A-S 08160KAG9 LT AA-sf Downgrade AAAsf B 08160KAJ3 LT A-sf Downgrade AA-sf C 08160KAK0 LT BBB-sf Downgrade A-sf D 08160KAL8 LT BBsf Downgrade BBBsf E 08160KAN4 LT BB-sf Downgrade BBB-sf F 08160KAQ7 LT CCCsf Downgrade B-sf G-RR 08160KAY0 LT CCsf Downgrade CCCsf X-A 08160KAH7 LT AA-sf Downgrade AAAsf X-B 08160KAS3 LT A-sf Downgrade AA-sf X-D 08160KAU8 LT BB-sf Downgrade BBB-sf X-F 08160KAW4 LT CCCsf Downgrade B-sf Benchmark 2019-B14 A-2 08162YAB8 LT AAAsf Affirmed AAAsf A-3 08162YAC6 LT AAAsf Affirmed AAAsf A-4 08162YAD4 LT AAAsf Affirmed AAAsf A-5 08162YAE2 LT AAAsf Affirmed AAAsf A-S 08162YAF9 LT A-sf Downgrade AA-sf A-SB 08162YAG7 LT AAAsf Affirmed AAAsf B 08162YAH5 LT BBB-sf Downgrade A-sf C 08162YAJ1 LT BB-sf Downgrade BBB-sf D 08162YAM4 LT B-sf Downgrade BBsf E 08162YAR3 LT CCCsf Downgrade Bsf F-RR 08162YAT9 LT CCsf Downgrade CCCsf G-RR 08162YAV4 LT Csf Downgrade CCsf X-A 08162YAK8 LT A-sf Downgrade AA-sf X-B 08162YAL6 LT BBB-sf Downgrade A-sf X-D 08162YAP7 LT CCCsf Downgrade Bsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: The deal-level 'Bsf' rating case loss for the BMARK 2019-B14 transaction is 9.5%, up from 6.8% at Fitch's prior rating action. The 'Bsf' rating case loss for the BMARK 2019-B15 transaction has also increased to 7.3% from 6.2% at the prior review. Fitch Loans of Concern (FLOCs) include 14 loans (41.6%) in BMARK 2019-B14, including five loans (15.3% of the pool) in special servicing, and 10 loans (42.8% of the pool) in BMARK 2019-B15, which includes two loans (5.6%) in special servicing. The downgrades in BMARK 2019-B14 reflect increased pool loss expectations since Fitch's prior rating action, primarily driven by lower appraisal value for the specially serviced loan 225 Bush (4.9%) and continued performance deterioration of office FLOCs, Watergate Office Building (6.0% of pool), Innovation Park (4.9%), 900 & 990 Stewart Ave (3.2%), 8 West Centre (1.9%), and Sunset North (1.6%). The Negative Outlooks in BMARK 2019-B14 reflect the high concentration of office loans (37.9% of the pool) and exposure to loans in special servicing (15.3%). The Outlooks also reflect the potential for further downgrades if performance of the aforementioned office FLOCs do not stabilize and/or workouts for the specially serviced loans are prolonged, leading to higher-than-expected losses. The downgrades in BMARK 2019-B15 reflect higher pool loss expectations, primarily driven by continued performance deterioration of the office FLOCs, including 899 West Evelyn (9.4%), Innovation Park (8.4%), 600 & 620 National Avenue (3.6%), Sunset North (2.5%), and 8 West Centre (2.0%). The Negative Outlooks in BMARK 2019-B15 reflect the high concentration of office loans (46.5% of the pool) including four of the top 10 loans (several with declining performance) and the potential for further downgrades with worsening performance of the aforementioned FLOCs and specially serviced loans. Due to rollover and submarket concerns, Fitch's analysis of BMARK 2019-B15 also incorporated an additional sensitivity scenario that factored a higher probability of default on the 899 West Evelyn loan, where the 'Bsf' rating case loss increased to 9.1% and contributed to the Negative Outlooks. Largest Increases in Loss: The largest increase in loss expectations since the prior rating action and largest contributor to overall pool loss in BMARK 2019-B14 is the 225 Bush loan, which is secured by a 579,987-sf office property located in San Francisco, CA. The loan transferred to special servicing in November 2024 due to maturity default; the loan did not repay at its Nov. 6, 2024, maturity date and as of the May 2025 remittance is categorized as non-performing matured. Occupancy has been declining since issuance and the sponsor has been unable to backfill increasing vacancies. According to the servicer, the sponsor is not interested in retaining the property or executing a loan modification. The largest tenant at issuance, Twitch (14.5% of NRA), vacated upon its lease expiration in August 2021. In addition, Knotel (4.6% of NRA) and several other smaller tenants vacated upon lease expiration. This caused occupancy to decline to 40% as of June 2024 compared to 47% at December 2023, 55% at December 2022 and 97.8% at issuance. According to Costar, as of 1Q25, the submarket vacancy and asking rents were reported at 30.5% $50.85 psf, respectively; these metrics have significantly worsened from 8.1% and $75.29, respectively, at the time of issuance. The updated Fitch NCF of $10.6 million is 11% below Fitch's NCF at the prior review and 54% below Fitch's issuance NCF of $23.2 million. The Fitch NCF reflects leases in place according to the June 2024 rent roll and assumes Fitch's view of sustainable, long-term performance. It includes a lease up of vacant office spaces grossed up to a discounted rate below in-place rents and a sustainable long-term occupancy assumption of 70%, which is in line with the submarket. Fitch's analysis incorporated a higher stressed capitalization rate of 9%, up from 8.75% at the prior rating action and 7.75% at issuance, to factor increased office sector and submarket performance concerns, resulting in a Fitch-stressed valuation decline that is approximately 80% below the issuance appraisal. The Fitch value/sf is in line with recent comparable sales in the market for similar quality assets. Fitch's 'Bsf' ratings case loss of 41.1% (prior to concentration add-ons) reflects its updated valuation of the asset and considers the potential for a loan disposition by the special servicer given that a loan modification is considered unlikely. The second largest contributor to overall loss expectations in BMARK 2019-B14 is the Hilton Cincinnati Netherland Plaza loan, secured by a 29-story 561 room full-service hotel located in the CBD of Cincinnati, OH. The loan transferred to special servicing in February 2021 for imminent payment default and the servicer is moving forward with foreclosure. A receiver was appointed in November 2022. Property performance has failed to recover from impact from the pandemic and continues to deteriorate. As of September 2024, occupancy had improved to 54% from 49% at YE 2022; however, Net Operating Income was negative with an NOI DSCR of -0.01x as of YTD September 2024. Fitch's 'Bsf' rating case loss of 52.5% (prior to concentration adjustments) reflects a discount to the most recent appraisal value reflecting a stressed value of $81,426 per room. The largest increase in overall expected losses since the prior review in the BMARK 2019-B15 transaction, is the Innovation Park loan (8.4% of the pool), which is secured by a 1.74 million sf office property located in Charlotte, NC. Performance of the office complex continues to deteriorate with occupancy declining to 46.64% as of April 2025, down from 75% at YE 2022. The decline in occupancy was compounded by the departure of the fourth largest tenant, Wells Fargo (11.1% of NRA) which vacated at lease expiration in March 2025. Consequently, the NOI DSCR has decreased to 2.52x at YE 2023, down from 3.34x at YE 2022. Fitch's 'Bsf' rating case loss expectations of 13.7% (prior to concentration adjustments) reflects a 15% stress to the YE 2023 NOI and factors an increased probability of default to account for near-term rollover, high availability and weak submarket conditions. The second largest increase in loss expectations since the prior rating action in the BMARK 2019-B15 transaction is the Sunset North loan, which is secured by a three building, 464,062-sf office complex located in Bellevue, WA. According to CoStar, the complex has 62.3% of the NRA listed as available space including the largest tenant, Intellectual Ventures (33.1% of the NRA; lease expires in May 2025) and the fourth-largest tenant, Farmers New World Life Insurance (13.0%; lease expires in May 2029). Additionally, WeWork is the third largest tenant accounting for 17% of the NRA. Per CoStar, as of 1Q25, the I-90 Corridor office submarket of Bellevue had a vacancy rate of 42.3% and an availability rate of 43.8%. Fitch's 'Bsf' rating case loss of 28.3% (prior to concentration adjustments) reflects a 10% cap rate and 20% stress to the TTM June 2024 NOI and factors a higher probability of default given the concerns related to the concentrated near-term rollover, high availability and weak submarket conditions. Dark Single-tenant Exposure: In addition to the FLOCs noted above, one loan within both transactions has exposure to a dark single-tenant office property where the tenant does not occupy the premises but continues to pay rent. The 600 & 620 National Avenue loan is secured by a Class A- LEED Gold-certified 151,064-sf office property in Mountain View, CA with Google as the tenant on a lease through May 2029. This loan also has companion pieces in the JPMDB 2019-COR6, UBS 2019-C17 and WFCM 2019-C53 transactions. Increased Credit Enhancement (CE): As of the May 2025 distribution date, the aggregate balances of the BMARK 2019-B14 and BMARK 2019-B15 transactions have been reduced by 7.6% and 6.0%, respectively, since issuance. The BMARK 2019-B14 transaction has 27 (66.7%) full-term, interest-only (IO) loans and 23 (33.3%) loans that are currently amortizing. The BMARK 2019-B15 transaction has 17 (62.3%) full-term, IO loans and 14 (37.7%) loans that are currently amortizing. There is one loan (1.9% of the pool) that has fully defeased in the BMARK 2019-B14 transaction and no loans in the BMARK 2019-B15 transaction. Cumulative interest shortfalls of $2.37 million are currently impacting Classes F-RR, G-RR and the non-rated classes VRR Interest and NR-RR. Realized losses of $1.25 million are impacting the non-rated classes VRR Interest and NR-RR in the BMARK 2019-B14 transaction. Cumulative interest shortfalls of $1.23 million are currently impacting the non-rated classes VRR Interest and J-RR in the BMARK 2019-B15 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'Asf' rating category could occur should performance of the FLOCs, most notably from office loans Innovation Park, Sunset North, 600 & 620 National Avenue in both transactions, 225 Bush, Hilton Cincinnati Netherland Plaza, 900 & 990 Stewart Avenue and Watergate Office Building in BMARK 2019-B14, 899 West Evelyn and Kildeer Village Square in BMARK 2019-B15, 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 FLOCs, particularly the aforementioned office loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed classes are possible should additionally loans transfer to special servicing and as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'Asf' rating category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with improved pool-level loss expectations and stronger performance on the FLOCs. This includes Innovation Park, Sunset North, 600 & 620 National Avenue in both transactions, 225 Bush, Hilton Cincinnati Netherland Plaza, 900 & 990 Stewart Avenue and Watergate Office Building in BMARK 2019-B14 and 899 West Evelyn and Kildeer Village Square in BMARK 2019-B15. Classes would not be upgraded above 'AA+sf' if there is a likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to the distressed classes are unlikely absent performance stabilization of the FLOCs and improved recovery prospect of loans in special servicing. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2022-B35: DBRS Cuts Class X-G Certs Rating to B --------------------------------------------------------- DBRS, Inc. downgraded the credit ratings on eight classes of Commercial Mortgage Pass-Through Certificates, Series 2022-B35 issued by Benchmark 2022-B35 Mortgage Trust as follows: -- Class E to BB (high) (sf) from BBB (low) (sf) -- Class F to BB (low) (sf) from BB (high) (sf) -- Class G to B (low) (sf) from BB (low) (sf) -- Class H to CCC (sf) from B (high) (sf) -- Class X-D to BBB (low) (sf) from BBB (sf) -- Class X-F to BB (sf) from BBB (low) (sf) -- Class X-G to B (sf) from BB (sf) -- Class X-H to CCC (sf) from BB (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3-1 at AAA (sf) -- Class A-3-2 at AAA (sf) -- Class A-4-2 at AAA (sf) -- Class A-4-1 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class X-A at AAA (sf) Morningstar DBRS changed the trends on Classes E, F, G, X-D, X-F, and X-G to Stable from Negative. Classes H and X-H now have a credit rating that does not typically carry a trend in Commercial Mortgage-Backed Securities (CMBS) credit ratings. The trends on all other classes are Stable. The credit rating downgrades reflect increased loss projections for the pool stemming from the two loans in special servicing, Industry RiNo Station (Prospectus ID#7, 5.4% of the pool) and One Jackson Place (Prospectus ID#21, 1.3% of the pool). At the time of the last credit rating action in August 2024, Morningstar DBRS changed the trends on Classes X-D, E, X-F, F, X-G, G, X-H, and H to Negative from Stable, reflecting the transaction's high concentration of office-backed loans, some of which were showing signs of distress at the time. Two of those identified loans have since transferred to the special servicer in the first half of 2025. Both loans are secured by distressed office properties with occupancy rates below 50%, indicating a prolonged time to achieve stabilization. Morningstar DBRS analyzed both loans with liquidation scenarios, applying conservative haircuts to their issuance-appraised values. Morningstar DBRS' loss projections for these loans totaled $42.7 million, wiping out nearly the entire balance of the unrated Class J, when accounting for the transaction's 5.0% vertical risk retention piece. Morningstar DBRS' projected losses contributed to a considerable decline in credit support to the junior-most classes, which are exacerbated by the transaction's capital stack structure, which, after the liquidation analysis, only has $44.2 million in the noninvestment-grade category, supporting the credit rating downgrades with this review. As of the May 2025 remittance all of the original 37 loans remain in the pool with a marginal collateral reduction of only 0.3% of the pool since issuance. There are no defeased loans and only two loans in special servicing. There are three loans, representing 5.5% of the pool on the servicer's watchlist; however, only one is watchlisted for performance-related concerns. The transaction has a considerable exposure to loans backed by office properties, comprising 44.1% of the pool, followed by industrial-backed loans at 16.6% of the pool. Morningstar DBRS notes the transaction's high office concentration is a potential risk, with several loans exhibiting high loan-to-value (LTV) ratios in stressed scenarios. Morningstar DBRS will continue to monitor the performance of these loans as they season and as tenant leases roll over. However, term risk remains low given the majority of these loans have maturities in 2032 and continue to perform in line with expectations at issuance, supporting the Stable trends. The largest loan in special servicing is Industry RiNo Station, which is secured by a 177,687-sf office complex in the Midtown submarket of Denver. The loan transferred to the special servicer in March 2025 for payment default stemming from a significant decline in occupancy over the past three years. Given the recent transfer, the special servicer is still evaluating different possible workout strategies; however, a receiver has been appointed as of April 2025. As of the September 2024 rent roll, the subject was 78% occupied, compared with the 95% at issuance. Further occupancy decline remains a concern as rollover through the first half of 2026 totals 43.0% of the NRA. This includes the largest tenant, OneTrust LLC (21.3% of the NRA, lease expiry in July 2025), which no longer lists this address as a location on its website. The decline in occupancy has caused downward pressure on net cash flow (NCF), which was reported at $3.6 million, with a 1.14 times (x) debt service coverage ratio (DSCR) as per the annualized September 2024 (T-9) operating statement analysis report (OSAR), compared with the Morningstar DBRS issuance derived figures of $4.5 million and 1.42x, respectively. Morningstar DBRS expects financial performance to continue to deteriorate through 2025. The subject continues to report high rollover in the next 12 months with all leases scheduled to expire by March 2027. According to Reis, the Midtown submarket of Denver reported a 15.6% vacancy rate in Q1 2025, which has increased from the Q1 2024 figure of 15.4%. Given all these concerns, Morningstar DBRS' analyzed this loan under a liquidation scenario based on a 60% haircut to the issuance appraised value of $97.5 million. Inclusive of the outstanding advances and expected servicer expenses, the resulting loan loss severity was approaching 60.9% or approximately $36.6 million. The second loan in special servicing, One Jackson Place, is secured by a 221,421-sf Class A office tower in downtown Jackson, Mississippi. The loan transferred to the special servicer in May 2025 for imminent nonmonetary default stemming from the borrower not wanting to replace the roof for a tenant who sent a default notice with intent to vacate. The loan remains current as of the May 2025 remittance; however, according to the December 2024 rent roll, the occupancy has declined to 43.72%, compared with the year-end (YE) 2023 occupancy of 75.84%. This decrease is primarily attributed to the departures of Molina Healthcare (formerly 25.5% of the NRA) and Carrol Warren (7.6% of the NRA). The occupancy declines have already caused performance to fall with the YE2024 financials reporting NCF and DSCR of $1.1 million and 1.39x, respectively, compared with $1.5 million and 1.93x at YE2023. While the DSCR remains above breakeven, the figure does not fully represent the occupancy decline and is expected to decline further if the borrower is unable to backfill the vacant space. The cash sweep associated with Molina healthcare's departure should collect approximately $2.4 million to help facilitate leasing at the subject. The submarket however is distressed, with Reis reporting a Q1 2025 vacancy rate of 29.3% for the CBD Jackson submarket. Given the borrower is already unwilling to fund a roof repair, it appears unlikely it will want to continue funding debt service out of pocket if performance were to fall below breakeven. For these reasons, Morningstar DBRS' analysis for the loan included a liquidation scenario based on a 60% haircut to the issuance appraised value of $23.6 million. Inclusive of the outstanding advances and expected servicer expenses, the resulting loan loss severity is approaching 45% and just in excess of $6.0 million. At issuance, Morningstar DBRS shadow-rated an additional two loans, ILPT Logistics Portfolio (Prospectus ID#3, 6.6% of the pool) and 601 Lexington Avenue (Prospectus ID#19, 1.5% of the pool), as investment grade. For this review, Morningstar DBRS confirms that loan performance trends remain in line with investment-grade characteristics as supported by strong sponsorship strength and the historically stable performance of those two loans. 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. BENCHMARK 2025-V15: Fitch Assigns 'B-sf' Final Rating on J-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Benchmark 2025-V15 Mortgage Trust Commercial Mortgage Pass-Through Certificates series 2025-V15 as follows: - $3,529,000 class A-1 'AAAsf'; Outlook Stable; - $65,000,000 class A-2 'AAAsf'; Outlook Stable; - $444,745,000 class A-3 'AAAsf'; Outlook Stable; - $62,326,000 class A-S 'AAAsf'; Outlook Stable; - $575,600,000a class X-A 'AAAsf'; Outlook Stable; - $38,495,000 class B 'AA-sf'; Outlook Stable; - $30,247,000 class C 'A-sf'; Outlook Stable; - $68,742,000a class X-B 'A-sf'; Outlook Stable; - $15,582,000b class D 'BBBsf'; Outlook Stable; - $7,332,000b class E 'BBB-sf'; Outlook Stable; - $22,914,000ab class X-D 'BBB-sf'; Outlook Stable; - $9,166,000bc class F-RR 'BB+sf'; Outlook Stable; - $10,082,000bc class G-RR 'BB-sf'; Outlook Stable; - $11,915,000bc class J-RR 'B-sf'; Outlook Stable; The following classes are not expected to be rated by Fitch: - $34,829,926bc class K-RR (a)Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal risk retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 29 loans secured by 41 commercial properties having an aggregate principal balance of $733,248,926 as of the cutoff date. The loans were contributed to the trust by Goldman Sachs Mortgage Company, Citi Real Estate Funding Inc, German American Capital Corporation and Barclays Capital Real Estate Inc. The master servicer is Trimont LLC, and the special servicer is Rialto Capital Advisors. The trustee and certificate administrator are Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. Since Fitch published its expected ratings on May 16, 2025, the following changes have occurred: - The balances for classes A-2 and A-3 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-2 class was expected to be in the $0-$168,215,000 range, and the initial aggregate certificate balance of the A-3 class was expected to be in the $341,530,000-$509,745,000 range. The final class balances for classes A-2 and A-3 are $65,000,000 and $444,745,000, respectively. - The balance for class D changed from $15,024,000 to $15,582,000, from $7,333,000 to $7,332,000 for class E, from $9,723,000 to $9,166,000 for class F-RR and from $22,357,000 to $22,914,000 for class X-D. There were no other material changes. The deal structure and recommended ratings reflect information provided by the issuer as of June 11, 2025. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 22 loans totaling 91.7% by balance. Fitch's resulting net cash flow (NCF) of $72.3 million represents a 18.2% decline from the issuer's underwritten NCF of $88.4 million. Higher Fitch Leverage: The pool's Fitch leverage is higher than recent five-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 102.1% is higher than both the 2025 YTD and 2024 five-year multiborrower transaction averages of 100.0% and 95.2%, respectively. The pool's Fitch NCF debt yield (DY) of 9.9% is slightly higher than the 2025 YTD five-year average of 9.7% but slightly lower than the 2024 average of 10.2%. Investment Grade Credit Opinion Loans: Two loans representing 8.9% of the pool balance received investment grade credit opinions. 1535 Broadway (6.1% of pool) received an investment-grade credit opinion of 'AAsf*' on a standalone basis. Uber Headquarters (2.7% of pool) received an investment-grade credit opinion of 'BBBsf*' on a standalone basis. The pool's total credit opinion percentage is lower than both the 2025 YTD and 2024 averages of 11.0% and 12.6% for Fitch-rated five-year multiborrower transactions, respectively. Shorter Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else being equal. This is mainly due to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B+sf'/'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BB-sf'/'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on its analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BMO 2025-5C11: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Ratings Outlooks to BMO 2025-5C11 Mortgage Trust commercial mortgage pass-through certificates. - $611,000 class A-1 'AAAsf(EXP)'; Outlook Stable; - $225,000,000 class A-2 'AAAsf(EXP)'; Outlook Stable; - $263,077,000 class A-3 'AAAsf(EXP)'; Outlook Stable; - $488,688,000 class X-A 'AAAsf(EXP)'; Outlook Stable; - $52,360,000 class A-S 'AAAsf(EXP)'; Outlook Stable; - $44,505,000 class B 'AA-sf(EXP)'; Outlook Stable; - $28,798,000 class C 'A-sf(EXP)'; Outlook Stable; - $125,663,000 class X-B 'A-sf(EXP)'; Outlook Stable; - $16,580,000 class D 'BBBsf(EXP)'; Outlook Stable; - $7,854,000 class E 'BBB-sf(EXP)'; Outlook Stable; - $24,434,000 class X-D 'BBB-sf(EXP)'; Outlook Stable; - $15,708,000 class F 'BB-sf(EXP)'; Outlook Stable; - $15,708,000 class X-F 'BB-sf(EXP)'; Outlook Stable. - $11,345,000 class G 'B-sf(EXP)'; Outlook Stable. - $11,345,000 class X-G 'BB-sf(EXP)'; Outlook Stable. The following class is not expected to be rated by Fitch: - $7,854,000 class J - $7,854,000 class X-J - $24,434,556 class K-RR. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 37 loans secured by 63 commercial properties with an aggregate principal balance of $698,126,557 as of the cutoff date. The loans were contributed to the trust by Bank of Montreal, Starwood Mortgage Capital LLC, Société Générale Financial Corporation, KeyBank National Association, and Greystone Commercial Mortgage Capital LLC. Midland Loan Services, a division of PNC Bank, National Association, is expected to be the master servicer. LNR Partners, LLC is expected to serve as the special servicer. Computershare Trust Company, National Association, is expected to act as the trustee and certificate administrator. BellOak, LLC is expected to be the operating advisor. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 23 loans totaling 84.3% by balance. Fitch's resulting net cash flow (NCF) of $59.5 million represents a 12.6% decline from the issuer's underwritten NCF. Higher Leverage Compared to Recent Transactions: The pool has higher leverage than recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 107.4% is higher than the 2025 YTD and 2024 averages of 98.3% and 92.4%, respectively. The pool's Fitch NCF debt yield (DY) of 8.5% is lower than the 2025 YTD and 2024 averages of 10.1% and 10.7%, respectively. Fewer Investment-Grade Credit Opinion Loans: One loan representing 1.4% of the pool received an investment-grade credit opinion. 1535 Broadway (1.4% of pool) received a standalone credit opinion of 'AAsf*'. The pool's total credit opinion percentage is lower than the 2025 YTD and 2024 averages of 11.6% and 14.9%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 108.1% and 8.4%, respectively, compared with the 2024 conduit LTV and DY averages of 96.3% and 10.1%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 56.8% of the pool, lower than the 2025 YTD and 2024 averages of 60.7% and 61.0%, respectively. The pool's effective loan count of 23.2 is above the 2025 YTD and 2024 averages of 22.2 and 22.2, respectively. Limited Amortization: Based on the scheduled balances at maturity, the pool will pay down 0.1%, which is below the 2025 YTD and 2024 averages of 4.6% and 3.1%, respectively. The pool has 35 interest-only loans, or 98.1% of pool by balance, which is above the 2025 YTD and 2024 averages of 86.2% and 89.6%, respectively. Lower Concentration of Pari Passu Loans: Eight loans representing 37.3% of the pool are pari passu loans, which is lower than the 2025 YTD and 2024 averages of 38.0% and 45.5%, respectively. Lower Subordinate Secured Debt: The pool has less subordinate secured debt than recently rated Fitch transactions. One loan representing 1.4% of the pool has subordinate secured debt, which is lower than the 2025 YTD and 2024 averages of 7.2% and 5.2%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E ("Form 15E") as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on re-computation of certain characteristics with respect to each 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. BMO 2025-C12: Fitch Assigns 'B-sf' Final Rating on Two Tranches --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BMO 2025-C12 Commercial Mortgage Pass-Through Certificates Series 2025-C12 as follows: - $9,909,000 class A-1 'AAAsf'; Outlook Stable; - $90,000,000 class A-4 'AAAsf'; Outlook Stable; - $326,456,000a class A-5 'AAAsf'; Outlook Stable; - $13,767,000 class A-SB 'AAAsf'; Outlook Stable; - $440,132,000a class X-A 'AAAsf'; Outlook Stable; - $121,823,000a class X-B 'A-sf'; Outlook Stable - $64,448,000 class A-S 'AAAsf'; Outlook Stable; - $31,439,000 class B 'AA-sf'; Outlook Stable; - $25,936,000 class C 'A-sf'; Outlook Stable; - $20,435,000a class X-D 'BBB-sf'; Outlook Stable; - $13,361,000 class D 'BBBsf'; Outlook Stable; - $7,074,000 class E 'BBB-sf'; Outlook Stable; - $14,147,000b class F-RR 'BB-sf'; Outlook Stable; - $14,147,000ab class XFRR 'BB-sf'; Outlook Stable; - $8,645,000b class G-RR 'B-sf'; Outlook Stable; - $8,645,000ac class XGRR 'B-sf'; Outlook Stable; Fitch does not rate the following class: - $23,579,318 class J-RR. - $23,579,318ab class XJRR. - $12,112,516 class V-RR. (a) Notional amount and interest only. (b) Risk retention. Entity/Debt Rating Prior ----------- ------ ----- BMO 2025-C12 A-1 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-S LT AAAsf New Rating AAA(EXP)sf A-SB 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 BBBsf New Rating BBB(EXP)sf E LT BBB-sf New Rating BBB-(EXP)sf FRR LT BB-sf New Rating BB-(EXP)sf GRR LT B-sf New Rating B-(EXP)sf JRR LT NRsf New Rating NR(EXP)sf VRR LT NRsf New Rating NR(EXP)sf X-A LT AAAsf New Rating AAA(EXP)sf X-B LT A-sf New Rating A-(EXP)sf X-D LT BBB-sf New Rating BBB-(EXP)sf XFRR LT BB-sf New Rating BB-(EXP)sf XGRR LT B-sf New Rating B-(EXP)sf XJRR LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 36 loans secured by 51 commercial properties with an aggregate principal balance of $ 640,873,834 as of the cut-off date. The loans were contributed to the trust by Bank of Montreal, Goldman Sachs Mortgage Company, German American Capital Corporation, Ladder Capital Finance LLC, LMF Commercial, LLC, KeyBank National Association, Zions Bancorporation, N.A., Societe Generale Financial Corporation, Starwood Mortgage Capital LLC, UBS AG and Natixis Real Estate Capital LLC. The master servicer is expected to be Trimont LLC, and the special servicer is expected to be Rialto Capital Advisors, LLC., KeyBank National Association is expected to serve as the primary servicer with respect to six of the mortgage loans to be sold by itself. The operating advisor is expected to be Pentalpha Surveillance LLC., and Citibank, N.A is expected to be the trustee and certificate administrator. The certificates are expected to follow a sequential paydown structure. Since Fitch published its expected ratings on May 15, 2025, the following changes have occurred: - The balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-4 class was expected to be in the $0-$200,000,000 range, and the initial aggregate certificate balance of the A-5 class was expected to be in the $216,456,000-$416,456,000 range. The final class balances for classes A-4 and A-5 are $90,000,000 and $326,456,000, respectively. There were no other material changes. The deal structure and recommended ratings reflect information provided by the issuer as of June 11, 2025. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 26 loans totaling 87.8% of the pool balance. Fitch's aggregate pool NCF of $118.7 million represents a 10.2% decline from the issuer's underwritten aggregate pool NCF of $132.2 million. Fitch Leverage: The pool exhibits slightly lower leverage than recent 10-year multiborrower transactions rated by Fitch, with a Fitch loan-to-value (LTV) ratio of 90.2%, compared to the 2025 YTD average of 93.0%. However, the leverage is notably higher than the 2024 average of 84.5%. The pool's Fitch NCF debt yield (DY) of 10.8% is lower the 2025 YTD and 2024 averages of 11.4% and 12.3%, respectively. Excluding credit opinion and co-op loans, the pool's Fitch LTV and DY are 91.9% and 10.8%, respectively, compared to the equivalent 2025 YTD LTV and DY averages of 99.3% and 9.9%, respectively. Investment Grade Credit Opinion Loans: One loan, Washington Square, representing 10.0% of the pool by balance received an investment-grade credit opinion of 'BBB-sf*' on a standalone basis. The pool's total credit opinion percentage is considerably lower than the 2025 YTD and 2024 averages of 15.0% and 21.4%, respectively. Higher Loan Concentration: The pool is more concentrated than recent 10-year multiborrower transactions rated by Fitch. The top 10 loans make up 63.6% of the pool, which is higher than the 2025 YTD average of 57.7% and the 2024 average of 63.0%. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 18.5. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB+sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB--sf' / 'BB+sf' / 'BBsf' / less than 'CCCsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAA-sf' / 'AA+sf' / 'Asf' / 'BBB+sf' / 'BBBsf' / 'BBsf' /'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young. The third-party due diligence described in Form 15E focused on recomputation of certain characteristics with respect to each 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. CARLYLE US 2025-3: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Carlyle US CLO 2025-3, Ltd. Entity/Debt Rating ----------- ------ Carlyle US CLO 2025-3, Ltd. A LT NR(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Carlyle US CLO 2025-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. 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. The weighted average rating factor (WARF) of the indicative portfolio is 24.85 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 98.18% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.55% 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 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 WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, and between less than 'B-sf' and 'BB+sf' for class D and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, and 'Asf' for class D and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2025-3, 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. CARVANA AUTO 2025-P2: S&P Assigns BB+ (sf) Rating on Cl. N Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Carvana Auto Receivables Trust 2025-P2's automobile asset-backed notes. The note issuance is an ABS securitization backed by prime auto loan receivables. The ratings reflect: -- The availability of 17.35%, 13.84%, 9.55%, 6.17%, and 7.85% credit support (hard credit enhancement and haircut to excess spread) for the class A (A-1, A-2, A-3, and A-4, collectively), B, C, D, and N notes, respectively, based on stressed cash flow scenarios. These credit support levels provide over 5.00x, 4.50x, 3.00x, 2.00x, and 1.73x coverage of S&P's expected cumulative net loss of 2.75% for the class A, B, C, D, and N notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its ratings on the class A, B, C, D, and N notes are within its credit stability limits. -- The timely interest and principal payments by the designated legal final maturity dates under our stressed cash flow modeling scenarios, which, S&P believes, are appropriate for the assigned ratings. -- The collateral characteristics of the series' prime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Bridgecrest Credit Co. LLC as servicer, as well as the backup servicing agreement with Vervent Inc. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with our sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Carvana Auto Receivables Trust 2025-P2(i) Class A-1, $73.00 million: A-1+ (sf) Class A-2, $186.00 million: AAA (sf) Class A-3, $229.00 million: AAA (sf) Class A-4, $96.28 million: AAA (sf) Class B, $27.31 million: AA+ (sf) Class C, $29.26 million: A (sf) Class D, $9.43 million: BBB (sf) Class N(ii), $19.50 million: BB+ (sf) (i)Class XS notes (unrated) will be issued at closing and may be retained or sold in one or more private placements. (ii)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. CHASE AUTO 2025-1: Moody's Assigns (P)B3 Rating to Class F Notes ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to the Chase Auto Credit Linked Notes, Series 2025-1 (CACLN 2025-1) notes issued by JPMorgan Chase Bank, N.A. (JPMCB senior unsecured Aa2). CACLN 2025-1 is the first credit linked notes transaction to be issued by JPMCB in 2025 to transfer credit risk to noteholders through a hypothetical tranched credit default swap on a reference pool of auto loans. The complete rating actions are as follows: Issuer: Chase Auto Credit Linked Notes, Series 2025-1 Class B Notes, Assigned (P)Aa2 (sf) Class C Notes, Assigned (P)A3 (sf) Class D Notes, Assigned (P)Baa3 (sf) Class E Notes, Assigned (P)Ba3 (sf) Class F Notes, Assigned (P)B3 (sf) RATINGS RATIONALE The notes are fixed-rate and are unsecured obligations of JPMCB. Unlike principal payment, interest payment to the notes is not dependent on the performance of the reference pool. This deal is unique in that the source of payments for the notes will be JPMCB's own funds, and not the collections on the loans or note proceeds held in a segregated trust account. As a result, Moody's capped the ratings of the notes at JPMCB's senior unsecured rating (Aa2). The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure for US auto loan transactions. However, the subordinate bondholders will not receive any principal unless performance tests are satisfied. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of JPMCB as the servicer. Moody's median cumulative net loss expectation for the 2025-1 reference pool is 0.70% and the loss at a Aaa stress is 4.50%. Moody's based Moody's cumulatives net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of JPMCB to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class B notes, Class C notes, Class D notes, Class E notes and Class F notes benefit 4.55%, 3.30%, 2.75%, 1.90%, and 1.40% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in August 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class C, Class D, Class E, and Class F notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. 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 vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Moody's could upgrade Class B if JPMCB's senior unsecured rating is upgraded. Down Moody's could downgrade the notes if JPMCB's senior unsecured rating is downgraded or if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. CHASE HOME 2025-7: Fitch Assigns B-(EXP)sf) Rating on Cl. B-5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2025-7 (Chase 2025-7). Entity/Debt Rating ----------- ------ Chase 2025-7 A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-4-X LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-A LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-A LT AAA(EXP)sf Expected Rating A-6-X LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-A LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-A LT AAA(EXP)sf Expected Rating A-8-X LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-A LT AAA(EXP)sf Expected Rating A-9-B LT AAA(EXP)sf Expected Rating A-9-X1 LT AAA(EXP)sf Expected Rating A-9-X2 LT AAA(EXP)sf Expected Rating A-9-X3 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-13-X LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-14-X LT AAA(EXP)sf Expected Rating A-14-X2 LT AAA(EXP)sf Expected Rating A-14-X3 LT AAA(EXP)sf Expected Rating A-14-X4 LT AAA(EXP)sf Expected Rating A-X-1 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1-A LT AA-(EXP)sf Expected Rating B-1-X LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-2-A LT A-(EXP)sf Expected Rating B-2-X LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT B-(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating A-R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates issued by Chase Home Lending Mortgage Trust 2025-7 (Chase 2025-7) as indicated above. The certificates are supported by 412 loans with a scheduled balance of $528.11 million as of the cutoff date. The pool consists of prime-quality, fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations (reps) and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC, or they are floating rate or inverse floating rate based off the SOFR index and capped at the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.5% above a long-term sustainable level (compared to 11% on a national level as of 4Q24, down 0.1% since last quarter, based on Fitch's updated view on sustainable home prices). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices have increased 2.9% year-over-year (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 412 high-quality, fixed-rate, fully amortizing loans with maturities of 10 to 30 years and amounting to $528.11 million. In total, 100% of the loans qualify as SHQM. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of four months, according to Fitch. The pool has a weighted average (WA) FICO score of 769, as determined by Fitch, based on the original FICO for newly originated loans and the updated FICO for loans seasoned at 12 months or more. Based on the transaction documents, the updated current FICO is 769. These high FICO scores indicate very high credit-quality borrowers. A large percentage of the loans have a borrower with a Fitch-derived FICO score of 750 or above. Fitch determined that 76.5% of the loans have a borrower with a Fitch-determined FICO score of 750 or above. Based on Fitch's analysis of the pool, the original WA combined loan-to-value ratio (CLTV) is 74.1%, which translates to a sustainable LTV ratio (sLTV) of 83.1%. This represents moderate borrower equity in the property and reduced default risk, compared with a borrower with a CLTV over 80%. Of the pool, 100% of the loans are designated as SHQM APOR loans and 0.00% are rebuttable presumptions QM loans. Of the pool, the borrower for 100% of the loans maintains a primary or secondary residence (90.1% primary and 9.9% secondary). Single-family homes and planned unit developments (PUDs) constitute 90.9% of the pool and condominiums make up the rest at 9.1%. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (85.2%), cashout refinances (2.2%) and rate-term refinances (12.6%). Per the transaction documents, 85.2% are purchase loans, 12.4% are rate-term refinances, and 2.4% are cashout refinances. Fitch considers loans with a 3% cashout or more as cashouts and any loan with less than a 3% cashout amount as rate-term refinances which explains the discrepancy in the percentages. None of the loans are for investment properties, there are no multi-family properties, and a majority of the mortgages are purchases, which Fitch views favorably. Of the pool loans, 30.3% are concentrated in California, followed by Texas and Washington. The largest MSA concentration is in the Los Angeles MSA (11.7%), followed by the San Francisco MSA (8.9%) and the Chicago MSA (5.9%). The top three MSAs account for 26.5% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): 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 of receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer, JPMCB, is obligated to advance delinquent principal and interest (P&I) until deemed nonrecoverable. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in fewer recoveries. There is no master servicer for this transaction. U.S. Bank Trust National Association as trustee will advance as needed until a replacement servicer can be found. The trustee is the ultimate advancing party. Losses on the non-retained portion of the loans will be allocated first to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata once class A-9-B is written off. Net interest shortfalls on the non-retained portion will be allocated first to class A-X-1 and the subordinated classes pro rata, based on the current interest accrued for each class until the amount of current interest is reduced to zero, and then to the senior classes (excluding class A-X-1) pro rata, based on the current interest accrued for each class until the amount of current interest is reduced to zero. Credit Enhancement Floor (Positive): A CE or senior subordination floor of 1.40% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 1.100% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.14% at the 'AAAsf' stress due to 60.2% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 57.1% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Please refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations Chase 2025-7 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk. Operational risk is well controlled in Chase 2025-6, including strong transaction due diligence. The entire pool is originated by an 'Above Average' originator, and all of the pool loans are serviced by a servicer rated 'RPS1-'. All of these attributes result in a reduction in expected losses and are relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, 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. CHESTNUT NOTES: DBRS Hikes Class C Notes Rating to BB ----------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Class A Notes and the Class B Notes and upgraded its credit ratings on the Class C Notes and the Class D Notes (together, the Secured Notes) of Chestnut Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, and the Third Supplemental Indenture dated June 12, 2025, entered into between Chestnut Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes upgraded to BB (sf) from BB (low) (sf) -- Class D Notes upgraded to BB (low) (sf) from B (high) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Third Supplemental Indenture, dated June 12, 2025, by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 19, 2024). The Third Supplemental Indenture increased the Commitment Amounts of the Secured Notes, among other changes. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Chestnut Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26North Direct Lending II LP. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via the selection of an applicable row from a collateral quality matrix (the CQM). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). Morningstar DBRS analyzed each structural configuration as a unique transaction and all configurations (rows) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 153.12%; Threshold 140.00% Class B Overcollateralization Ratio Test: Actual 139.84%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 125.35%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 220.95%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 188.89%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 151.08%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 49.60%; Threshold 60.00% Class B Advance Rate: Actual 55.80%; Threshold 67.50% Class C Advance Rate: Actual 64.07%; Threshold 77.50% Class D Advance Rate: Actual 66.13%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 18.34; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 30.86%; Threshold 40.00% Minimum WA Spread: Actual 5.46%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 59.98%; Threshold 59.04% As of April 30, 2025, the transaction is in compliance with all Coverage Tests and Collateral Quality Tests. There have not been any defaults in the portfolio to date. Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) 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 CLO Methodology (November 19, 2024). The model-based analysis produced satisfactory results, which, in addition to Morningstar DBRS' review of the Third Supplemental Indenture, supported the above-referenced credit rating actions on the above-mentioned 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 is used in assigning ratings to a facility. Notes: All figures are in US dollars unless otherwise noted. CITIGROUP 2015-GC31: DBRS Cuts Rating on 2 Classes to D ------------------------------------------------------- DBRS Limited downgraded the credit ratings on three classes across two transactions as follows: Citigroup Commercial Mortgage Trust 2015-GC31 (CGCMT 2015-GC31) -- Class F to D (sf) from C (sf) -- Class G to D (sf) from C (sf) Wells Fargo Commercial Mortgage Trust 2016-NXS6 (WFCM 2016-NXS6) -- Class G to D (sf) from C (sf) Following the credit rating downgrades, Morningstar DBRS will subsequently discontinue and withdraw its credit ratings on all aforementioned classes. The credit ratings downgrades were due to a loss to the respective trusts that was reflected with the May 2025 remittances. The CGCMT 2015-GC31 transaction incurred a loss of $20.8 million, wiping out Class G, the unrated Class H, and eroding into Class F. The loss was tied to the reimbursement of non-recoverable advances to the servicer for the 135 South LaSalle loan (Prospectus ID#1, 26.3% of the pool). At the last review, Morningstar DBRS analyzed this loan with a liquidation scenario, with implied losses totaling $73.8 million (74% loss severity). The WFCM 2016-NXS6 transaction incurred a loss of $33.5 million, wiping out the unrated Class H and eroding $10.8 million into Class G. The loss was tied to the liquidation of Cassa Times Square Mixed-Use (Prospectus ID#6). The loan-level loss was greater than Morningstar DBRS' expectation of $25.8 million (75% loss severity) at the last review. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S dollars unless otherwise noted. CITIGROUP 2016-C3: Fitch Lowers Rating on Two Tranches to 'B-sf' ---------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed nine classes of Citigroup Commercial Mortgage Trust 2016-C3. Classes B, C, D, X-B, and X-D were assigned Negative Rating Outlooks following their downgrades. The Rating Outlook for classes X-A and A-S remains Negative. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2016-C3 A-3 17325GAC0 LT AAAsf Affirmed AAAsf A-4 17325GAD8 LT AAAsf Affirmed AAAsf A-AB 17325GAE6 LT AAAsf Affirmed AAAsf A-S 17325GAF3 LT AAAsf Affirmed AAAsf B 17325GAG1 LT Asf Downgrade AA-sf C 17325GAH9 LT BBsf Downgrade BBBsf D 17325GAL0 LT B-sf Downgrade B+sf E 17325GAN6 LT CCCsf Affirmed CCCsf F 17325GAQ9 LT CCsf Affirmed CCsf X-A 17325GAJ5 LT AAAsf Affirmed AAAsf X-B 17325GAK2 LT Asf Downgrade AA-sf X-D 17325GAU0 LT B-sf Downgrade B+sf X-E 17325GAW6 LT CCCsf Affirmed CCCsf X-F 17325GAY2 LT CCsf Affirmed CCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The downgrades reflect increased pool loss expectations primarily from underperforming office properties, including 80 Park Plaza (7.8%), Hill7 Office (5.2%), College Boulevard Portfolio (4.3%), and Broward County Office Portfolio (2.5%). Deal-level 'Bsf' rating case loss has increased to 10.7% from 7.7% at Fitch's prior rating action. Nine loans (37.9% of the pool) are considered Fitch Loans of Concern (FLOCs), including three loans (5.1%) in special servicing. Due to the near-term loan maturities, increasing pool concentration and adverse selection concerns, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to loans that are anticipated to default at maturity due to performance declines and/or rollover concerns. All the loans in the pool are scheduled to mature by November 2026. The Negative Outlooks reflect performance and refinance concerns on the FLOCs, particularly Briarwood Mall (11.2%), given continued performance declines and the prolonged timeline for redevelopment of the property. Additionally, the Negative Outlooks reflect the pool's exposure to office FLOCs, including 80 Park Plaza (7.8%), Hill7 Office (5.2%), College Boulevard Portfolio (4.3%), and Broward County Office Portfolio (2.5%). Downgrades are possible if more loans than expected default at maturity and/or with a prolonged workout or higher-than-expected losses on the specially serviced loans. Largest Loan Contributors: The largest contributor to loss is the Briarwood Mall loan, which is secured by a 369,916-sf portion of a 978,034-sf super-regional mall in Ann Arbor, MI, approximately 2.5 miles from the University of Michigan. The loan, which is sponsored in a 50/50 joint venture between Simon Property Group and General Motors Pension Trust, was designated a FLOC due to continued occupancy declines and refinancing concerns. The servicer-reported net operating income (NOI) debt service coverage ratio (DSCR) for this interest-only (IO) loan was 1.99x as of YE 2024, compared to 1.94x at YE 2023, 2.04x at YE 2022, and below pre-pandemic levels of 3.03x at YE 2019. Occupancy was a reported 72% at YE 2024, compared to 71% at YE 2023, 70% at YE 2022, 87% at YE 2019 and 95% at issuance. The remaining non-collateral anchors are Macy's, JCPenney, and Von Maur; former non-collateral anchor Sears closed in 4Q18. Media reports from 2024 indicated that the former Sears space would be redeveloped to include new retail space and a four-story apartment building with 370 units. Fitch's 'Bsf' rating case loss of 41.8% (prior to concentration add-ons) reflects a 15% cap rate, a 7.5% stress to the YE 2024 NOI, and a higher probability of default to account for refinancing concerns. The second-largest contributor to overall losses and largest increase in expected losses is the 80 Park Plaza loan (7.8%), which is secured by 960,689-sf office building located in Newark, NJ. The property was developed as a build-to-suit in 1979 to serve as the headquarters for the sole tenant Public Service Enterprise Group (PSEG) (85.8% of NRA, expiring September 2030). At issuance, Fitch noted that PSEG had downsized by 14.3% of the NRA; a portion of that space (1.9% of NRA) was leased to Scholastic, Inc. through June 30, 2031, while the remainder is vacant. This FLOC was flagged due to anticipated refinance concerns, as a significant portion of PSEG's space is listed as available for sublease. The property was 88% leased as of YE 2024, relatively unchanged since issuance. According to CoStar, approximately 30% of PSEG's space on the 12th through 25th floors is marketed for sublease as of June 2025. The servicer-reported NOI DSCR for this loan was 1.61x at YE 2024, compared to 1.62x at YE 2023, 1.52x at YE 2022, 1.60x at YE 2021, 1.49x at YE 2020, 1.81x at YE 2019 and 1.56x at issuance. Fitch's 'Bsf' rating case loss of 26.9% (prior to concentration add-ons) reflects a 10.25% cap rate and a 10% stress to the YE 2023 NOI and a higher probability of default to account for refinancing concerns. The third-largest contributor to overall pool loss expectations is the College Boulevard Portfolio loan (4.3%), which is secured by a portfolio of five office buildings in Overland, KS totaling 768,461 sf. The five office buildings are 7101 College Boulevard, Commerce Plaza I, Commerce Plaza II, Financial Plaza II and Financial Plaza III. The largest tenants include BOKF National Association (5% of portfolio NRA; lease expiry in December 2032) and Partners, Inc. (3.6%; January 2027). The loan has been designated as a FLOC for occupancy declines, upcoming rollover risk and refinance concerns. The portfolio was 66% occupied as of the December 2024 rent roll. The occupancy has declined from 76% at September 2022 and 93% at issuance due to multiple small tenants vacating at lease expiration. Near-term rollover includes 21.4% of the NRA by February 2026. Fitch's 'Bsf' rating case loss of 27% (prior to concentration add-ons) reflects a 10% cap rate, 20% stress to the YE 2023 NOI and a higher probability of default to account for the declining performance and anticipated refinance concerns. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch does not expect downgrades to the senior 'AAAsf' rated classes due to their high CE, position in the capital structure and expected continued amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly, or interest shortfalls occur or are expected to occur. Downgrades to the junior 'AAAsf' rated class and classes rated in the 'Asf' category currently with Negative Outlooks may occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to classes with Negative Outlooks in the 'BBsf' and 'Bsf' categories are possible with further loan performance deterioration of FLOCs, particularly Briarwood Mall, 80 Park Plaza Hill7 Office, College Boulevard Portfolio and Broward County Office Portfolio, additional transfers to special servicing, and/or with greater certainty of losses on the specially serviced loans and/or FLOCs. Downgrades to the distressed rated classes would occur if 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 are not expected given the upcoming maturity of the majority of the loans in 2026 and potential for additional maturity defaults and adverse selection, but are possible to the 'Asf' rated class with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs, particularly Briarwood Mall, 80 Park Plaza Hill7 Office, College Boulevard Portfolio and Broward County Office Portfolio. Upgrades to the 'BBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely, but may be possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CLICKLEASE EQUIPMENT 2024-1: DBRS Confirms BB(low) on D Notes ------------------------------------------------------------- DBRS, Inc. upgraded three credit ratings and confirmed one credit rating for ClickLease Equipment Receivables 2024-1 LLC. -- Class A Notes AAA (sf) Upgraded -- Class B Notes AA (sf) Upgraded -- Class C Notes BBB (sf) Upgraded -- Class D Notes BB (low) (sf) Confirmed The credit rating actions are based on the following analytical considerations: -- The currently available hard credit enhancement in the form of overcollateralization, subordination (as applicable), and amounts of deposit in the cash reserve account. -- The collateral performance of the transaction, with performance metrics within the expectations range. -- The transaction 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 COVID-19 pandemic scenarios, which were first published in April 2020. Notes: All figures are in US dollars unless otherwise noted. COLLEGIATE FUNDING 2005-B: Moody's Cuts Rating on Cl. B Notes to B1 ------------------------------------------------------------------- Moody's Ratings has taken action on 38 classes of notes issued by 18 student loan securitizations administered by Navient Solutions, LLC and Nelnet, Inc. The securitizations are backed by student loans originated under the Federal Family Education Loan Program (FFELP) that are guaranteed by the US government for a minimum of 97% of defaulted principal and accrued interest. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Collegiate Funding Services Education Loan Trust 2005-B Cl. B, Downgraded to B1 (sf); previously on Dec 21, 2023 Downgraded to Ba1 (sf) Issuer: Nelnet Education Loan Funding, Inc. (2004 Indenture) 2004-1-A2, Downgraded to B1 (sf); previously on Dec 19, 2023 Downgraded to Ba1 (sf) Issuer: Nelnet Student Loan Trust 2005-4 Cl. A-4L, Downgraded to B1 (sf); previously on Dec 19, 2023 Downgraded to Ba1 (sf) Cl. A-4AR-1, Downgraded to B1 (sf); previously on Dec 19, 2023 Downgraded to Ba1 (sf) Cl. A-4AR-2, Downgraded to B1 (sf); previously on Dec 19, 2023 Downgraded to Ba1 (sf) Cl. B, Downgraded to Baa3 (sf); previously on Dec 19, 2023 Upgraded to Baa2 (sf) Issuer: Nelnet Student Loan Trust 2007-1 Cl. A-4, Downgraded to Ba2 (sf); previously on Feb 14, 2025 Downgraded to Ba1 (sf) Cl. B-2, Downgraded to B1 (sf); previously on Dec 19, 2023 Downgraded to Ba1 (sf) Issuer: SLC Student Loan Trust 2006-2 Cl. A-6, Downgraded to A2 (sf); previously on Feb 10, 2025 Downgraded to A1 (sf) Cl. B, Downgraded to B1 (sf); previously on Dec 21, 2023 Downgraded to Ba1 (sf) Issuer: SLC Student Loan Trust 2007-2 Cl. A-3, Downgraded to Ba1 (sf); previously on Dec 21, 2023 Downgraded to Baa2 (sf) Cl. B, Downgraded to B1 (sf); previously on Dec 21, 2023 Downgraded to Ba1 (sf) Issuer: SLM Student Loan Trust 2003-1 Class A-5A, Downgraded to B1 (sf); previously on May 24, 2024 Confirmed at Ba1 (sf) Class A-5B, Downgraded to B1 (sf); previously on May 24, 2024 Confirmed at Ba1 (sf) Class A-5C, Downgraded to B1 (sf); previously on May 24, 2024 Confirmed at Ba1 (sf) Class B, Downgraded to B1 (sf); previously on May 24, 2024 Confirmed at Ba1 (sf) Issuer: SLM Student Loan Trust 2003-4 Class A5-A, Downgraded to B1 (sf); previously on May 24, 2024 Confirmed at Ba1 (sf) Class A5-B, Downgraded to B1 (sf); previously on May 24, 2024 Confirmed at Ba1 (sf) Class A5-C, Downgraded to B1 (sf); previously on May 24, 2024 Confirmed at Ba1 (sf) Class A5-D, Downgraded to B1 (sf); previously on May 24, 2024 Confirmed at Ba1 (sf) Class A5-E, Downgraded to B1 (sf); previously on May 24, 2024 Confirmed at Ba1 (sf) Class B, Downgraded to Ba2 (sf); previously on May 24, 2024 Confirmed at Ba1 (sf) Issuer: SLM Student Loan Trust 2003-7 Cl. A-5A, Downgraded to B1 (sf); previously on May 24, 2024 Confirmed at Ba1 (sf) Cl. A-5B, Downgraded to B1 (sf); previously on May 24, 2024 Confirmed at Ba1 (sf) Cl. B, Downgraded to Ba3 (sf); previously on May 24, 2024 Confirmed at Ba1 (sf) Issuer: SLM Student Loan Trust 2004-10 Cl. B, Downgraded to B1 (sf); previously on May 24, 2024 Downgraded to Ba2 (sf) Issuer: SLM Student Loan Trust 2006-9 Cl. B, Downgraded to Ba2 (sf); previously on Dec 21, 2023 Downgraded to Ba1 (sf) Issuer: SLM Student Loan Trust 2007-4 Cl. B-2A, Downgraded to B1 (sf); previously on May 24, 2024 Confirmed at Ba1 (sf) Cl. B-2B, Downgraded to B1 (sf); previously on May 24, 2024 Confirmed at Ba1 (sf) Issuer: SLM Student Loan Trust 2007-5 Cl. B-2, Downgraded to B1 (sf); previously on Dec 21, 2023 Downgraded to Ba1 (sf) Issuer: SLM Student Loan Trust 2007-6 Cl. A-5, Downgraded to Ba2 (sf); previously on Feb 10, 2025 Downgraded to Ba1 (sf) Cl. B, Downgraded to B1 (sf); previously on Sep 25, 2023 Downgraded to Ba1 (sf) Issuer: SLM Student Loan Trust 2007-8 Cl. A-5, Downgraded to Ba2 (sf); previously on May 24, 2024 Downgraded to Ba1 (sf) Issuer: SLM Student Loan Trust 2010-2 Class A Notes, Downgraded to Ba2 (sf); previously on Dec 19, 2023 Downgraded to Ba1 (sf) Issuer: SLM Student Loan Trust 2012-2 Class A, Downgraded to B1 (sf); previously on Dec 19, 2023 Downgraded to Ba1 (sf) Class B, Downgraded to Baa1 (sf); previously on Dec 19, 2023 Downgraded to A1 (sf) Issuer: SLM Student Loan Trust 2013-2 Class A, Upgraded to Aa1 (sf); previously on May 7, 2024 Downgraded to A1 (sf) Class B, Downgraded to Ba3 (sf); previously on May 7, 2024 Downgraded to Ba1 (sf) RATINGS RATIONALE The rating actions reflect updated performance of the transactions and updated expected loss on the tranches across Moody's cash flow scenarios. Moody's quantitative analysis derives the expected loss of the tranche using 28 cash flow scenarios with weights accorded to each scenario. The rating downgrades on the bonds also reflect Moody's assessments of the sponsors' willingness and ability to support the notes by paying them off prior to their legal final maturity dates. The transaction documents typically include a 10% optional call provision, which if exercised by the sponsor would pay down the notes. Although sponsors have previously supported other similar transactions by exercising the optional call provision or doing additional loan purchases prior to the bonds' legal final maturity dates, more recently, deals have not been supported due to limited current market interest in FFELP loans. The rating downgrade on the Class B notes in SLM Student Loan Trust 2012-2 considers the likelihood of deferred interest on these notes due to the failure of the Class A notes to pay down by their legal final maturity, as well as the ultimate expected loss. The rating upgrade on the Class A notes in SLM Student Loan Trust 2013-2 reflects the recent paydowns on the bonds. The high prepayment levels in 2024 have reduced the risk of these notes not paying down by their legal final maturity dates. 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 "FFELP Student Loan Securitizations" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings if the paydown speed of the loan pool increases as a result of declining borrower usage of deferment, forbearance and IBR, increasing voluntary prepayment rates, or prepayments with proceeds from sponsor repurchases of student loan collateral. Moody's could also upgrade the ratings owing to a build-up in credit enhancement. Down Moody's could downgrade the ratings if the paydown speed of the loan pool declines as a result of lower than expected voluntary prepayments, and higher than expected deferment, forbearance and IBR rates, which would threaten full repayment of the class by its final maturity date. In addition, because the US Department of Education guarantees at least 97% of principal and accrued interest on defaulted loans, Moody's could downgrade the rating of the notes if Moody's were to downgrade the rating on the United States government. COLT 2025-6: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to COLT 2025-6 Mortgage Loan Trust's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, a townhouse, and two- to four-family residential properties. The pool consists of 687 loans, which are qualified mortgage (QM)/non-higher-priced mortgage loan (HPML), QM/HPML, non-QM/ability-to-repay (ATR) compliant, and ATR-exempt loans. The preliminary ratings are based on information as of June 12, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) COLT 2025-6 Mortgage Loan Trust Class A-1, $227,893,000: AAA (sf) Class A-2, $22,027,000: AA (sf) Class A-3, $35,609,000: A (sf) Class M-1, $16,893,000: BBB (sf) Class B-1, $12,587,000: BB (sf) Class B-2, $10,434,000: B (sf) Class B-3, $5,797,228: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the 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. COMM 2015-LC19: DBRS Confirms B Rating on Class F Certs ------------------------------------------------------- DBRS, Inc. downgraded the credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2015-LC19 issued by COMM 2015-LC19 Mortgage Trust as follows: -- Class G to CCC (sf) from B (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class PEZ at A (high) (sf) -- Class D at BBB (sf) -- Class X-C at BBB (high) (sf) -- Class E at BB (sf) -- Class F at B (sf) Morningstar DBRS changed the trends of Classes E and F to Stable from Negative. There is no trend for Class G, which has a credit rating that does not typically carry trends in commercial mortgage-backed securities (CMBS). The trends on the remaining classes are Stable. The credit rating downgrade reflects Morningstar DBRS' recoverability expectations for the remaining loans in the pool. Since the last credit rating action in July 2024, 43 loans have repaid from the pool, leaving seven loans, of which three, representing 37.4% of the pool, are in special servicing. Overall, the transaction has paid down by 75.4% since issuance. As the pool continues to wind down, Morningstar DBRS looked to a recoverability analysis, the results of which suggest that losses would significantly erode the unrated Class H, leaving the rated Class G susceptible to losses should loan performance across the remaining loan continues to worsen. Morningstar DBRS concluded that the senior classes continue to be insulated from losses, the primary consideration in the confirmation of Class A-M through Class F. Given the concentration of defaulted loans remaining, Morningstar DBRS' analysis considered conservative liquidation scenarios for all three loans in special servicing, based on stresses to the most recent appraised values to determine the recoverability of the outstanding bonds. The analysis resulted in cumulative implied losses of approximately $19.0 million, contained to the unrated Class H, which has a current balance of $39.6 million. The largest loan in special servicing, Central Plaza (Prospectus ID#4, 22.9% of the pool), is secured by the borrower's fee-simple interest in four Class B office buildings, totaling 880,035 square feet (sf) in Los Angeles. The loan transferred to special servicing in December 2024 for maturity default. The property continues to experience leasing challenges as occupancy decreased to 48.2% as of the March 2025 appraisal, down from 64.2% at issuance. The leasing challenges are exacerbated by soft submarket conditions as according to Reis, the Mid-Wilshire submarket reported an elevated vacancy rate of 22.7% as of Q1 2025. Despite the decrease in occupancy, the property's annualized net cash flow (NCF) based on the trailing 11-month period ended November 30, 2024, was $8.7 million (reflecting a debt service coverage ratio (DSCR) of 1.53 times (x)), up over the YE2023 NCF of $8.0 million and issuance NCF of $8.3 million. An updated appraisal completed in March 2025 valued the property at $109.0 million, down 22.9% from the issuance appraisal of $141.3 million. Given the depressed value and lack of leasing activity, Morningstar DBRS analyzed this loan with a liquidation scenario, resulting in a loss severity of 4.0%. The second largest loan in special servicing, Decorative Center of Houston, is secured by a 514,000 sf mixed-use property comprising primarily office and unique showroom space in Houston. The loan transferred to special servicing in January 2025 for maturity default. While occupancy is relatively unchanged when compared with the prior year's reporting, occupancy has been in decline over the last several years, decreasing to 59.4% as of the March 2025 appraisal from 65% at YE2022 and 70% at YE2020. While the tenant roster is fairly granular, two of the property's five largest tenants, representing 5.1% net rentable area, have scheduled lease expirations by June 2026. An updated appraisal was completed in March 2025 valued the property at $43.3 million, a 44.3% decline from the issuance appraised value of $77.8 million. Morningstar DBRS' analysis included a liquidation scenario based on a 20% haircut to the March 2025 appraised value to reflect the declining occupancy and weak submarket fundamentals, resulting in an increased projected loss severity of approximately 31.0%. The pool's largest loan, 9911 Belward Campus Drive (Prospectus ID#3, 28.1% of the pool), is being monitored on the servicer's watchlist as the loan reached is anticipated repayment date in January 2025. The three remaining loans are currently performing with none of the loans reporting a 2024 DSCR of less than 1.51x. 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. CROSSROADS ASSET 2025-A: DBRS Gives Prov. BB Rating on E Notes -------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes (the Notes) to be issued by Crossroads Asset Trust 2025-A: -- $40,000,000 Class A-1 Notes at (P) R-1 (high) (sf) -- $146,630,000 Class A-2 Notes at (P) AAA (sf) -- $18,250,000 Class B Notes at (P) AA (sf) -- $14,750,000 Class C Notes at (P) A (sf) -- $18,120,000 Class D Notes at (P) BBB (sf) -- $10,750,000 Class E Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on a review by Morningstar DBRS of the following analytical considerations: (1) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update, published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (2) The expected cumulative net loss (CNL) assumption considers the deterioration in cumulative gross loss (CGL) for some of the recently originated vintages in conjunction with the volatility in performance data historically exhibited by portfolios concentrated in transportation industry. Furthermore, Morningstar DBRS considered the potential impact of the trade tariffs and other measures recently announced and being implemented by the U.S. governing authorities on collateral performance. While there has been some improvement in asset performance for the 2024 vintage, the sector specific recessionary pressures persist. At the same time, Crossroads has been able to achieve higher recovery rates compared to some of its peers. Morningstar DBRS examined the historical CGL data, which was further adjusted to incorporate the performance of recent vintages and the expectation regarding the length of continuing recession in the transportation sector. Morningstar DBRS applied a haircut (relative to an expected case) recovery rate to determine the CNL assumption. The CNL assumption also takes into consideration a mix in the expected collateral portfolio (including certain limits applied to collateral to be funded during the funding period) of such attributes as risk grade, fleet size, and new / used vehicles. (3) The transaction's capital structure and form and sufficiency of available credit enhancement. The subordination, OC, cash held in the Reserve Account, available excess spread, and other structural provisions create credit enhancement levels that are commensurate with the respective credit ratings for each class of the Notes. Under various cash flow scenarios, the credit enhancement available to the Transaction can withstand the stressed expected loss using target multiples of 5.15 times (x) , 4.15x, 3.30x, 2.40x, and 1.80x , with respect to the Class A, B, C, D, and E Notes, respectively. -- The initial OC as of the closing date will be equal to 4.00%, expected to build up to 6.50% of the Securitization Value of the outstanding collateral (subject to a floor equal to 2.00% of Aggregate Securitization Value as of the Initial Cut-Off Date, including initial Securitization Value of collateral to be funded during the funding period). -- The nondeclining, replenishable cash Reserve Account will be funded at 1.00% of the initial Securitization Value of the collateral pool, including initial Securitization Value of the collateral to be funded during the funding period. -- The weighted-average (WA) contract rate for the expected collateral pool is approximately 12.03% (with the minimum requirement of 12.00% following the funding period), resulting in a substantial expected excess spread at closing. (4) Sequential amortization of the Notes; subordination; the nondeclining, replenishable reserve amount; and the OC floor are expected to create credit enhancement for the Notes that increases over time. (5) Morningstar DBRS' cash flow analysis tested the ability of the transaction to generate cash flows sufficient to service the interest and principal payments on the Notes under four different net loss timing scenarios and during slow (zero conditional prepayment rate (CPR)) and fast (8 CPR) prepayment environments. (6) The expected amount to be funded during the funding period is limited at 12% of the aggregate Securitization Value, with the risk further mitigated by limits on certain collateral characteristics that will apply during the funding period. (7) The related financing contracts for the units contributed to collateral pool will be entirely in electronic form. Also, Crossroads installs GPS tracking devices on all trucks and trailers it finances and can block a vehicle once it comes to a stop. (8) Crossroads is an established originator and servicer of equipment loan and lease contract receivables, which has been operating since 2006. Crossroads managed a portfolio of approximately $839 million in outstanding receivables as of December 31, 2024. Crossroads' financing and syndication partners include such established, large industry participants as Daimler Truck Finance. (9) Morningstar DBRS performed an operational risk review and deems Crossroads an acceptable originator and servicer of equipment-backed leases and loans. GreatAmerica Portfolio Services Group, LLC, an experienced servicer of equipment-backed collateral, will be the Back-up Servicer for the Transaction. (10) The expected collateral pool is granular but has approximately 31% (by principal balance) obligor concentration in California. As of the Initial Cut-Off Date, approximately 91% of collateral benefited from personal guarantees. Approximately 15% of collateral had corporate guarantors. In addition, approximately 40%, 9%, 20% and 31% of collateral, respectively, was represented by individual owner-operators (IOO), large fleets, mid-size fleets and small fleets. The Series 2025-A benefits from no exposure to credit tier D obligors, with 41% of obligors assigned credit tier A by Crossroads. New equipment financing represented 53% of collateral as of the Initial Cut-Off Date. (11) The transaction is supported by an established structure and is consistent with Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology. Legal opinions covering true sale and nonconsolidation will also be provided. Morningstar DBRS' credit rating on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Accrued Note Interest and Initial Note Balance. Notes: All figures are in US dollars unless otherwise noted. DAILYPAY SECURITIZATION 2025-1: DBRS Gives (P)BB Rating on D Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following notes to be issued by DailyPay Securitization Trust 2025-1: -- $179,450,000 Class A Notes at (P) AA (sf) -- $5,120,000 Class B Notes at (P) A (sf) -- $6,810,000 Class C Notes at (P) BBB (sf) -- $8,620,000 Class D Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION (1) The Transaction's capital structure and available credit enhancement. Subordination, overcollateralization (OC), cash held in the Reserve Account and available Excess Fee Revenue, as well as other structural provisions create credit enhancement levels which are sufficient to support Morningstar DBRS' stressed cumulative gross loss (CGL) hurdle rate assumptions of 19.85%, 16.94%, 12.95% and 9.03%, respectively, for each of the AA (sf), A (sf), BBB (sf) and BB (sf) rating categories. The respective stressed cumulative net loss (CNL) hurdle rates for the Class A, Class B, Class C and Class D Notes are 16.05%, 13.65%, 10.37% and 6.94%. -- The required OC during the revolving period will be equal to approximately 6.10% of the Initial Adjusted Pool Balance. The Notes will amortize sequentially, on a "full turbo" basis during the Amortization Period. -- A non-amortizing, replenishable cash reserve account will equal 0.75% of the initial Note Balance and may be used to pay interest and senior expenses (but not to make Priority Principal Payments). -- Despite the expected paydown of the Notes within a month during amortization, cash flow scenarios by Morningstar DBRS incorporate the full annual capped amount of senior expenses ($250,000) as well as a one-time senior expense amount of $250,000. (2) Morningstar DBRS used its CLO Insight Model to generate the stressed CGL at each rating level based on the "worst case" proxy collateral pool based on the applicable transaction terms. Given limitations on collateral quality migration during the revolving period imposed by concentration limits, eligibility criteria and performance triggers, as well as the fact that Morningstar DBRS used the "worst case" collateral proxy pool in the CLO Insight Model, the Collateral Modeling Tenor input in the CLO Insight Model was adjusted to be shorter than the revolving period and to be more reflective of the expected tenor of collateral. (3) A review by Morningstar DBRS of the historical weekly Receivables performance of DailyPay going back to October 2021. Historically, the first day default rate stemming both (a) from very limited cases of corporate default and (b) from administrative defaults (e.g., failure by employer to include child support deductions in the file submitted to DailyPay, which resulted in lower-than-expected remittance on payday) averaged 0.28%, with the average recovery rate of 71.08%. (4) The collateral is expected to generate a substantial aggregate amount of fees (the Excess Revenue). The Excess Revenue is generated by a flat fee of approximately $3.49 that DailyPay charges on instant cash transfers (other than transfers on its credit card). Historically, most customers (91.8% of all On-Demand Pay disbursements on average over 12-month period ending in November 2024) consistently opted for instant transfer. -- Morningstar DBRS assigned only a limited credit to excess fee revenue in its cash flow scenarios based on the Early Amortization Event trigger of 10% and incorporating loss of revenue because of stressed defaults in each respective rating's cash flow scenario. Morningstar DBRS cash flow scenarios also gave no credit to an average historically experienced 2.6x (times) turn of receivables within a month in assessment of the available Excess Revenue at the start of Amortization Period. (5) Collateral eligibility requirements and concentration limits that ensure the consistent credit quality and diversity of the collateral pool backing the Notes during the revolving period. The proxy collateral pool assumed by Morningstar DBRS in its assessment of the stressed CGL based on such concentration limits is more conservative relative to the actual and expected obligor and industry mix in the DailyPay's portfolio. The collateral concentration limits and eligibility criteria cover the maximum term of the receivables, the minimum number of obligors, obligor industry concentrations, individual largest obligor concentrations for investment-grade, non-investment grade and unrated obligors, as well as the aggregate obligor exposure within specific credit rating categories (e.g., credit rating equivalent BBB (low) and better). -- Morningstar DBRS assumed the minimum possible credit rating equivalent (for instance, for "BBB (low) and above" category, only BBB (low) credit rating assumption was used). -- All unrated obligors were assumed to have credit quality commensurate with a CCC credit rating. (6) Amortization Event triggers which are designed to protect Noteholders in the event of weaker-than-expected collateral performance including, among others, a breach of several collateral performance triggers: -- As of any Measurement Date, the Non-Collection Ratio for the most recently ended Measurement Period exceeds 2.00%. -- As of any Measurement Date, the Delinquency Ratio for the most recently ended Measurement Period exceeds 4.50%, -- As of any Measurement Date, the Annualized Excess Revenue Ratio for the most recently ended Measurement Period is less than 10.00%. (7) The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- Morningstar DBRS performed an operational review of DailyPay and considers it to be an acceptable originator and servicer of On-Demand Pay Receivables with a backup servicer that is acceptable to Morningstar DBRS. -- Vervent is an experienced backup servicer in the commercial receivables space and is acceptable to Morningstar DBRS as a back-up servicer in a transaction backed by On-Demand Pay Receivables. (8) The average Statistical Pool during the month March 2025 included 901,898 Receivables, with the average outstanding Receivable balance of $422.95. The weighted average remaining Receivable term was seven days, and on average during the month, 92.28% of Receivables were expected to be repaid within 13 days or less. The largest, top five and top ten corporate obligors accounted for 7.64%, 16.30% and 29.09% of the aggregate Receivables balance, respectively. The investment grade obligors accounted for 28.25% of the aggregate Receivables balance, and non-investment grade obligors accounted for 19.37%, with the remainder being represented by unrated obligors. Top five employer industries accounted for 82.41% of the aggregate Receivables balance and comprised retail (27.33%), healthcare services (16.37%), hospitals and physicians' clinics (14.74%), business services (13.74%) and hospitality (10.22%). Furthermore, 87.28% of Receivables on average were represented by the employers onboarded by DailyPay as customers during 2023 or earlier. (9) On January 22, 2025, DailyPay received a letter from the New York Attorney General's Office setting forth its intent to sue DailyPay in connection with its On-Demand Pay product and to seek restitution and other monetary and other relief for DailyPay's alleged violations of New York's laws on wage assignments, civil and criminal usury, and advertising, among others. Receivables with respect to which the related User has an address in the state of New York will not be included in the Pooled Receivables on the Closing Date and will not be added to the Pooled Receivables until a "NYAG Resolution" (as defined in the definition of Eligible Receivables) has occurred with respect to such Receivables. (10) The legal structure and expected legal opinions that will address the true sale of the receivables, the nonconsolidation of the assets of the Issuer, that the Indenture Trustee has a valid first-priority security interest in the assets, and consistency with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance". (11) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, Baseline Macroeconomic Scenarios For Rated Sovereigns: March 2025 Update published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Interest and accrued interest, and the Initial Note Balance for each of the rated notes. Notes: All figures are in U.S. dollars unless otherwise noted. DRYDEN 53 CLO: Moody's Cuts Rating on $22.5MM Class E Notes to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following note issued by Dryden 53 CLO, Ltd.: US$39,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aa3 (sf); previously on May 10, 2023 Upgraded to A1 (sf) Moody's have also downgraded the ratings on the following notes: US$22,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on January 11, 2018 Assigned Ba3 (sf) US$12,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Downgraded to Caa3 (sf); previously on February 6, 2024 Downgraded to Caa2 (sf) Dryden 53 CLO, Ltd., issued in January 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action on the Class C notes is primarily a result of deleveraging of the senior notes and an increase in the notes' over-collateralization (OC) ratios since April 2024. The Class A notes have been paid down by approximately 30.8% or $107.3 million since then. Based on the trustee's April 2025 report[1], the OC ratio for the Class C notes is reported at 121.25%, versus April 2024[2] level of 118.32%. The downgrade rating actions on the Class E and Class F notes reflect the specific risks to the notes posed by par loss and spread deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the transaction has incurred par loss of approximately 1.9% or $10.3 million since April 2024. Furthermore, the weighted average spread (WAS) has been deteriorating, and the current trustee-reported WAS [3] is 3.27%, compared to 3.56% in April 2024[4]. No actions were taken on the Class A, Class B and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $417,773,464 Defaulted par: $7,002,252 Diversity Score: 78 Weighted Average Rating Factor (WARF): 2770 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.99% Weighted Average Recovery Rate (WARR): 47.06% Weighted Average Life (WAL): 3.7 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. DWIGHT 2025-FL1: Fitch Assigns B-sf Final Rating on Three Tranches ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Dwight 2025-FL1 Issuer LLC as follows: - $531,875,000a class AAA 'AAAsf'; Outlook Stable; - $122,562,000a class A-S 'AAAsf'; Outlook Stable; - $63,594,000a class B 'AA-sf'; Outlook Stable; - $49,719,000a class C 'A-sf'; Outlook Stable; - $30,062,000a,b class D 'BBBsf'; Outlook Stable; - $0c class D-E 'BBBsf'; Outlook Stable; - $0d class D-X 'BBBsf'; Outlook Stable; - $15,031,000a,b class E 'BBB-sf'; Outlook Stable; - $0c class E-E 'BBB-sf'; Outlook Stable; - $0d class E-X 'BBB-sf'; Outlook Stable; - $30,063,000b,e class F 'BB-sf'; Outlook Stable; - $0c class F-E 'BB-sf'; Outlook Stable; - $0d class F-X 'BB-sf'; Outlook Stable; - $20,812,000b,e class G 'B-sf'; Outlook Stable; - $0c class G-E 'B-sf'; Outlook Stable; - $0d class G-X 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $61,282,000e,f *income notes. (a) Privately placed and pursuant to Rule 144A. (b) Exchangeable notes: The classes D, E, F, and G notes are exchangeable for proportionate interest in the MASCOT notes, subject to satisfaction of certain conditions and restrictions, provided that, at the time of the exchange, such notes are owned by a wholly owned subsidiary of Dwight REIT. The principal balance of each of the exchangeable notes received in an exchange will be equal to the principal balance of the corresponding MASCOT P&I notes surrendered in such exchange. (c) MASCOT P&I notes. (d) MASCOT interest-only notes. (e) Retained notes. (f) Horizontal risk retention interest, estimated to be 6.625% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $778,901,081 and does not include future funding. The ratings are based on information provided by the issuer as of June 16, 2025. Transaction Summary The notes are collateralized by 31 loans secured by 38 commercial properties with an aggregate principal balance of $778,901,081 as of the cutoff date. The pool includes one delayed closing loan totaling $77.5 million, which is expected to close within 60 days. The pool also includes ramp-up collateral interest of approximately $146.1 million. The pool does not include $76.8 million of future funding. The loans and interest securing the notes are owned by Dwight 2025-FL1 Issuer LLC as the issuer of the notes. The servicer and special servicer are Situs Asset Management LLC and Situs Holdings, LLC. The trustee is Wilmington Trust, National Association, and the note administrator is Computershare Trust Company, National Association. The notes follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed detailed cash flow analysis for 31 loans in the pool (100.0% by balance) and asset summary reviews of all the loans in the pool. Fitch's aggregate net cash flow (NCF), including the prorated trust portion of any pari passu loan, is $63.1 million, which represents a 14.9% decline from the issuer's aggregate underwritten net cash flow NCF of $54.9 million. Higher Fitch Leverage: The pool has higher leverage than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 151.4% is worse than the 2024 and 2025 YTD CRE-CLO transaction averages of 140.7% and 137.9%, respectively. The pool's Fitch NCF debt yield (DY) of 6.0% is weaker than both the 2024 and 2025 YTD averages of 6.5% and 6.6%, respectively. Low Loan Concentration: The pool is less concentrated than 2024 transactions but more highly concentrated than recently rated 2025 Fitch transactions. The largest 10 loans represent 63.5% of the pool, which is less concentrated than the 2024 YTD five-year multiborrower average of 70.5% and more concentrated than the 2025 YTD average of 60.5%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 20.7 which was higher than the 2024 average of 16.9 and the 2025 YTD five-year multiborrower average of 20.6. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Loan Seasoning: The pool contains more seasoned loans than recently rated Fitch CRE-CLO transactions. The pool's WA seasoning of 12.8 months is higher than both the 2024 CRE-CLO and the 2025 YTD averages of 8.8 months and 10.0 months, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating (MIR) sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the MIR sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash ﬂow modeling referenced in its "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Recovery Rating Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash ﬂow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Pricewaterhouse Coopers 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. EFMT 2025-CES3: Fitch Assigns 'Bsf' Final Rating on Class B-2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to EFMT 2025-CES3. Entity/Debt Rating Prior ----------- ------ ----- EFMT 2025-CES3 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary 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. ELEMENT NOTES: DBRS Hikes Class C Notes Rating to BB ---------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Class A Notes and the Class B Notes and upgraded its credit ratings on the Class C Notes and the Class D Notes (together, the Secured Notes) of Element Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, and the Third Supplemental Indenture dated June 12, 2025, entered into between Element Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes upgraded to BB (sf) from BB (low) (sf) -- Class D Notes upgraded to BB (low) (sf) from B (high) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Third Supplemental Indenture, dated June 12, 2025, by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 19, 2024). The Third Supplemental Indenture increased the Commitment Amounts of the Secured Notes, among other changes. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Element Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26North Direct Lending II LP. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via the selection of an applicable row from a collateral quality matrix (the CQM). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). Morningstar DBRS analyzed each structural configuration as a unique transaction and all configurations (rows) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 153.12%; Threshold 130.00% Class B Overcollateralization Ratio Test: Actual 139.84%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 125.35%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 221.07%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 188.99%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 151.16%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 56.76%; Threshold 60.00% Class B Advance Rate: Actual 63.86%; Threshold 67.50% Class C Advance Rate: Actual 73.32%; Threshold 77.50% Class D Advance Rate: Actual 75.68%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 18.34; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 29.93%; Threshold 40.00% Minimum WA Spread: Actual 5.65%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 59.98%; Threshold 59.04% As of April 30, 2025, the transaction is in compliance with all Coverage Tests and Collateral Quality Tests. There have not been any defaults in the portfolio to date. Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) 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 CLO Methodology (November 19, 2024). The model-based analysis produced satisfactory results, which, in addition to Morningstar DBRS' review of the Third Supplemental Indenture, supported the above-referenced credit rating actions on the above-mentioned 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 is used in assigning ratings to a facility. Notes: All figures are in US dollars unless otherwise noted. ETRADE ABS III: Moody's Hikes Rating on Class A-2 Notes to Caa2 --------------------------------------------------------------- Moody's Ratings has upgraded the rating on notes issued by E*Trade ABS CDO III, Ltd.: US$37,750,000 Class A-2 Second Priority Senior Secured Floating Rate Notes due 2040 (current outstanding balance $7,181,739.07), Upgraded to Caa2 (sf); previously on May 13, 2010 Downgraded to Ca (sf) E*Trade ABS CDO III, Ltd., issued in December 2004, is a collateralized debt obligation backed primarily by a portfolio of structured finance assets. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating action reflects the current level of credit enhancement available to the notes, 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. The notes have either incurred a missed interest payment or is currently undercollateralized. Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original notes balance. No actions were taken on the other rated classes in the deal 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. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in July 2024. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the 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. Certain deal features and their characteristics, such as amortization profile assumptions, and waterfall features can also influence the rating outcomes. EXTENET ISSUER 2025-1: Fitch Gives BB-(EXP) Rating on C Notes ------------------------------------------------------------- Fitch Ratings assigns expected ratings for ExteNet Issuer, LLC, Secured Distributed Network Revenue Notes, Series 2025-1. - $83,300,000 series 2025-1, class A-2, 'A-(EXP)sf'; Outlook Stable; - $10,100,000 series 2025-1, class B, 'BBB-(EXP)sf'; Outlook Stable; - $24,100,000 series 2025-1, class C, 'BB-(EXP)sf'; Outlook Stable. Transaction Summary This transaction is a securitization of contractual license payments derived from a national network of 245 outdoor distributed network systems (DNS) located in major metro areas across 35 states, guaranteed by the indirect parent of the borrower issuer. This guarantee is secured by a pledge and first-priority-security interest in 100% of the equity interest of the issuer. Collateral assets include small cell equipment, dark fiber conduits, pole attachments, headend electronics, access rights, customer license agreements and transaction accounts. Node cash flows are supported by long-term license revenues from investment-grade-rated wireless carriers (99.1% of annualized run rate revenue [ARRR]). The WA remaining term for the portfolio is 4.0 years and 13.3 years on a fully extended basis. The WA weighted average escalator for the collateral pool is 1.5%. The four largest issuer-defined markets include Greater New York City, (15.2% of ARRR), San Francisco (9.3%), Boston (9.2%) and Las Vegas (7.6%). No market outside of the top four accounts for more than 5.7%% of ARRR. At closing, note proceeds will be used to fund upfront reserves, refinance existing debt and fund general corporate purposes. The ratings reflect a structured finance analysis of the cash flows from the ownership interest in small cell sites, not an assessment of the corporate default risk of the ultimate parent, ExteNet Systems, LLC (Extenet). KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $41.2 million, implying a 11.2% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 12.0x, versus the debt/issuer NCF leverage of 10.6x. Following the transaction's anticipated repayment date (ARD), the notes would be repaid 22 years from closing, based on the Fitch NCF and assumed annual revenue growth consistent with the weighted average (WA) escalator of the collateralized pool of distributed network system (DNS) licenses, and the investment-grade-rated notes would be repaid 16 years from closing. 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 networks; high contract renewal rates; low market concentration; high barriers to entry; the creditworthiness of the customer base; the market position of the operator; the capability of the sponsor; limited operational requirements; 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 29 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology will be developed, rendering obsolete the current transmission of wireless signals through small cell nodes or transmission of data through fiber optic cables. Wireless service providers (WSPs) currently depend on small cells to transmit their signals in areas that cannot be feasibly reached by traditional macro wireless towers and continue to invest in this technology. Verizon Rating Sensitivity: Fitch performed a stress scenario in which revenues were reduced by 46% in year one, based on the revenue contribution of Verizon Communications, Inc. (A-/Stable). Thereafter, revenues from the remaining leases were allowed to increase based on the weighted average contractual escalator. Issuer assumptions for management fee, capital expenditures and expense margins were maintained. In this stress scenario, classes A-2, B and C fail to repay in full by the legal final maturity date, demonstrating the transaction's sensitivity to Verizon as the single largest customer. These networks are strategically important providers of wireless service to major metropolitan markets and the costs would be high for carriers switching to an alternative provider; in Fitch's view, Verizon is strongly incentivized to affirm the securitized contracts if the company were to enter bankruptcy. Therefore, Fitch did not apply a rating cap to this transaction. The credit quality of the transaction may deteriorate, however, in the event of a decline in Verizon's credit quality. The transaction is potentially exposed to negative rating actions should Verizon's corporate credit risk demonstrate characteristics of credit ratings below investment-grade. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of higher site expenses or license churn, and the development of an alternative technology for the transmission of wireless signal could lead to downgrades. Fitch's NCF was 11.2% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 to 'BBB-sf' from 'A-sf'; class B to 'BBsf' from 'BBB-sf'; and class C to 'B-sf' from 'BB-sf'. The ratings for classes A-2, B and C are also sensitive to negative rating actions on Verizon's IDR due to excessive counterparty exposure and the ultimate repayment of these classes being reliant on obligations from Verizon. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing cash flow without an increase in corresponding debt, from lower site expenses, contractual license escalators, new license agreements, or license agreements could lead to upgrades. However, upgrades are unlikely given the provision to issue additional debt. Upgrades may also be limited because the ratings are capped at 'Asf' due to the risk of technological obsolescence. A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 to 'Asf' from 'A-sf'; class B to 'BBBsf' from 'BBB-sf' to 'BBBsf'; class F to 'BBsf' from 'BB-sf'. 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 ExteNet Issuer, LLC, Secured Distributed Network Revenue Notes, Series 2025-1 has an ESG Relevance Score of '4' for Transaction & Collateral Structure due to Transaction & Collateral Structure, which has a negative impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. FIGRE TRUST 2025-HE3: S&P Assigns B- (sf) Rating on Class F Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to FIGRE Trust 2025-HE3's mortgage-backed notes. The transaction's issuance is an RMBS securitization backed by first- and subordinate-lien, simple-interest, fixed-rate, fully amortizing residential mortgage loans that are open-ended home equity lines of credit (HELOCs). The loans are secured by single-family residences, condominiums, townhouses, and two- to four-family residential properties. The pool is composed of 4,368 initial HELOCs plus 257 subsequent draws (4,625 HELOC mortgage loans), which are ability to repay-exempt loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage originator, Figure Lending LLC; -- Sample due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P's outlook is updated, if necessary, when these projections change materially. Ratings Assigned FIGRE Trust 2025-HE3(i) Class A, $233,694,000: AAA (sf) Class B, $25,887,000: AA- (sf) Class C, $39,363,000: A- (sf) Class D, $19,858,000: BBB- (sf) Class E, $17,022,000: BB- (sf) Class F, $12,235,000: B- (sf) Class G, $6,560,566: NR Class XS, notional(ii): NR Class FR(iii): NR Class R, not applicable: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The class XS notes will have a notional amount equal to the aggregate principal balance of the mortgage loans and any real estate-owned properties as of the first day of the related collection period. (iii)The initial class FR certificate balance is zero. In certain circumstances, class FR is obligated to remit funds to the reserve account to reimburse the servicer for funding subsequent draws in the event there is insufficient available funds or amounts on deposit in the reserve account. Any amounts remitted by the class FR certificates will be added to and increase the balance of the class FR certificates. NR--Not rated. FLATIRON CLO 23: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Flatiron CLO 23 LLC refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Flatiron CLO 23 LLC A-R LT NRsf New Rating B 33883DAC8 LT PIFsf Paid In Full AAsf B-R LT AA+sf New Rating C 33883DAE4 LT PIFsf Paid In Full Asf C-R LT A+sf New Rating D 33883DAG9 LT PIFsf Paid In Full BBB-sf D-R LT BBB+sf New Rating E 33883DAJ3 LT PIFsf Paid In Full BB-sf E-R LT BB+sf New Rating F-R LT NRsf New Rating Transaction Summary Flatiron CLO 23 LLC (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by NYL Investors LLC, which originally closed in May 2023. The CLO's secured notes will be refinanced on June 10, 2025 from the proceeds of the new secured notes. Net proceeds from the issuance of the secured, along with the existing subordinated notes, will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans (excluding defaults and including principal cash). KEY RATING DRIVERS Asset Credit Quality (Neutral): 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 (Neutral): The indicative portfolio consists of 99.74% first-lien senior secured loans and has a weighted average recovery assumption of 76.09%. 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 (Neutral): 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 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 (Neutral): 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. Key Provision Changes: The refinancing is implemented via the Supplemental Indenture which amends certain provisions of the transaction. The changes include but are not limited to: - Class A, B, C, D, E, and F notes are being refinanced to new class A-R, B-R, C-R, D-R, E-R, and F-R notes. - The spreads of classes A, B, C, D, E, and F notes are 1.80%, 2.45%, 3.35%, 5.25%, 8.00%, and 8.91%, respectively, compared to the spreads of 1.24%, 1.65%, 1.80%, 2.70%, 4.95%, and 7.75%, for classes A-R, B-R, C-R, D-R, E-R and F-R, respectively. - The OC triggers also changed for classes C, D, and E notes from 114.55%, 108.03%, and 104.81%, respectively, to 113.95%, 106.64%, and 103.70%, for classes C-R, D-R, and E-R, respectively. The OC trigger for class B notes was unchanged at 121.58%. - The IDT trigger changed from 105.5% to 103.9%. - The non-call period of the refinanced notes is extended from May 2025 to June 2026. Fitch Analysis: The current portfolio presented to Fitch includes 294 assets from 241 primarily high yield obligors. The portfolio balance is around $389 million (excluding defaulted assets). As per the May trustee report, the transaction passed all coverage tests. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 43.9% of the current portfolio par balance; ratings for 56.1% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; assets that are unrated by Fitch and have no public ratings from other agencies constitute 0.0% 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%, 12.0% and 12.0%, respectively. - Assumed risk horizon: 6.06 years; - Minimum weighted average spread of 3.16% - Fixed rate assets: 5.0%; - Assets rated 'CCC+' or below: 7.5%; - Non-first priority senior secured assets: 7.5%; - Minimum weighted average coupon of 6.50%; The transaction will exit the reinvestment period in April 2028. Current Portfolio: The Fitch Portfolio Credit Model (PCM) default rate outputs for the current portfolio were 42.4% at the 'AA+sf' rating stress, 37.2% at the 'A+sf' rating stress, 31.1% at the 'BBB+sf' rating stress, and 25.7% at the 'BB+sf' rating stress for classes B-R, C-R, D-R, and E-R notes, respectively. The PCM recovery rate outputs for the current portfolio were 49.8% at the 'AA+sf' rating stress, 59.4% at the 'A+sf' rating stress, 69.1% at the 'BBB+sf' rating stress, and 74.7% at the 'BB+sf' rating stress for classes B-R, C-R, D-R, and E-R notes, respectively. In the analysis of the current portfolio, class B-R, C-R, D-R, and E-R notes passed their respective rating thresholds in all nine cash flow scenarios with minimum cushions of 11.70%, 11.80%, 8.60%, and 12.70%, respectively. Fitch Stressed Portfolio (FSP): The PCM default rate outputs for the stressed portfolio were 49.0% at the 'AA+sf' rating stress, 43.4% at the 'A+sf' rating stress, 37.1% at the 'BBB+sf' rating stress, and 30.9% at the 'BB+sf' rating stress for classes B-R, C-R, D-R, and E-R notes, respectively. The PCM recovery rate outputs for the current portfolio were 46.5% at the 'AA+sf' rating stress, 56.0% at the 'A+sf' rating stress, 65.2% at the 'BBB+sf' rating stress, and 70.6% at the 'BB+sf' rating stress for classes B-R, C-R, D-R, and E-R notes, respectively. In the analysis of the current portfolio, class B-R, C-R, D-R, and E-R notes passed their respective rating thresholds in all nine cash flow scenarios with minimum cushions of 3.60%, 4.00%, 2.60%, and 4.40%, respectively. 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 between 'BBB-sf' and 'AAsf' for class B-R, between 'BB+sf' and 'Asf' for class C-R, and between less than 'B-sf' and 'BBB-sf' for class D-R and between less than 'B-sf' and 'BB+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, and 'A+sf' for class D-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Flatiron CLO 23 LLC. 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. GARNET CLO 2025-1: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Garnet CLO 2025-1 Ltd./Garnet CLO 2025-1 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Garnet Credit Management LLC, an independent portfolio company focusing on credit solutions in the BSL CLO space that is majority owned by Elliott Investment Management L.P. The preliminary ratings are based on information as of June 18, 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 Garnet CLO 2025-1 Ltd./Garnet CLO 2025-1 LLC Class A, $153.75 million: AAA (sf) Class A-L, $160.00 million: AAA (sf) Class B, $66.25 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $17.00 million: BB- (sf) Subordinated notes, $47.54 million: NR NR--Not rated. GCAT 2025-NQM3: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GCAT 2025-NQM3 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien and fixed- and adjustable-rate residential mortgage loans, some with interest-only periods. The loans are secured by single-family residential properties, planned-unit developments, townhouses, condominiums, and two- to four-family residential properties. The asset pool has 926 mortgage loans, which are primarily non-qualified mortgage (non-QM) loans (44.37% by balance) and ability-to-repay (ATR) exempt (39.10% by balance). The principal balance is approximately $507.24 million as of the cutoff date. The preliminary ratings are based on information as of June 16, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty (R&W) framework; -- The mortgage aggregator, Blue River Mortgage VI LLC (BRM VI), the transaction-specific review on the mortgage originator, Arc Home LLC, and any S&P Global Ratings reviewed mortgage originators; and -- S&P's economic outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) GCAT 2025-NQM3 Trust Class A-1A(ii), $344,418,000: AAA (sf) Class A-1B(ii), $50,724,000: AAA (sf) Class A-1(ii), $395,142,000: AAA (sf) Class A-2, $27,137,000: AA (sf) Class A-3, $49,457,000: A (sf) Class M-1, $16,485,000: BBB- (sf) Class B-1, $7,102,000: BB (sf) Class B-2, $6,086,000: B (sf) Class B-3, $5,834,235: NR Class A-IO-S, notional(iii): NR Class X, notional(iii): NR Class R, not applicable: NR (i)The preliminary ratings address S&P's expectation for the ultimate payment of interest and principal. (ii)Initial exchangeable certificates can be exchanged for the exchangeable certificates, and vice versa. The class A-1 certificates are entitled to receive a proportionate share of all payments otherwise payable to the initial exchangeable certificates. (iii)The notional amount equals the aggregate stated principal balance of the loans. NR--Not rated. GCAT TRUST 2025-INV2: Moody's Assigns B3 Rating to Cl. B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 56 classes of residential mortgage-backed securities (RMBS) issued by GCAT 2025-INV2 Trust, and sponsored by Blue River Mortgage III LLC. The securities are backed by a pool of prime jumbo (4.9% by balance) and GSE-eligible (95.1% by balance) residential mortgages aggregated by GCAT 2021-24B, LLC, originated by multiple entities and serviced by Fay Servicing, LLC, PennyMac Loan Services, LLC and PennyMac Corp. (collectively, PennyMac). The complete rating actions are as follows: Issuer: GCAT 2025-INV2 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aa1 (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4 *, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6 *, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aaa (sf) Cl. A-X-27*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans assigned on June 5, 2025, because the issuer will not be issuing this class. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.79%, in a baseline scenario-median is 0.47% and reaches 8.82% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. GEMINI NOTES: DBRS Hikes Class C Notes Rating to BB --------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Class A Notes and the Class B Notes and upgraded its credit ratings on the Class C Notes and the Class D Notes (together, the Secured Notes) of Gemini Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, and the Third Supplemental Indenture dated June 12, 2025, entered into between Gemini Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes upgraded to BB (sf) from BB (low) (sf) -- Class D Notes upgraded to BB (low) (sf) from B (high) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Third Supplemental Indenture, dated June 12, 2025, by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 19, 2024). The Third Supplemental Indenture increased the Commitment Amounts of the Secured Notes, among other changes. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Gemini Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26North Direct Lending II LP. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via the selection of an applicable row from a collateral quality matrix (the CQM). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). Morningstar DBRS analyzed each structural configuration as a unique transaction and all configurations (rows) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 153.12%; Threshold 130.00% Class B Overcollateralization Ratio Test: Actual 139.84%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 125.35%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 221.31%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 189.19%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 151.32%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 49.60%; Threshold 60.00% Class B Advance Rate: Actual 55.80%; Threshold 67.50% Class C Advance Rate: Actual 64.07%; Threshold 77.50% Class D Advance Rate: Actual 66.13%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 18.34; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 30.86%; Threshold 40.00% Minimum WA Spread: Actual 5.69%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 59.98%; Threshold 59.04% As of April 30, 2025, the transaction is in compliance with all Coverage Tests and Collateral Quality Tests. There have not been any defaults in the portfolio to date. Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) 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 CLO Methodology (November 19, 2024). The model-based analysis produced satisfactory results, which, in addition to Morningstar DBRS' review of the Third Supplemental Indenture, supported the above-referenced credit rating actions on the above-mentioned 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 is used in assigning ratings to a facility. Notes: All figures are in US dollars unless otherwise noted. GENERATE CLO 21: S&P Assigns Prelim BB- (sf) Rating on E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Generate CLO 21 Ltd./Generate CLO 21 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Generate Advisors LLC. The preliminary ratings are based on information as of June 17, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Generate CLO 21 Ltd./Generate CLO 21 LLC Class A, $248.00 million: NR Class B, $56.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $38.00 million: NR NR--Not rated. GFCM LLC 2003-1: Moody's Upgrades Rating on Cl. G Certs to B1 ------------------------------------------------------------- Moody's Ratings has upgraded the ratings on one class, affirmed the ratings on one class and downgraded the ratings on one class in GFCM LLC, Mortgage Pass-Through Certificates, Series 2003-1 as follows: Cl. G, Upgraded to B1 (sf); previously on Aug 12, 2024 Affirmed B3 (sf) Cl. H, Affirmed C (sf); previously on Aug 12, 2024 Affirmed C (sf) Cl. X*, Downgraded to Caa3 (sf); previously on Aug 12, 2024 Downgraded to Caa2 (sf) * Reflects Interest Only Classes RATINGS RATIONALE The rating on Cl. G, was upgraded due to loan paydowns and amortization as well as the credit support and expected principal paydowns from the remaining loans in the pool. Cl. G is now the most senior outstanding class and will benefit from priority of principal payments from future amortization and loan payoffs. The rating on Cl. H was affirmed at C (sf) due to its realized plus expected losses. Cl. H had an original balance of only $2.1 million and has already experienced a 43% realized loss based on its original balance. The rating on the interest only (IO) class, Cl. X, was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference classes. The deal has paid down 29% since Moody's prior review and 99% since securitization. Cl. X originally referenced all P&I classes including Class J (which Moody's did not rate and has experienced a 100% loss based on its original balance), however, only Classes G and H remain outstanding. All referenced classes senior to Cl. G have previously paid off in full. Moody's do not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's ratings reflect the potential for future losses under varying levels of stress. Moody's base expected loss plus realized losses is now 0.4% of the original pooled balance, unchanged from the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: forward-looking views of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses or interest shortfalls. DEAL PERFORMANCE As of the June 2025 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $8.2 million from $823 million at securitization. The certificates are collateralized by nine mortgage loans. The remaining loans are all amortizing and in aggregate have amortized approximately 81% since securitization. Six loans have been liquidated from the pool, contributing to an aggregate realized loss of $2.9 million and there are no loans currently in special servicing. As of the June 2025 remittance statement cumulative interest shortfalls were $146,207 and impacted up to Class H, however, these have been outstanding since January 2023 and there were no recent additional monthly shortfalls caused by the remaining loans in the pool. As a result of the significant amortization and loan performance Moody's LTV is below 40% on all the outstanding loans. Moody's actual and stressed weighted average DSCRs for the remaining loans are 1.99X and >8.00X, respectively, Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. GREENACRE PARK: Fitch Assigns 'BB+sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Greenacre Park CLO, LLC's reset transaction. Entity/Debt Rating ----------- ------ Greenacre Park CLO, LLC X-R LT NRsf New Rating A-R LT NRsf New Rating AL-R LT NRsf New Rating B-R LT AAsf New Rating C-R LT A+sf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB+sf New Rating F-R LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Greenacre Park CLO, LLC (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Clover Credit Management, LLC that originally closed in September 2021. This will be a reset and the existing secured notes will be refinanced in whole on June 11, 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 $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. 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 95.17% first-lien senior secured loans and has a weighted average recovery assumption of 74.34%. 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 '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 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, '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 Greenacre Park Co, LLC. 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. GREENACRE PARK: Moody's Gives B3 Rating to $200,000 F-R Notes ------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes issued and one class of CLO refinancing loans incurred by Greenacre Park CLO, LLC (the Issuer): US$3,500,000 Class X-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$123,500,000 Class A-R Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$128,500,000 Class A-R Loans maturing 2037, Assigned Aaa (sf) US$200,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) The notes and loans listed are referred to herein, collectively, as the Refinancing Debt. 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 debt is 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 lien loans. Clover Credit Management, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Debt and the other five classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; 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: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3071 Weighted Average Spread (WAS): 3.00% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Refinancing Debt is subject to uncertainty. The performance of the Refinancing Debt 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 Debt. GS MORTGAGE 2013-G1: DBRS Confirms BB Rating on DM Certs -------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2013-G1 issued by GS Mortgage Securities Trust 2013-G1 as follows: -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (low) (sf) -- Class DM at BB (sf) All trends are Stable. The credit rating confirmations reflect the overall continued stable performance of the transaction, as evidenced by the remaining underlying super-regional mall's occupancy rate, tenants sales, and cash flows, which remain in line with Morningstar DBRS' expectations at the previous credit rating action in June 2024. The subject also benefits from experienced sponsorship provided by Macerich, which made a $10 million principal curtailment as part of the loan modification in April 2023. The trust collateral originally consisted of three fixed-rate loans individually secured by two outlet malls and one regional mall: Great Lakes Crossing Outlets (Auburn Hills, Michigan), Katy Mills (Katy, Texas), and Deptford Mall (Deptford, New Jersey). The sole remaining property is Deptford Mall, with loan collateral consisting of 343,910 square feet (sf) of in-line space in the 1.0 million-sf super-regional mall. The original loan balance was $205.0 million, bifurcated into a $179.4 million senior pooled amount contributed to the pooled certificates and a $25.1 million subordinate non-pooled loan that backs the Class DM certificate. As of the May 2025 remittance, there is $120.2 million remaining in the senior pooled balance and $16.8 million in the subordinate note, representing a whole-loan collateral reduction of 33.2% since issuance. Deptford Mall is located just outside of Philadelphia and is anchored by non-collateral tenants Boscov's, Macy's, and JCPenney. The former Sears space has been partially backfilled by Dick's Sporting Goods, Xfinity, and Bonesaw Brewing Co., according to the property's directory. As of the December 2024 rent roll, collateral occupancy was 87.6%, compared with 89.6% at YE2023 and 89.2% at YE2022. Major collateral tenants include H&M (6.5% of the net rentable area (NRA), lease expiry January 2026), Foot Locker (3.7% of the NRA, lease expiry January 2034), and Victoria's Secret (3.2% of the NRA, lease expiry March 2035). One of the former larger collateral tenants, Forever 21 (4.7% of the NRA, lease expired in January 2025), appears to have vacated as part of a countrywide closure of all its stores following the company's second bankruptcy filing. Tenant rollover risk is notable as tenants representing approximately 48.9% of the NRA have leases scheduled to expire within the next 12 months, including H&M and Go! (2.7% of the NRA, lease expiry September 2025). According to Reis, the Gloucester County retail submarket has an average vacancy of 20.5% as of Q1 2025, making it a challenge to backfill vacant space relative to submarkets with stronger fundamentals. The loan previously transferred to special servicing in March 2023 for imminent default as the borrower provided notice it would be unable to repay the loan at its original maturity date in April 2023. The loan was subsequently modified, and the terms included an initial extension through April 2024, plus two additional one-year extension options subject to minimum debt yield hurdles of 10.25% and 11.00%, respectively. The borrower recently executed the second and final extension option, extending the maturity to April 2026. The loan remains in cash management for the remaining term. According to the May 2025 remittance, the loan had $11.2 million across all reserve accounts. The YE2024 net cash flow (NCF) was reported at $14.2 million, a decrease from the YE2023 NCF of $15.6 million and slightly below the YE2022 figure of $14.9 million. For those same periods, the subject reported a debt service coverage ratio (DSCR) of 1.25 times (x), 1.37x, and 1.31x, respectively. As of the December 2024 tenant sales report, in-line tenants reported sales of $552.79 per square foot (psf), a marginal decrease from the December 2023 figure of $558.08 psf. Morningstar DBRS maintained the analysis from its previous credit rating action, which included a Morningstar DBRS Value of $171.6 million based on a Morningstar DBRS NCF of $14.6 million, derived from a 2.0% haircut to the YE2022 NCF, and a Morningstar DBRS cap rate of 8.50%. The $171.6 million value implies a 79.8% all-in loan-to-value ratio (LTV) on the $137.0 million remaining whole-loan balance. The updated Morningstar DBRS Value implies a 49.5% haircut to the issuer's appraised value of $340.0 million. Morningstar DBRS maintained negative qualitative adjustments totaling -1.0% to the LTV sizing benchmarks to account for the weaker market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2025-NQM2: Fitch Assigns 'B(EXP)sf' Rating on B-2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2025-NQM2 (GSMBS 2025-NQM2 Trust). Entity/Debt Rating ----------- ------ GS Mortgage-Backed Securities Trust 2025-NQM2 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(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 M-1 LT BBB(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating RISKRETEN LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 719 nonprime loans originated by various entities and have a total balance of approximately $401 million, as of the cut-off date. The transaction is scheduled to close on or about June 30, 2025. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch sees home price values for this pool as 9.8% above a long-term sustainable level (versus 11% on a national level as of 4Q24). Affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices had increased by 2.9% yoy nationally as of February 2025, notwithstanding modest regional declines, but are still being supported by limited inventory. Nonqualified Mortgage Credit Quality (Mixed): The collateral consists of 719 loans totaling approximately $401 million and seasoned at about 10 months in aggregate, as calculated by Fitch (seven months, per the transaction documents). The borrowers have a moderate credit profile, with a 752 model FICO; a 39.5% debt-to-income ratio (DTI), accounting for Fitch's approach of mapping debt service coverage ratio (DSCR) loans to DTI; and moderate leverage, with a 71.6% sustainable loan-to-value ratio (sLTV). Of the pool, 62.6% of the loans are backed by owner-occupied properties, while 27.3% are backed by investor properties or second homes, including loans to foreign nationals or loans with a non-confirmed residency status. Additionally, 24.9% of the loans were originated through a retail channel. Of the loans, 71.9% are nonqualified mortgages (non-QMs), 27.9% are ATR/QM: Exempt, and 0.5% are safe-harbor QM (SHQM). Loan Documentation (Negative): Approximately 76.8% of the pool loans were underwritten to less than full documentation, as determined by Fitch, and 54.0% were underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) ability-to-repay (ATR), which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigors of the ATR mandates regarding underwriting and documentation of a borrower's ATR. Additionally, 14.8% of the loans are a DSCR product, 6.7% is an Asset Depletion product, and 0.8% is a CPA or PnL product. Separately, 0.3% of the loans by principal balance were originated to foreign nationals. Modified Sequential-Payment Structure with No Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. There will be no servicer advancing of delinquency principal and interest. The lack of advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. The structure has enough internal liquidity through the use of principal to pay interest, excess spread and credit enhancement to pay timely interest to senior certificates during stressed delinquency and cash flow periods. The structure has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bp increase to the fixed coupon or the net weighted average coupon (WAC) rate. Fitch expects the senior classes to be capped by the Net WAC. Additionally, at issuance, the unrated class B-3 interest allocation goes toward the senior cap carryover amount for as long as the senior classes are outstanding. This increases the P&I allocation for the senior classes as long as the B-3 is not written down. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.4% at 'AAA'. The analysis indicates that there is some potential for rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by situsAMC, Consolidated Analytics, Opus, and Selene. The third-party due diligence described in Form 15E focused on a credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: - A 5% PD credit was applied at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 36bps as a result of the diligence review. 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 2025-NQM2: S&P Assigns BB (sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to GS Mortgage Backed Securities Trust 2025-NQM2's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, co-operatives, and condotels. The pool consists of 719 loans, which are QM safe harbor (APOR), QM rebuttable presumption (APOR), non-QM/ATR-compliant, and ATR-exempt loans. The preliminary ratings are based on information as of June 16, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage aggregator and reviewed originators; and -- S&P's economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned GS Mortgage Backed Securities Trust 2025-NQM2 Class A-1, $305,024,000: AAA (sf) Class A-2, $17,539,000: AA+ (sf) Class A-3, $22,687,000: A+ (sf) Class M-1, $11,629,000: BBB+ (sf) Class B-1, $6,291,000: BBB (sf) Class B-2, $6,291,000: BB (sf) Class B-3, $11,820,124: NR Class X(i): NR Class SA, notional(ii): NR Class R, N/A: NR (i)Balance equal to the non-retained interest percentage of the amount of pre-existing servicing advances as of the closing date, which initially is $94,876. (ii)The notional amount will equal the non-retained interest percentage of the aggregate stated principal balance of the mortgage loans as of the first day of the related due period, which initially is $381,281,124. NR--Not rated. GS MORTGAGE 2025-PJ6: DBRS Gives Prov. B(low) Rating on B5 Notes ---------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2025-PJ6 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2025-PJ6 (the Issuer): -- $262.9 million Class A1 at (P) AAA (sf) -- $262.9 million Class A2 at (P) AAA (sf) -- $262.9 million Class A3 at (P) AAA (sf) -- $197.2 million Class A4 at (P) AAA (sf) -- $197.2 million Class A5 at (P) AAA (sf) -- $197.2 million Class A6 at (P) AAA (sf) -- $157.8 million Class A7 at (P) AAA (sf) -- $157.8 million Class A8 at (P) AAA (sf) -- $157.8 million Class A9 at (P) AAA (sf) -- $39.4 million Class A10 at (P) AAA (sf) -- $39.4 million Class A11 at (P) AAA (sf) -- $39.4 million Class A12 at (P) AAA (sf) -- $105.2 million Class A13 at (P) AAA (sf) -- $105.2 million Class A14 at (P) AAA (sf) -- $105.2 million Class A15 at (P) AAA (sf) -- $65.7 million Class A16 at (P) AAA (sf) -- $65.7 million Class A17 at (P) AAA (sf) -- $65.7 million Class A18 at (P) AAA (sf) -- $21.7 million Class A19 at (P) AAA (sf) -- $21.7 million Class A20 at (P) AAA (sf) -- $21.7 million Class A21 at (P) AAA (sf) -- $284.6 million Class A22 at (P) AAA (sf) -- $284.6 million Class A23 at (P) AAA (sf) -- $284.6 million Class A24 at (P) AAA (sf) -- $284.6 million Class A25 at (P) AAA (sf) -- $284.6 million Class AX1 at (P) AAA (sf) -- $262.9 million Class AX2 at (P) AAA (sf) -- $262.9 million Class AX3 at (P) AAA (sf) -- $262.9 million Class AX4 at (P) AAA (sf) -- $197.2 million Class AX5 at (P) AAA (sf) -- $197.2 million Class AX6 at (P) AAA (sf) -- $197.2 million Class AX7 at (P) AAA (sf) -- $157.8 million Class AX8 at (P) AAA (sf) -- $157.8 million Class AX9 at (P) AAA (sf) -- $157.8 million Class AX10 at (P) AAA (sf) -- $39.4 million Class AX11 at (P) AAA (sf) -- $39.4 million Class AX12 at (P) AAA (sf) -- $39.4 million Class AX13 at (P) AAA (sf) -- $105.2 million Class AX14 at (P) AAA (sf) -- $105.2 million Class AX15 at (P) AAA (sf) -- $105.2 million Class AX16 at (P) AAA (sf) -- $65.7 million Class AX17 at (P) AAA (sf) -- $65.7 million Class AX18 at (P) AAA (sf) -- $65.7 million Class AX19 at (P) AAA (sf) -- $21.7 million Class AX20 at (P) AAA (sf) -- $21.7 million Class AX21 at (P) AAA (sf) -- $21.7 million Class AX22 at (P) AAA (sf) -- $284.6 million Class AX23 at (P) AAA (sf) -- $284.6 million Class AX24 at (P) AAA (sf) -- $284.6 million Class AX25 at (P) AAA (sf) -- $284.6 million Class AX26 at (P) AAA (sf) -- $14.1 million Class B1 at (P) AA (low) (sf) -- $14.1 million Class BX1 at (P) AA (low) (sf) -- $14.1 million Class B1A at (P) AA (low) (sf) -- $4.6 million Class B2 at (P) A (low) (sf) -- $4.6 million Class BX2 at (P) A (low) (sf) -- $4.6 million Class B2A at (P) A (low) (sf) -- $2.8 million Class B3 at (P) BBB (low) (sf) -- $1.7 million Class B4 at (P) BB (low) (sf) -- $618.0 thousand Class B5 at (P) B (low) (sf) -- $262.9 million Class A1L at (P) AAA (sf) -- $262.9 million Class A2L at (P) AAA (sf) -- $262.9 million Class A3L at (P) AAA (sf) Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-1L, A-2L, and A-3L are super-senior notes or loans. These classes benefit from additional protection from the senior support note (Class A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-26, B-X-1, and B-X-2 are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, and B-2 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. The Class A-1L, A-2L, and A-3L Loans are loans that may be funded at the Closing Date as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 8.00% of credit enhancement provided by subordinated notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.45%, 1.95%, 1.05%, 0.50%, and 0.30% credit enhancement, respectively. The securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2025-PJ6 (the Notes). The Notes are backed by 254 loans with a total principal balance of $309,319,710 as of the Cut-Off Date. The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 69.8%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. The mortgage loans are originated by PennyMac Loan Services, LLC (30.5%), United Wholesale Mortgage, LLC (11.7%), and various other originators, each comprising less than 10.0% of the pool. The mortgage loans will be serviced by Newrez LLC d/b/a Shellpoint Mortgage Servicing (59.0%). PennyMac Loan Services, LLC (40.7%) and United Wholesale Mortgage, LLC (0.3%). Nationstar Mortgage LLC d/b/a Mr. Cooper Master Servicing will act as the Master Servicer, and Computershare Trust Company, N.A. will act as Paying Agent, Loan Agent, and Custodian and Collateral Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allows for the issuance of Classes A-1L, A-2L and A-3L loans which are the equivalent of ownership of Classes A-1, A-2 and A-3 Notes, respectively. These classes are issued in the form of a loan made by the investor instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these Classes are elected. Notes: All figures are in US dollars unless otherwise noted. HERTZ VEHICLE 2025-4: DBRS Gives Prov. BB Rating on D Notes ----------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes (collectively, the Notes) to be issued by Hertz Vehicle Financing III LLC (HVF III): -- $171,250,000 Series 2025-3, Class A Notes at (P) AAA (sf) -- $25,000,000 Series 2025-3, Class B Notes at (P) A (sf) -- $33,750,000 Series 2025-3, Class C Notes at (P) BBB (sf) -- $20,000,000 Series 2025-3, Class D Notes at (P) BB (sf) -- $171,250,000 Series 2025-4, Class A Notes at (P) AAA (sf) -- $25,000,000 Series 2025-4, Class B Notes at (P) A (sf) -- $33,750,000 Series 2025-4, Class C Notes at (P) BBB (sf) -- $20,000,000 Series 2025-4, Class D Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement in the form of subordination, overcollateralization (OC), letters of credit (LOCs), and any amounts held in the reserve account support the Morningstar DBRS stress-case liquidation analysis with bankruptcy and liquidation period assumptions that vary by rating category and vehicle type (program versus nonprogram) as well as residual value stresses that vary by rating category for nonprogram vehicles and program vehicles from non-investment-grade-rated manufacturers. -- Liquid credit enhancement will be provided in the form of a reserve account and/or an LOC sufficient to cover interest on the Notes, consistent with Morningstar DBRS' criteria for this asset class. (2) Credit enhancement in the transaction is dynamic, depending on the composition of the vehicles in the fleet and certain market value tests. -- The enhancement in the transaction depends on whether the vehicles are program or nonprogram, whether the manufacturer is investment grade or below investment grade, and if a vehicle is a medium-duty truck. -- For nonprogram vehicles, the enhancement levels may increase as a result of two market value tests: (1) a marked-to-market (MTM) test that compares the market value of the vehicles with the net book value (NBV) of these vehicles and (2) a disposition proceeds test that compares the actual disposition proceeds of vehicles sold with the NBV of those vehicles. -- If the credit enhancement required in the transaction increases and HVF III is unable to meet the increased enhancement levels, then an Amortization Event may occur that will result in a Rapid Amortization of the notes. -- The required credit enhancement is subject to a floor of 11.05% of the assets. (3) Amortization Events include, but are not limited to, default in the payment of amounts due after five consecutive business days, default in the payments of amounts due by the expected final payment date, deficiency of amounts available in the liquidity reserve account, payment default under the master lease, the required asset amount exceeding the aggregate asset amount, servicer default, and administrator default. (4) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the documents. The credit ratings address the timely payment of interest to the Class A, Class B, Class C, and Class D noteholders at their respective note rates as well as ultimate payment of principal on the notes, in each case by the legal final payment date. (5) The intention of each party to the master lease to treat the lease as a single indivisible lease. (6) The transaction allows vehicles, for which the Collateral Agent has not yet been noted on the Certificates of Title as lienholder, to remain as eligible assets for up to 45 days for new vehicles and 60 days for used vehicles (Lien Holidays). All vehicles benefit from a negative pledge. (7) Inclusion of medium-duty trucks that are subject to a limit of 5% and a required credit enhancement of 35%. (8) Tesla vehicles are subject to a concentration limit of 10.0%, reduced from 17.5%. (9) 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. (10) The transaction parties' capabilities to effectively manage rental car operations and dispose of the fleet to the extent necessary. -- Morningstar DBRS has performed an operational review of Hertz and considers the entity a capable rental fleet operator and manager. -- Lord Securities Corporation is the backup administrator for this transaction, and defi AUTO, LLC is the backup disposition agent. (11) The legal structure and its consistency with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance" methodology, the provision of legal opinions that address the treatment of the operating lease as a true lease, the nonconsolidation of the special-purpose vehicles with Hertz and its affiliates, and that the trust has a valid first-priority security interest in the assets. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Monthly Interest Amount and the related Principal Amount. Notes: All figures are in US dollars unless otherwise noted. HERTZ VEHICLE III: Moody's Assigns (P)Ba2 Rating to 2 Tranches -------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to the series 2025-3 and series 2025-4 rental car asset-backed notes to be issued by Hertz Vehicle Financing III LLC (HVF III, or the issuer), which is Hertz's rental car ABS master trust facility. The series 2025-3 notes and the series 2025-4 notes will have an expected final payment date in three and five years, respectively. HVF III is a Delaware limited liability company, a bankruptcy-remote special purpose entity, and a direct subsidiary of The Hertz Corporation (Hertz, B2 negative). The collateral backing the notes consists of a fleet of vehicles and a single operating lease of the fleet to Hertz for use in its rental car business, as well as certain manufacturer and incentive rebate receivables owed to the issuer by the original equipment manufacturers (OEMs). The complete rating actions are as follows: Issuer: Hertz Vehicle Financing III LLC Series 2025-3 Rental Car Asset Backed Notes, Class A, Assigned (P)Aaa (sf) Series 2025-3 Rental Car Asset Backed Notes, Class B, Assigned (P)A1 (sf) Series 2025-3 Rental Car Asset Backed Notes, Class C, Assigned (P)Baa3 (sf) Series 2025-3 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba2 (sf) Series 2025-4 Rental Car Asset Backed Notes, Class A, Assigned (P)Aaa (sf) Series 2025-4 Rental Car Asset Backed Notes, Class B, Assigned (P)A1 (sf) Series 2025-4 Rental Car Asset Backed Notes, Class C, Assigned (P)Baa3 (sf) Series 2025-4 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba2 (sf) RATINGS RATIONALE The provisional ratings of the notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which The Hertz Corporation (Hertz) uses to operate its rental car business, (2) the credit quality of Hertz, which has a corporate family rating of B2 with a negative outlook, as the primary lessee and guarantor under the single operating lease, (3) the experience and expertise of Hertz as sponsor and administrator, (4) consideration of the rental car market conditions, (5) the available credit enhancement, which consists of subordination and over-collateralization, (6) the required minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure, including standard bankruptcy remoteness and security interest provisions. In addition, the assumptions Moodys Ratings applied in the analysis of this transaction are the same as those applied in the analysis of the series 2025-1 and series 2025-2. The required credit enhancement for the series 2025-3 and series 2025-4 notes will be a blended rate, which is a function of Moody's ratings on the vehicle manufacturers and defined asset categories. The actual required amount of credit enhancement will fluctuate based on the mix of vehicles in the securitized fleet. Consistent with prior transactions, the series will be subject to a credit enhancement floor of 11.05% in the form of over-collateralization, regardless of fleet composition. The series 2025-3 and 2025-4 class A, B, and C notes will also benefit from subordination of 31.5%, 21.5%, and 8.0% of the outstanding balance of each series, respectively. The minimum liquidity enhancement amount will be around 3.75% of the outstanding note balance for the series 2025-3 notes and 4.00% for the series 2025-4 notes, sized to cover six months of interest plus 50 basis points. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2025-3 and 2025-4 subordinated notes if (1) the credit quality of the lessee improves, (2) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to improve, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers, or (3) the residual values of the non-program vehicles collateralizing the transaction were to increase materially relative to Moody's expectations. Down Moody's could downgrade the ratings of the series 2025-3 and 2025-4 notes if (1) the credit quality of the lessee deteriorates or a corporate liquidation of the lessee were to occur and introduce operational complexity in the liquidation of the fleet or other risks, (2) 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 weaker credit quality of vehicle manufacturers, or (3) reduced demand for used vehicles results in lower sales volumes and sharp declines in used vehicle prices above Moody's assumed depreciation. HOMES 2025-AFC2: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to HOMES 2025-AFC2 Trust's mortgage-backed 2025-AFC2. The note issuance is an RMBS securitization backed by a pool of 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 primarily secured by single-family residential properties, townhomes, planned unit developments, condominiums, and two- to four-family residential properties. The pool consists of 980 loans, comprising qualified mortgage (QM) safe harbor (average prime offer rate; APOR), QM rebuttable presumption (APOR), non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans. The preliminary ratings are based on information as of June 18, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage originator, AmWest Funding Corp.; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's U.S. economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) HOMES 2025-AFC2 Trust Class A-1A, $293,288,000: AAA (sf) Class A-1B, $42,910,000: AAA (sf) Class A-1, $336,198,000: AAA (sf) Class A-2, $19,524,000: AA (sf) Class A-3, $41,408,000: A (sf) Class M-1, $12,658,000: BBB (sf) Class B-1, $8,582,000: BB (sf) Class B-2, $6,437,000: B (sf) Class B-3, $4,291,011: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. (ii)The notional amount is initially $429,098,011 and will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. ILPT COMMERCIAL 2025-LPF2: Fitch Gives B-(EXP) Rating on HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Rating Outlooks to ILPT Commercial Mortgage Trust 2025-LPF2, Commercial Mortgage Pass-Through Certificates, Series 2025-LPF2: - $423,100,000 class A 'AAAsf'; Outlook Stable; - $47,800,000 class B 'AA-sf'; Outlook Stable; - $51,300,000 class C 'A-sf'; Outlook Stable; - $96,800,000 class D 'BBB-sf'; Outlook Stable; - $165,100,000 class E 'BB--sf'; Outlook Stable - $104,150,000 class F 'Bsf'; Outlook Stable - $46,750,000 class HRR 'B-sf'; Outlook Stable. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold an aggregate balance of $935 million of senior trust notes (which will be pari passu with certain non-trust companion notes) and junior trust notes. The trust notes, along with $225 million of non-trust companion notes which will be pari passu with the senior trust notes, will comprise a $1.16 billion, five-year, fixed-rate interest-only commercial mortgage whole loan. The non-trust companion notes are expected to be contributed to one or more future securitizations. The mortgage loan will be secured by the borrowers' fee simple, leased fee and leasehold interests in a portfolio of 102 primarily industrial facilities, comprising approximately 18.3 million sf located across 30 states. The borrower sponsor is Industrial Logistics Properties Trust (ILPT). The mortgage loan is expected to be used to pay down the existing debt of $1.2 billion from the ILPT 2022-LPF2 transaction, pay closing costs of $14.9 million and fund an upfront reserve of $2.5 million. The trust loan is expected to be co-originated by Citi Real Estate Funding Inc., Bank of America, N.A., Morgan Stanley Mortgage Capital Holdings LLC, Bank of Montreal, Royal Bank of Canada and UBS AG New York Branch. Midland Loan Services, a division of PNC Bank, N.A., is expected to be the servicer, with KeyBank National Association as the special servicer. Computershare Trust Company, N.A. is expected to act as the trustee and certificate administrator. Park Bridge Lender Services LLC will act as operating advisor. The transaction is scheduled to close on June 27, 2025. KEY RATING DRIVERS Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the portfolio at $72.5 million. This is 9.2% lower than the issuer's NCF and 11.7% lower than the trailing 12 months (TTM) ended April 2025 NCF. Fitch applied a 7.25% cap rate to derive a Fitch value of approximately $1.0 billion. High Fitch Leverage: The $1.16 billion whole loan equates to debt of approximately $63 psf with a Fitch stressed LTV ratio and debt yield of 115.9% and 6.3%, respectively. The loan represents approximately 68.0% of the appraised value of $1.7 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 102 primarily industrial properties (18.3 million sf) located across 30 states and 53 MSAs. The three largest state concentrations are Hawaii (5.9 million sf; 35 properties), South Carolina (2.1 million sf; seven properties) and Florida (1.6 million sf; eight properties). The three largest MSAs are Honolulu, HI (32.3% of NRA; 17.9% of ALA), Charleston, SC (4.3% of NRA; 7.7% of ALA) and Charlotte, NC (6.3% of NRA; 6.7% of ALA). The portfolio also exhibits significant tenant diversity, as it features 77 distinct tenants, with no tenant accounting for more than 16.5% of NRA. Experienced Sponsorship and Management: Industrial Logistics Properties Trust (ILPT) is a publicly traded REIT specialized in industrial real estate. As of Dec. 31, 2024, ILPT has ownership interests comprising 59.9 million sf of industrial space across 411 properties with 300 distinct tenants. ILPT is managed by The RMR Group, a U.S. alternative asset management company with over $40 billion in AUM as of Dec. 31, 2024, and more than 35 years of experience in buying, selling, financing and operating commercial real estate. 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/'Bsf/'B-sf. - 10% NCF Decrease: 'AAAsf'/'AAsf'/'Asf'/'BB+sf'/'Bsf/'CCCsf/'CCCsf Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the MIR 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'/'AAAsf'/ AAAsf'/'Asf'/'BB+sf'/'BB-sf/'B+sf. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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. IMSCI 2015-6: DBRS Confirms BB(low) Rating on G Certs ----------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2015-6 issued by Institutional Mortgage Securities Canada Inc. (IMSCI) Series 2015-6 as follows: -- Class B at AAA (sf) -- Class C at AAA (sf) -- Class X at AAA (sf) -- Class D at AA (high) (sf) -- Class E at AA (sf) -- Class F at A (sf) -- Class G at BB (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable performance of the transaction since Morningstar DBRS' last review in July 2024 and Morningstar DBRS' view that the remaining 15 loans are generally well positioned to be successfully repaid at their respective maturity dates. The largest five of which, comprising 71.2% of the pool, are scheduled by June 2025. The transaction benefits from a significant concentration of self-storage collateral (28.8% of the pool), which has historically exhibited strong fundamentals with favorable refinancing prospects. The remaining five loans are secured by retail collateral, four of which (33.0% of the pool) are single-tenant, grocery-anchored shopping centers with leases that extend to 2030. As of the May 2025 remittance, the 15 remaining loans reported an aggregate principal balance of $39.2 million, representing an 87.9% collateral reduction since issuance, with 10 loans repaid since the last review. There are no loans in special servicing and seven loans, representing 53.7% of the pool, on the servicer's watchlist, all of which are being monitored for outdated financials. The largest loan in the pool, South Hill Shopping Centre (Prospectus ID#2, 38.2% of the pool), is secured by a grocery-anchored shopping center in Richmond Hill, Ontario. The loan has been monitored on the servicer's watchlist since February 2024 for failure to submit financials and its March 2025 maturity date has passed. According to the most recent rent roll on file from April 2022, the property was 97.9% occupied, with its largest tenant, Loblaw Companies Limited (Loblaws; 50.2% of net rentable area), scheduled to expire in April 2025. Morningstar DBRS has inquired about the status of Loblaws' lease and has not received a response as of the date of this press release; however, online searches show the tenant still in occupancy as of June 2025. The borrower continues to remit the scheduled monthly principal and interest due and, according to the servicer, is currently working on securing refinancing. 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 Canadian dollars unless otherwise noted. JORDAN NOTES: DBRS Hikes Class C Notes Rating to BB --------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Class A Notes and the Class B Notes and upgraded its credit ratings on the Class C Notes and the Class D Notes (together, the Secured Notes) of Jordan Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, and the Third Supplemental Indenture dated June 12, 2025, entered into between Jordan Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes upgraded to BB (sf) from BB (low) (sf) -- Class D Notes upgraded to BB (low) (sf) from B (high) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Third Supplemental Indenture, dated June 12, 2025, by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 19, 2024). The Third Supplemental Indenture increased the Commitment Amounts of the Secured Notes, among other changes. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Jordan Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26North Direct Lending II LP. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via the selection of an applicable row from a collateral quality matrix (the CQM). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). Morningstar DBRS analyzed each structural configuration as a unique transaction and all configurations (rows) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 152.85%; Threshold 130.00% Class B Overcollateralization Ratio Test: Actual 139.66%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 125.25%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 219.12%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 187.32%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 149.83%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 49.60%; Threshold 60.00% Class B Advance Rate: Actual 55.80%; Threshold 67.50% Class C Advance Rate: Actual 64.07%; Threshold 77.50% Class D Advance Rate: Actual 66.13%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 18.34; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 29.93%; Threshold 40.00% Minimum WA Spread: Actual 5.65%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 59.98%; Threshold 59.04% As of April 30, 2025, the transaction is in compliance with all Coverage Tests and Collateral Quality Tests. There have not been any defaults in the portfolio to date. Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) 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 CLO Methodology (November 19, 2024). The model-based analysis produced satisfactory results, which, in addition to Morningstar DBRS' review of the Third Supplemental Indenture, supported the above-referenced credit rating actions on the above-mentioned 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 is used in assigning ratings to a facility. Notes: All figures are in US dollars unless otherwise noted. JP MORGAN 2025-CCM3: DBRS Gives Prov. B(low) Rating on B5 Certs --------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-CCM3 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2025-CCM3 (JPMMT 2025-CCM3): -- $327.0 million Class A-1 at (P) AAA (sf) -- $275.0 million Class A-2 at (P) AAA (sf) -- $275.0 million Class A-3 at (P) AAA (sf) -- $275.0 million Class A-3-X at (P) AAA (sf) -- $206.2 million Class A-4 at (P) AAA (sf) -- $206.2 million Class A-4-A at (P) AAA (sf) -- $206.2 million Class A-4-X at (P) AAA (sf) -- $68.7 million Class A-5 at (P) AAA (sf) -- $68.7 million Class A-5-A at (P) AAA (sf) -- $68.7 million Class A-5-X at (P) AAA (sf) -- $165.0 million Class A-6 at (P) AAA (sf) -- $165.0 million Class A-6-A at (P) AAA (sf) -- $165.0 million Class A-6-X at (P) AAA (sf) -- $110.0 million Class A-7 at (P) AAA (sf) -- $110.0 million Class A-7-A at (P) AAA (sf) -- $110.0 million Class A-7-X at (P) AAA (sf) -- $41.2 million Class A-8 at (P) AAA (sf) -- $41.2 million Class A-8-A at (P) AAA (sf) -- $41.2 million Class A-8-X at (P) AAA (sf) -- $33.0 million Class A-9 at (P) AAA (sf) -- $33.0 million Class A-9-A at (P) AAA (sf) -- $33.0 million Class A-9-X at (P) AAA (sf) -- $19.0 million Class A-11 at (P) AAA (sf) -- $19.0 million Class A-11-X at (P) AAA (sf) -- $19.0 million Class A-12 at (P) AAA (sf) -- $19.0 million Class A-13 at (P) AAA (sf) -- $19.0 million Class A-13-X at (P) AAA (sf) -- $19.0 million Class A-14 at (P) AAA (sf) -- $19.0 million Class A-14-X at (P) AAA (sf) -- $19.0 million Class A-14-X2 at (P) AAA (sf) -- $19.0 million Class A-14-X3 at (P) AAA (sf) -- $19.0 million Class A-14-X4 at (P) AAA (sf) -- $327.0 million Class A-X-1 at (P) AAA (sf) -- $327.0 million Class A-X-2 at (P) AAA (sf) -- $327.0 million Class A-X-3 at (P) AAA (sf) -- $327.0 million Class A-X-4 at (P) AAA (sf) -- $327.0 million Class A-X-5 at (P) AAA (sf) -- $6.9 million Class B-1 at (P) AA (low) (sf) -- $6.9 million Class B-1-A at (P) AA (low) (sf) -- $6.9 million Class B-1-X at (P) AA (low) (sf) -- $5.7 million Class B-2 at (P) A (low) (sf) -- $5.7 million Class B-2-A at (P) A (low) (sf) -- $5.7 million Class B-2-X at (P) A (low) (sf) -- $2.6 million Class B-3 at (P) BBB (low) (sf) -- $1.7 million Class B-4 at (P) BB (low) (sf) -- $518.7 thousand Class B-5 at (P) B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, B-1-X and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-11, A-11-X, A-12, A-13, A-13-X, A-X-1, A-X-5, B-1 and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-11, A-12, A-13 and A-14 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-9 and A-9-A) with respect to loss allocation. The (P) AAA (sf) ratings on the Certificates reflect 5.45% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) ratings reflect 3.45%, 1.80%, 1.05%, 0.55%, and 0.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages to be funded by the issuance of the Certificates. The Certificates are backed by 255 loans with a total principal balance of $345,825,796 as of the Cut-Off Date (June 1, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. Approximately 83.0% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 17.0% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the related report. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. CrossCountry Mortgage, LLC (CrossCountry) is the originator for all of the loans in pool. Shellpoint Mortgage Servicing (Shellpoint or SMS) will act as the Interim Servicer. As of the Servicing Transfer Date (September 1, 2025), JPMorgan Chase Bank, N.A. (JPMCB) will service all the loans. For this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable trend by Morningstar DBRS) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. (Computershare) will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in US dollars unless otherwise noted. JP MORGAN 2025-CCM3: Moody's Assigns (P)B1 Rating to Cl. B-5 Certs ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 46 classes of residential mortgage-backed securities (RMBS) to be issued by J.P. Morgan Mortgage Trust 2025-CCM3 (JPMMT 2025-CCM3), and sponsored by JPMorgan Chase Bank, N.A. (JPMCB). The securities are backed by a pool of prime jumbo (83.0% by balance) and GSE-eligible (17.0% by balance) residential mortgages aggregated by JPMMAC, originated by CrossCountry Mortgage, LLC and serviced by JPMorgan Chase Bank, N.A. (JPMCB). The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2025-CCM3 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-3-X*, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-4-A, Assigned (P)Aaa (sf) Cl. A-4-X*, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-5-A, Assigned (P)Aaa (sf) Cl. A-5-X*, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-6-A, Assigned (P)Aaa (sf) Cl. A-6-X*, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-7-A, Assigned (P)Aaa (sf) Cl. A-7-X*, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-8-A, Assigned (P)Aaa (sf) Cl. A-8-X*, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aa1 (sf) Cl. A-9-A, Assigned (P)Aa1 (sf) Cl. A-9-X*, Assigned (P)Aa1 (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-11-X*, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-13-X*, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-14-X*, Assigned (P)Aaa (sf) Cl. A-14-X2*, Assigned (P)Aaa (sf) Cl. A-14-X3*, Assigned (P)Aaa (sf) Cl. A-14-X4*, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. A-X-2*, Assigned (P)Aa1 (sf) Cl. A-X-3*, Assigned (P)Aa1 (sf) Cl. A-X-4*, Assigned (P)Aa1 (sf) Cl. A-X-5*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1-A, Assigned (P)Aa3 (sf) Cl. B-1-X*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-2-A, Assigned (P)A2 (sf) Cl. B-2-X*, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba1 (sf) Cl. B-5, Assigned (P)B1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.29%, in a baseline scenario-median is 0.11% and reaches 4.97% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. KKR CLO 16: S&P Lowers Class D-R2 Notes Rating to 'B (sf)' ---------------------------------------------------------- S&P Global Ratings lowered its rating on the class D-R2 debt from KKR CLO 16 Ltd., a U.S. BSL CLO that is managed by KKR Financial Advisors II LLC. S&P also removed this rating from CreditWatch, where it placed it with negative implications on May 1, 2025. At the same time, S&P affirmed its ratings on the class A-1-R2, A-2-R2, B-R2, and C-R2 debt from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the April 2025 trustee report. The lowered rating reflects deteriorated credit quality and par losses of the underlying portfolio, which contributed to the decrease in credit support available to the class D-R2 debt. The amount of 'CCC' assets held in the portfolio increased to $63.09 million as of the April 2025 trustee report from $28.91 million as of the November 2021 trustee report, which was the first report following initial rating assignment by S&P Global Ratings. The trustee also reported an increase in defaulted assets to $7.82 million from $3.52 million over the same time period. The trustee included one non-performing asset with a $6.3 million balance in the 'CCC' asset amount; however, S&P included this in the defaulted asset balance. The deteriorated credit quality among the underlying portfolio combined with par loss has led to declines in the trustee-reported overcollateralization (O/C) ratios since November 2021: -- The class A O/C ratio declined to 126.34% from 131.87%; -- The class B O/C ratio declined to 117.73% from 122.88%; -- The class C O/C ratio declined to 109.73% from 114.54%; and -- The class D O/C ratio declined to 104.65% from 109.23%. The interest diversion test, which measures the O/C level at class D-R2, has also declined since the effective date to 104.65% from 109.23% and is below the test threshold of 105.00% as of the April 2025 report. In the event that this test is not satisfied during the reinvestment period, the lesser of 50.00% of remaining interest proceeds or the amount necessary to bring the test back into compliance at the discretion of the manager will be deposited into the principal proceeds collection account to apply toward the purchase of additional collateral or to pay down the senior notes according to the principal payment sequence. The transactions reinvestment period, and subsequently the interest diversion test, ends in October 2026. Though the cash flow results indicated a lower rating for the class D-R2 notes, at this time, S&P limited the downgrade after considering the portfolio's low exposure to 'CCC/CCC-' rated assets and the tranche's credit support at its new (lowered) rating. However, any increase in defaults or par losses could lead to potential negative rating actions in the future. The affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could results in further ratings changes. On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class A-1-R2, A-2-R2, B-R2, and C-R2 debt than the rating actions reflect. S&P said, "However, we affirmed their ratings after considering the margin of failure, the credit support commensurate with the current rating levels, and that the transaction is still in its reinvestment period, which is not scheduled to end until October 2026. While future reinvestment activity could change some of the portfolio characteristics, the recent failure of the interest diversion test may also benefit the senior notes, either with paydowns or with additional proceeds to be applied for reinvestment. Once amortization begins, paydowns to the senior debt are imminent and may improve credit support available across the transaction. In addition, the transaction currently has no exposure to long-dated assets (i.e., assets maturing after the CLO's stated maturity), and we believe it is not exposed to large risks in the near future that would impair the debt at its current rating levels. In line with this, we affirmed the ratings on the class A-1-R2, A-2-R2, B-R2, and C-R2 debt to remain in line with our credit stability framework." S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." Rating Lowered And Removed From CreditWatch Negative KKR CLO 16 Ltd. Class D-R2 to 'B (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed KKR CLO 16 Ltd. Class A-1-R2: 'AAA (sf)' Class A-2-R2: 'AA (sf)' Class B-R2: 'A (sf)' Class C-R2: 'BBB- (sf)' KRR CLO 61: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 61 LTD. Entity/Debt Rating ----------- ------ KKR CLO 61 Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary KKR CLO 61 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 23.4, 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 96.56% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.12% and will be managed to a WARF covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of 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-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, 'AA+sf' for class C, 'A+sf' for class D-1, and 'Asf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY 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 KKR CLO 61 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 LXXII: Fitch Assigns BB+(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Madison Park Funding LXXII, Ltd. Entity/Debt Rating ----------- ------ Madison Park Funding LXXII, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB+(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Madison Park Funding LXXII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS Asset Management (Americas) LLC. 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', 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 97.15% first lien senior secured loans and has a weighted average recovery assumption of 73.76%. 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 that of 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 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 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, and 'Asf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. ESG Considerations Fitch does not provide ESG relevance scores for Madison Park Funding LXXII, 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. MADISON PARK XXIII: S&P Affirms B+ (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-R and C-R debt from Madison Park Funding XXIII Ltd. At the same time, S&P affirmed its ratings on the class A-R, D-R, and E debt from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the May 2025 trustee report. The transaction has paid down about $220 million to the class A-R debt since S&P's June 2021 rating actions. These paydowns resulted in improved reported senior overcollateralization (O/C) ratios since the May 2021 trustee report, which S&P used for its last rating actions: -- The class A/B O/C ratio improved to 144.66% from 132.85%. -- The class C O/C ratio improved to 124.73% from 120.70%. -- The class D O/C ratio declined to 112.35% from 112.47%. -- The class E O/C ratio declined to 105.59% from 107.73%. While the senior O/C ratios experienced a positive movement due to the lower balances of the senior debt, the class D and E O/C ratios declined, due to increased haircuts following the portfolio's increased exposure to 'CCC' and lower quality assets. S&P said, "Though paydowns have improved the credit support available to the senior classes, the collateral portfolio's credit quality has slightly deteriorated since our last rating actions. Collateral obligations with ratings in the 'CCC' category have decreased, with about $53.58 million reported in the May 2025 trustee report, compared with $95.37 million reported in the May 2021 trustee report. Over the same period, the par amount of defaulted collateral has increased to about $15.86 million from $2.37 million. This decrease in 'CCC' exposure and increase in defaults, overall, positively affected the scenario default rates of the portfolio, which, in turn, positively affected the credit support to the classes. The current exposure to collateral obligations with ratings in the 'CCC' category is now in excess of the maximum threshold allowed in the documents. As a result, the trustee, as per the terms of the CLO documents, is applying a haircut to the O/C numerator. However, despite the slightly larger concentrations in the 'CCC' category and defaulted collateral, the transaction, especially the senior tranches, has also benefited from a drop in the weighted average life due to the underlying collateral's seasoning, with 3.45 years reported in the May 2025 trustee report, compared with 4.62 years reported at the time of our June 2021 rating actions. The upgrades reflect the improved credit support available to the debt at the prior rating levels. The affirmations reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could result in further ratings changes. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class B-R, C-R, and D-R debt. However, because the transaction currently has higher exposure to 'CCC'-rated collateral obligations, defaulted assets, some assets with low market values, and long-dated assets, S&P considered extra sensitivity analysis and limited the upgrade on these classes to offset future potential credit migration in the underlying collateral. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." Ratings Raised Madison Park Funding XXIII Ltd. Class B-R to 'AA+ (sf)' from 'AA (sf)' Class C-R to 'A+ (sf)' from 'A (sf)' Ratings Affirmed Madison Park Funding XXIII Ltd. Class A-R: AAA (sf) Class D-R: BBB- (sf) Class E: B+ (sf) MAGNETITE XLIII: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Magnetite XLIII, Limited. Entity/Debt Rating ----------- ------ Magnetite XLIII, Limited A LT NRsf New Rating A Loans LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1A LT BBB+sf New Rating D-1B LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Magnetite XLIII, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by BlackRock Financial Management, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 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. 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 97.17% first lien senior secured loans and has a weighted average recovery assumption of 73.91%. 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 that of 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 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 '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-1A, and between less than 'B-sf' and 'BB+sf' for class D-1B and 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 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-1A, and 'Asf' for class D-1B and D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Magnetite XLIII, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. MAGNETITE XXXVI: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Magnetite XXXVI, Limited reset transaction. Entity/Debt Rating ----------- ------ Magnetite XXXVI, Limited_New Reset X-R LT AAAsf New Rating A-R LT NRsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-R LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Magnetite XXXVI, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by BlackRock Financial Management, Inc. On Jun. 11, 2025, the existing secured notes will be redeemed in whole with refinancing proceeds. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $428 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% first-lien senior secured loans and has a weighted average recovery assumption of 74.86%. 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 'AAAsf' for class X-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, and between less than 'B-sf' and 'BB+sf' for class D-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-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, and 'Asf' for class D-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Magnetite XXXVI, Limited_New Reset. 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. MAGNETITE XXXVI: Moody's Gives 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 Magnetite XXXVI, Limited (the Issuer): US$273,500,000 Class A-R Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$250,000 Class F-R Deferrable Mezzanine Floating Rate Notes due 2038, Definitive Rating 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 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. MARBLE POINT XXIII: Moody's Cuts Rating on $15MM Cl. E Notes to B1 ------------------------------------------------------------------ Moody's Ratings has downgraded the ratings on the following notes issued by Marble Point CLO XXIII Ltd.: US$15,000,000 Class E Junior Deferrable Floating Rate Notes due 2035, Downgraded to B1 (sf); previously on December 29, 2021 Assigned Ba3 (sf) Marble Point CLO XXIII Ltd., issued in December 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in January 2027. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on Moody's calculations, the total collateral par balance, including recoveries from defaulted securities, is $491.1 million, or $8.9 million less than the $500 million initial par amount targeted during the deal's ramp-up. No actions were taken on the Class A-1, Class A-2, Class B-1, Class B-2, Class C-1, Class C-2, Class D-1, and Class D-2 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: $490,533,940 Defaulted par: $1,890,000 Diversity Score: 69 Weighted Average Rating Factor (WARF): 2892 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.04% Weighted Average Recovery Rate (WARR): 46.14% Weighted Average Life (WAL): 5.46 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. MORGAN STANLEY 2025-NQM4: DBRS Gives Prov. BB Rating on B-1 Certs ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-NQM4 (MSRM 2025-NQM4 or the Trust) as follows: -- $299.1 million Class A-1 at (P) AAA (sf) -- $259.5 million Class A-1-A at (P) AAA (sf) -- $39.6 million Class A-1-B at (P) AAA (sf) -- $27.2 million Class A-2 at (P) AA (high) (sf) -- $34.5 million Class A-3 at (P) A (sf) -- $14.3 million Class M-1 at (P) BBB (low) (sf) -- $7.5 million Class B-1 at (P) BB (sf) -- $8.5 million Class B-2 at (P) B (low) (sf) Class A-1 is an exchangeable certificate while Class A-1-A and A-1-B are exchange certificates. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 24.55% of credit enhancement provided by the subordinated Certificates. The (P) AA (high) (sf), (P) A (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B (low) credit ratings reflect 17.70%, 9.00%, 5.40%, 3.50%, and 1.35% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and non-prime first-lien residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2025-NQM4. The Certificates are backed by 925 loans with a total principal balance of approximately $396,479,761 as of the Cut-Off Date (June 1, 2025). The pool is, on average, four months seasoned with loan ages ranging from one to 35 months. The Mortgage Loan Seller acquired approximately 14.0% and 13.7% of the mortgage loans, by aggregate stated principal balance as of the Cut-Off Date, from Hometown Equity Mortgage, LLC and HomeXpress Mortgage Corp., respectively. All the other originators individually comprised less than 10.0% of the overall mortgage loans. NewRez LLC (formerly known as New Penn Financial, LLC doing business as Shellpoint; the Servicer) will service 100% of the loans. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend) will act as Custodian. Nationstar Mortgage LLC will act as Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend) will act as Trustee and Securities Administrator. As of the Cut-Off Date, 100.0% of the loans in the pool were 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, 23.0% of the loans by balance are designated as non-QM. Approximately 59.0% 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 17.3% of the pool are designated as QM Safe Harbor and 0.8% are designated as QM Rebuttable Presumption (by unpaid principal balance). Servicers will fund advances of delinquent principal and interest (P&I) until the loan is either more than 90 days delinquent (limited P&I advancing/stop-advance loan under the MBA method) or the P&I advance is deemed unrecoverable. 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 Sponsor, Morgan Stanley Mortgage Capital Holdings LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% in the form of either (i) 5% of each of the Class A-IO-S, Class A-1-A, Class A-1-B, Class A-2, Class A-3, Class M-1, Class B-1, Class B-2, Class B-3 and Class XS Certificates or (ii) the Class R-PT Certificates (in the case of an exchange) representing at least 5% of the aggregate initial Class balance (and aggregate initial Class Notional Amount in the case of the Class XS Certificates and Class A-IO-S Certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class XS Certificates may, at its option, on or after the earlier of (1) the payment date in June 2028 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), redeem the Certificates at the optional termination price described in the transaction documents. The Controlling Holder will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. 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-1-A then A-1-B followed by a reduction of the Class A-1-A then A-1-B certificate balances (IIPP), 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-2 and 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-1-A, A-1-B, A-2, A-3, and M-1 (and B-1 if issued with fixed rate). Of note, the Class A-1-A, A-1-B, A-2, and A-3 Certificates' coupon rates step up by 100 basis points on and after the payment date in July 2029. P&I otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A-1-A, A-1-B, A-2, and A-3 Certificates cap carryover amounts. NATURAL DISASTERS/WILDFIRES The mortgage pool contains loans secured by mortgage properties that are within certain disaster areas (such as those affected by the Greater Los Angeles wildfires). The Sponsor of the transaction informed Morningstar DBRS that the Servicer ordered (and intends to order) property damage inspections for any property in a known disaster zone prior to the transaction's closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. 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 U.S. dollars unless otherwise noted. MORGAN STANLEY 2025-NQM4: S&P Assigns Prelim B Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-NQM4's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties including townhouses, planned unit developments, condominiums, two- to four-family residential properties, and one five- to 10-unit multifamily property. The pool consists of 925 loans, which are QM safe harbor (APOR), QM rebuttable presumption (APOR), non-QM/ATR-compliant, and ATR-exempt loans. Of the loans in the pool, 30 loans are cross-collateralized loans backed by 182 properties, for a total property count of 1,077. The preliminary ratings are based on information as of June 13, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A.; -- The mortgage originators, including reviewed originator HomeXpress Mortgage Corp.; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, which is updated if necessary, when these projections change materially. Preliminary Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2025-NQM4 Class A-1-A, $259,496,000: AAA (sf) Class A-1-B, $39,647,000: AAA (sf) Class A-1, $299,143,000: AAA (sf) Class A-2, $27,159,000: AA- (sf) Class A-3, $34,494,000: A- (sf) Class M-1, $14,273,000: BBB- (sf) Class B-1, $7,533,000: BB (sf) Class B-2, $8,525,000: B (sf) Class B-3, $5,352,760: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $19,825,910: NR Class PT, $376,653,850: NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $396,479,760. NR--Not rated. N-STAR REL VI: Moody's Lowers Rating on Cl. K Notes to C -------------------------------------------------------- Moody's Ratings has affirmed one and downgraded one rating on the following notes issued by N-Star REL CDO VI Ltd. Issuer: N-Star REL CDO VI Ltd. Cl. J, Affirmed Caa3 (sf); previously on Apr 21, 2017 Affirmed Caa3 (sf) Cl. K, Downgraded to C (sf); previously on Apr 21, 2017 Affirmed Caa3 (sf) Issuer: N-Star REL CDO VIII Ltd. Cl. B, Withdrawn (sf); previously on May 19, 2017 Upgraded to B1 (sf) Cl. C, Withdrawn (sf); previously on May 19, 2017 Upgraded to B3 (sf) Cl. D, Withdrawn (sf); previously on May 19, 2017 Affirmed Caa2 (sf) Cl. E, Withdrawn (sf); previously on May 19, 2017 Affirmed Caa3 (sf) Cl. F, Withdrawn (sf); previously on May 19, 2017 Affirmed Ca (sf) Cl. G, Withdrawn (sf); previously on May 19, 2017 Affirmed Ca (sf) Cl. H, Withdrawn (sf); previously on May 19, 2017 Affirmed Ca (sf) Cl. J, Withdrawn (sf); previously on May 19, 2017 Affirmed Ca (sf) Cl. K, Withdrawn (sf); previously on May 19, 2017 Affirmed Ca (sf) Cl. L, Withdrawn (sf); previously on May 19, 2017 Affirmed C (sf) Cl. M, Withdrawn (sf); previously on May 19, 2017 Affirmed C (sf) Cl. N, Withdrawn (sf); previously on May 19, 2017 Affirmed C (sf) N-Star REL CDO VI Ltd. is a cash transaction whose reinvestment period ended in June 2011. The transaction is backed by one defaulted asset from a 2006 CRE CDO with a principal balance of approximately $1.2 million. As of the April 30, 2025 note valuation report, the aggregate note balance of the transaction, including preferred shares, is $104.0 million, compared to $442.0 million at issuance; due to a combination of amortization and recoveries from defaulted assets. 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 K Notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CRE CLO portfolio. Based on Moody's calculations, the transaction has incurred par losses on Class K as it is currently $34.56 million compared to the original par of $13.95 million. Additionally, based on Moody's calculations, the weighted average rating factor (WARF) has been deteriorating and is currently 8070, failing the trigger of 5600. Class J Notes were affirmed because their expected losses remain commensurate with their current ratings, after taking into account the CRE CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's have decided to withdraw the rating(s) because Moody's believes Moody's have insufficient or otherwise inadequate information to support the maintenance of the rating(s). Moody's have not run a cash flow model for this review. The rating action is based on the current performance of the transaction, including the presence of cumulative realized losses and the accrual of capitalized interest, which have materially affected the rated tranches. These factors, combined with qualitative considerations regarding the transaction's ability to absorb further stress, support the rating action. As such, the analysis did not rely on a modeled projection of future cash flows. The following metrics are provided to reflect the current characteristics of the transaction Note balance of the transaction, including preferred shares: $104.0 million Defaulted par: $1.2 million Diversity Score: 1 Weighted Average Rating Factor (WARF): 8070 Weighted Average Spread (WAS): 0.00% Weighted Average Recovery Rate (WARR): 35.00% Weighted Average Life (WAL): N/A Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF 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 trust advisor's investment decisions and management of the transaction will also affect the performance of the rated notes. NCMF TRUST 2025-MFS: Fitch Assigns B-sf Final Rating on Cl. F Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to NCMF Trust 2025-MFS, Commercial Mortgage Pass-Through Certificates, Series 2025-MFS as follows: - $254,000,000 class A 'AAAsf'; Outlook Stable; - $48,700,000 class B 'AA-sf'; Outlook Stable; - $38,200,000 class C 'A-sf'; Outlook Stable; - $53,900,000 class D 'BBB-sf'; Outlook Stable; - $82,500,000 class E 'BB-sf'; Outlook Stable; - $91,100,000 class F 'B-sf'; Outlook Stable. Fitch does not rate the following class: - $30,000,000a class HRR. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Transaction Summary The certificates represent the beneficial interests in a trust that holds a three-year, fixed-rate, interest-only (IO) mortgage loan. The mortgage will be secured by the borrowers' fee simple and leasehold interests in 18 multifamily and student housing properties with a total of 4,431 units (3,233 multifamily units and 3,385 student-housing beds) located in eight states across 10 markets. The portfolio was 96.8% leased as of the March 2025 rent roll. Loan proceeds, along with $101.6 million in mezzanine debt and approximately $7.8 million of sponsor equity, will be used to pay off $672.0 million of existing debt, fund $10 million of upfront reserves and pay closing costs of approximately $25.6 million. The loan was originated by Citi Real Estate Funding Inc. on May 30, 2025. Berkadia Commercial Mortgage LLC will act as servicer, and Situs Holdings, LLC will act as special servicer. Wilmington Savings Fund Society, FSB will act as trustee, and Citibank, N.A. will act as certificate administrator and back-up advancing agent. Park Bridge Lender Services LLC will act as operating advisor. The certificates will follow a standard senior-sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio is estimated at $44.3 million. This is 10.9% lower than the issuer's NCF and 5.9% below the TTM ended in February 2025 NCF. Fitch applied an 8.5% cap rate, resulting in a Fitch value of approximately $521.1 million. Fitch Leverage: The $598.4 million total mortgage loan ($135,049 per unit) has a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 0.78x, 114.8% and 7.4%, respectively. Based on total debt of $700.0 million ($157,978 per unit), inclusive of the $101.6 million mezzanine loan, the Fitch stressed DSCR, LTV and DY are 0.67x, 134.3% and 6.3%, respectively. The mortgage loan represents approximately 64.4% of the portfolio appraised value of $928.8 million. The total debt represents approximately 75.4% of the portfolio appraised value. The Fitch market LTV at 'Bsf' (the lowest Fitch-rated non-investment grade tranche) is 91.6%. The Fitch market LTV is based on a blend of the Fitch cap rate and the market cap rate of 5.8%. Geographically Diverse Portfolio: The loan is secured by 4,431 units (3,233 multifamily units and 3,385 student-housing beds) across 12 multifamily properties and six student housing properties located in eight states across 10 markets. The largest three properties by allocated mortgage loan amount (ALA) contain 45.3% of the units/beds and represent 38.5% of the ALA. No other property constitutes more than 6.6% of the total units or 7.9% of the ALA. No state or market represents more than 24.5% of the ALA. The portfolio's effective geographic count is 7.2. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAsf' / 'A-sf' / 'BBB-sf' / 'BBsf' / 'Bsf' / 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAsf' / 'A+sf' / 'BBBsf' / 'BBsf' / 'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E ("Form 15E") as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to 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. OHA CREDIT 15-R: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the reissued class A, B-1, B-2, C, D, and E debt and new class X debt from OHA Credit Funding 15-R Ltd./OHA Credit Funding 15-R LLC, a reissue CLO managed by Oak Hill Advisors L.P. that was originally issued in May 2023. At the same time, S&P withdrew its ratings on the original class B-1, B-2, C, D, and E debt. The reissued debt was issued via a supplemental indenture, which outlined the terms of the reissued debt. According to the supplemental indenture: -- The original class B debt was replaced by two new classes: a floating-rate class B-1 tranche and a fixed-rate class B-2 tranche. -- The weighted average cost of debt of the replacement debt is expected to be lower than that of the original 2023 debt. -- The non-call period was extended to June 18, 2027. -- The reinvestment period was extended to July 20, 2030. -- The stated maturity was extended to July 20, 2038. -- The new class X debt was issued in connection with this reissuance, and it is expected to be paid down using interest proceeds during the first six payment dates, beginning with the Oct. 20, 2025, payment date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned OHA Credit Funding 15-R Ltd./OHA Credit Funding 15-R LLC Class X, $2.800 million: AAA (sf) Class A, $274.500 million: AAA (sf) Class B-1, $48.500 million: AA (sf) Class B-2, $10.000 million: AA (sf) Class C (deferrable), $36.000 million: A (sf) Class D (deferrable), $27.000 million: BBB- (sf) Class E (deferrable), $16.875 million: BB- (sf) Subordinated notes, $36.000 million: Not rated Ratings Withdrawn OHA Credit Funding 15 Ltd./OHA Credit Funding 15 LLC Class B-1 to not rated from 'AA (sf)' Class B-2 to not rated from 'AA (sf)' Class C to not rated from 'A (sf)' Class D to not rated from 'BBB- (sf)' Class E to not rated from 'BB- (sf)' OWN EQUIPMENT II: DBRS Gives Prov. B(low) Rating on C Notes ----------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes to be issued by OWN Equipment Fund II LLC (the Issuer): -- $203,340,000 Class A Notes at (P) A (sf) -- $11,810,000 Class B Notes at (P) BBB (low) (sf) -- $12,630,000 Class C Notes at (P) BB (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: -- The issuance of the Notes represents the third asset-backed security (ABS) issuance of equipment managed by EquipmentShare.com Inc (EQS). The credit ratings address the timely payment of interest and the ultimate payment of principal by the Legal Final Maturity Date. -- The transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. (1) The Notes benefit from credit enhancement consisting of overcollateralization, subordination, and a reserve account. A cash reserve account established for the transaction and sized at four months of interest plus fees and expenses is meant to ensure that an appropriate amount of senior expense and interest can be covered during the assumed liquidation period. (2) The transaction also has the benefit of an Expense Account that will be funded at closing with $617,500. The Expense Account will be used to make payments of property taxes and insurance premiums relating to the equipment when due. Amounts periodically deposited into the Expense Account will be revised on a quarterly and annual basis based on estimated property taxes and insurance premium amounts, respectively. Amounts periodically deposited into the Expense Account will be revised (1) quarterly, with respect to property taxes and (2) annually, with respect to insurance premium amounts, based on changes in estimates. -- The collateral quality and historical value volatility performance. -- Morningstar DBRS conducted an operational risk review of EQS and, as a result, considers the company to be an acceptable Equipment Manager and Servicer, with a backup servicer that is acceptable to Morningstar DBRS. Vervent Inc. will serve as Backup Servicer on the transaction. -- Borrowing Base Test: The Aggregate Portfolio Value (APV) will be the lower of the equipment's aggregate net orderly liquidation value (NOLV) and its aggregate net book value (NBV), calculated on a monthly basis. If the APV is less than the aggregate Note balance divided by 83.15%, then one or more cures would need to be applied to keep the borrowing base in compliance. -- Consideration of increased depreciation rate (versus historical experience) in the transaction that provides for accelerated paydown of Notes in the context of the relationship between decreasing note balances and APV. -- Consideration of the relatively young age of the equipment. Generally, younger equipment would be expected to produce somewhat higher sales proceeds, a credit positive with respect to the subject portfolio. -- Consideration of monthly dynamic adjustment provisions, specifically (1) inclusion of updated disposition expense estimates in monthly appraisals, (2) inclusion of updated expense estimates in calculation of the expense account requirement, and (3) inclusion of updated equipment values vis-à-vis book value. -- 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. -- Specific proceeds haircuts on equipment built by non-investment-grade manufacturers were not applied since (1) the historical data used covered the industry as a whole and (2) construction equipment brands are fairly well-known and values are less driven by credit quality of the manufacturer. Notwithstanding the foregoing, a large proportion of the portfolio was built by investment-grade manufacturers. -- Morningstar DBRS materially deviated from its principal methodology when determining the credit ratings assigned to the Notes by adjusting certain cash flow assumptions to better align them with the rental equipment assets being securitized. These adjustments, and the resulting material deviation are warranted given the unique aspects of the transaction, the adequacy and analysis of historical data from reliable sources specific to the industry, similarity of the equipment rental space vis-à-vis the car rental space, and comparable transaction legal structure. -- The legal structure and its consistency with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance" methodology, the provision of legal opinions that address the treatment of the operating lease as a true lease, a true sale, the nonconsolidation of the special-purpose vehicles (SPVs) with the Co-Sponsor and Equity Sponsor, and that the Issuer has a valid first-priority security interest in the assets. Morningstar DBRS' credit ratings on the Class A Notes, Class B Notes, and Class C Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are interest on the associated note balance of each of the Class A Notes, Class B Notes, and Class C Notes, and the note balance of the Class A Notes, Class B Notes, and Class C Notes. Notes: All figures are in U.S. dollars unless otherwise noted. OZLM VI LTD: Moody's Affirms Ba3 Rating on $33MM Class D-S Notes ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by OZLM VI, Ltd.: US$20.5M Class B-1-T Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Jun 20, 2024 Assigned Aa1 (sf) US$17M Class B-2-S Senior Secured Deferrable Fixed Rate Notes, Upgraded to Aaa (sf); previously on Apr 15, 2024 Upgraded to Aa1 (sf) US$37.5M Class C-T Senior Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Jun 20, 2024 Assigned A3 (sf) Moody's have also affirmed the ratings on the following notes: US$257.327M (Current outstanding amount US$75,144,977) Class A-1-T Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 20, 2024 Assigned Aaa (sf) US$41M Class A-2a-T Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 20, 2024 Assigned Aaa (sf) US$13M Class A-2b-S Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Apr 15, 2024 Upgraded to Aaa (sf) US$33M Class D-S Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Aug 11, 2020 Confirmed at Ba3 (sf) US$14.4M Class E-S Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Apr 15, 2024 Downgraded to Caa3 (sf) OZLM VI, Ltd., which was originally issued in April 2014 and subsequently refinanced most recently June 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sculptor Loan Management LP. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating upgrades on the Class B-1-T, B-2-S and C-T notes are primarily a result of the deleveraging of the Class A-1-T notes following amortisation of the underlying portfolio since the last rating action in June 2024. The affirmations on the ratings on the Class A-1-T, A-2a-T, A-2b-S, D-S, E-S 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-T notes have paid down by approximately USD182.2 million (70.8% of the original balance) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated May 2025[1] the Class A, Class B, Class C and Class D OC ratios are reported at 193.48%, 149.94%, 122.40% and 105.36% compared to July 2024[2] levels of 141.12%, 125.95%, 113.72% and 104.77%, respectively. Moody's note that the July 2024 payments are not reflected in the stated OC ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD256.7m Defaulted Securities: 0 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3121 Weighted Average Life (WAL): 3.14 years Weighted Average Spread (WAS): 3.21% Weighted Average Recovery Rate (WARR): 45.89% Par haircut in OC tests and interest diversion test: 2.69% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. 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. PARK BLUE 2023-III: Moody's Assigns B3 Rating to $1MM Cl. F-R Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes issued and one class of loans incurred by Park Blue CLO 2023-III, Ltd. (the Issuer): US$99,200,000 Class A-1-R Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$148,800,000 Class A-1-R Senior Loans maturing in 2037, Assigned Aaa (sf) US$1,000,000 Class F-R Deferrable Mezzanine Floating Rate Notes due 2038, Assigned B3 (sf) The notes and loans listed above are referred to herein, collectively, as the Refinancing Debt. On the closing date, the Class A-1-R Notes and the Class A-1-R Loans have a principal balance of $99,200,000 and $148,800,000, respectively. At any time, the Class A-1-R Loans may be converted in whole or in part to Class A-1-R Notes, thereby decreasing the principal balance of the Class A-1-R Loans and increasing, by the corresponding amount, the principal balance of the Class A-1-R Notes. The aggregate principal balance of the Class A-1-R Loans and Class A-1-R Notes will not exceed $248,000,000 less the amount of any principal repayments. 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 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of first lien last out loans, second lien loans, unsecured loans and bonds. Centerbridge Credit Funding Advisors, 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 Debt and six other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to 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: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2951 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 44.5% 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 Debt is subject to uncertainty. The performance of the Refinancing Debt 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 Debt. PARLIAMENT FUNDING IV: DBRS Confirms BB(low) Rating on C Notes -------------------------------------------------------------- DBRS, Inc. confirmed its following provisional credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (together, the Notes) issued by Parliament Funding IV LLC pursuant to the Indenture dated June 28, 2024, as amended from time to time, and pursuant to the Joinder Agreement, executed on June 6, 2025, by and between Parliament Funding IV LLC, as Issuer and State Street Bank and Trust Company, as Trustee: -- Class A Notes: at (P) AAA (sf) -- Class B Notes: at (P) BBB (sf) -- Class C Notes: at (P) BB (low) (sf) The provisional credit rating on the Class A Notes addresses the timely payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate payment of principal on or before the Stated Maturity. The provisional credit ratings on the Class B Notes and Class C Notes address the ultimate payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate payment of principal on or before the Stated Maturity. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Joinder Agreement, which updated Schedule I of the Note Purchase Agreement to increase the Maximum Principal Amount of the Notes, by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 19, 2024). The Reinvestment Period ends on December 31, 2028. The Stated Maturity is January 15, 2037. The Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by Owl Rock Diversified Advisors LLC, an affiliate of Blue Owl Capital Inc. Morningstar DBRS considers Owl Rock Diversified Advisors LLC an acceptable collateralized loan obligation (CLO) manager. The credit ratings reflect the following primary considerations: (1) The Indenture dated June 28, 2024, as amended from time to time. (2) The integrity of the transaction's structure. (3) Morningstar DBRS' assessment of the portfolio quality and covenants. (4) Adequate credit enhancement to withstand Morningstar DBRS' projected collateral loss rates under various cash flow-stress scenarios. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Owl Rock Diversified Advisors LLC. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. 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 test matrix (the CQM, as defined in Schedule 5 of the Supplemental Indenture). Depending on a given Diversity Score (DScore), the following metrics are selected accordingly from the applicable row of the CQM: Maximum Average Morningstar DBRS Risk Score Test, and Weighted-Average Spread (WAS). Morningstar DBRS analyzed each structural configuration as a unique transaction, and all configurations (matrix points) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS modeled during its analysis are presented below: (1) Class A Asset Coverage Test: minimum 170.00%; currently 208.98% (2) Class B Asset Coverage Test: minimum 120.00%; currently 144.89% (3) Class C Asset Coverage Test: minimum 111.15%; currently 127.84% (4) Maximum Average Morningstar DBRS Risk Score Test: Subject to the CQM; maximum 29.04%; currently 24.94% (5) Minimum WAS Test: Subject to the CQM; minimum 4.75%; currently 4.84% (6) Minimum Weighted Average Coupon Test: minimum 5.00%; currently N/A (7) Minimum DScore: Subject to the CQM; minimum 15; currently 19.74 The transaction is performing according to the parameters of the Indenture. The Issuer is in compliance with all coverage and collateral quality tests as well as concentration limitations for portfolio collateral obligations per the trustee report as of March 5, 2025. There were no defaulted obligations reported to date. Some particular strengths of the transaction are (1) the collateral quality, which consists 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 Obligations. 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 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 Level III Trading Scenarios Approach described in the CLO Methodology was applied, and the CLO Insight Model was utilized in Morningstar DBRS' analysis of the transaction. Model-based analysis produced satisfactory results, which, in addition to Morningstar DBRS' review of the Joinder Agreement, supported the confirmation of the provisional credit ratings on the 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 Notes. Notes: All figures are in US dollars unless otherwise noted. PIKES PEAK 14: Fitch Assigns 'BB-sf' Rating on Class E-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Pikes Peak CLO 14 (2023) Ltd reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Pikes Peak CLO 14 (2023) Ltd A-1R LT NRsf New Rating NR(EXP)sf A-2 72134CAC5 LT PIFsf Paid In Full AAAsf A-2R LT AAAsf New Rating AAA(EXP)sf B 72134CAE1 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating AA(EXP)sf C 72134CAG6 LT PIFsf Paid In Full Asf C-R LT Asf New Rating A(EXP)sf D 72134CAJ0 LT PIFsf Paid In Full BBBsf D-1R LT BBB-sf New Rating BBB-(EXP)sf D-2R LT BBB-sf New Rating BBB-(EXP)sf E 72134DAA7 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating BB-(EXP)sf 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. Since the expected rating was assigned, the capital structure has changed with no class X being issued. 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 24.2, 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 97.79% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.38% and will be managed to a WARF covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: 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-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. PMT LOAN 2025-INV6: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 61 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2025-INV6, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2025-INV6 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aaa (sf) Cl. A-32, Definitive Rating Assigned Aaa (sf) Cl. A-33, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X7*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X11*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X25*, Definitive Rating Assigned Aaa (sf) Cl. A-X26*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X31*, Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Definitive Rating Assigned Aaa (sf) Cl. A-X33*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1A Loans, assigned on June 05, 2025, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.65%, in a baseline scenario-median is 0.37% and reaches 7.22% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PMT LOAN 2025-J1: Moody's Assigns (P)Ba2 Rating to Cl. B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 62 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2025-J1, and sponsored by PennyMac Corp. The securities are backed by a pool of prime jumbo (84.30% by balance) and GSE-eligible (15.70% by balance) residential mortgages originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2025-J1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-28, Assigned (P)Aa1 (sf) Cl. A-29, Assigned (P)Aa1 (sf) Cl. A-30, Assigned (P)Aa1 (sf) Cl. A-31, Assigned (P)Aaa (sf) Cl. A-32, Assigned (P)Aaa (sf) Cl. A-33, Assigned (P)Aaa (sf) Cl. A-X1*, Assigned (P)Aaa (sf) Cl. A-X2*, Assigned (P)Aaa (sf) Cl. A-X3*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X7*, Assigned (P)Aaa (sf) Cl. A-X8*, Assigned (P)Aaa (sf) Cl. A-X9*, Assigned (P)Aaa (sf) Cl. A-X11*, Assigned (P)Aaa (sf) Cl. A-X12*, Assigned (P)Aaa (sf) Cl. A-X14*, Assigned (P)Aaa (sf) Cl. A-X15*, Assigned (P)Aaa (sf) Cl. A-X18*, Assigned (P)Aaa (sf) Cl. A-X19*, Assigned (P)Aaa (sf) Cl. A-X21*, Assigned (P)Aaa (sf) Cl. A-X22*, Assigned (P)Aaa (sf) Cl. A-X24*, Assigned (P)Aaa (sf) Cl. A-X25*, Assigned (P)Aaa (sf) Cl. A-X26*, Assigned (P)Aaa (sf) Cl. A-X27*, Assigned (P)Aaa (sf) Cl. A-X30*, Assigned (P)Aa1 (sf) Cl. A-X31*, Assigned (P)Aa1 (sf) Cl. A-X32*, Assigned (P)Aaa (sf) Cl. A-X33*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A1 (sf) Cl. B-3, Assigned (P)Baa1 (sf) Cl. B-4, Assigned (P)Baa3 (sf) Cl. B-5, Assigned (P)Ba2 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.30%, in a baseline scenario-median is 0.12% and reaches 4.81% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PPM CLO 2: S&P Lowers Class E-R Notes Rating to 'B+ (sf)' --------------------------------------------------------- S&P Global Ratings lowered its ratings on the class D-R2A and E-R debt and removed the rating on the class E-R debt from CreditWatch, where we placed it with negative implications in May 2025, from PPM CLO 2 Ltd. At the same time, S&P affirmed its ratings on the class X, A-LR, A-R, B-R2, C-R2, and D-R2B debt. The rating actions follow S&P's review of the transaction's performance using data from the April 2025 monthly trustee report. The reported overcollateralization (O/C) ratios have changed since the May 2022 trustee report, which we used for our previous rating actions at the time of closing: -- The class B O/C ratio declined to 128.94% from 131.58%. -- The class C O/C ratio declined to 119.50% from 121.95%. -- The class D O/C ratio declined to 110.10% from 112.36%. -- The class E O/C ratio declined to 107.09% from 109.29%. -- The deterioration to the O/C ratios is primarily attributable to the portfolio's realized par losses since our last rating action. In addition, the cash flow runs were failing at their respective prior ratings. Two factors contributed to the failing cash flow runs: decline in the weighted average spread and decrease in the weighted average recovery rates for the portfolio. As market conditions evolve, the spread between the interest income generated from the underlying collateral and the cost of financing has narrowed, reducing the excess cash flow available to support these junior tranches. Additionally, the weighted average recovery rates for the portfolio have decreased, further contributing to the downward pressure on the ratings. Lower recovery expectations imply that in the event of defaults, the value recovered from the assets will be less than previously estimated. The lowered ratings on the class D-R2A and E-R debt reflect the decrease in their credit support levels. The affirmed ratings on the class X, A-LR, A-R, B-R2, C-R2, and D-R2B debt reflects S&P's view that the credit support available is commensurate with the current rating levels. On a standalone basis, the results of the cash flow analysis indicated lower ratings for the class C-R2, D-R2A, D-R2B, and E-R debt than the ones reflected by the rating actions. However, S&P's actions considered the pure O/C ratios (O/C without haircut) of these classes in comparison to similarly rated classes and the relatively low exposure to 'CCC' and 'CCC-' rated collateral obligations. 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 debt remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Rating Lowered And Removed From CreditWatch PPM CLO 2 Ltd. Class E-R to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Rating Lowered PPM CLO 2 Ltd. Class D-R2A to 'BBB (sf)' from 'BBB+ (sf)' Ratings Affirmed PPM CLO 2 Ltd. Class X: AAA (sf) Class A-R: AAA (sf) Class A-LR loans: AAA (sf) Class B-R2: AA (sf) Class C-R2: A (sf) Class D-2RB: BBB- (sf) PRESTIGE AUTO 2024-1: S&P Affirms BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings raised its ratings on two classes of notes from Prestige Auto Receivables Trust 2024-1 (PART 2024-1). At the same time, S&P affirmed its ratings on three other classes of notes, with class E also being removed from CreditWatch, where S&P had placed it with negative implications on March 25, 2025. The rating actions reflect: -- The transaction's collateral performance to date and S&P's expectation regarding future collateral performance, including an increase in the series' cumulative net loss (CNL) expectation; -- The transaction's structure and level of credit enhancement; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including S&P's forward-looking view of the U.S. auto finance sector, and its most recent macroeconomic outlook, which incorporates a baseline forecast for U.S. GDP and unemployment. Considering all these factors, we believe the notes' creditworthiness is consistent with the raised and affirmed ratings. S&P said, "The transaction's collateral performance is trending worse than our original CNL expectation, the primary reason for the CreditWatch placement in March 2025. As of the May 2025 performance month, with 15 months of performance, monthly gross charge-offs remain elevated. However, recovery rates did improve, which resulted in lower monthly net losses. Although the transaction's overcollateralization (O/C) amount is not yet at its specified target amount, the difference is lower, and excess spread is being used to build the O/C." Table 1 PART 2024-1 collateral performance (%) Pool 60+ day Mo.(i) factor CGL CRR CNL delinq. Ext. Mar-24 99.18 0.00 0.00 0.00 0.06 0.18 Apr-24 97.95 0.02 4.93 0.02 0.85 0.31 May-24 96.17 0.11 3.81 0.10 2.08 0.54 Jun-24 94.24 0.63 3.59 0.61 2.96 0.54 Jul-24 91.46 1.59 6.71 1.49 3.52 1.01 Aug-24 88.66 2.60 10.66 2.32 4.01 2.24 Sep-24 86.24 3.51 15.27 2.97 4.22 3.29 Oct-24 83.10 4.77 16.35 3.99 3.18 3.65 Nov-24 80.66 5.75 17.73 4.73 2.88 4.54 Dec-24 78.63 6.45 18.98 5.23 3.28 4.88 Jan-25 76.63 7.18 21.21 5.66 3.84 4.58 Feb-25 74.29 8.13 21.23 6.40 4.06 4.23 Mar-25 71.91 9.05 22.31 7.03 3.97 4.03 Apr-25 69.61 10.04 22.39 7.80 5.22 3.79 May-25 67.15 11.11 22.93 8.56 6.30 4.16 (i)As of the monthly collection period. PART--Prestige Auto Receivables Trust. Mo.--Month. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Delinq.--Delinquencies. Ext.--Extensions. Table 2 PART 2024-1 O/C Current Target Target Current Target Mo.(i) (%)(ii) (%)(iii) (%)(iii) ($ mil.)(iv)($mil.) (iii) Mar-24 6.87 14.75 2.00 13.34 32.55 Apr-24 7.83 14.75 2.00 18.21 39.04 May-24 9.08 14.75 2.00 20.73 38.42 Jun-24 9.76 14.75 2.00 21.84 37.74 Jul-24 10.22 14.75 2.00 22.18 36.77 Aug-24 10.81 14.75 2.00 22.75 35.79 Sep-24 11.40 14.75 2.00 23.33 34.94 Oct-24 11.73 14.75 2.00 23.13 33.84 Nov-24 12.26 14.75 2.00 23.47 32.99 Dec-24 12.90 14.75 2.00 24.08 32.28 Jan-25 13.85 14.75 2.00 25.20 31.57 Feb-25 14.40 14.75 2.00 25.39 30.76 Mar-25 15.09 14.75 2.00 25.76 29.92 Apr-25 15.51 14.75 2.00 25.63 29.12 May-25 16.09 14.75 2.00 25.65 28.26 (i)As of the monthly collection period. (ii)Percentage of the current collateral pool balance. (iii)The target O/C amount on any distribution date is equal to the sum of 14.75% of the current pool balance and 2.00% of initial collateral balance. (iv)O/C amount for the collection month. PART--Prestige Auto Receivables Trust. O/C--Overcollateralization. Mo.--Month. S&P said, "In view of the series' performance to date, which is trending worse than our initial CNL expectation, along with the prevailing economic headwinds, we revised and raised our expected CNL for the series." Table 3 PART 2024-1 CNL expectations (%) Original Revised lifetime lifetime CNL exp. CNL exp.(i) 19.25 28.00 (i)As of the June 2025 distribution date. CNL exp.--Cumulative net loss expectation. N/A--Not applicable. The transaction contains a sequential principal payment structure in which the notes are paid principal by seniority. The sequential payment structure increases subordination as a percentage of the amortizing pool for all classes except the lowest-rated subordinate class E. The transaction also has credit enhancement in the form of a non-amortizing reserve account, O/C, and excess spread. The non-amortizing reserve account for the transaction remains at its required level, which increases as a percentage of the current pool balance as the pool amortizes. Hard credit enhancement (without credit to excess spread) has increased as the series' pool has amortized. Table 4 Hard credit support (i) Current Total hard total hard credit support credit support Series Class at issuance (% of current)(ii) 2024-1 Class A-2 58.60 95.17 2024-1 Class B 44.10 73.58 2024-1 Class C 30.60 56.48 2024-1 Class D 17.60 34.11 2024-1 Class E 6.50 17.58 (i)As of the June 2025 distribution date. (ii)Calculated as a percentage of the total receivable pool balance and, if applicable, consisting of a reserve account, overcollateralization, and subordination. Excludes excess spread that can also provide additional enhancement. S&P said, "We analyzed the current hard credit enhancement compared to the remaining expected CNL for class A-2, where hard credit enhancement alone--without credit to the stressed excess spread--was sufficient, in our view, to affirm the 'AAA (sf)' rating on the notes. For other classes, we undertook a cash flow analysis to assess the loss coverage levels giving credit to stressed excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate, given the transaction's performance to date. "In addition to our break-even cash flow analysis, we also conducted sensitivity analyses for the series to determine the impact a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised base-case loss expectations. "In our view, the results demonstrated that the classes of notes for PART 2024-1 have adequate credit enhancement at the raised and affirmed rating level, which is based on our analysis as of the collection period ended May 2025." Although hard credit enhancement for the PART 2024-1 class E notes has increased since issuance, the class remains highly dependent on excess spread and is vulnerable to elevated losses, which can slow the build in O/C or cause it to decline. The affirmed 'BB- (sf)' rating on the class E notes reflects our view that the total credit support as a percentage of the amortizing pool balance, compared with our expected remaining losses, as of the May performance month, is commensurate with the rating. S&P said, "Looking forward, given the relative early stage in the lifecycle of the PART 2024-1, we believe the economic headwinds and potential negative impact on consumers could result in a greater proportion of delinquencies and extensions ultimately defaulting, which, if not offset by recovery, are risks to excess spread and overcollateralization. If this occurs, class E is most immediately at risk. "As such, we will continue to monitor the performance of PART 2024-1 to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectation under our stress scenarios for each of the rated classes." RATINGS RAISED Prestige Auto Receivables Trust 2024-1 Rating Class To From B AAA (sf) AA (sf) C A+ (sf) A (sf) RATING AFFIRMED AND REMOVED FROM CREDITWATCH Prestige Auto Receivables Trust 2024-1 Rating Class To From E BB- (sf) BB- (sf)/Watch Neg RATINGS AFFIRMED Prestige Auto Receivables Trust 2024-1 Class Rating A-2 AAA (sf) D BBB (sf) PRET TRUST 2025-RPL3: Moody's Assigns B2 Rating to Cl. B-2 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to nine classes of residential mortgage-backed securities (RMBS) issued by PRET 2025-RPL3 Trust and sponsored by Nomura Corporate Funding Americas, LLC. The securities are backed by a pool of seasoned performing and re-performing residential mortgages serviced by Selene Finance LP. The complete rating actions are as follows: Issuer: PRET 2025-RPL3 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned Aa1 (sf) Cl. A-4, Definitive Rating Assigned A1 (sf) Cl. A-5, Definitive Rating Assigned A2 (sf) Cl. M-1, Definitive Rating Assigned A2 (sf) Cl. M-2, Definitive Rating Assigned Baa2 (sf) Cl. B-1, Definitive Rating Assigned Ba2 (sf) Cl. B-2, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The ratings are based on the credit quality and historical performance of the mortgage loans, the structural features of the transaction, the origination quality, the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario is 4.20%, and reaches 21.00% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The methodologies used in these ratings were "Non-performing and Re-performing Loan Securitizations" published in April 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PRM TRUST 2025-PRM6: Fitch Assigns B-(EXP) Rating on Cl. HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to PRM Trust 2025-PRM6, Commercial Mortgage Pass-Through Certificates: - $203,700,000 class A 'AAAsf'; Outlook Stable; - $34,300,000 class B 'AA-sf'; Outlook Stable; - $26,900,000 class C 'A-sf'; Outlook Stable; - $38,000,000 class D 'BBB-sf'; Outlook Stable; - $58,100,000 class E 'BB-sf'; Outlook Stable; - $28,500,000 class F 'Bsf'; Outlook Stable; - $25,500,000a class HRR 'B-sf'; Outlook Stable; (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $415.0 million, three-year, fixed-rate, interest-only (IO) commercial mortgage loan. The mortgage will be secured by the fee simple interests in a portfolio of 33 self-storage properties located across 14 states and one U.S. territory. Loan proceeds will be used to refinance approximately $296.9 million of existing debt, pay estimated closing costs of $16.0 million and repatriate $101.2 million in equity to the sponsor. The loan is expected to be co-originated by JPMorgan Chase Bank, National Association and Citi Real Estate Funding Inc. Trimont LLC will serve as the master servicer and special servicer. Computershare Trust Company, National Association will serve as trustee and certificate administrator. Park Bridge Lender Services LLC will act as operating advisor. The certificates will follow a sequential-pay structure. The transaction is scheduled to close on June 24, 2025. KEY RATING DRIVERS Net Cash Flow: Fitch's net cash flow (NCF) for the portfolio is estimated at $28.5 million; this is 6.9% lower than the issuer's NCF. Fitch applied a 7.75% cap rate to derive a Fitch value of $367.6 million for the portfolio. High Fitch Leverage: The $415.0 million mortgage loan equates to debt of approximately $167 psf with a Fitch stressed loan-to-value ratio (LTV) and debt yield of 112.9% and 6.9%, respectively. The lowest Fitch-rated tranche, class F, has a Fitch LTV and debt yield of 112.9% and 6.9%, respectively. Fitch decreased its LTV hurdles by 2.5% to reflect the higher in-place leverage. Geographic Diversity: The portfolio exhibits geographic diversity, with 33 self-storage properties located across 14 states, one U.S. territory and 21 MSAs. The largest three state concentrations account for 47.3% of the portfolio by allocated loan amount (ALA). This includes California (four properties; 17.1% of ALA), Massachusetts (four; 17.0%) and New York (two; 13.2%). No other state accounts for more than 9.8% of ALA. No single property represents more than 7.6% of ALA. Based on ALA, the portfolio has an effective property count of 26.1 and an effective MSA count of 13.5. Experienced Sponsorship and Management: The loan is sponsored by Prime Storage Fund III, LP. Robert Moser, the founder of Prime Group Holdings (Prime Group) in 2013, an affiliate of the borrower, currently serves as CEO. Prime Group Holdings is a vertically integrated real estate owner-operator. The company is focused on acquiring and managing self-storage facilities located throughout North America. Prime's cumulative self-storage acquisitions have totaled over 28 million sf across 400 self-storage facilities. Prime owns and operates self-storage facilities across 28 states, two Canadian provinces and one U.S. territory. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: AAAsf /AA-sf/A-sf/BBB-sf/BB-sf/Bsf/B-sf; - 10% NCF Decline: AAsf /A-sf/BBB-sf/BBsf/Bsf/CCC+sf/CCCsf. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: AAAsf /AA-sf/A-sf/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 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 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. PROVIDENT FUNDING 2025-2: Moody's Assigns B1 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 30 classes of residential mortgage-backed securities (RMBS) issued by Provident Funding Mortgage Trust 2025-2, and sponsored by Provident Funding Associates, L.P. and Colorado Federal Savings Bank. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages originated by Provident Funding Associates, L.P. and Colorado Federal Savings Bank and serviced by Provident Funding Associates, L.P. The complete rating actions are as follows: Issuer: Provident Funding Mortgage Trust 2025-2 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B1 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.25%, in a baseline scenario-median is 0.10% and reaches 3.58% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. RATE MORTGAGE 2025-J2: DBRS Gives Prov. B(low) Rating on B5 Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-J2 (the Notes) to be issued by RATE Mortgage Trust 2025-J2 (RATE 2025-J2, or the Trust) as follows: -- $292.9 million Class A-1 at (P) AAA (sf) -- $292.9 million Class A-2 at (P) AAA (sf) -- $292.9 million Class A-3 at (P) AAA (sf) -- $219.6 million Class A-4 at (P) AAA (sf) -- $219.6 million Class A-5 at (P) AAA (sf) -- $219.6 million Class A-6 at (P) AAA (sf) -- $175.7 million Class A-7 at (P) AAA (sf) -- $175.7 million Class A-8 at (P) AAA (sf) -- $175.7 million Class A-9 at (P) AAA (sf) -- $43.9 million Class A-10 at (P) AAA (sf) -- $43.9 million Class A-11 at (P) AAA (sf) -- $43.9 million Class A-12 at (P) AAA (sf) -- $117.1 million Class A-13 at (P) AAA (sf) -- $117.1 million Class A-14 at (P) AAA (sf) -- $117.1 million Class A-15 at (P) AAA (sf) -- $73.2 million Class A-16 at (P) AAA (sf) -- $73.2 million Class A-17 at (P) AAA (sf) -- $73.2 million Class A-18 at (P) AAA (sf) -- $37.2 million Class A-19 at (P) AAA (sf) -- $37.2 million Class A-20 at (P) AAA (sf) -- $37.2 million Class A-21 at (P) AAA (sf) -- $330.1 million Class A-22 at (P) AAA (sf) -- $330.1 million Class A-23 at (P) AAA (sf) -- $330.1 million Class A-24 at (P) AAA (sf) -- $330.1 million Class A-25 at (P) AAA (sf) -- $330.1 million Class A-X-1 at (P) AAA (sf) -- $292.9 million Class A-X-2 at (P) AAA (sf) -- $292.9 million Class A-X-3 at (P) AAA (sf) -- $292.9 million Class A-X-4 at (P) AAA (sf) -- $219.6 million Class A-X-5 at (P) AAA (sf) -- $219.6 million Class A-X-6 at (P) AAA (sf) -- $219.6 million Class A-X-7 at (P) AAA (sf) -- $175.7 million Class A-X-8 at (P) AAA (sf) -- $175.7 million Class A-X-9 at (P) AAA (sf) -- $175.7 million Class A-X-10 at (P) AAA (sf) -- $43.9 million Class A-X-11 at (P) AAA (sf) -- $43.9 million Class A-X-12 at (P) AAA (sf) -- $43.9 million Class A-X-13 at (P) AAA (sf) -- $117.1 million Class A-X-14 at (P) AAA (sf) -- $117.1 million Class A-X-15 at (P) AAA (sf) -- $117.1 million Class A-X-16 at (P) AAA (sf) -- $73.2 million Class A-X-17 at (P) AAA (sf) -- $73.2 million Class A-X-18 at (P) AAA (sf) -- $73.2 million Class A-X-19 at (P) AAA (sf) -- $37.2 million Class A-X-20 at (P) AAA (sf) -- $37.2 million Class A-X-21 at (P) AAA (sf) -- $37.2 million Class A-X-22 at (P) AAA (sf) -- $330.1 million Class A-X-23 at (P) AAA (sf) -- $330.1 million Class A-X-24 at (P) AAA (sf) -- $330.1 million Class A-X-25 at (P) AAA (sf) -- $330.1 million Class A-X-26 at (P) AAA (sf) -- $3.6 million Class B-1 at (P) AA (sf) -- $3.6 million Class B-1A at (P) AA (sf) -- $3.6 million Class B-X-1 at (P) AA (sf) -- $6.4 million Class B-2 at (P) A (low) (sf) -- $6.4 million Class B-2A at (P) A (low) (sf) -- $6.4 million Class B-X-2 at (P) A (low) (sf) -- $1.7 million Class B-3 at (P) BBB (low) (sf) -- $1.2 million Class B-4 at (P) BB (low) (sf) -- $689.0 thousand Class B-5 at (P) B (low) (sf) -- $292.9 million Class A-1L at (P) AAA (sf) -- $292.9 million Class A-2L at (P) AAA (sf) -- $292.9 million Class A-3L at (P) AAA (sf) Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-26, B-X-1, and B-X-2 are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, B-X-1, B-2, A-1L, A-2L, and A-3L are exchangeable classes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-1L, A-2L, and A-3L are super senior tranches. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, and A-21) with respect to loss allocation. The AAA (sf) credit ratings on the Certificates reflect 4.20% of credit enhancement provided by subordinated certificates. The AA (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.15%, 1.30%, 0.80%, 0.45%, and 0.25% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to RATE Mortgage Trust 2025-J2 (RATE 2025-J2 or the Trust), a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages to be funded by the issuance of the Mortgage-Backed Notes (the Notes). The Notes are backed by 308 loans with a total principal balance of $344,543,901 as of the Cut-Off Date (June 1, 2025). Guaranteed Rate, Inc. (Guaranteed Rate or GRI), as the Sponsor, began issuing prime jumbo securitizations from its RATE shelf in early 2021 and this transaction represents the eleventh prime jumbo RATE deal. The pool consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. All of the mortgage loans were originated by Guaranteed Rate. Guaranteed Rate is also the Servicing Administrator and Sponsor of the transaction. The loans will be serviced by ServiceMac, LLC (ServiceMac). Computershare Trust Company, N.A. (Computershare Trust Company; rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Master Servicer, Loan Agent, Paying Agent, Note Registrar, and Certificate Registrar. Deutsche Bank National Trust Company will act as the Custodian. Wilmington Savings Fund Society, FSB will serve as Trustee. Similar to the prior RATE securitizations, the Servicing Administrator will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent or such P&I advances are deemed to be unrecoverable by the Servicer or the Master Servicer (Stop-Advance Loan). The Servicing Administrator will also fund advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The interest entitlements for each class in this transaction are reduced reverse sequentially by the delinquent interest that would have accrued on the Stop-Advance Loans. In other words, investors are not entitled to any interest on such severely delinquent mortgages, unless such interest amounts are recovered. The delinquent interest recovery amounts, if any, will be distributed sequentially to the P&I notes. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 to 120 days delinquent under the Mortgage Bankers Association (MBA) method at a price equal to par plus interest and unreimbursed servicing advance amounts, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. This transaction allows for the issuance of Classes A-1L, A-2L, and A-3L loans, which are the equivalent of ownership of Classes A-1, A-2, and A-3 Notes, respectively. These classes are issued in the form of a loan made by the investor to the issuer instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these Classes are elected. Notes: All figures are in U.S. dollars unless otherwise noted. RATE MORTGAGE 2025-J2: Moody's Assigns (P)B3 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 63 classes of residential mortgage-backed securities (RMBS) to be issued by RATE Mortgage Trust 2025-J2, and sponsored by Guaranteed Rate, Inc. (GRI). The securities are backed by a pool of prime jumbo (100% by balance) residential mortgages originated by GRI and serviced by ServiceMac, LLC. The complete rating actions are as follows: Issuer: RATE Mortgage Trust 2025-J2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1L Loans, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-2L Loans, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-3L Loans, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aaa (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aaa (sf) Cl. A-X-15*, Assigned (P)Aaa (sf) Cl. A-X-16*, Assigned (P)Aaa (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aa1 (sf) Cl. A-X-21*, Assigned (P)Aa1 (sf) Cl. A-X-22*, Assigned (P)Aa1 (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aaa (sf) Cl. A-X-25*, Assigned (P)Aaa (sf) Cl. A-X-26*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-X-2*, Assigned (P)A3 (sf) Cl. B-2A, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.29%, in a baseline scenario-median is 0.12% and reaches 4.34% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. REALT 2015-1: DBRS Confirms B Rating on Class G Certs ----------------------------------------------------- DBRS Limited upgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2015-1 issued by Real Estate Asset Liquidity Trust (REALT) Series 2015-1 as follows: -- Class B to AAA (sf) from AA (high) (sf) -- Class C to AAA (sf) from AA (sf) -- Class X to AAA (sf) from AA (sf) -- Class D to AA (low) (sf) from A (low) Morningstar DBRS also confirmed its credit ratings on the following classes: -- Class A-2 at AAA (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. The credit rating upgrades reflect the significant deleveraging since issuance and the overall stable-to-improving performance of the remaining collateral, as evidenced by a healthy weighted-average (WA) debt service coverage ratio (DSCR) of 2.2 times (x), based on the most recent financial reporting. Since Morningstar DBRS' prior credit rating action, 17 loans were repaid in full, bringing the pool's total collateral reduction to 85.6% since issuance, as of the May 2025 remittance. As the pool continues to wind down, Morningstar DBRS looked to a recoverability analysis, the results of which suggest that the majority of the remaining 13 loans are generally well positioned to successfully repay at their respective maturity dates. The three largest loans (84.3% of the current pool balance) continue to exhibit strong credit characteristics and are scheduled to mature within the next 90 days. There are no delinquent or specially serviced loans; however, three loans representing 84.3% of the current pool balance, are being monitored on the servicer's watchlist for upcoming maturities, as noted above. The three largest loans are secured by industrial, office, and retail collateral, respectively, with the remaining 10 loans secured by self-storage properties. The largest loan in the pool, LaSalle Industrial Portfolio (Prospectus ID #4, 32.4% of the pool), is secured by 10 industrial properties, totaling 802,367 square feet, in LaSalle, Québec, a suburb of Montréal that is 11.0 kilometers southwest of the downtown core. Based on the most recent financial reporting available, as of YE2023, the collateral generated net cash flow (NCF) of $4.1 million, resulting in a DSCR of 3.01 x, in line with the YE2022 figure of $4.0 million (DSCR of 2.98x) and above Morningstar DBRS' issuance figure of $3.4 million (DSCR of 2.53x). According to the most recent servicer commentary, the borrower was granted a one-month maturity extension to allow for additional time to close on refinancing. Morningstar DBRS expects this loan to repay in full following the end of the extension period in July 2025, given the underlying collateral's historically stable performance. The second largest loan in the pool, Place D'Armes Office Kingston (Prospectus ID #5, 31.6% of the pool), is secured by an office property in Kingston, Ontario. The property is 100% occupied by the Ministry of the Attorney General and the Ministry of Health and Long-Term Care, which are both branches of the Ontario provincial government (rated AA with a Stable trend by Morningstar DBRS as of December 2024). The tenants have been in occupancy since the property was constructed and are signed to a lease scheduled to expire in September 2025, with three five-year extension options remaining. Morningstar DBRS has requested an update regarding the status of the tenants' lease extension from the servicer and is awaiting a response as of the date of this press release. Although the upcoming lease expirations are noteworthy, mitigating factors include the presence of a full-recourse guarantor and the historically stable performance of the underlying collateral. At issuance, Morningstar DBRS shadow-rated the U-Haul SAC 3 Portfolio loan as investment grade. The loan is secured by a portfolio of 10 individual loans backed by self-storage properties across Ontario. With this review, Morningstar DBRS has confirmed that the performance of the loan remains consistent with investment-grade loan characteristics. 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 Canadian dollars unless otherwise noted. REGATTA 33: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Regatta 33 Funding Ltd. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- Regatta 33 Funding Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB+sf New Rating BBB+(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Regatta 33 Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Napier Park Global Capital (US) LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.55 versus a maximum covenant, in accordance with the initial expected matrix point of 24. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.43% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.54% versus a minimum covenant, in accordance with the initial expected matrix point of 71.6%. Portfolio Composition (Positive): The largest three industries may comprise up to 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, 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, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Regatta 33 Funding Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. REGATTA 34: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Regatta 34 Funding Ltd. Entity/Debt Rating ----------- ------ Regatta 34 Funding Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Regatta 34 Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Napier Park Global Capital (US) LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 23.48, versus a maximum covenant, in accordance with the initial expected matrix point of 24.96. 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 97.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.74% versus a minimum covenant, in accordance with the initial expected matrix point of 71.8%. Portfolio Composition: 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 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-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Regatta 34 Funding 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. RIPPLE NOTES: DBRS Hikes Class C Notes Rating to BB --------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Class A Notes and the Class B Notes and upgraded its credit ratings on the Class C Notes and the Class D Notes (together, the Secured Notes) of Ripple Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, and the Third Supplemental Indenture dated June 12, 2025, entered into between Ripple Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes upgraded to BB (sf) from BB (low) (sf) -- Class D Notes upgraded to BB (low) (sf) from B (high) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Third Supplemental Indenture, dated June 12, 2025, by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 19, 2024). The Third Supplemental Indenture increased the Commitment Amounts of the Secured Notes, among other changes. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Ripple Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26North Direct Lending II LP. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via the selection of an applicable row from a collateral quality matrix (the CQM). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). Morningstar DBRS analyzed each structural configuration as a unique transaction and all configurations (rows) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 152.12%; Threshold 130.00% Class B Overcollateralization Ratio Test: Actual 139.84%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 125.35%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 222.46%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 190.17%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 152.11%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 49.60%; Threshold 60.00% Class B Advance Rate: Actual 55.80%; Threshold 67.50% Class C Advance Rate: Actual 64.07%; Threshold 77.50% Class D Advance Rate: Actual 66.13%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 18.34; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 29.93%; Threshold 40.00% Minimum WA Spread: Actual 5.68%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 59.98%; Threshold 59.04% As of April 30, 2025, the transaction is in compliance with all Coverage Tests and Collateral Quality Tests. There have not been any defaults in the portfolio to date. Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) 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 CLO Methodology (November 19, 2024). The model-based analysis produced satisfactory results, which, in addition to Morningstar DBRS' review of the Third Supplemental Indenture, supported the above-referenced credit rating actions on the above-mentioned 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 is used in assigning ratings to a facility. Notes: All figures are in US dollars unless otherwise noted. RR 40: S&P Assigns Preliminary BB- (sf) Rating on Class D Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to RR 40 Ltd./RR 40 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Redding Ridge Asset Management LLC. The preliminary ratings are based on information as of June 12, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The 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 RR 40 Ltd./RR 40 LLC Class A-1, $360.0 million: AAA (sf) Class A-2, $90.0 million: AA (sf) Class B (deferrable), $42.0 million: A (sf) Class C (deferrable), $36.0 million: BBB- (sf) Class D (deferrable), $21.0 million: BB- (sf) Subordinated notes, $54.3 million: NR NR--Not rated. SANTANDER 2025-NQM3: S&P Assigns Prelim B (sf) Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Santander Mortgage Asset Receivable Trust 2025-NQM3's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, a townhouse, two- to four-family residential properties, and a condotel. The pool consists of 665 loans, which are non-qualified mortgage/ability-to-repay-compliant (ATR-compliant) and ATR-exempt loans. The preliminary ratings are based on information as of June 12, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P's outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) Santander Mortgage Asset Receivable Trust 2025-NQM3 Class A-1, $197,979,000: AAA (sf) Class A-1A, $169,615,000: AAA (sf) Class A-1B, $28,364,000: AAA (sf) Class A-2, $18,720,000: AA (sf) Class A-3, $29,356,000: A (sf) Class M-1, $14,466,000: BBB (sf) Class B-1, $9,785,000: BB (sf) Class B-2, $8,226,000: B (sf) Class B-3, $5,105,902: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class PT, $283,637,902: NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the net weighted average coupon shortfall amounts. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. SARANAC CLO VII: Moody's Cuts Rating on $19MM Class E-R Notes to C ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Saranac CLO VII Limited: US$20,000,000 Class C-R Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes") (current balance $18,144,436.92), Upgraded to Aaa (sf); previously on September 27, 2024 Upgraded to Aa1 (sf) US$19,000,000 Class D-R Secured Deferrable Floating Rate Notes due 2029 (the "Class D-R Notes"), Upgraded to Baa1 (sf); previously on July 14, 2020 Downgraded to Ba2 (sf) Moody's have also downgraded the rating on the following notes: US$19,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2029 (the "Class E-R Notes”) (current balance $19,739,258.14), Downgraded to C (sf); previously on September 27, 2024 Downgraded to Ca (sf) Saranac CLO VII Limited, originally issued in April 2014 and refinanced in November 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in November 2021. A comprehensive review of all credit ratings for the respective transaction have been conducted during a rating committee. RATINGS RATIONALE These upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since August 2024. The Class A-2-R and Class B-R notes have been completely paid down and Class C-R notes have been paid down by approximately 9.28% or $1.8 million since that time. Based on Moody's calculations, the OC ratios for the Class C-R and Class D-R notes are currently 248.04% and 121.16%, respectively, versus August 2024 levels of 149.88% and 115.66%, respectively. The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the OC ratio for the Class E-R notes has fallen to 79.12% versus an August 2024 calculated level of 94.16%. 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: $44,997,367 Defaulted par: $3,322,092 Diversity Score: 23 Weighted Average Rating Factor (WARF): 3095 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.11% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 2.8 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. SARANAC CLO VII: Moody's Lowers Rating on Class E-R Notes to C -------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Saranac CLO VII Limited: US$18,144,436.92 Class C-R Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes"), Upgraded to Aaa (sf); previously on September 27, 2024 Upgraded to Aa1 (sf) US$19,000,000 Class D-R Secured Deferrable Floating Rate Notes due 2029 (the "Class D-R Notes"), Upgraded to Baa1 (sf); previously on July 14, 2020 Downgraded to Ba2 (sf) Moody's have also downgraded the rating on the following notes: US$19,739,258.14 Class E-R Secured Deferrable Floating Rate Notes due 2029 (the "Class E-R Notes"), Downgraded to C (sf); previously on September 27, 2024 Downgraded to Ca (sf) Saranac CLO VII Limited, originally issued in April 2014 and refinanced in November 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in November 2021. A comprehensive review of all credit ratings for the respective transaction have been conducted during a rating committee. RATINGS RATIONALE These upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since August 2024. The Class A-2-R and Class B-R notes have been completely paid down and Class C-R notes have been paid down by approximately 9.28% or $1.8 million since that time. Based on Moody's calculations, the OC ratios for the Class C-R and Class D-R notes are currently 248.04% and 121.16%, respectively, versus August 2024 levels of 149.88% and 115.66%, respectively. The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the OC ratio for the Class E-R notes has fallen to 79.12% versus an August 2024 calculated level of 94.16%. 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: $44,997,367 Defaulted par: $3,322,092 Diversity Score: 23 Weighted Average Rating Factor (WARF): 3095 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.11% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 2.8 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. SBNA AUTO 2025-SF1: Fitch Gives 'B(EXP)sf' Rating on Class F Notes ------------------------------------------------------------------ Fitch Ratings expects to assign ratings and Rating Outlooks to SBNA Auto Receivables Trust 2025-SF1 (SBAT 2025-SF1). Entity/Debt Rating ----------- ------ SBNA Auto Receivables Trust 2025-SF1 A-R LT NR(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating F LT B(EXP)sf Expected Rating KEY RATING DRIVERS Collateral Performance - Prime Credit Quality: 2025-SF1 is the second SBAT transaction from Santander Bank, NA, but the collateral is generally comparable to the SBCLN shelf. The credit quality is overall weaker than the 2021-2022 SBCLN transactions, but more similar to the 2023-2024 transactions with a weighted average (WA) FICO score of 762. FICO scores less than or equal to 700 total only 14.5% of the pool and 28.7% are above 800. The concentration of extended term loans (>60 months) totals 72.3% of the pool, with 84-month term loans at 12.0%. Seasoning for the pool is low, at approximately three months, though that is comparable to recent SBLCN transactions. Vehicle and model concentrations are in line with comparable prime transactions. The 2025-SF1 pool has a high concentration of approximately 34.6% Tesla vehicles, though the Tesla portion has generally higher credit quality than the overall pool. This is also lower compared to the SBCLN 2024-B and 2024-A transactions (50.4% and 44.7%). Forward-Looking Approach to Derive Rating Case Proxy - Delinquencies Up, Losses Contained: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series loss proxy. Fitch used the 2007-2009 and 2015-2018 vintage range to derive the loss proxy for 2025-SF1, representing through-the-cycle performance. While performance has deteriorated for 2022 and 2023 originations, increases in delinquencies have not fully rolled into losses. Fitch's rating case cumulative net loss (CNL) proxy for 2025-SF1 is 3.00%. Payment Structure - Adequate Credit Enhancement: Initial hard credit enhancement (CE) totals 12.95%, 10.20%, 7.10%, 3.50%, 2.35%, and 0.50% for classes A, B, C, D, E, and F, respectively. Excess spread is expected to be approximately 1.89% per annum. Loss coverage for each class of notes is sufficient to cover the respective multiples of Fitch's rating case cumulative net loss proxy of 3.00%. Operational and Servicing Risks - Consistent Origination/Underwriting/Servicing: Fitch's current Long-Term Issuer Default Rating of both SBNA and Santander Holdings USA, Inc., the parent of Santander Consumer, is 'A-/'Stable. Fitch views SBNA as an adequate originator, underwriter and servicer, evidenced by the historical performance of its managed portfolio and prior securitizations. Transaction documents also permit the appointment of a special servicer for 60+ day delinquent receivables. 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 2.00%, based on Fitch's "Global Economic Outlook — April 2025 Update" report and forecast 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. In addition, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Fitch therefore conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions, as well as by 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 also conducts 1.5x and 2.0x increases to the rating case CNL proxy, representing both moderate and severe stresses. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of the 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 stable delinquencies and defaults would lead to rising CE levels and 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 one category. 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 comparing or recomputing certain information with respect to 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 concentration of battery electric and hybrid vehicles, at approximately 35.1% and 1.3% of the pool, respectively, did not have an impact on Fitch's ratings analysis or conclusions on this transaction and has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SIXTH STREET 29: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Sixth Street CLO 29 Ltd./Sixth Street CLO 29 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Sixth Street CLO 29 Management LLC, an affiliate of Sixth Street Credit Market Strategies Management LLC. The preliminary ratings are based on information as of June 12, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Sixth Street CLO 29 Ltd./Sixth Street CLO 29 LLC Class A, $274.50 million: AAA (sf) Class B, $58.50 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D (deferrable), $27.00 million: BBB- (sf) Class E (deferrable): $15.75 million: BB- (sf) Subordinated notes: $45.00 million: NR NR--Not rated. SLM STUDENT 2010-1: S&P Raises Class B Notes Rating to 'CCC (sf)' ----------------------------------------------------------------- S&P Global Ratings raised its rating on SLM Student Loan Trust 2010-1's class B notes to 'CCC (sf)' from 'CC (sf)'. At the same time, S&P removed the rating from CreditWatch, where it was placed with developing implications on Jan. 9, 2025. The notes are backed by student loans originated through the U.S. Department of Education's (ED) Federal Family Education Loan Program (FFELP). S&P said, "On March 26, 2025, we lowered our rating on the class A notes to 'D (sf)' because they were not repaid by their legal final maturity date. This failure to repay the class A notes triggered an event-of-default (EOD) under the transaction documents, which caused a payment waterfall change as principal payments to the class A notes were reprioritized in front of interest to the class B notes. This in turn triggered an additional EOD under the transaction documents because the class B notes did not receive their current interest payments, which, according to the transaction documents, include any current interest payable, cumulative interest shortfall, and interest on the cumulative interest shortfall. As such, we view the class B notes as a payment-in-kind (PIK) instrument." Liquidity The class A default was caused by a decline in the loans' amortization pace, which is partly due to an increase in borrowers qualifying for income-based repayment (IBR) plans. Under the IBR plans, which represents approximately 33% of the current pool, the borrowers' monthly student loan payment can be lowered and the loan term extended by up to 25 years. The class B notes are also facing similar liquidity pressures due to their near-term legal final maturity date in 2035. Losses S&P expects net losses to be minimal. ED reinsures at least 97% of the principal and interest on defaulted loans serviced in accordance with the FFELP guidelines. As such, due to the high level of recoveries from ED on defaulted loans, defaults effectively function similarly to prepayments. Rationale The class B notes' legal final maturity in 2035 exposes the class to changes in the U.S. economic and business cycles over the next 10 years. The class B notes are currently not receiving interest, and the interest is expected to PIK until the class A notes are paid in full. Once class A is paid down, class B will start receiving interest (including the accrued interest) followed by the principal payment. S&P said, "We ran various cash flow scenarios on class B, ranging from 'AA+' to 'B' rating stresses with defaults ranging from 15%-65% at each rating level. We observed that, in most of our cash flow runs, class B is unable to be repaid by its 2035 legal final maturity date. As a result, we applied our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', and 'CC' Ratings," Oct. 1, 2012. Under these criteria, an obligation rated 'CCC' is vulnerable to nonpayment and dependent on favorable business, financial, and economic conditions for the obligor to meet its financial commitments on the obligation. In the event of adverse business, financial, or economic conditions, the obligor is unlikely to have the capacity to meet its financial commitments on the obligation." S&P believes there is a possibility of favorable business and economic conditions, which may enable the repayment of the class B notes in full by their 2035 legal final maturity date. These favorable circumstances include: -- The issuer exercising the clean-up call option, since the pool factor is now below 10%. -- The IBR loans could either exit the IBR plan and resume repayment, default and the trust will receive the guarantee, or become candidates for full reimbursement by the DOE. -- The transaction could experience higher prepayment levels if the loans are refinanced or if the loans default with payment through the guarantee. S&P said, "We raised our ratings on the class B notes to 'CCC (sf)' based on these factors. We will continue to monitor the macroeconomic environment and the transaction's performance (including the student loan receivables), available credit enhancement, and liquidity, and take further rating actions as we deem appropriate." TIDAL NOTES: DBRS Hikes Class C Notes Rating to BB -------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Class A Notes and the Class B Notes and upgraded its credit ratings on the Class C Notes and the Class D Notes (together, the Secured Notes) of Tidal Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, and the Third Supplemental Indenture dated June 12, 2025, entered into between Tidal Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes upgraded to BB (sf) from BB (low) (sf) -- Class D Notes upgraded to BB (low) (sf) from B (high) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Third Supplemental Indenture, dated June 12, 2025, by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 19, 2024). The Third Supplemental Indenture increased the Commitment Amounts of the Secured Notes, among other changes. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Tidal Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26 North Direct Lending II LP. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via the selection of an applicable row from a collateral quality matrix (the CQM). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). Morningstar DBRS analyzed each structural configuration as a unique transaction and all configurations (rows) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 153.12%; Threshold 130.00% Class B Overcollateralization Ratio Test: Actual 139.84%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 125.35%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 221.14%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 189.04%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 151.21%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 56.76%; Threshold 60.00% Class B Advance Rate: Actual 63.86%; Threshold 67.50% Class C Advance Rate: Actual 73.32%; Threshold 77.50% Class D Advance Rate: Actual 75.68%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 18.34; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 29.93%; Threshold 40.00% Minimum WA Spread: Actual 5.65%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 59.98%; Threshold 59.04% As of April 30, 2025, the transaction is in compliance with all Coverage Tests and Collateral Quality Tests. There have not been any defaults in the portfolio to date. Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) 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 CLO Methodology (November 19, 2024). The model-based analysis produced satisfactory results, which, in addition to Morningstar DBRS' review of the Third Supplemental Indenture, supported the above-referenced credit rating actions on the above-mentioned 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 is used in assigning ratings to a facility. Notes: All figures are in US dollars unless otherwise noted. TRESTLES CLO VIII: Fitch Assigns 'B-sf' Rating on Class F Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Trestles CLO VIII, Ltd. Entity/Debt Rating ----------- ------ Trestles CLO VIII, Ltd. X LT NRsf New Rating A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating F LT B-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Trestles CLO VIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by APC Asset Development II, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.87, versus a maximum covenant, in accordance with the initial expected matrix point of 24. Issuers rated in the 'B' rating category denote a highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.68% versus a minimum covenant, in accordance with the initial expected matrix point of 69%. Portfolio Composition (Positive): The largest three industries may comprise up to 43.5% 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 that of 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 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 'Asf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BBB-sf' and 'A+sf' for class B, between 'BB-sf' and 'A-sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E and between less than 'B-sf' and 'B+sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E and 'BBB-sf' for class F. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 Trestles CLO VIII, 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. TRICOLOR AUTO 2025-2: S&P Assigns B (sf) Rating on Class F Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Tricolor Auto Securitization Trust 2025-2's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 52.8%, 42.9%, 38.4%, 32.6%, 27.9%, and 24.3% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, E, and F notes, respectively, based on post-pricing stressed cash flows. These credit support levels provide at least 2.60x, 2.00x, 1.85x, 1.55x, 1.30x, and 1.15x coverage of S&P's expected cumulative net loss of 20.00% for the class A, B, C, D, E, and F notes, respectively; -- The expectation that under a moderate ('BBB') stress scenario (1.55x S&P's expected net loss level), all else being equal, its 'AA (sf)', 'A (sf)', 'A- (sf)', 'BBB (sf)', 'BB (sf)', and 'B (sf)' ratings on the class A, B, C, D, E, and F notes, respectively, are within S&P's credit stability limits; -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned ratings; -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector; -- S&P's operational risk assessment of Tricolor Auto Acceptance LLC (Tricolor) as servicer, and its view of the company's servicing, underwriting, and backup servicing arrangement with Vervent Inc. The operational risk assessment--specifically with regard to Tricolor's recent rapid growth, limited collateral performance over this growth timeframe, and niche lending market--constrains the ratings at 'AA (sf)'; -- The series' bank accounts at Wilmington Trust N.A., which do not constrain the ratings; -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with its sector benchmark; and -- The transaction's payment and legal structures. Ratings Assigned Tricolor Auto Securitization Trust 2025-2 Class A, $131.09 million: AA (sf) Class B, $27.12 million: A (sf) Class C, $13.95 million: A- (sf) Class D, $17.11 million: BBB (sf) Class E, $10.27 million: BB (sf) Class F, $17.64 million: B (sf) VARICK STRUCTURED: Moody's Hikes Rating on 2 Tranches to Caa1 ------------------------------------------------------------- Moody's Ratings has upgraded the ratings on notes issued by Varick Structured Asset Fund, Ltd.: US$50,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes due 2035 (current outstanding balance $1,560,812.89), Upgraded to Caa1 (sf); previously on April 11, 2013 Downgraded to Ca (sf) US$300,000,000 Class A-2 First Priority Senior Secured Floating Rate Notes due 2035 (current outstanding balance $9,364,877.33), Upgraded to Caa1 (sf); previously on April 11, 2013 Downgraded to Ca (sf) Varick Structured Asset Fund, Ltd., issued in September 2000, is a collateralized debt obligation backed primarily by a portfolio of structured finance assets. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the notes, 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. The notes have either incurred a missed interest payment or is currently undercollateralized. Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original notes balance. No actions were taken on the other rated classes in the deal 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. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in July 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. Certain deal features and their characteristics, such as amortization profile assumptions, and waterfall features can also influence the rating outcomes. VELOCITY COMMERCIAL 2025-3: DBRS Finalizes B Rating on 2 Classes ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Certificates, Series 2025-3 (the Certificates) issued by Velocity Commercial Capital Loan Trust 2025-3 (VCC 2025-3 or the Issuer) as follows: -- $270.3 million Class A at AAA (sf) -- $270.3 million Class A-S at AAA (sf) -- $270.3 million Class A-IO at AAA (sf) -- $20.4 million Class M-1 at AA (low) (sf) -- $20.4 million Class M1-A at AA (low) (sf) -- $20.4 million Class M1-IO at AA (low) (sf) -- $21.4 million Class M-2 at A (low) (sf) -- $21.4 million Class M2-A at A (low) (sf) -- $21.4 million Class M2-IO at A (low) (sf) -- $37.5 million Class M-3 at BBB (low) (sf) -- $37.5 million Class M3-A at BBB (low) (sf) -- $37.5 million Class M3-IO at BBB (low) (sf) -- $24.1 million Class M-4 at BB (sf) -- $24.1 million Class M4-A at BB (sf) -- $24.1 million Class M4-IO at BB (sf -- $8.8 million Class M-5 at B (high) (sf) -- $8.8 million Class M5-A at B (high) (sf) -- $8.8 million Class M5-IO at B (high) (sf) -- $4.9 million Class M-6 at B (sf) -- $4.9 million Class M6-A at 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 AAA (sf) credit ratings on the Certificates reflect 31.10% of credit enhancement (CE) provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), B (high) (sf), and B (sf) credit ratings reflect 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 US dollars unless otherwise noted. VENTURE XIV CLO: Moody's Cuts Rating on $31.75MM E-R Notes to Ca ---------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Venture XIV CLO, Limited: US$31,750,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E-R Notes"), Downgraded to Ca (sf); previously on January 30, 2024 Downgraded to Caa3 (sf) Venture XIV CLO, Limited, originally issued in August 2013 and last refinanced in February 2020, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in August 2021. RATINGS RATIONALE The downgrade rating action on the Class E-R notes reflects the expected ultimate loss on the Class E-R note (relative to the original promise) as a result of the liquidation of the collateral. Including the principal payment made on the May 2025 redemption date, to-date the Class E-R noteholders have received less than their current outstanding principal balance. Taking into consideration the expected net proceeds available to pay the Class E-R notes from all collateral still remaining, Moody's expects that the Class E-R noteholders will ultimately realize losses of up to about 38% on the approximately $32.8 million original balance and deferred balance when the liquidation concludes. 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: Not applicable VERUS SECURITIZATION 2025-5: S&P Assigns 'B+' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2025-5's mortgage-backed notes. The note issuance is an RMBS transaction backed by primarily newly originated first- and second-lien, fixed- and adjustable-rate residential mortgage loans, including those with initial interest-only periods, to prime and nonprime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, condotels, townhouses, a mixed-use property, and five- to 10-unit multifamily residences. The pool has 1,280 loans that are backed by 1,289 properties and comprise qualified mortgage (QM)/non-higher-priced mortgage loan (non-HPML) (safe harbor), QM rebuttable presumption, non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans. Of the 1,280 loans, only one is cross-collateralized and is backed by 10 properties. S&P said, "After we assigned preliminary ratings on May 29, 2025, five loans were removed from the collateral pool and certain loan balances were updated along with changes to bond sizes to reflect the updated loan balances. In addition, the class B-1 notes were priced to receive a note rate equal to the lesser of a fixed rate and the net weighted average coupon rate. After analyzing the updated collateral pool, structure, and final coupons, we assigned ratings to the classes that are unchanged from the preliminary ratings we assigned." The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners (Invictus); -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P's outlook is updated, if necessary, when these projections change materially. Ratings Assigned(i) Verus Securitization Trust 2025-5 Class A-1, $470,688,000: AAA (sf) Class A-2, $32,573,000: AA+ (sf) Class A-3, $53,095,000: A+ (sf) Class M-1, $49,512,000: BBB (sf) Class B-1, $19,544,000: BB (sf) Class B-2, $13,030,000: B+ (sf) Class B-3, $13,029,666: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, not applicable: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. WELLS FARGO 2015-C28: DBRS Confirms C Rating on Class F Certs ------------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C28 issued by Wells Fargo Commercial Mortgage Trust 2015-C28 as follows: -- Class D to CCC (sf) from BB (low) (sf) -- Class E to C (sf) from CCC (sf) -- Class X-E to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed its credit ratings on the following classes: -- Class C at A (low) (sf) -- Class PEX at A (low) (sf) -- Class F at C (sf) Morningstar DBRS also changed the trends on Classes C and PEX to Stable from Negative. Classes D, E, F, and X-E have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrades reflect an increase in Morningstar DBRS' projected losses, stemming from the eight loans in special servicing (76.7% of the current pool balance), all of which Morningstar DBRS liquidated with this review. In the previous credit rating action in June 2024, there were only two loans in special servicing, which Morningstar DBRS liquidated at a combined projected loss of nearly $40.0 million. Since the previous credit rating action, one of those specially serviced loans, Washington Square (Prospectus ID#22), was liquidated from the trust with a realized loss of $5.6 million, below the $7.2 million Morningstar DBRS-projected loss. An additional seven loans transferred to special servicing with the May 2025 remittance, with all loans past the respective scheduled maturity dates. Morningstar DBRS' liquidation assumptions for these loans resulted in cumulative losses of $61.6 million, eroding the entirety of the balances on Classes F and G, as well as a majority of the balance on Class E, supporting the credit rating downgrade on Class E. The seven loans that transferred to special servicing with the May 2025 remittance do not have updated property appraisals or defined servicer workout strategies at this time. In its analysis for these loans, Morningstar DBRS' liquidation assumptions considered conservative haircuts on the most recent appraised property values, which were most likely from issuance and do not reflect current property performance or market conditions. Given several of these assets are distressed and in default, it is likely these property values have declined since issuance. In the event future updated appraisals indicate additional value declines, Morningstar DBRS' loss projections may increase, supporting the credit rating downgrade on Class D. With the May 2025 remittance, given the number of recent special servicing transfers, cumulative interest shortfalls increased to approximately $1.0 million and now affect Class E. With all remaining 12 loans past the scheduled maturity date, Morningstar DBRS notes that additional loans currently not in special servicing may transfer in the near future, increasing the probability that interest shortfalls may rise to Class D. The credit rating confirmations on Classes C and PEX are supported by the conservative liquidation scenarios for all the loans based on stresses to the most recent appraised values to determine the recoverability of the remaining bonds. Morningstar DBRS' recoverability analysis suggests a full recovery of the principal balance on the Class C certificate is likely, supporting the credit rating confirmation and trend change on the class along with the corresponding exchangeable credit rating and trend on Class PEX. Since the previous credit rating action, 70 loans have successfully repaid from the trust. As of the May 2025 remittance, the current trust balance was $180.1 million, representing a collateral reduction of 84.5% from issuance. Of the remaining loans, five loans representing 66.0% of the pool are secured by office collateral, followed by retail at 15.1%. There are four loans remaining in the trust that are not in special servicing; however, given that each failed to repay at scheduled maturity, Morningstar DBRS also analyzed these loans with liquidation scenarios. The largest loan in the pool and in special servicing, 3 Beaver Valley Road (Prospectus ID#6, 19.6% of the pool), is secured by a 263,503-square-foot (sf) office building in Wilmington, Delaware. The loan transferred to the special servicer in December 2023 after the sole tenant, Farmers Insurance Exchange (Farmers; formerly 60.0% of the net rentable area (NRA)), withheld partial rental payments in response to a casualty event at the property that resulted in unusable space at the subject. The borrower advised it would not cover any payment shortfalls and foreclosure was later filed. In December 2024, a foreclosure sale transferred the title to the trust and, according to the servicer, the property is being prepared for sale. Farmers previously paid $1.4 million to reduce its space in 2022 and ultimately vacated the property at its December 2024 lease expiry date, leaving the property 100% vacant. There is currently a total of $1.1 million in reserves remaining across tenant, replacement, and other reserves. An updated appraisal dated February 2024 valued the property at $18.3 million; however, Farmers was still in occupancy at that time. Given the dark status, soft submarket, and the stringent lending environment for distressed office-backed loans, Morningstar DBRS liquidated this loan, applying a conservative 50% haircut to the February 2024 appraised value. Inclusive of additional fees totaling $2.4 million across liquidation fees and servicer advances, the resulting loan loss severity is in excess of 80.0%, or $28.5 million. The loan with the second-highest Morningstar DBRS-expected loss is 3800 Embassy Parkway (Prospectus ID#16, 9.3% of the pool), which is secured by a 117,217-sf office property in Fairlawn, Ohio, approximately six miles from downtown Akron. The loan recently transferred to special servicing in May 2025 after the borrower failed to repay the loan at the May 2025 scheduled maturity. A decline in the occupancy rate to 77.8%, coupled with rising operating expenses, has caused the net cash flow to decrease to $1.5 million with a debt service coverage ratio of 1.4 times as of YE2024 financials. While there is no upcoming tenant rollover in the next 12 months, the two largest tenants, University Hospital (28.8% of the NRA, lease expiry in November 2026) and Buckingham, Doolittle & Burroughs, LLC (26.4% of the NRA, lease expiry in October 2026), have lease expirations in approximately 18 months, which is likely to affect the borrower's ability to refinance the loan. According to Reis, the non-central business district submarket of Akron reported an elevated Q1 2025 vacancy rate of 23.7%. Given the recent transfer to special servicing, potential significant tenant rollover risk, and soft submarket, Morningstar DBRS analyzed this loan with a liquidation scenario, applying a 60.0% haircut to the issuance appraised value. Inclusive of additional expenses totaling $2.0 million across liquidation fees and servicer advances, the resulting loan loss severity is in excess of 50.0%, or $9.0 million. 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 2015-NXS1: DBRS Confirms BB Rating on X-E Certs ----------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2015-NXS1 issued by Wells Fargo Commercial Mortgage Trust 2015-NXS1 as follows: -- Class F to CCC (sf) from B (sf) -- Class X-F to CCC (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class B at AA (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class PEX at A (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class X-E at BB (sf) All trends are Stable with the exception of Classes F and X-F, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades reflect Morningstar DBRS' recoverability expectations for the remaining loans in the pool. Since the last credit rating action in June 2024, 37 loans have repaid from the pool, leaving 17 loans, seven of which, representing 46.2% of the pool, are in special servicing. Overall, the transaction has paid down 81.7% since issuance. As the pool continues to wind down, Morningstar DBRS looked to a recoverability analysis, the results of which suggest that losses would significantly erode the unrated Class G, leaving the rated Class F susceptible to losses should loan performance across the remaining loans continue to worsen. Morningstar DBRS concluded that the senior classes continue to be insulated from losses, the primary consideration in the confirmation of Class B through Class E. Given the concentration of defaulted loans remaining, Morningstar DBRS' analysis considered conservative liquidation scenarios for all seven loans in special servicing, based on stresses to the most recent appraised values to determine the recoverability of the outstanding bonds. The analysis resulted in cumulative implied losses of approximately $24.6 million, contained to the unrated Class G, which has a current balance of $30.5 million. The largest loan in special servicing, 760 & 800 Westchester Avenue (Prospectus ID#7, 18.4% of the pool), is secured by two Class A office properties in Rye Brook, New York. The loan is pari passu with the COMM 2015-PC1 Mortgage Trust (Morningstar DBRS-rated) and COMM 2015-DC1 transactions. The loan transferred to special servicing in April 2024 for imminent monetary default. Since then, the loan matured in November 2024, at which time the special servicer and borrower agreed to a two-year forbearance agreement through November 2026. The agreement includes a 12-month extension option through November 2027 provided the loan achieves a debt yield of 7%. As part of the forbearance, the borrower will deposit $1.9 million into an all-purpose reserve. The loan will remain in a cash flow sweep with excess cash flow to be deposited into the newly created reserve. Additionally, the loan will convert to interest only (IO) and be subject to default interest based on a default accrual rate of 0.50% that is scheduled to increase 50 basis points each year. However, all default interest above the default accrual rate will be forborne. As of the December 2024 appraisal, the property was 80.9% occupied compared with 78.0% as of YE2023 and 90.0% at issuance. The loan will face elevated rollover risk as leases representing 17.4% of the net rentable area are scheduled to expire through YE2025. The rollover risk is compounded by weak submarket fundamentals as, according to a Q1 2025 Reis report, the Harrison/Rye/East office submarket reported an elevated vacancy rate of 24.9%. As of the YE2024 financials, the property generated net cash flow (NCF) of $6.0 million, equating to a debt service coverage ratio (DSCR) of 0.96 times (x). In comparison, the property generated an NCF of $6.6 million as of YE2023, equating to a DSCR of 1.06x. An updated appraisal completed in December 2024 valued the property at $99.0 million, a 34.0% decline from the issuance appraised value of $151.0 million. In its analysis, Morningstar DBRS applied a 20.0% haircut to the most recent appraised value, resulting in a loss severity of approximately 20.0%. Outside of the loans in special servicing, the remaining 10 loans in the pool are on the servicer's watchlist, predominantly for upcoming maturity risk; however, the majority of the loans are being monitored for being past their anticipated repayment dates (ARDs). Seven of the loans past their ARDs are secured by Walgreens properties that don't have a final maturity date until 2035. In addition, the 100 West 57th Street loan (Prospectus ID#6, 20.0% of the pool) is secured by a ground lease in Manhattan, New York, that has been extended to March 2046. 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 2017-RB1: Fitch Lowers Rating on Four Tranches to CCsf ------------------------------------------------------------------ Fitch Ratings has downgraded 10 and affirmed five classes of Wells Fargo Commercial Mortgage Trust 2017-RB1 (WFCM 2017-RB1). Fitch also assigned Negative Rating Outlooks to classes B, C and X-B following their downgrades. Additionally, Fitch affirmed 10 classes of Wells Fargo Commercial Mortgage Trust 2017-RC1 (WFCM 2017-RC1). The Rating Outlooks on classes C, X-B, D and X-D are Negative. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2017-RC1 A-3 95001FAW5 LT AAAsf Affirmed AAAsf A-4 95001FAX3 LT AAAsf Affirmed AAAsf A-S 95001FAZ8 LT AAAsf Affirmed AAAsf A-SB 95001FAY1 LT AAAsf Affirmed AAAsf B 95001FBC8 LT AA+sf Affirmed AA+sf C 95001FBD6 LT Asf Affirmed Asf D 95001FAC9 LT BBB-sf Affirmed BBB-sf X-A 95001FBA2 LT AAAsf Affirmed AAAsf X-B 95001FBB0 LT Asf Affirmed Asf X-D 95001FAA3 LT BBB-sf Affirmed BBB-sf WFCM 2017-RB1 A-4 95000TBR6 LT AAAsf Affirmed AAAsf A-5 95000TBS4 LT AAAsf Affirmed AAAsf A-S 95000TBU9 LT AAAsf Affirmed AAAsf A-SB 95000TBT2 LT AAAsf Affirmed AAAsf B 95000TBX3 LT A-sf Downgrade AA-sf C 95000TBY1 LT BBB-sf Downgrade A-sf D 95000TAC0 LT CCCsf Downgrade Bsf E 95000TBA3 LT CCsf Downgrade CCCsf E-1 95000TAE6 LT CCCsf Downgrade B-sf E-2 95000TAG1 LT CCsf Downgrade CCCsf EF 95000TBE5 LT CCsf Downgrade CCCsf F 95000TBC9 LT CCsf Downgrade CCCsf X-A 95000TBV7 LT AAAsf Affirmed AAAsf X-B 95000TBW5 LT BBB-sf Downgrade A-sf X-D 95000TAA4 LT CCCsf Downgrade Bsf KEY RATING DRIVERS WFCM 2017-RB1; Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss for WFCM 2017-RB1 has increased to 10.2% from 7.5% at Fitch's prior rating action. Fitch Loans of Concern (FLOCs) comprise 11 loans (44.4% of the pool), including three specially serviced loans (10.8%). The downgrades in WFCM 2017-RB1 reflect the increased pool loss expectations since Fitch's prior rating action, driven primarily by declining performance attributed to the specially serviced 1166 Avenue of the Americas (5.3%) and 100 Ashford Center (2.3%) loans, as well as the Center West office FLOC (7.5%). The 100 Ashford Center loan transferred to special servicing in June 2025. The Negative Outlooks reflect the pool's high office concentration (52.7%), with the potential for further downgrades should the office FLOCs not stabilize, workouts are prolonged and/or recovery expectations decline further. Additionally, the Negative Outlooks incorporate refinance concerns on the second largest loan, The Davenport (10.3%), designated a FLOC, with a dark single tenant, HubSpot, continuing to pay rent. Currently, there is a total reserve of approximately $11.6 million as of May 2025 reporting for this loan. WFCM 2017-RC1; Improved 'Bsf' Loss Expectations: The affirmations in WFCM 2017-RC1 reflect the improved deal-level 'Bsf' rating case loss of 4.1%, down from 5.2% at Fitch's prior rating action. The improved pool loss expectations are driven by the defeasance of the Jamboree Business Center loan (office; 5.9%), previously the largest contributor to overall loss expectations at the prior rating action. Overall performance for the remainder of the pool has been generally stable since the prior rating action. There are 14 FLOCs (31% of the pool); no loans are currently in special servicing as of May 2025. The Negative Outlooks reflects the increased concentration of FLOCs and ongoing performance and refinance concerns with the office and regional mall FLOCs, including International Paper Global HQ (8.4%), Whitehall Corporate Center VI (2.9%) and Peachtree Mall (2.0%). The Negative Outlooks also incorporate an additional sensitivity scenario where Fitch assumed a 100% probability of default on the International Paper Global HQ loan due to the single tenant's lease rolling shortly after loan maturity. Largest Contributors to Loss (WFCM 2017-RB1): The largest contributor to overall pool loss expectations in WFCM 2017-RB1 is the Center West loan, secured by the leasehold interest on a 351,789-sf office building in Los Angeles, CA. Occupancy has remained below 35% for the past three years and was most recently reported at 32.4% as of October 2024, resulting in cash flow insufficient to cover debt service. The NOI DSCR has consistently remained below 1.0x, reaching 0.63x at YE 2023, down from 1.92x in 2020 and 2.15x at issuance. Fitch's 'Bsf' rating case loss of approximately 44% (prior to concentration add-ons) reflects an 10% cap rate, a 10% stress to the annualized September 2024 NOI and factors an increased probability of default to account for the loan's heightened maturity default concerns. The second largest contributor to overall pool loss expectation and the largest increase in loss since the prior rating action is the 1166 Avenue of the Americas loan (5.4% of the pool), which is secured by floors two through six totaling 196,241-sf (11.1% of the building's total square footage) of an office property located in Midtown Manhattan built in 1974. The top three tenants at issuance were DE Shaw & Co (43.5% NRA; lease expiry in June 2024), Sprint (20%, January 2027) and Arcesium (20%, June 2024). Both DE Shaw & Co and Arcesium vacated upon their respective lease expirations causing occupancy to decline to 37%. The loan transferred to special servicing in July 2024 and as of May 2025, the loan was reported as 90+ days delinquent. The updated Fitch net cash flow (NCF) of $4 million is 29% below Fitch's NCF at the prior review and 39% below Fitch's issuance NCF of $6.6 million. The Fitch NCF reflects leases in place according to the February 2025 rent roll and assumes Fitch's view of sustainable, long-term performance. It includes a lease up of vacant office spaces grossed up rents of $75 psf and a long-term occupancy assumption of 75%; both assumptions are below the submarket (85% occupancy and $84 psf rents per CoStar) given more limited demand expectations as the availability of the vacant space is on lower floors of the building. Fitch's analysis also incorporated a higher stressed capitalization rate of 8%, up from 7.75% at issuance, to factor increased office sector concerns and comparable properties, resulting in a Fitch-stressed valuation decline that is approximately 75% below the issuance appraisal. Fitch's 'Bsf' rating case loss of approximately 35% (prior to concentration add-ons) reflects Fitch's updated valuation of the asset and considers an elevated probability of default due to the specially serviced loan status. The third largest contributor to overall pool loss expectation is 340 Bryant, a 62,270-sf, class B office building located in the SOMA district of San Francisco, CA. The REO asset had transferred to special servicing in September 2022 due to monetary default after the largest tenant WeWork (76.6% of the NRA) vacated their space in 2021, ahead of their February 2028 lease expiration. The remaining tenant Logitech (23% of the NRA) vacated at their April 2023 lease expiration, leaving the building entirely vacant and the loan with a negative NOI DSCR since YE 2022. Fitch's 'Bsf' rating case loss expectations of approximately 74% (prior to concentration add-ons) are based off the December 2024 appraised value, which is 75% below the value at issuance. The fourth largest contributor to overall pool loss expectation and second largest increase in loss is 100 Ashford Center, which is secured by a 162,326-sf suburban office building located in Atlanta, GA, approximately 16 miles northeast of downtown Atlanta. The loan transferred to special servicing in June 2025 for imminent monetary default. The property's largest tenant is Southeastern Data Cooperative, Inc. (Meridian Cooperative, Inc., 41.1% of the NRA) with a lease expiration of June 30, 2025. It is unknown whether the tenant is vacating. Fitch's 'Bsf' rating case loss of approximately 33% (prior to concentration add-ons) reflects an 10% cap rate, a 20% stress to the annualized YE 2024 NOI and factors an increased probability of default to due to the transfer to special servicing. Largest Contributors to Loss (WFCM 2017-RC1): The largest contributor to overall pool loss expectation in WFCM 2017-RC1 is International Paper Global HQ. This FLOC is secured by a 214,060-sf single tenant office property in suburban Memphis, TN. The property serves as International Paper's (IP) global headquarters. The tenant's lease expires in April 2027, three months after the loan' s scheduled January 2027 maturity. The loan is structured with a full cash flow sweep commencing 12 months prior to loan maturity. The loan is also structured with a cash flow sweep if IP goes dark, vacates, or otherwise fails to occupy 80% of the total leasable area. Per media reports, the tenant has had a reduction in force in the Memphis area but remains in place at this location. As of May 2025 reporting, the loan has approximately $5.5 million in reserves. Fitch's 'Bsf' rating case loss of approximately 13% (prior to concentration adjustments) incorporates a higher probability of default due to the single tenant, binary risk, a 10% stress to YE 2024 NOI and an increased cap rate of 10%. If the tenant renews, there would be a higher likelihood of the loan refinancing at maturity. Additionally, Fitch considered a sensitivity scenario on this loan if the tenant vacates and the loan defaults at maturity, whereby Fitch's sensitivity 'Bsf' rating case loss assumption would increase to approximately 26%. The second largest contributor to overall pool loss expectation is the Peachtree Mall. The FLOC is secured by a 536,202-sf portion of an 823,000-sf regional mall located in Columbus, GA. Anchor tenants include Macy's (26.0% of NRA; lease expiration September 2027), and JCPenney (15.4%; extended to November 2029). The former Previous tenant At Home closed. The property currently does not have a movie theater after the AMC movie theater closed in 2023. Collateral occupancy was 89.1% as of the February 2024 rent roll compared to 93.5% at March 2023, 90.5% at YE 2021 and 90.7% at issuance. The YE 2023 NOI is in line with YE 2022, 3% below YE 2021 and 8% below the Fitch issuance NCF. The YE 2023 sales for comp in-line tenants at the subject were $371 psf, compared with $395 psf at YE 2022 and $441 psf at YE 2021. Fitch's 'Bsf' rating case loss of approximately 36% (prior to concentration adjustments) incorporates a 10% stress to YE 2024 NOI and a 21% cap rate. The third largest contributor to overall pool loss expectation is Whitehall Corporate Center VI (designated a FLOC), which is secured by a 116,855-sf office building located in Charlotte, NC. The property is a part of the larger Whitehall Corporate Center complex, 10 miles from the CBD and four miles from the International Airport. The reported occupancy has declined to 73% as of March 2024; with the lower occupancy, the servicer reported NOI DSCR was 1.30x NOI DSCR for YE 2023, down from 1.83x at YE 2020 and 1.43x at issuance. Fitch's 'Bsf' ratings case loss (prior to concentration adjustments) of approximately 25% reflects a 15% stress to YE 2023 NOI, and a 10% cap rate. Increased Credit Enhancement (CE): As of the May 2025 remittance report, the balance of the WFCM 2017-RB1 and WFCM 2017-RC1 transactions have been reduced by 16% and 31%, respectively. The scheduled loan maturities in WFCM 2017-RB1 are concentrated in 2027 (89.7%); Center West (7.4%) matures in Dec. 2026 and one loan (1.4%) has an anticipated repayment date (ARD) in 2027. Loan maturities in WFCM 2017-RC1 are concentrated in 2026 (15.4% of the pool) and 2027 (82.6%); Peachtree Mall (2.0%) matures in Dec. 2025. The respective defeasance percentages in the WFCM 2017-RB1 and WFCM 2017-RC1 transactions are 4.1% (four loans) and 24.3% (11 loans). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur. Downgrades to the 'AAsf', 'Asf' and/or 'BBBsf' category rated classes is possible with higher than expected losses from continued underperformance of the FLOCs, in particular office and retail loans with deteriorating performance, and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. These elevated risk loans include The Davenport, Center West, 100 Ashford Center and 1166 Avenue of the Americas in WFCM 2017-RB1, and International Paper Global HQ, Whitehall Corporate Center VI and Peachtree Mall in WFCM 2017-RC1. Downgrades to distressed ratings would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'AAsf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'Asf' and 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration, and would only occur if there is sustained improved performance of the FLOCs coupled with lower loss expectations, especially Center West, 100 Ashford Center and 1166 Avenue of the Americas in WFCM 2017-RB1 and International Paper Global HQ, Whitehall Corporate Center VI and Peachtree Mall in WFCM 2017-RC1. Classes would not be upgraded above 'AA+sf' if there is a likelihood of interest shortfalls. Upgrades to distressed ratings are not expected but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WHARF COMMERCIAL 2025-DC: DBRS Gives (P) BB(low) Rating on E Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage-Pass Through Certificates, Series 2025-DC (the Certificates) to be issued by WHARF Commercial Mortgage Trust 2025-DC: -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (sf) -- Class D at (P) BBB (sf) -- Class E at (P) BB (low) (sf) -- Class HRR at (P) B (high) (sf) All trends are Stable. The single-asset/single-borrower transaction is collateralized by the borrower's leasehold interest in the approximately 2.2 million-square foot (sf) portion of the 3.3 million-sf, luxury, mixed-use development, The Wharf. The subject is situated along the Washington Channel in southwest Washington, D.C., spanning over a mile of waterfront. The collateral includes a diverse mix of assets with four office buildings, two retail components, a concert theater, three multifamily properties, two hotels, a marina, and two below-grade parking structures. In addition to the collateral, the broader development contains other non-collateral components, including one office building, two condominium buildings, two marinas, and two hotels. As part of the District of Columbia's Anacostia Waterfront Initiative, the borrower-sponsor group, along with Hoffman & Associates and Madison Marquette, was selected in 2006 to undertake the redevelopment of the publicly owned waterfront land. With over two decades of design, planning, and execution, the project was delivered in two phases--Phase I in 2017 and Phase II in 2022--to create a unified waterfront area that attracts over eight million visitors per year. Phase I assets include Incanto; The Channel; several retail spaces, including The Anthem; Hyatt House; Hilton Canopy; three of the four office properties; and the first phase of the below-grade parking garage. Phase II added 783,576 sf of mixed-use space, including new office buildings, residential apartments, luxury condominiums, retail shops, and restaurants, further complementing Phase I and further cementing the subject as a destination for the city's residents as well as visitors. The subject achieved LEED Gold or Silver certification for individual buildings. The Wharf's sustainability features include onsite stormwater management, green and high-reflectance roofs, and biodiverse plantings, setting a high bar for sustainable waterfront developments. The Wharf's ecosystem comprises various complementary property-type components. The Wharf's office and retail components comprise a large portion of the collateral, representing 62.6% of the Morningstar DBRS Net Cash Flow (NCF). Given the trophy status of the office collateral, the subject has received significant interest from top tenants, including prominent law firms and large corporations. The subject office commands some of the highest office rents in the Washington metropolitan area and has significantly benefited from the flight-to-quality in the D.C. market. Additionally, the office component includes five investment-grade-rated tenants, comprising 11.7% of the office net rentable area (NRA). The Wharf's retail component offers a diverse experience, complete with a concert venue, three Michelin Guide restaurants, and a James Beard Foundation Award-winning restaurant. As of February 2025, The Wharf's retail component was 92.1% leased. Retail performance is strong, with sales averaging approximately $780 per sf and a 10.8% occupancy cost on average as of YE2024. Retail sales at The Wharf increased by approximately 64.4% on average between 2022 and 2024. The Wharf's remaining components make up 37.4% of the Morningstar DBRS NCF. The multifamily component features a total of 904 units with 568 market-rate units (62.8% of total units) and 336 affordable units (37.2% of total units) across three Class A apartment buildings: The Channel (501 units), The Tides (255 units), and Incanto (148 units). The multifamily component of the subject was 90.8% occupied as of the March 31, 2025, rent roll. The Wharf offers a variety of hotel options that cater to all travelers, from business visitors to leisure tourists, and integrate well into the waterfront neighborhood. The two collateral hotels are performing well, with occupancy, average daily rate, and revenue per available room levels that have outperformed their respective STR, Inc. competitive set, indicating strong market positioning. The garage components provide a total of 2,575 parking spaces (1,175 spaces available for public use) and are an integral part of the subject, given its significant number of visitors. The facilities are well integrated within the subject and are designed to handle high traffic volumes, ensuring access for all users including tenants, residents, and visitors. The Wharf Marina contains 218 floating wet slips, with a 100-slip liveaboard community that is currently 100% leased. The subject's marina is 10 feet to 15 feet deep and has 300 feet of alongside dockage. Overall, Morningstar DBRS has a favorable view of the collateral's credit characteristics given its property quality, diversified cash flows, amenities, sustainability, and desirable location within Washington. 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 the interest distribution amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. WHARF COMMERCIAL 2025-DC: Fitch Gives B(EXP)sf Rating on HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Ratings Outlooks to Wharf Commercial Mortgage Trust 2025-DC, Commercial Mortgage Pass-Through Certificates, Series 2025-DC as follows: - $444,600,000 class A 'AAAsf'; Outlook Stable; - $78,200,000 class B 'AA-sf'; Outlook Stable; - $62,800,000 class C 'A-sf'; Outlook Stable; - $105,400,000 class D 'BBB-sf'; Outlook Stable; - $140,250,000 class E 'BB-sf'; Outlook Stable; - $43,750,000a class HRR 'Bsf'; Outlook Stable. (a) Horizonal credit risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in an $875.0 million portion of a $1.025 billion, five-year, fixed-rate, interest-only (IO) whole mortgage loan. The mortgage will be secured by the borrower's leasehold interest in an approximately 2.2 million-sf portion of The Wharf, a mixed-use development located along the Washington Channel in Washington, D.C. Collateral for the loan comprises 928,154 sf of office space), 446,764 sf of retail space, 904 multifamily units 2,575 parking spaces, 412 hotel keys and a marina with 218 boat slips. The loan sponsor is the Public Sector Pension Investment Board who acquired the property in April 2025. Whole mortgage loan proceeds, combined with $125.0 million of mezzanine debt and $59.8 million of sponsor equity, are being used to repay approximately $1.15 billion of existing debt, fund a $27.0 million free rent/gap rent reserve, fund a $18.7 million tenant improvement/leasing commission (TI/LC) reserve and pay $14.8 million in closing costs. The whole mortgage loan will be componentized into $718.6 million of pari passu senior notes plus $306.4 million of pari passu junior notes. The trust will include $568.8 million of the senior notes, along with all the junior notes. The remaining $150.0 million of senior companion notes are expected to be contributed to future securitizations. Wells Fargo Bank, National Association, Goldman Sachs Bank USA and Morgan Stanley Bank, N.A. are co-originating the whole mortgage loan, and they or affiliates thereof will also act as the mortgage loan sellers. Midland Loan Services, a Division of PNC Bank, National Association is expected to serve as the master servicer, with KeyBank National Association 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 26, 2025. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portion is estimated at $86.6 million. This is 16.4% lower than the issuer's NCF and 2.6% higher than the YE2 204 NCF. Fitch applied an 8.50% cap rate to derive a Fitch value of $1.02 billion. High Fitch Leverage: The $1.025 billion whole loan equates to debt of $457.22 psf, with a Fitch debt service coverage ratio (DSCR) of 0.89x, loan-to-value ratio (LTV) of 100.6% and debt yield of 8.5%. The Fitch market LTV at 'Bsf' (the lowest Fitch-rated non-investment-grade tranche) is 87.6%. The Fitch market LTV is based on a blend of the Fitch cap rate and an implied market cap rate of 6.3%. The loan represents about 59.2% of the appraiser-concluded value of $1.73 billion. Asset Quality and Strong Location: The Wharf is an urban waterfront revival project located along the Washington Channel in Southwest D.C. The Wharf project entailed over two decades of design, planning and execution to create a unified waterfront area with a multifamily community, retail offerings, office tenancy and hotel accommodations. It has received national recognition with the Urban Land Institute's Global Award for Excellence. The Wharf can be accessed by various modes of transportation and provides access to customers from the District, Virginia and Maryland, as well as international tourists. The property is located near major transportation options, including the Waterfront Metro station, Waterfront Metro Green Line and L'Enfant Plaza Metro, which serves the Green, Yellow, Blue, Orange, Silver lines and VRE. Additionally, The Wharf offers easy access from major roads such as Maine Ave. SW, 7th and 9th Streets SW, as well as I-395/I-695. It is a 9-minute drive from Reagan National Airport and 8.9 miles from Union Station. The Wharf attracts 8 million of the over 22 million visitors that visit Washington, D.C. each year. Diversity of Revenue Streams: Revenue at the property is derived from six distinct sources, with none representing the majority of Fitch NCF. The office component, which was 93.4% occupied as of February 2025, is the largest concentration, contributing approximately 45.8% of the total Fitch NCF. The retail, multifamily, parking, hotel, and marina components contribute 21.0%, 12.6%, 11.7%, 8.7%, and 0.3% of Fitch NCF, respectively. The Wharf was developed in two phases, with Phase I completed in October 2017 and Phase II in October 2022. The property's net operating income (NOI) grew by 5.3% between 2023 and the TTM ended March 2025. Institutional Sponsorship: The sponsor for this transaction will be Public Sector Pension Investment Board (PSP), a pension investment manager based out of Canada. According to its annual reports, PSP manages $67.2 billion in gross asset value of commercial real estate (CRE) assets in major international markets. The company invests globally across asset classes, with major exposure in residential (30.9%), industrial (24.7%) and office properties (22.0%). PSP's largest geographic concentration is in the United States at 47.4%, with additional significant exposure in Europe and Canada at 21.8% and 17.0%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'Bsf'; - 10% NCF Decline: 'AAsf' / 'A-sf' / 'BBB-sf' / 'BBsf' / 'Bsf' / 'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'Bsf'; - 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'A+sf' / 'BBBsf' / 'BBsf' / '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 Deloitte and Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on 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. [] 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 96 Classes in 13 US RMBS Transactions ----------------------------------------------------- DBRS, Inc. reviewed 96 classes in 13 U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed transactions are classified as reperforming mortgages. Of the 96 classes reviewed, Morningstar DBRS upgraded its credit ratings on 35 classes and confirmed its credit ratings on the remaining 61 classes. The Affected Ratings are available at https://bit.ly/4ndJmMa The Issuers are: CSMC 2017-FHA1 Trust Ajax Mortgage Loan Trust 2019-F PRPM 2024-RPL2, LLC Ajax Mortgage Loan Trust 2021-E Towd Point Mortgage Trust 2022-1 PRPM 2023-RCF1, LLC GS Mortgage-Backed Securities Trust 2021-RPL2 Citigroup Mortgage Loan Trust 2022-RP3 Citigroup Mortgage Loan Trust 2024-RP3 Citigroup Mortgage Loan Trust 2023-RP2 BRAVO Residential Funding Trust 2024-RPL1 Chase Home Lending Mortgage Trust 2024-RPL3 GS Mortgage-Backed Securities Trust 2022-RPL3 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update" published on March 26, 2025 (https://dbrs.morningstar.com/research/450604). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in US Dollars unless otherwise noted. [] Moody's Takes Rating Action on 29 Bonds From 10 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings, on June 12, 2025, upgraded the ratings of 17 bonds and downgraded the ratings of 12 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: Morgan Stanley ABS Capital I Inc. Trust 2003-NC8 Cl. B-1, Upgraded to Caa1 (sf); previously on Dec 20, 2018 Upgraded to Caa3 (sf) Cl. B-2, Upgraded to Caa1 (sf); previously on Apr 10, 2012 Downgraded to C (sf) Cl. B-3, Upgraded to Caa1 (sf); previously on Apr 10, 2012 Downgraded to C (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 26, 2014 Upgraded to B1 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2003-NC10 Cl. B-1, Downgraded to Caa1 (sf); previously on Feb 9, 2022 Upgraded to B3 (sf) Cl. B-2, Upgraded to Caa1 (sf); previously on Feb 9, 2022 Upgraded to Caa3 (sf) Cl. B-3, Upgraded to Caa2 (sf); previously on Feb 11, 2009 Downgraded to C (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to Ba2 (sf) Issuer: New Century Home Equity Loan Trust, Series 2004-4 Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Jun 21, 2019 Upgraded to Caa2 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Mar 18, 2011 Downgraded to C (sf) Issuer: New Century Home Equity Loan Trust, Series 2005-1 Cl. M-1, Downgraded to Caa1 (sf); previously on May 16, 2016 Downgraded to B1 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on May 27, 2014 Upgraded to B1 (sf) Cl. M-3, Downgraded to Caa1 (sf); previously on Apr 10, 2017 Upgraded to B1 (sf) Cl. M-4, Downgraded to Caa1 (sf); previously on Nov 27, 2018 Upgraded to B1 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Dec 11, 2019 Upgraded to Caa2 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Jun 1, 2010 Downgraded to C (sf) Cl. M-7, Upgraded to Ca (sf); previously on Jun 1, 2010 Downgraded to C (sf) Issuer: New Century Home Equity Loan Trust, Series 2005-2 Cl. M-5, Upgraded to Caa1 (sf); previously on Mar 19, 2018 Upgraded to Caa3 (sf) Cl. M-6, Upgraded to Caa2 (sf); previously on Jun 1, 2010 Downgraded to C (sf) Issuer: New Century Home Equity Loan Trust, Series 2005-B Cl. M-1, Downgraded to Caa1 (sf); previously on May 5, 2017 Upgraded to B1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Jun 1, 2010 Downgraded to C (sf) Issuer: RAMP Series 2005-EFC4 Trust Cl. M-6, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: RAMP Series 2005-RZ3 Trust Cl. M-5, Upgraded to Aaa (sf); previously on Mar 26, 2024 Upgraded to A1 (sf) Issuer: Soundview Home Loan Trust 2005-1 Cl. M-4, Downgraded to Caa1 (sf); previously on Jan 11, 2019 Downgraded to B1 (sf) Cl. M-5, Downgraded to Caa1 (sf); previously on Jan 11, 2019 Downgraded to B1 (sf) Cl. M-6, Upgraded to Caa2 (sf); previously on Jan 11, 2019 Upgraded to Caa3 (sf) Issuer: Soundview Home Loan Trust 2005-4 Cl. M-4, Upgraded to Caa1 (sf); previously on Jun 17, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. The rating upgrade on Class M-5 of RAMP Series 2005-RZ3 Trust is a result of an increase in credit enhancement available to the bond. The rest of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. 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. 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 Rating Action on 31 Bonds from 9 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 25 bonds and downgraded the ratings of six bonds from nine 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: ABFC Asset-Backed Certificates, Series 2004-HE1 Cl. M-1, Downgraded to Caa1 (sf); previously on Sep 13, 2024 Downgraded to B1 (sf) Cl. M-3, Downgraded to Caa1 (sf); previously on Sep 13, 2024 Downgraded to B1 (sf) Cl. M-4, Downgraded to Caa1 (sf); previously on Apr 13, 2018 Upgraded to B3 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Apr 13, 2018 Upgraded to Ca (sf) Issuer: American Home Mortgage Investment Trust 2006-1 Cl. I-1A-1, Upgraded to Caa1 (sf); previously on Sep 11, 2013 Confirmed at Caa2 (sf) Cl. I-2A-1, Upgraded to Caa1 (sf); previously on Sep 11, 2013 Confirmed at Caa2 (sf) Cl. I-A-2, Upgraded to Caa3 (sf); previously on Dec 22, 2010 Downgraded to C (sf) Issuer: Carrington Mortgage Loan Trust, Series 2005-NC2 Cl. M-6, Upgraded to Caa1 (sf); previously on Feb 7, 2019 Upgraded to Caa2 (sf) Cl. M-7, Upgraded to Ca (sf); previously on Apr 29, 2010 Downgraded to C (sf) Issuer: Greenpoint Mortgage Funding Trust 2006-AR1 Cl. A-1A, Downgraded to Baa1 (sf); previously on Sep 23, 2024 Upgraded to A2 (sf) Cl. A-1B, Downgraded to Baa1 (sf); previously on Sep 23, 2024 Upgraded to A2 (sf) Cl. A-2A, Upgraded to Caa2 (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Dec 9, 2010 Downgraded to C (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR21 Cl. A-1, Upgraded to Caa2 (sf); previously on Oct 12, 2010 Downgraded to Ca (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR27 Cl. 1-A-2, Upgraded to Caa2 (sf); previously on Oct 12, 2010 Confirmed at Caa3 (sf) Cl. 1-A-3, Upgraded to Caa2 (sf); previously on Oct 12, 2010 Confirmed at Caa3 (sf) Cl. 1-A-4, Upgraded to Caa1 (sf); previously on Oct 12, 2010 Confirmed at Caa3 (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Oct 12, 2010 Confirmed at Caa2 (sf) Cl. 2-A-2, Upgraded to Caa1 (sf); previously on Oct 12, 2010 Confirmed at Caa2 (sf) Cl. 2-A-3, Upgraded to Caa2 (sf); previously on Oct 12, 2010 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-CH2 Cl. AF-3, Upgraded to Caa2 (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) Cl. AF-4, Upgraded to Caa2 (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) Cl. AF-5, Upgraded to Caa2 (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) Cl. AF-6, Upgraded to Caa2 (sf); previously on May 27, 2014 Downgraded to Ca (sf) Cl. MV-1, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH4, Asset-Backed Pass-Through Certificates, Series 2007-CH4 Cl. M2, Upgraded to Caa1 (sf); previously on Nov 27, 2018 Upgraded to Caa3 (sf) Cl. M3, Upgraded to Caa1 (sf); previously on Jun 12, 2009 Downgraded to C (sf) Cl. M4, Upgraded to Ca (sf); previously on Mar 16, 2018 Reinstated to C (sf) Issuer: Option One Mortgage Loan Trust 2003-5 Cl. A-1, Upgraded to Aa3 (sf); previously on Feb 1, 2016 Upgraded to A2 (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Sep 18, 2019 Downgraded to B1 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Jun 24, 2009 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation 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. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. The rating downgrades for Cl. A-1A and Cl. A-1B from Greenpoint Mortgage Funding Trust 2006-AR1 are the result of outstanding credit interest shortfall that are outstanding for an extended period of time due to a major interest deferral in May 2023. Based on Moody's analysis of expected collateral performance and the transaction structure, Moody's believes the interest deferrals will be ultimately recouped and payments will be made on the deferred interest. However, the timing of such recoupment remains uncertain. If non-payment of interest on a security persists for more than 18 months, the rating will be capped at Baa1. Therefore, given the deferral has been lasting longer than 18 months, Moody's have lowered Moody's ratings to Baa1. The rest 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 upgrade for Option One Mortgage Loan Trust 2003-5 Cl. A-1 is a result of the an increase in credit enhancement. Credit enhancement grew by 5.9% 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 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 Rating Action on 46 Bonds from 16 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 31 bonds and downgraded the ratings of 12 bonds from 16 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: Accredited Mortgage Loan Trust 2006-1 Cl. M-1, Downgraded to Caa1 (sf); previously on Nov 7, 2018 Upgraded to B2 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 17, 2009 Downgraded to C (sf) Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2004-HE7 Cl. A1, Downgraded to Aa1 (sf); previously on Dec 18, 2008 Confirmed at Aaa (sf) Cl. M1, Downgraded to Caa1 (sf); previously on Jun 3, 2020 Downgraded to B1 (sf) Cl. M2, Downgraded to Caa1 (sf); previously on Dec 6, 2017 Upgraded to B1 (sf) Cl. M9, Upgraded to Caa2 (sf); previously on Dec 18, 2008 Downgraded to C (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8 Cl. B-2, Upgraded to Caa2 (sf); previously on Mar 16, 2009 Downgraded to C (sf) Cl. B-3, Upgraded to Ca (sf); previously on Mar 16, 2009 Downgraded to C (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 3, 2020 Downgraded to B1 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Jun 3, 2020 Downgraded to B1 (sf) Cl. M-3, Downgraded to Caa1 (sf); previously on Aug 6, 2024 Downgraded to B3 (sf) Issuer: CHEC Loan Trust 2004-2 Cl. M-1, Downgraded to Caa1 (sf); previously on Dec 20, 2018 Downgraded to B3 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Dec 20, 2018 Downgraded to Caa2 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Dec 20, 2018 Upgraded to Caa3 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Dec 20, 2018 Upgraded to Ca (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Mar 7, 2011 Downgraded to C (sf) Cl. M-6, Upgraded to Caa2 (sf); previously on Mar 7, 2011 Downgraded to C (sf) Issuer: Citigroup Mortgage Loan Trust 2006-HE1 Cl. M-4, Downgraded to Caa1 (sf); previously on Dec 28, 2017 Upgraded to B1 (sf) Cl. M-5, Upgraded to Caa2 (sf); previously on Dec 28, 2017 Upgraded to Ca (sf) Issuer: Citigroup Mortgage Loan Trust 2006-NC2 Cl. A-1, Upgraded to Aaa (sf); previously on Mar 7, 2023 Upgraded to Aa2 (sf) Cl. A-2B, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at Ca (sf) Issuer: Citigroup Mortgage Loan Trust 2006-WFHE2 Cl. M-2, Downgraded to Caa1 (sf); previously on Jul 23, 2018 Upgraded to B1 (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on Jan 18, 2017 Reinstated to C (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2004-OPT1 Cl. M-3, Downgraded to Caa1 (sf); previously on Sep 1, 2015 Upgraded to B1 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 5, 2013 Affirmed C (sf) Cl. M-7, Upgraded to Caa2 (sf); previously on Mar 5, 2013 Affirmed C (sf) Cl. M-8, Upgraded to Caa3 (sf); previously on Mar 5, 2013 Affirmed C (sf) Cl. M-9, Upgraded to Caa3 (sf); previously on Mar 5, 2013 Affirmed C (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2005-OPT4 Cl. M-7, Upgraded to Caa1 (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series 2004-7 Cl. B-2, Upgraded to Caa1 (sf); previously on May 26, 2009 Downgraded to C (sf) Cl. B-3, Upgraded to Ca (sf); previously on May 26, 2009 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-16 Cl. 1-AF, Upgraded to Caa1 (sf); previously on Mar 7, 2019 Upgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 7, 2019 Upgraded to Caa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 2-AF-4, Upgraded to Caa1 (sf); previously on Oct 26, 2016 Confirmed at Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Oct 26, 2016 Confirmed at Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 2-AF-5, Upgraded to Caa1 (sf); previously on Mar 7, 2019 Upgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 7, 2019 Upgraded to Caa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. MV-4, Upgraded to Caa2 (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-4 Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-BC3 Cl. M-1, Downgraded to Caa1 (sf); previously on Oct 19, 2016 Upgraded to B1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: Encore Credit Receivables Trust 2005-4 Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 19, 2018 Upgraded to Ca (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF3 Cl. A-2C, Upgraded to Aaa (sf); previously on Dec 3, 2021 Upgraded to Aa2 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Feb 13, 2018 Upgraded to Ca (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF4 Cl. M-1, Upgraded to Caa1 (sf); previously on Jan 5, 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, Moody's updated loss expectations on the underlying pools, and Moody's revised loss-given-default expectation for each bond. Most 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. The rating downgrade of Class A1 from Asset Backed Securities Corporation Home Equity Loan Trust 2004-HE7 is primarily due to a decline in credit enhancement available to the bond due to the deal passing performance triggers. The rating downgrade of Class M-2 from Citigroup Mortgage Loan Trust 2006-WFHE2 is the result of missed interest that is unlikely to be recouped. This class has incurred historical principal losses but subsequently recouped those losses, and as a result, missed interest on principal for those periods will not be recouped. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While most shortfalls have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. 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 Rating Action on 49 Bonds from 11 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 47 bonds and downgraded the ratings of 2 bonds from 11 US residential mortgage-backed transactions (RMBS), backed by subprime, jumbo 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: Aegis Asset Backed Securities Trust 2004-3 Cl. B1, Upgraded to Ba2 (sf); previously on Jun 21, 2017 Upgraded to Caa2 (sf) Cl. B2, Upgraded to Caa1 (sf); previously on May 1, 2009 Downgraded to C (sf) Cl. B3, Upgraded to Caa2 (sf); previously on May 1, 2009 Downgraded to C (sf) Cl. M2, Upgraded to Aa1 (sf); previously on Mar 7, 2023 Upgraded to Baa1 (sf) Cl. M3, Upgraded to Baa1 (sf); previously on Mar 7, 2023 Upgraded to Ba3 (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2006-R1 Cl. M-2, Downgraded to Caa1 (sf); previously on Jan 30, 2019 Upgraded to B1 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Jan 30, 2019 Upgraded to Ca (sf) Cl. M-4, Upgraded to Ca (sf); previously on Mar 13, 2009 Downgraded to C (sf) Issuer: DSLA Mortgage Loan Trust 2005-AR4 Cl. 1-A, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to Caa2 (sf) Cl. 2-A1A, Downgraded to B1 (sf); previously on Mar 21, 2016 Upgraded to Ba1 (sf) Cl. 2-A1B, Upgraded to Caa1 (sf); previously on May 18, 2015 Upgraded to Caa2 (sf) Cl. 2-A1C, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to C (sf) Cl. 2-A1D, Upgraded to Caa3 (sf); previously on Dec 3, 2010 Downgraded to C (sf) Cl. PO, Upgraded to Ca (sf); previously on Dec 3, 2010 Downgraded to C (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF9 Cl. I-A, Upgraded to Aaa (sf); previously on Dec 16, 2021 Upgraded to Aa2 (sf) Cl. II-A-3, Upgraded to Caa1 (sf); previously on Jul 15, 2011 Downgraded to Ca (sf) Cl. II-A-4, Upgraded to Caa2 (sf); previously on Jul 15, 2011 Downgraded to Ca (sf) Issuer: First NLC Trust 2005-1 Cl. M-1, Upgraded to Caa1 (sf); previously on Jun 10, 2014 Upgraded to Caa3 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Cl. M-5, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Cl. M-6, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Cl. M-7, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Cl. M-8, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Cl. M-9, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Cl. M-10, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Cl. M-12, Upgraded to Caa3 (sf); previously on Mar 13, 2009 Downgraded to C (sf) Cl. M-13, Upgraded to Caa3 (sf); previously on Mar 13, 2009 Downgraded to C (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX4 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to Caa3 (sf) Cl. 1-A-2, Upgraded to Ca (sf); previously on Dec 1, 2010 Downgraded to C (sf) Cl. 2-A-2, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to C (sf) Cl. 2-A-3, Upgraded to Ca (sf); previously on Dec 1, 2010 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Trust 2006-S1 Cl. 1-A-1, Upgraded to Aa3 (sf); previously on Aug 14, 2024 Upgraded to A1 (sf) Cl. 1-A-2, Upgraded to Aa3 (sf); previously on Aug 14, 2024 Upgraded to A1 (sf) Cl. 2-A-9, Upgraded to Aa3 (sf); previously on Aug 14, 2024 Upgraded to A1 (sf) Cl. 3-A-1, Upgraded to Aa3 (sf); previously on Aug 14, 2024 Upgraded to A1 (sf) Cl. 3-A-2, Upgraded to Aa3 (sf); previously on Aug 14, 2024 Upgraded to A1 (sf) Cl. 3-A-6, Upgraded to Aa3 (sf); previously on Aug 14, 2024 Upgraded to A1 (sf) Cl. 3-A-8, Upgraded to Aa3 (sf); previously on Aug 14, 2024 Upgraded to A1 (sf) Issuer: Option One Mortgage Loan Trust 2007-FXD2 Cl. I-A-1, Currently Rated A1 (sf); previously on March 21, 2022 Upgraded to A1 (sf) Cl. I-A-1, Underlying Rating: Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to Caa3 (sf) Financial Guarantor: Assured Guaranty Inc (Affirmed at A1, Outlook stable on Jul, 2024) Cl. II-A-3, Currently Rated A1 (sf); previously on March 21, 2022 Upgraded to A1 (sf) Cl. II-A-3, Underlying Rating: Upgraded to Caa2 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Financial Guarantor: Assured Guaranty Inc (Affirmed at A1, Outlook stable on Jul, 2024) Cl. II-A-4, Currently Rated A1 (sf); previously on March 21, 2022 Upgraded to A1 (sf) Cl. II-A-4, Underlying Rating: Upgraded to Caa2 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Financial Guarantor: Assured Guaranty Inc (Affirmed at A1, Outlook stable on Jul, 2024) Cl. II-A-5, Currently Rated A1 (sf); previously on March 21, 2022 Upgraded to A1 (sf) Cl. II-A-5, Underlying Rating: Upgraded to Caa2 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Financial Guarantor: Assured Guaranty Inc (Affirmed at A1, Outlook stable on Jul, 2024) Cl. II-A-6, Currently Rated A1 (sf); previously on March 21, 2022 Upgraded to A1 (sf) Cl. II-A-6, Underlying Rating: Upgraded to Caa1 (sf); previously on Jul 18, 2011 Downgraded to Ca (sf) Financial Guarantor: Assured Guaranty Inc (Affirmed at A1, Outlook stable on Jul, 2024) Issuer: Structured Asset Investment Loan Trust 2005-HE3 Cl. M2, Upgraded to Caa1 (sf); previously on Jul 17, 2017 Upgraded to Ca (sf) Issuer: Structured Asset Securities Corp Trust 2006-OPT1 Cl. M1, Upgraded to Caa3 (sf); previously on May 18, 2017 Upgraded to Ca (sf) Issuer: Terwin Mortgage Trust 2006-1 Cl. I-M-1, Upgraded to Aaa (sf); previously on Jul 21, 2022 Upgraded to Aa3 (sf) Cl. I-M-2, Upgraded to Caa1 (sf); previously on Apr 9, 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, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating downgrade for DSLA Mortgage Loan Trust 2005-AR4 Cl. 2-A1A is primarily driven by decrease in credit enhancement. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. The rating downgrade for Ameriquest Mortgage Securities Inc., Series 2006-R1 Cl. M-2 is driven by outstanding credit interest shortfalls that are unlikely to be recouped. This bond has a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. The rest of the rating upgrades are a result of the improving performance of the related pools, or an increase in credit enhancement available to the bonds. Credit enhancement grew by 3.1% on average for these bonds upgraded over the past 12 months. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in 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 Rating Actions on 6 Bonds from 2 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of four bonds and downgraded the ratings of two bonds from two US residential mortgage-backed transactions (RMBS), backed by option ARM and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: MASTR Adjustable Rate Mortgages Trust 2007-3 Cl. 2-2A3, Downgraded to B1 (sf); previously on Mar 21, 2022 Upgraded to A1 (sf) Underlying Rating: Upgraded to B1 (sf); previously on Dec 21, 2010 Downgraded to Ca (sf) Financial Guarantor: Assured Guaranty Inc. (Upgraded to A1, Outlook Stable on July 10, 2024) Cl. 2-2A4, Upgraded to B3 (sf); previously on Dec 21, 2010 Downgraded to Ca (sf) Cl. 2-2A5, Upgraded to Caa3 (sf); previously on Dec 21, 2010 Downgraded to C (sf) Issuer: Saxon Asset Securities Trust 2006-3 Cl. A-3, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Jul 16, 2010 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating downgrade on Class 2-2A3 from MASTR Adjustable Rate Mortgages Trust 2007-3 reflects a mismatch between the insured interest amount covered through the insurance policy from the guarantor, Assured Guaranty Inc, and the interest distribution amount. The bond coupon is capped by the available funds rate, which is limited by monthly principal and interest collected. Typically, interest shortfalls resulted from available funds cap will only be reimbursed from excess interest after overcollateralization builds to its target amount and/or realized loss and/or credit interest shortfall on the bonds are reimbursed. The bond is observed to have an interest shortfall of approximately 0.02% (as of Original Balance), resulting from the group available funds cap, in January 2025. Moody's believes the low available funds rate cap in that month was mainly driven by a relatively large monthly loss and limited prepayment in the group, leading to reduced available funds. Although the bond is insured, the guarantor does not cover the interest shortfall resulted from the available funds cap. As such, Moody's considers this available funds shortfall, which was partially due to the large monthly loss in January, will result in a permanent interest loss. The rating actions on the underlying rating on Class 2-2A3, as well as the rating on Class 2-2A4 from MASTR Adjustable Rate Mortgages Trust 2007-3, are also based on Moody's expectations of the magnitude of missed interest that is unlikely to be recouped. Class 2-2A4 has incurred historical principal losses but subsequently recouped those losses. However, as a result of the past principal losses, interest on the principal losses was not paid and will not be recouped. The rating actions on Class A-3 and Class A-4 from Saxon Asset Securities Trust 2006-3 are also the result of outstanding available funds shortfalls that are unlikely to be recouped. Similar to the MASTR 2007-3 deal, the coupons on these bonds are capped by the available funds rate. The size and length of the available funds interest shortfalls were considered in Moody's analysis. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 10 Bonds from 4 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 10 bonds from four US residential mortgage-backed transactions (RMBS), backed by option ARM and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CWABS Asset-Backed Certificates Trust 2006-14 Cl. 1-A, Upgraded to Aa1 (sf); previously on May 28, 2024 Upgraded to Aa3 (sf) Cl. 2-A-3, Upgraded to Aaa (sf); previously on May 28, 2024 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-19 Cl. 1-A, Upgraded to Aaa (sf); previously on May 28, 2024 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-1 Cl. 1-A, Upgraded to B1 (sf); previously on Oct 17, 2016 Confirmed at Caa3 (sf) Cl. 2-A-3, Upgraded to Caa1 (sf); previously on Oct 17, 2016 Upgraded to Caa3 (sf) Cl. 2-A-4, Upgraded to Caa2 (sf); previously on Oct 17, 2016 Upgraded to Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA3 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Aug 22, 2013 Confirmed at Caa3 (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Aug 22, 2013 Confirmed at Caa3 (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. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While most shortfalls have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. Most 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. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Credit enhancement grew by 42% on average for these bonds upgraded over the past 12 months. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 11 Bonds from 3 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 11 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 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: J.P. Morgan Mortgage Trust 2024-7 Cl. B-4, Upgraded to Ba2 (sf); previously on Aug 9, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Aug 9, 2024 Definitive Rating Assigned B3 (sf) Issuer: J.P. Morgan Mortgage Trust 2024-8 Cl. B-2, Upgraded to A1 (sf); previously on Aug 30, 2024 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Aug 30, 2024 Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Aug 30, 2024 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Aug 30, 2024 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Aug 30, 2024 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Aug 30, 2024 Definitive Rating Assigned B2 (sf) Issuer: Western Mortgage Reference Notes, Series 2022-CL4 Cl. M-1, Upgraded to Aa1 (sf); previously on Aug 1, 2024 Upgraded to Aa2 (sf) Cl. M-1-F, Upgraded to Aa1 (sf); previously on Aug 1, 2024 Upgraded to Aa2 (sf) Cl. M-1-IO*, Upgraded to Aa1 (sf); previously on Aug 1, 2024 Upgraded to Aa2 (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 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, 15.8% since closing. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. A comprehensive review of all credit ratings for the respective issuers has been conducted during a rating committee. 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. [] Moody's Upgrades Ratings on 20 Bonds from 3 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 20 bonds from three US residential mortgage-backed transactions (RMBS). The collaterals backing these deals consist of prime jumbo and agency eligible investor mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GCAT 2022-INV2 Trust Cl. A-17, Upgraded to Aaa (sf); previously on Apr 28, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-18, Upgraded to Aaa (sf); previously on Apr 28, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-19, Upgraded to Aaa (sf); previously on Apr 28, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-20, Upgraded to Aaa (sf); previously on Apr 28, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 20, 2024 Upgraded to Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Aug 20, 2024 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Aug 20, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Aug 20, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Aug 20, 2024 Upgraded to Ba2 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Aug 20, 2024 Upgraded to Aa2 (sf) Issuer: Mello Mortgage Capital Acceptance 2021-INV1 Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 19, 2024 Upgraded to Aa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Aug 19, 2024 Upgraded to Ba2 (sf) Issuer: Mello Mortgage Capital Acceptance 2021-MTG3 Cl. B1, Upgraded to Aa1 (sf); previously on Aug 19, 2024 Upgraded to Aa2 (sf) Cl. B1A, Upgraded to Aa1 (sf); previously on Aug 19, 2024 Upgraded to Aa2 (sf) Cl. B2, Upgraded to Aa3 (sf); previously on Aug 19, 2024 Upgraded to A1 (sf) Cl. B2A, Upgraded to Aa3 (sf); previously on Aug 19, 2024 Upgraded to A1 (sf) Cl. B3, Upgraded to A2 (sf); previously on Aug 19, 2024 Upgraded to A3 (sf) Cl. B5, Upgraded to Ba2 (sf); previously on Aug 19, 2024 Upgraded to Ba3 (sf) Cl. BX1*, Upgraded to Aa1 (sf); previously on Aug 19, 2024 Upgraded to Aa2 (sf) Cl. BX2*, Upgraded to Aa3 (sf); previously on Aug 19, 2024 Upgraded to A1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools The transactions Moody's reviewed continue to display strong collateral performance, with low to no cumulative losses 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, 23% since closing. 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 other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 21 Bonds from 3 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded 21 ratings from three US residential mortgage-backed transactions (RMBS), backed by 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: HarborView Mortgage Loan Trust 2005-13 Cl. 1-A-1A, Upgraded to Caa1 (sf); previously on Dec 7, 2010 Downgraded to Caa3 (sf) Cl. 1-A-1B, Upgraded to Caa2 (sf); previously on Dec 7, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Dec 7, 2010 Downgraded to C (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 2-A1A1, Upgraded to Caa1 (sf); previously on Dec 7, 2010 Downgraded to Caa3 (sf) Cl. 2-A1A2, Upgraded to Caa1 (sf); previously on Dec 7, 2010 Downgraded to Caa3 (sf) Cl. 2-A1B, Upgraded to Caa2 (sf); previously on Dec 7, 2010 Downgraded to C (sf) Issuer: HarborView Mortgage Loan Trust 2007-5 Cl. A-1A, Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to Caa2 (sf) Cl. A-1B, Upgraded to Ca (sf); previously on Dec 5, 2010 Downgraded to C (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2007-8XS Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 12, 2010 Downgraded to Caa2 (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Caa3 (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Caa3 (sf) Cl. A-6*, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Caa3 (sf) Cl. A-7, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Caa3 (sf) Cl. A-8*, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Caa3 (sf) Cl. A-9, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Caa3 (sf) Cl. A-10*, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Caa3 (sf) Cl. A-11, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Caa3 (sf) Cl. A-12, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Caa3 (sf) Cl. A-13, Upgraded to Caa1 (sf); previously on Aug 12, 2010 Downgraded to Caa2 (sf) Cl. A-20, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Confirmed at Caa3 (sf) Cl. A-1-W, Underlying Rating: Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Caa3 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Negative on October 3, 2024) *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 23 Bonds from 7 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 23 bonds from seven US residential mortgage-backed transactions (RMBS), backed by seasoned performing and modified re-performing residential mortgage loans (RPL), issued by multiple issuers. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=2z5WDf 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: Citigroup Mortgage Loan Trust 2018-RP2 Cl. B-1, Upgraded to Aaa (sf); previously on Aug 15, 2024 Upgraded to Aa3 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Aug 15, 2024 Upgraded to Baa1 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Aug 15, 2024 Upgraded to B1 (sf) Cl. M-3, Upgraded to Aaa (sf); previously on Aug 15, 2024 Upgraded to Aa1 (sf) Issuer: Citigroup Mortgage Loan Trust 2018-RP3 Cl. B-1, Upgraded to Aa2 (sf); previously on Aug 15, 2024 Upgraded to A1 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Aug 15, 2024 Upgraded to Baa2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Aug 15, 2024 Upgraded to B2 (sf) Cl. M-2, Upgraded to Aaa (sf); previously on Oct 30, 2023 Upgraded to Aa1 (sf) Cl. M-3, Upgraded to Aaa (sf); previously on Aug 15, 2024 Upgraded to Aa2 (sf) Issuer: Citigroup Mortgage Loan Trust 2019-RP1 Class B-1, Upgraded to Aaa (sf); previously on Aug 15, 2024 Upgraded to A2 (sf) Class B-2, Upgraded to Aaa (sf); previously on Aug 15, 2024 Upgraded to Baa3 (sf) Class B-3, Upgraded to Baa1 (sf); previously on Aug 15, 2024 Upgraded to Caa1 (sf) Class M-3, Upgraded to Aaa (sf); previously on Aug 15, 2024 Upgraded to Aa1 (sf) Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2016-1 Cl. M-2, Upgraded to Baa2 (sf); previously on Mar 9, 2022 Upgraded to Ba1 (sf) Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2 Cl. M-1, Upgraded to Aaa (sf); previously on Aug 15, 2024 Upgraded to A1 (sf) Issuer: Mill City Mortgage Loan Trust 2019-GS1 Cl. B1, Upgraded to Aaa (sf); previously on Aug 21, 2024 Upgraded to Aa2 (sf) Cl. B1B, Upgraded to Aaa (sf); previously on Aug 21, 2024 Upgraded to Aa2 (sf) Cl. B2, Upgraded to Aa2 (sf); previously on Aug 21, 2024 Upgraded to A3 (sf) Cl. B2A, Upgraded to Aaa (sf); previously on Aug 21, 2024 Upgraded to A2 (sf) Cl. B2B, Upgraded to Aa2 (sf); previously on Aug 21, 2024 Upgraded to A3 (sf) Issuer: MILL CITY MORTGAGE LOAN TRUST 2019-GS2 Cl. B1, Upgraded to Aaa (sf); previously on Aug 21, 2024 Upgraded to A2 (sf) Cl. B1A, Upgraded to Aaa (sf); previously on Aug 21, 2024 Upgraded to Aa2 (sf) Cl. B1B, Upgraded to Aaa (sf); previously on Aug 21, 2024 Upgraded to A2 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improved loss coverage for the tranches given a continued growth of credit enhancement as the bonds amortize and a steady improvement of collateral performance in recent years. The credit enhancement since last year has grown, on average, 1.03x for the tranches upgraded. The loans underlying the pools have fewer delinquencies and lower realized losses than originally anticipated. Each of the deals Moody's reviewed have an average loan seasoning over 200 months. As a result of the long pay history, coupled with the robust home price appreciation that Moody's have seen over the past decade, Moody's believes that the average borrower has built significant equity in their home. This dynamic has supported the lower default numbers over time and, lower cumulative losses given strong recovery values should a borrower default. Cumulative net losses for all deals reviewed are currently below 1.6% with five of the seven deals seeing cumulative net losses of less than 1%. As a result of the strong performance, Moody's lowered Moody's loss projection for each deal when compared to Moody's prior review in 2024. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal Methodologies The methodologies used in these ratings were "Non-performing and Re-performing Loan Securitizations" published in April 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 25 Bonds from 5 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 25 bonds from five US residential mortgage-backed transactions (RMBS), backed by Alt-A, Option-ARM, prime jumbo, 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: Bear Stearns Alt-A 2006-1 Cl. I-1A-1, Upgraded to Caa1 (sf); previously on Sep 16, 2010 Downgraded to Caa2 (sf) Issuer: Bear Stearns ALT-A Trust 2005-1 Cl. M-2, Upgraded to Caa1 (sf); previously on Jul 2, 2010 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE6 Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 14, 2013 Affirmed C (sf) Issuer: CHL Mortgage Pass-Through Trust 2007-5 Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. A-7, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. A-8, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. A-16, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. A-18, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. A-20, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. A-28, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. A-29, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. A-30, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. A-37, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. A-38, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. A-39*, Upgraded to Caa1 (sf); previously on Nov 29, 2017 Confirmed at Caa2 (sf) Cl. A-40, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. A-41, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. A-42, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. A-49, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. A-51, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed at Caa2 (sf) Cl. X*, Upgraded to Caa1 (sf); previously on Nov 29, 2017 Confirmed at Caa2 (sf) Issuer: HarborView Mortgage Loan Trust 2006-8 Cl. 1A-1, Upgraded to Caa2 (sf); previously on Dec 5, 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 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 69 Bonds from 13 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 69 bonds from 13 US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM and scratch and dent 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., Quest Trust 2004-X1 Cl. M-1, Upgraded to Caa3 (sf); previously on May 20, 2011 Downgraded to Ca (sf) Issuer: GreenPoint Mortgage Funding Trust 2006-AR7 Cl. 1-A3A1, Upgraded to Caa3 (sf); previously on Dec 9, 2010 Confirmed at Ca (sf) Cl. 1-A3A2, Upgraded to Caa3 (sf); previously on Dec 9, 2010 Confirmed at Ca (sf) Issuer: Lehman Mortgage Trust 2006-4 Cl. 1-A2, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 1-A3*, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 1-A4, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. AP1, Upgraded to Caa1 (sf); previously on Jul 17, 2019 Upgraded to Caa3 (sf) Issuer: Lehman Mortgage Trust 2006-5 Cl. 1-A1, Upgraded to Caa3 (sf); previously on Aug 22, 2016 Downgraded to Ca (sf) Cl. 1-A2, Upgraded to Caa2 (sf); previously on Aug 22, 2016 Downgraded to Ca (sf) Cl. 1-A3*, Upgraded to Caa2 (sf); previously on Aug 22, 2016 Downgraded to Ca (sf) Cl. 1-A5, Upgraded to Caa3 (sf); previously on Aug 22, 2016 Downgraded to Ca (sf) Cl. 1-A6, Upgraded to Caa1 (sf); previously on Aug 22, 2016 Downgraded to Ca (sf) Cl. 1-A7*, Upgraded to Caa1 (sf); previously on Aug 22, 2016 Downgraded to Ca (sf) Cl. 1-A8, Upgraded to Caa2 (sf); previously on Aug 22, 2016 Downgraded to Ca (sf) Cl. 1-A9, Upgraded to Caa2 (sf); previously on Aug 22, 2016 Downgraded to Ca (sf) Cl. 1-A10, Upgraded to Caa3 (sf); previously on Aug 22, 2016 Downgraded to Ca (sf) Cl. 1-A11, Upgraded to Caa3 (sf); previously on Aug 22, 2016 Downgraded to Ca (sf) Cl. 1-A12, Upgraded to Caa2 (sf); previously on Aug 22, 2016 Downgraded to Ca (sf) Cl. 1-A13, Upgraded to Caa3 (sf); previously on Aug 22, 2016 Downgraded to Ca (sf) Cl. 1-A14, Upgraded to Caa3 (sf); previously on Aug 22, 2016 Downgraded to Ca (sf) Cl. 1-A15, Upgraded to Caa3 (sf); previously on Aug 22, 2016 Downgraded to Ca (sf) Cl. 1-A16, Upgraded to Caa3 (sf); previously on Aug 22, 2016 Downgraded to Ca (sf) Cl. 2-A1, Upgraded to Caa3 (sf); previously on Sep 10, 2013 Downgraded to Ca (sf) Cl. 2-A3, Upgraded to Caa3 (sf); previously on Sep 10, 2013 Downgraded to Ca (sf) Cl. 2-A5, Upgraded to Caa3 (sf); previously on Sep 10, 2013 Downgraded to Ca (sf) Cl. 2-A6, Upgraded to Caa3 (sf); previously on Sep 10, 2013 Downgraded to Ca (sf) Issuer: Lehman Mortgage Trust 2007-5 Cl. 1-A1, Upgraded to Caa1 (sf); previously on Jan 14, 2011 Confirmed at Caa2 (sf) Cl. 1-A3, Upgraded to Caa1 (sf); previously on Jan 14, 2011 Confirmed at Caa2 (sf) Cl. 1-A5, Upgraded to Caa1 (sf); previously on Nov 1, 2018 Upgraded to Caa2 (sf) Cl. 1-A6, Upgraded to Caa1 (sf); previously on Jan 14, 2011 Confirmed at Caa2 (sf) Cl. 1-A7*, Upgraded to Caa1 (sf); previously on Oct 27, 2017 Confirmed at Caa2 (sf) Cl. 1-A9, Upgraded to Caa1 (sf); previously on Jan 14, 2011 Confirmed at Caa2 (sf) Cl. 1-A10, Upgraded to Caa1 (sf); previously on Jan 14, 2011 Confirmed at Caa2 (sf) Cl. 2-A1, Upgraded to Caa3 (sf); previously on Mar 30, 2016 Downgraded to Ca (sf) Cl. 2-A2*, Upgraded to Caa3 (sf); previously on Oct 27, 2017 Confirmed at Ca (sf) Cl. 2-A3, Upgraded to Caa3 (sf); previously on May 27, 2015 Downgraded to Ca (sf) Cl. 2-A4, Upgraded to Caa3 (sf); previously on May 27, 2015 Downgraded to Ca (sf) Cl. 4-A1, Upgraded to Caa1 (sf); previously on Dec 22, 2010 Downgraded to Caa2 (sf) Cl. 4-A2, Upgraded to Caa1 (sf); previously on Dec 22, 2010 Downgraded to Caa2 (sf) Cl. 4-A3, Upgraded to Caa1 (sf); previously on Dec 22, 2010 Downgraded to Caa2 (sf) Cl. 4-A4, Upgraded to Caa1 (sf); previously on Dec 22, 2010 Downgraded to Caa2 (sf) Cl. 4-A5*, Upgraded to Caa1 (sf); previously on Dec 22, 2010 Downgraded to Caa2 (sf) Cl. 4-A6, Upgraded to Caa1 (sf); previously on Dec 22, 2010 Downgraded to Caa2 (sf) Cl. 5-A1, Upgraded to Caa2 (sf); previously on Jul 30, 2014 Downgraded to Caa3 (sf) Cl. 5-A2*, Upgraded to Caa2 (sf); previously on Jul 30, 2014 Downgraded to Caa3 (sf) Cl. 5-A3, Upgraded to Caa2 (sf); previously on Jul 30, 2014 Downgraded to Caa3 (sf) Cl. 6-A1, Upgraded to Caa2 (sf); previously on Jul 30, 2014 Downgraded to Caa3 (sf) Issuer: Lehman XS Trust Series 2006-15 Cl. A3, Upgraded to Caa2 (sf); previously on Dec 17, 2018 Upgraded to Caa3 (sf) Cl. A4, Upgraded to Caa1 (sf); previously on Dec 17, 2018 Upgraded to Caa2 (sf) Issuer: Lehman XS Trust Series 2006-2N Cl. 1-A1, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 2-A1, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Issuer: Lehman XS Trust Series 2006-9 Cl. A1C, Upgraded to Caa2 (sf); previously on Jul 15, 2019 Upgraded to Caa3 (sf) Issuer: Lehman XS Trust Series 2006-GP4 Cl. 1-A1, Upgraded to Caa2 (sf); previously on Oct 22, 2010 Confirmed at Ca (sf) Cl. 2-A1, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Confirmed at Caa3 (sf) Cl. 3-A3A, Upgraded to Caa3 (sf); previously on Oct 22, 2010 Confirmed at Ca (sf) Cl. 3-A4, Upgraded to Caa3 (sf); previously on Dec 22, 2009 Downgraded to C (sf) Cl. 3-A5, Upgraded to Caa2 (sf); previously on Oct 22, 2010 Confirmed at Ca (sf) Issuer: Lehman XS Trust Series 2007-1 Cl. 1-A2, Upgraded to Caa3 (sf); previously on Feb 10, 2011 Downgraded to Ca (sf) Cl. 1-A3, Upgraded to Caa2 (sf); previously on Feb 10, 2011 Downgraded to Ca (sf) Cl. 1-A4, Upgraded to Ca (sf); previously on Feb 10, 2011 Downgraded to C (sf) Cl. 2-A1, Upgraded to Caa2 (sf); previously on Feb 10, 2011 Downgraded to Ca (sf) Cl. WF-1, Upgraded to Caa2 (sf); previously on Feb 10, 2011 Downgraded to Ca (sf) Issuer: Lehman XS Trust Series 2007-8H Cl. A3, Upgraded to Ca (sf); previously on Sep 16, 2010 Downgraded to C (sf) Issuer: Lehman XS Trust Series 2007-9 Cl. I-A2, Upgraded to Ca (sf); previously on Sep 16, 2010 Downgraded to C (sf) Cl. I-A3, Upgraded to Ca (sf); previously on Sep 16, 2010 Downgraded to C (sf) Cl. WF-3, Upgraded to Ca (sf); previously on Sep 16, 2010 Downgraded to C (sf) Cl. WF-4, Upgraded to Ca (sf); previously on Sep 16, 2010 Downgraded to C (sf) Cl. WF-5, Upgraded to Caa3 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Issuer: MESA Trust Asset Backed Certificates, Series 2001-5 Cl. M-1, Upgraded to Caa3 (sf); previously on Jun 1, 2011 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. Moody's analysis also considered the relationship of exchangeable bonds to the bond(s) they could be exchanged for. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] S&P Takes Various Actions on 187 Classes From 72 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 187 classes from 72 U.S. RMBS transactions issued between 1998 and 2007. The review yielded 90 upgrades,16 downgrades, 64 affirmations, 11 withdrawals, and six discontinuances. A list of Affected Ratings can be viewed at: https://tinyurl.com/y2zve23h Analytical Considerations S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics, and their potential effects on certain classes." Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Credit-related reductions in interest; -- Historical and/or outstanding missed interest payments, or interest shortfalls; -- Payment priority; -- Small loan count; and -- Available subordination and/or overcollateralization. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. See the ratings list for the specific rationale associated with each of the classes with rating transitions. "The upgrades primarily reflect the classes' increased credit support. As a result, the upgrades reflect our assessment of the classes' ability to withstand a higher level of projected losses than we had previously anticipated. "The 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. "We lowered our ratings on 15 classes from nine transactions to reflect our assessment of reduced interest payments due to loan modifications and other credit-related events. To determine the maximum potential rating for these securities, we consider the amount of interest the security has received to date versus how much it would have received absent such credit-related events, as well as interest reduction amounts that we expect during the remaining term of the security. Additionally, we lowered our rating from one transaction due to missed interest payments. The downgrade due to interest shortfalls is 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 11 classes from five transactions due to the small number of loans remaining in the related structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level. Additionally, as a result, we applied our principal-only criteria. "Lastly, we discontinued two ratings from two 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. We view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria within this review. Additionally, the ratings on four classes from four transactions were also discontinued because their balances were paid in full." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. 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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 ***