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250629.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 29, 2025, Vol. 29, No. 179 Headlines ABPCI PRIVATE I: S&P Assigns Prelim BB- (sf) Rating on Cl. D Notes AGL CLO 25: Fitch Assigns 'BB+(EXP)sf' Rating on Class E-R Notes ALLEGRO CLO XVII: Fitch Assigns 'BB-sf' Rating on Class E Notes ANCHORAGE CAPITAL 32: Fitch Assigns 'BB-sf' Rating on Class E Notes ANCHORAGE CREDIT 4: Moody's Ups Rating on $52.5MM E-R Notes to Ba1 APIDOS CLO XLIII: Fitch Assigns 'BB+sf' Rating on Class E-R Notes APIDOS CLO XLIII: Moody's Assigns B3 Rating to $1MM Cl. F-R Notes ARDN 2025-ARCP: Fitch Assigns 'Bsf' Final Rating on Class HRR Certs ARES LXVIII: Fitch Assigns 'BB+(EXP)' Rating on Class E-R Notes ARES LXVIII: S&P Assigns Prelim B- (sf) Rating on Class F Notes ARIVO ACCEPTANCE 2022-1: DBRS Confirms BB Rating on D Notes ATRIUM HOTEL 2017-ATRM: Moody's Cuts Rating on Cl. D Certs to Ba3 AXMF RE-REMIC 2025-SBRR1: DBRS Gives (P)B(low) Rating on 3 Tranches BANK 2017-BNK7: DBRS Confirms B Rating on Class E Certs BANK 2025-BNK50: DBRS Finalizes B Rating on Class JRR Certs BANK 2025-BNK50: Fitch Assigns B-sf Final Rating on Cl. H-RR Certs BANK5 2025-5YR15: Fitch Assigns B-(EXP)sf Rating on Cl. G-RR Certs BDS 2021-FL10: DBRS Confirms BB Rating on Class F Notes BENCHMARK 2018-B5: Fitch Lowers Rating on Class E-RR Debt to 'Bsf' BENCHMARK 2020-B17: Fitch Lowers Rating on Two Tranches to 'CCsf' BENEFIT STREET XL: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes BIRCH GROVE 14: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes BVRT 2025-1: Fitch Assigns 'B-sf' Final Rating on Class E Notes BVRT 2025-1: Fitch Gives 'B-(EXP)sf' Rating on Class E Notes CAPITAL ONE: Fitch Affirms 'BBsf' Rating on 2002-1D Trust Notes CARVANA AUTO 2025-P2: Fitch Assigns 'BB+sf' Rating on Class N Debt COOPR RESIDENTIAL 2025-CES2: Fitch Gives B(EXP) Rating on B-2 Debt CROSSROADS ASSET 2025-A: DBRS Finalizes BB Rating on E Notes CROSSROADS ASSET 2025-A: Moody's Assigns Ba2 Rating to Cl. E Notes CSAIL 2016-C6: Fitch Lowers Rating on Two Tranches to 'Csf' EXTENET ISSUER 2025-1: Fitch Assigns BB- Final Rating on C Notes FANNIE MAE 2003-W10: Moody's Hikes Rating on Cl. 1M Certs to Caa3 GCAT 2025-NQM3: S&P Assigns B (sf) Rating on Class B-2 Certs GCAT TRUST 2019-RPL1: Moody's Ups Rating on Cl. B-3 Certs from B1 GLS AUTO 2024-2: S&P Affirms BB (sf) on Class E Notes GOLDENTREE LOAN 17: Fitch Assigns 'B-sf' Rating on Cl. F-R Notes GS MORTGAGE 2025-RPL3: Fitch Assigns 'B(EXP)sf' Rating on B-2 Certs HPS LOAN 2025-25: Fitch Assigns 'BB-sf' Rating on Class E Notes HPS LOAN 3-2014: S&P Assigns B+ (sf) Rating on Class D-R Notes IP 2025-IP: DBRS Finalizes BB(low) Rating on Class F Certs JP MORGAN 2016-JP2: Fitch Lowers Rating on Cl. E Certs to CCsf JP MORGAN 2021-1MEM: DBRS Confirms B Rating on Class E Certs JP MORGAN 2025-VIS2: S&P Assigns B- (sf) Rating on Cl. B-2 Certs LCCM 2017-LC26: Fitch Affirms 'Bsf' Rating on Class E Certificates LENDINGCLUB 2025-P1: Fitch Assigns 'Bsf' Rating on Class F Notes LOANCORE 2021-CRE5: DBRS Confirms B Rating on Class G Notes LONG POINT: Moody's Affirms Ba2 Rating on $11.5MM Cl. D-1 Notes MARINER FINANCE 2024-A: DBRS Confirms BB(low) Rating on E Notes MISSION LANE 2025-B: Fitch Assigns 'B(EXP)sf' Rating on Cl. F Notes MORGAN STANLEY 2015-C25: Fitch Lowers Class F Debt Rating to CCsf MORGAN STANLEY 2023-19: Fitch Assigns BB-sf Rating on Cl. E-R Notes MOSAIC SOLAR 2022-1: Fitch Lowers Rating on 2 Tranches to CCCsf NATIXIS COMMERCIAL 2019-MILE: DBRS Confirms B(low) Rating on C Debt OHA CREDIT 12-R: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes PFP 2025-12: Fitch Assigns 'B-sf' Final Rating on Class G Notes POINT BROADBAND 2025-1: Fitch Gives BB-(EXP) Rating on Cl. C Notes POLUS US II: Fitch Assigns 'BB-sf' Rating on Class E Notes PRM TRUST 2025-PRM6: Fitch Assigns 'B-sf' Rating on Class HRR Certs RCKT MORTGAGE 2025-CES6: Fitch Assigns Bsf Rating on Five Tranches REGATTA 34: Fitch Assigns 'BB-sf' Final Rating on Class E Notes ROMARK WM-R: S&P Affirms 'B+ (sf)' Rating on Class E Notes RR 40: S&P Assigns BB- (sf) Rating on Class D Notes SANTANDER MORTGAGE 2025-NQM3: S&P Assigns 'B' Rating on B-2 Notes SCULPTOR CLO XXX: S&P Assigns Prelim BB- (sf) Rating on E-R Notes SEQUOIA MORTGAGE 2025-6: Fitch Assigns Bsf Rating on B5 Certs SOLVE 2025-HEC1: DBRS Gives Prov. BB Rating on Class B Notes SYMPHONY CLO 49: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes TMSQ 2014-1500: DBRS Confirms B Rating on Class B Certs TOWD POINT 2025-1: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B2 Notes TOWD POINT 2025-CES2: Fitch Assigns 'B-(EXP)sf' Rating on B2 Notes TRINITAS CLO XXXIII: S&P Assigns Prelim BB- (sf) Rating on E Notes UNLOCK HEA 2025-1: DBRS Gives Prov. BB Rating on C Notes WELLS FARGO 2015-LC20: DBRS Confirms C Rating on F Certs WESTLAKE AUTOMOBILE 2022-2: S&P Affirms B (sf) Rating on F Notes WIND RIVER 2019-2: S&P Lowers Class E-R Debt Rating to 'B (sf)' WIND RIVER 2023-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes WIND RIVER 2023-1: Moody's Assigns B3 Rating to $250,000 F-R Notes [] DBRS Reviews 98 Classes in 12 US RMBS Transactions [] Fitch Takes Actions on Access Group 2002 Indenture of Trust [] Fitch Takes Actions on Four WFCM 2016 Vintage CMBS Deals [] Moody's Takes Action on 58 Bonds From 9 US RMBS Deals [] Moody's Upgrades Ratings on 18 Bonds from 11 US RMBS Deals [] Moody's Upgrades Ratings on 8 Bonds From 3 US RMBS Deals [] S&P Takes Various Actions on 247 Classes From 167 US RMBS Deals ********* ABPCI PRIVATE I: S&P Assigns Prelim BB- (sf) Rating on Cl. D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to ABPCI Private Funding I LLC's floating-rate debt. The debt issuance is a middle market loan facility governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by AB Private Credit Investors LLC. The preliminary ratings are based on information as of June 23, 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 ABPCI Private Funding I LLC Class A-R notes(i), $65.00 million: AA (sf) Class A-D1 loans(ii), $216.00 million: AAA (sf) Class A-D2 loans(ii), $44.00 million: AA (sf) Class B notes, $45.00 million: A (sf) Class C notes (deferrable), $35.00 million: BBB- (sf) Class D notes (deferrable), $35.00 million: BB- (sf) Subordinated notes, $60.00 million: NR (i) Revolving loan tranche with maximum amount listed. The preliminary rating on the class A-R loans addresses only the full and timely payment of principal and the base interest amount, and it does not consider any capped amounts. (ii)Delayed draw loan tranche with maximum amount listed. Class A-R and A-D loan will be paid pro rata, with classes A-D1 and A-D2 paid sequentially within the class A-D distribution. NR--Not rated. AGL CLO 25: Fitch Assigns 'BB+(EXP)sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to AGL CLO 25 Ltd. reset transaction. Entity/Debt Rating ----------- ------ AGL CLO 25 Ltd. A1-R LT NR(EXP)sf Expected Rating A2-R LT AAA(EXP)sf Expected Rating B-R LT AA+(EXP)sf Expected Rating C-R LT A+(EXP)sf Expected Rating D1-R LT BBB(EXP)sf Expected Rating D2-R LT BBB-(EXP)sf Expected Rating E-R LT BB+(EXP)sf Expected Rating Transaction Summary AGL CLO 25 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that originally closed in June 2023 and is managed by AGL CLO Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $498.6 million (excluding defaults) 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 23.38, versus a maximum covenant, in accordance with the initial expected matrix point of 25.61. 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 99.8% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.21% versus a minimum covenant, in accordance with the initial expected matrix point of 72.11%. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: 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 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 A2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D1-R, and between less than 'B-sf' and 'BB+sf' for class D2-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 Upgrade scenarios are not applicable to the class A2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A2-R, 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 D1-R, and between less than 'B-sf' and 'BB+sf' for class D2-R and between less than 'B-sf' and 'BB-sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 25 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. ALLEGRO CLO XVII: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Allegro CLO XVII, Ltd. Entity/Debt Rating ----------- ------ Allegro CLO XVII, Ltd X LT NRsf New Rating A-1 LT NRsf New Rating A-L LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Allegro CLO XVII, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by AXA Investment Managers US Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans and has a weighted average recovery assumption of 74.17%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, and 'A-sf' for class D-2 and 'BBBsf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY 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 Allegro CLO XVII, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the Key Rating Drivers section of the relevant rating action commentary. ANCHORAGE CAPITAL 32: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage Capital CLO 32, Ltd. Entity/Debt Rating ----------- ------ Anchorage Capital CLO 32, Ltd. A LT NRsf New Rating A Loans LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Anchorage Capital CLO 32, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage Collateral Management, L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.74, 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 98.37% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 71.94% 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 11.5% 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 three-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 'AA-sf' for class B, between 'B+sf' and 'A-sf' for class C, and between less than 'B-sf' and 'BBB-sf' for class D and between less than 'B-sf' and 'BB-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, and 'A-sf' for class D and 'BBBsf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Anchorage Capital CLO 32, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ANCHORAGE CREDIT 4: Moody's Ups Rating on $52.5MM E-R Notes to Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Anchorage Credit Funding 4, Ltd.: US$90,000,000 Class B-R Senior Secured Fixed Rate Notes due 2039 (the "Class B-R Notes"), Upgraded to Aa1 (sf); previously on February 25, 2021 Definitive Rating Assigned Aa3 (sf) US$48,750,000 Class C-R Mezzanine Secured Deferrable Fixed Rate Notes due 2039 (the "Class C-R Notes"), Upgraded to Aa3 (sf); previously on February 25, 2021 Definitive Rating Assigned A3 (sf) US$33,750,000 Class D-R Mezzanine Secured Deferrable Fixed Rate Notes due 2039 (the "Class D-R Notes"), Upgraded to A3 (sf); previously on February 25, 2021 Definitive Rating Assigned Baa3 (sf) US$52,500,000 Class E-R Junior Secured Deferrable Fixed Rate Notes due 2039 (the "Class E-R Notes"), Upgraded to Ba1 (sf); previously on February 25, 2021 Definitive Rating Assigned Ba3 (sf) Anchorage Credit Funding 4, Ltd., originally issued in December 2016 and refinanced in February 2021, is a managed cashflow CBO. The notes are collateralized primarily by a portfolio of corporate bonds and loans. The transaction's reinvestment period will end in April 2026. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These rating actions reflect the benefit of the shortening of the portfolio's weighted average life (WAL) since February 2021, which reduces the time the rated notes are exposed to the credit risk of the underlying portfolio. Moody's also considered that the deal will be exiting its reinvestment period in April 2026, which increases the likelihood that the deal will continue to maintain certain collateral quality measures that currently outperform their related covenants. In particular, Moody's noted that the deal currently benefits from interest income on portfolio assets that significantly exceeds the fixed rate of interest payable on the rated notes, due to the deal's exposure to approximately 34% in floating-rate loans that Moody's calculated to have a weighted average spread (WAS) of 4.32%. Moody's also noted that based on Moody's calculations, the deal has a significantly lower weighted average rating factor of 2764, compared to its current covenant of 3450. No actions were taken on the Class A-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CBO'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 coupon, 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: $742,678,112 Defaulted par: $16,659,631 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3450 Weighted Average Spread (WAS): 4.32% Weighted Average Coupon (WAC): 5.68% Weighted Average Recovery Rate (WARR): 34.6% Weighted Average Life (WAL): 6.65 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. APIDOS CLO XLIII: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO XLIII Ltd reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Apidos CLO XLIII Ltd X LT NRsf New Rating NR(EXP)sf A-1 03769UAA6 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating AAA(EXP)sf A-2 03769UAC2 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating AAA(EXP)sf B 03769UAE8 LT PIFsf Paid In Full AA+sf B-R LT AA+sf New Rating AA+(EXP)sf C 03769UAG3 LT PIFsf Paid In Full A+sf C-R LT A+sf New Rating A+(EXP)sf D 03769UAJ7 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E 03770JAA8 LT PIFsf Paid In Full BBsf E-R LT BB+sf New Rating BB+(EXP)sf F-R LT NRsf New Rating NR(EXP)sf Transaction Summary Apidos CLO XLIII Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CVC Credit Partners, LLC that originally closed 1Q2023. The CLO's secured notes will be refinanced on June 18, 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 $500 million of primarily first lien senior secured leveraged loans. The original secured notes will be paid in full. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97% first-lien senior secured loans and has a weighted average recovery assumption of 73.34%. 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 (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'Asf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 Apidos CLO XLIII 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. APIDOS CLO XLIII: Moody's Assigns B3 Rating to $1MM Cl. F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to three classes of refinancing notes (the Refinancing Notes) issued by Apidos CLO XLIII Ltd (the Issuer): US$2,500,000 Class X Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$307,500,000 Class A-1-R Senior Secured Floating Rate Notes due 2037, Definitive Rating Assigned Aaa (sf) US$1,000,000 Class F-R Mezzanine Deferrable 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 96% of the portfolio must consist of first lien senior secured loans and up to 4% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans, senior secured bonds, high yield bonds or senior secured notes. CVC Credit Partners, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and the six other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3020 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. ARDN 2025-ARCP: Fitch Assigns 'Bsf' Final Rating on Class HRR Certs ------------------------------------------------------------------- Fitch Ratings has assigned the following final ratings and Ratings Outlooks to ARDN 2025-ARCP Mortgage Trust commercial mortgage pass-through certificates: - $369,000,000 class A 'AAAsf'; Outlook Stable; - $58,200,000 class B 'AA-sf'; Outlook Stable; - $45,600,000 class C 'A-sf'; Outlook Stable; - $64,400,000 class D; 'BBB-sf'; Outlook Stable; - $98,600,000 class E; 'BB-sf'; Outlook Stable; - $29,200,000 class F; 'B+sf'; Outlook Stable; - $35,000,000a class HRR; 'Bsf'; Outlook Stable. (a) Horizontal risk retention. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $700.0 million, two-year, floating-rate, interest-only mortgage loan with three one-year extension options. The mortgage will be secured by the borrower's fee simple interest in a portfolio of 24 flex industrial centers, comprising approximately 7.2 million sf located across eight states and nine markets. The borrower sponsors, Arden Real Estate Partners III, L.P. and Arcapita Group Holdings Limited, acquired the majority of the industrial properties in the portfolio in 2021; the portfolio was financed through a $446.0 million CMBS transaction (GSMS 2021-ARDN) and a revolving acquisition facility. In 2022, they acquired 27 additional assets, known as the Greater Boston Infill and Greater Dallas Infill properties, which were not included in the previous CMBS transaction. The mortgage loan is expected to repay existing debt of $654.2 million and pay closing costs of $16.7 million, fund upfront leasing costs and fund full reserves of $22.8 million, and return to equity $6.3 million. The loan is expected to be co-originated by German American Capital Corporation and Barclays Capital Real Estate Inc. KeyBank National Association, a national banking association, is expected to be the servicer, with 3650 REIT Loan Servicing LLC as the special servicer. Computershare Trust Company, N.A. is expected to act as the trustee and Deutsche Bank National Trust Company will serve as the certificate administrator. Park Bridge Lender Services LLC, a New York limited liability company, will act as operating advisor. The certificates will follow a pro rata paydown for the initial 30% of the loan amount and a standard senior-sequential paydown thereafter. To the extent no mortgage loan event of default (EOD) is continuing, voluntary prepayments will be applied pro rata between the mortgage loan components. KEY RATING DRIVERS Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the portfolio at $46.7 million. This is 12.7% lower than the issuer's NCF. Fitch applied a 7.5% cap rate to derive a Fitch value of approximately $622.8 million. High Fitch Leverage: The $700.0 million whole loan equates to debt of approximately $97 psf with a Fitch stressed loan-to-value ratio (LTV) and debt yield of 112.4% and 6.7%, respectively. The loan represents approximately 70.3% of the appraised value of $995.5 million. Fitch increased the LTV hurdles by 1.25% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio exhibits strong geographic diversity with 24 properties and 167 buildings (7.2 million sf) located across eight states and nine MSAs. The three largest state concentrations are Georgia (1,607,620 sf; seven properties including 40 buildings), Texas (1,106,710 sf; four properties including 30 buildings) and Indiana (1,104,698 sf; one property including 18 buildings). The three largest MSAs are Atlanta-GA (22.2% of NRA; 23.3% of allocated loan amount [ALA]), Dallas-Fort Worth, TX (14.5% of NRA; 13.6% of ALA) and Indianapolis, IN (15.2% of NRA; 13.0% of ALA). The portfolio also exhibits significant tenant diversity, as it features over 700 distinct tenants, with no tenant occupying more than 6.6% of NRA. Institutional Sponsorship: The sponsorship is a joint venture between Arden Logistics Park and Arcapita. Arden Logistics Park is owned by Arden Group. Arden Logistics Park owns approximately 11.0 million sf of industrial commercial real estate, covering 258 buildings and 1,077 tenants. Arcapita, founded in 1997, is a global alternative investment manager headquartered in Bahrain, with additional offices in the U.S., the U.K., Saudi Arabia and Singapore. 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'/'B+sf'/'Bsf'; - 10% NCF Decline: 'AAsf'/'BBB+sf'/'BBB-sf'/'BBsf'/'Bsf'/'B-sf'/'CCC+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet 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'/'BBB-sf'/'BB-sf'/'B+sf'/'Bsf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'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. ARES LXVIII: Fitch Assigns 'BB+(EXP)' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to the Ares LXVIII CLO Ltd. reset transaction. Entity/Debt Rating ----------- ------ Ares LXVIII CLO Ltd. A-1-R LT AAA(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT NR(EXP)sf Expected Rating C-R LT A+(EXP)sf Expected Rating D-1-R LT BBB(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB+(EXP)sf Expected Rating Transaction Summary Ares LXVIII CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Ares U.S. CLO Management III LLC-Series A. The transaction originally closed in May 2023. On July 25, 2025 (the first refinancing date), all existing secured notes except for the class F notes will be refinanced. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 96.93% first lien senior secured loans and has a weighted average recovery assumption of 73.07%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a four-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-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AA+sf' for class C-R, 'A+sf' for class D-1-R, '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 Ares LXVIII CLO Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ARES LXVIII: S&P Assigns Prelim B- (sf) Rating on Class F Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R and B-R debt from Ares LXVIII CLO Ltd./Ares LXVIII CLO LLC, a CLO managed by Ares U.S. CLO Management III LLC-Series A that was originally issued in May 2023. The class F debt is not being refinanced. The preliminary ratings are based on information as of June 23, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 25, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement and proposed new 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, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the original debt. -- The class F notes are not expected to be refinanced. -- The stated maturity for the replacement debt and class F notes will be extended to July 25, 2037. -- The reinvestment period will be extended to July 25, 2029. -- The non-call period will be extended to July 25, 2027. -- No 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 the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Ares LXVIII CLO Ltd./Ares LXVIII CLO LLC Class A-1-R, $307.50 million: AAA (sf) Class A-2-R, $20.00 million: Not rated Class B-R, $52.50 million: AA (sf) Class C-R, $30.00 million: Not rated Class D-1-R, $30.00 million: Not rated Class D-2-R, $5.00 million: Not rated Class E-R, $15.00 million: Not rated Other Debt Ares LXVIII CLO Ltd./Ares LXVIII CLO LLC Class F, $0.50 million: B- (sf) Subordinated notes, $35.90 million: Not rated ARIVO ACCEPTANCE 2022-1: DBRS Confirms BB Rating on D Notes ----------------------------------------------------------- DBRS, Inc. confirmed eight credit ratings, upgraded six credit ratings, discontinued one credit rating due to repayment, and withdrew one credit rating at the request of the issuer in four Arivo Acceptance Auto Loan Receivables Trust transactions as detailed below. Arivo Acceptance Auto Loan Receivables Trust 2022-1 -- Class A AAA (sf) Confirmed -- Class B AAA (sf) Upgraded -- Class C A (high)(sf) Upgraded -- Class D BB (sf) Confirmed Arivo Acceptance Auto Loan Receivables Trust 2024-1 -- Class A Notes AAA (sf) Upgraded -- Class B Notes A (high)(sf) Upgraded -- Class C Notes BBB (sf) Confirmed -- Class D Notes BB (sf) Confirmed The credit rating actions are based on the following analytical considerations: -- Arivo Acceptance Auto Loan Receivables Trust 2022-2 has amortized to a pool factor of 42.70% and has a current cumulative net loss (CNL) of 17.77%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 9.10%. While current credit enhancement (CE) has increased for the Class A Notes, Class B Notes, and Class C Notes, CE has declined for the Class D Notes. -- On November 19, 2024, Morningstar DBRS placed the credit rating on the Class D Notes from Arivo Acceptance Auto Loan Receivables Trust 2022-2 Under Review with Negative Implications. -- Because of weaker-than-expected performance, Morningstar DBRS has revised the base-case loss expectation for Arivo Acceptance Auto Loan Receivables Trust 2022-2 to 22.25%. -- As of the May 2025 payment date, Arivo Acceptance Auto Loan Receivables Trust 2022-2 has a current overcollateralization (OC) amount of 0.00% relative to the target of 12.00% of the outstanding receivables balance. Additionally, the transaction has a current cash collateral account (CCA) of 1.36% of the current aggregate pool balance. -- For Arivo Acceptance Auto Loan Receivables Trust 2022-2, the Indenture was amended on February 14, 2024 to modify the definition of "Required Cash Collateral Account Balance" to mean an amount equal to 2.37% multiplied by the sum of (i) the aggregate Receivable Balance of the Initial Receivables as of the Initial Cut-Off Date and (ii) the aggregate Receivable Balance of all Subsequent Receivables as of the related Subsequent Cut-Off Date. -- For Arivo Acceptance Auto Loan Receivables Trust 2022-2, the Indenture was amended on June 13, 2025 to modify the definition of "Class D Interest Rate" to mean 0.00%. Additionally, On June 12, 2025, a capital contribution of $4,600,000 was made by Arivo Acceptance, LLC to Arivo Acceptance Auto Loan Receivables Trust 2022-2 to the Collection Account. -- Arivo Acceptance, LLC is the holder of one-hundred percent (100%) of the Class D Notes. -- As of the May 15, 2025 distribution date, the CCA balance for Arivo Acceptance Auto Loan Receivables Trust 2022-2 is equal to $1,551,531.38, compared to the required balance of $6,351,584.63. -- Morningstar DBRS has concluded its review and determined that the current level of hard CE (inclusive of the capital contribution of $4,600,000) and the estimated excess spread, are sufficient to support the current credit rating on the Class D Notes in Arivo Acceptance Auto Loan Receivables Trust 2022-2. Consequently, the aforementioned credit rating was confirmed, and the Under Review with Negative Implications status has been removed. Additionally, the credit rating on the Class D Notes has been withdrawn at the request of the issuer. -- For Arivo Acceptance Auto Loan Receivables Trust 2021-1, losses are tracking below the Morningstar DBRS initial base-case CNL expectation. The current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumption at multiples of coverage commensurate with the credit ratings. -- For Arivo Acceptance Auto Loan Receivables Trust 2022-1, although losses are tracking above the Morningstar DBRS initial base-case CNL expectation, the current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumption at multiples of coverage commensurate with the credit ratings. -- For Arivo Acceptance Auto Loan Receivables Trust 2024-1, losses are tracking in line with Morningstar DBRS' initial base case CNL expectation. The current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS' projected remaining CNL assumption at multiples of coverage commensurate with the credit ratings. -- The credit rating actions are the result of collateral performance as of the May 2025 payment date, and Morningstar DBRS' assessment of future performance assumptions. -- The transaction parties' capabilities regarding originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. ATRIUM HOTEL 2017-ATRM: Moody's Cuts Rating on Cl. D Certs to Ba3 ----------------------------------------------------------------- Moody's Ratings has affirmed the rating on one class and downgraded the ratings on five classes of Atrium Hotel Portfolio Trust 2017-ATRM, Commercial Mortgage Pass-Through Certificates, Series 2017-ATRM. The rating action is as follows: Cl. A, Affirmed Aaa (sf); previously on Sep 18, 2020 Affirmed Aaa (sf) Cl. B, Downgraded to A2 (sf); previously on Sep 18, 2020 Affirmed Aa3 (sf) Cl. C, Downgraded to Baa2 (sf); previously on Sep 18, 2020 Affirmed A3 (sf) Cl. D, Downgraded to Ba3 (sf); previously on Sep 18, 2020 Downgraded to Ba1 (sf) Cl. E, Downgraded to Caa1 (sf); previously on Sep 18, 2020 Downgraded to B2 (sf) Cl. F, Downgraded to Caa3 (sf); previously on Sep 18, 2020 Downgraded to Caa2 (sf) RATINGS RATIONALE The rating of the senior most P&I class, Cl. A, was affirmed because the Moody's loan-to-value (LTV) ratio was within acceptable ranges. Furthermore, the loan is secured by a portfolio of 26 hotel properties across 15 states and Cl. A benefits from priority of payments and would be the first to benefit from principal paydowns from the portfolio. The ratings on five P&I classes were downgraded due to an increase in Moody's LTV as a result of the portfolio's cash flow remaining below levels in 2019 and at securitization as well as slowing year-over-year growth in recent years. This transaction's performance was significantly impacted by the coronavirus outbreak in 2020 and continued to show consecutive years of improvements through 2023; however, the pace of recovery stalled in 2024 primarily due to increases in operating expenses. The loan's fully extended maturity date is in December 2026 and may have difficulty to refinance based on the portfolio's current performance. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and the portfolio nature of the collateral, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values that could impact loan proceeds at each rating level. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking views of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. DEAL PERFORMANCE As of the June 2025 distribution date, the transaction's aggregate certificate balance has been reduced to approximately $573 million from $600 million at securitization due to release of three properties. Originally, the certificates were collateralized by a 7-year, floating rate loan backed by a first lien commercial mortgage related to a portfolio of 29 full- and limited-service hotels that has been now reduced to 26 properties totaling 6,230 guestrooms. The loan's fully extended maturity date is in December 2026 subject to certain debt yield tests with the next maturity date in December 2025. The properties are located across 15 states and operate under eight different flags (Embassy Suites, Holiday Inn, Renaissance, Marriott, Hilton, Sheraton, Hampton Inn, and Homewood Suites) across three nationally recognized hotel franchises (Hilton Worldwide Holdings, Inc., Marriott International, Inc., and IHG Hotels & Resorts) and one independently managed property. The properties were constructed between 1979 and 2000. The portfolio's year-over-year net cash flow (NCF) change was essentially flat in 2024 and for the full year 2023 and 2024 were $45.1 million and $45.6 million, respectively. The 2024 revenue was almost $11 million higher that of 2023, but the top line increase was offset by $10 million of higher expenses. The portfolio already experienced NCF declines from securitization levels in 2018 and 2019 and suffered negative NCF in 2020 due to impacts by the coronavirus pandemic. Subsequently, the portfolio's performance continued to improve from the 2020 low through 2023; however, the NCF growth stalled in 2024. Increases in expenses such as A&G, Sales and Marketing and Repairs and Maintenance were some of the drivers for the low bottom line margins. The US lodging sector has benefitted from strong rebound post COVID. The overall US RevPAR for 2024 was up 1.8% from the prior year according to STR's December 2024 Monthly Hotel Review. Given that expenses have increased at a higher pace than the top line revenue growth in recent years, Moody's do not expect significant increase in the NCF by the loan's fully extended maturity date in December 2026. Moody's NCF was decreased to $46 million from $59 million at the last review and Moody's have used a capitalization rate of 11.32% versus 11.34% at the last review. The first mortgage balance of $573 million represents a Moody's LTV of 141%. Moody's first mortgage stressed debt service coverage ratio (DSCR) is 0.87X. There are no outstanding interest shortfalls and no losses as of the current distribution date. AXMF RE-REMIC 2025-SBRR1: DBRS Gives (P)B(low) Rating on 3 Tranches ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Multifamily Mortgage Certificate-Backed Certificates, Series 2025-SBRR1 (the Certificates) to be issued by AXMF Re-REMIC Trust 2025-SBRR1 (the Trust): -- Class A at (P) A (low) (sf) -- Class B at (P) BBB (low) (sf) -- Class C at (P) BB (low) (sf) -- Class D at (P) B (low) (sf) -- Class CA at (P) BB (low) (sf) -- Class CB at (P) BB (low) (sf) -- Class DA at (P) B (low) (sf) -- Class DB at (P) B (low) (sf) All trends are Stable. This transaction is a re-securitization collateralized by a portion of the beneficial interests in the Class B multifamily mortgage-backed pass-through certificates from 18 underlying small balance multifamily mortgage loan securitizations issued by the Federal Home Loan Mortgage Corporation (Freddie Mac). The principal balances of the underlying Class B certificates total approximately $560.2 million, of which approximately $459.3 million is being contributed to the Trust. Morningstar DBRS' credit ratings on this transaction depend on the performance of the underlying securitizations. The Class B underlying certificates are the most subordinate principal-and-interest classes in the underlying securitizations. The collateral of the underlying securitizations currently comprises 1,986 loans secured by 1,986 multifamily properties, including 1,847 garden-style multifamily properties, 73 mid-rise/high-rise apartment complexes, 55 unclassified multifamily properties, seven independent senior living properties, and four townhome properties. An additional 292 loans were securitized as part of the underlying securitizations but paid off prior to June 2025. Of the total current pool, 892 loans, comprising 43.9% of the current total principal balance, have 20-year loan terms; 618 loans, comprising 29.0% of the current total principal balance, have 10-year loan terms; 265 loans, comprising 15.4% of the current total principal balance, have approximately five-year loan terms; and 211 loans, comprising 11.6% of the current total principal balance, have seven-year loan terms. Approximately 56.1% of the pool by total current principal balance are fixed-rate loans and approximately 43.9% are hybrid ARM loans. For the hybrid ARM loans, Morningstar DBRS used the greater of the interest rate floor and the stressed rate (the lesser of the various rates by index timing and the contractual capped rate) based on the remaining term when determining the interest rate to calculate a stressed term debt service. Morningstar DBRS analyzed each underlying securitization to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and the liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS net cash flow and their respective constants, the resulting initial Morningstar DBRS weighted-average (WA) debt service coverage ratio (DSCR) of the total current pool was 1.00 times (x). There are 1,714 loans, representing 87.0% of the total initial principal balance of the current pool, that exhibit an initial Morningstar DBRS WA DSCR lower than 1.25x, a threshold indicative of a higher likelihood of midterm default. The WA Morningstar DBRS Issuance Loan-to-Value Ratio (LTV) of the current pool was 66.4% and the total pool is scheduled to amortize to a WA Morningstar DBRS Balloon LTV of 53.6%, based on the A note balances at maturity. There are 966 loans, comprising approximately 49.2% of the total initial principal balance of the current pool, that exhibit a Morningstar DBRS Issuance LTV higher than 67.6%, a threshold generally indicative of above-average default frequency. Additionally, 52 loans, representing approximately 2.3% of the current total principal balance, were delinquent, matured performing, matured non-performing, in foreclosure, or real estate owned as of the May 2025 underlying monthly reports. Morningstar DBRS applied an additional stress to the default rate of these loans to mitigate the risk of near-term default. The transaction has a pro rata pass-through structure until the occurrence of a waterfall trigger event, which will occur if (1) the aggregate outstanding principal balance of the underlying transactions is less than or equal to 40% of the aggregate outstanding principal balance at closing; (2) the aggregate principal balances of the underlying mortgage loans that are at least 60 days delinquent exceeds 4% of the total aggregate principal balance of the underlying transactions; (3) the cumulative portfolio net loss rate exceeds 1.5%; or (4) eight or more of the underlying transactions are subject to an underlying waterfall trigger event. In addition, the depositor has the option to repurchase any of the underlying Class B certificates that are subject to an underlying waterfall trigger event at a repurchase price equal to the outstanding principal balance of the underlying certificates. The amount of this repurchase price will be applied pro rata to the Certificates regardless of whether a waterfall trigger event is in effect. Morningstar DBRS applied a penalty to the losses for the transaction to account for the pro rata structure. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2017-BNK7: DBRS Confirms B Rating on Class E Certs ------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-BNK7 issued by BANK 2017-BNK7 as follows: -- Class A-3 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AA (high) (sf) -- Class B at A (sf) -- Class X-B at A (low) (sf) -- Class C at BBB (high) -- Class X-D at BB (high) (sf) -- Class D at BB (sf) -- Class X-E at B (high) (sf) -- Class E at B (sf) -- Class X-F at CCC (sf) -- Class F at CCC (sf) The trends on Classes B, C, D, E, X-B, X-D, and X-E remain Negative. The remaining classes have Stable trends, with the exception of Classes F and X-F, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. The credit rating confirmations and Stable trends reflect the overall performance stability of the pool of loans highlighted by four investment-grade, shadow-rated loans among the largest 10 loans by outstanding trust balance, which represent 24.1% of the current trust balance. Additionally, the pool has no realized losses to date and a sizeable $36.4 million unrated first loss piece that insulates the most junior bonds from loss. The largest loan in the pool, General Motors Building - Trust (Prospectus ID#1, 10.4% of the current pool balance) is shadow-rated AAA (sf) and continues to demonstrate strong performance and desirability as the office market shifts to higher-quality assets. In addition, the pool weighted-average (WA) debt service coverage ratio (DSCR) as of the June 2025 reporting was healthy at 2.71 times (x). The Negative trends reflect loan-specific concerns regarding the 222 Second Street (Prospectus ID#2, 10.3% of the pool) and Corporate Woods (Prospectus ID#4, 5.7% of the pool) loans, which are secured by office properties and located in San Francisco and Kansas City, respectively. Morningstar DBRS analyzed both loans with stressed loan-to-value (LTV) ratios and elevated probability of default (PoD) adjustments to reflect deteriorated performance and increased refinance risk. The Negative trends are further supported by Morningstar DBRS' increased loss projections for the specially serviced loan, First Stamford Place (Prospectus ID#15, 2.3% of the pool). The loan is secured by a three-building office complex in Stamford, Connecticut, which received an updated property appraisal in early 2025 more than 50.0% below the issuance appraised value. The resulting $11.0 million projected loss on the loan is an increase from the $9.9 million loss projected at the previous Morningstar DBRS credit rating action in July 2024. The projected loss erodes the unrated Class G certificate balance by approximately 30.0%. During the Morningstar DBRS multi-borrower methodology bulk rating action published on May 1, 2025, Classes B, C, D, E, F, X-B, X-D, X-E, and X-F were downgraded while the trends on Classes B, C, and X-B were changed from Stable to Negative to reflect concerns with loans secured by office and regional malls in the top 15, which exhibit elevated refinance risk. The updated CMBS Insight Model output generally increased the expected losses (EL) for loans of concern, resulting in an increase in negative pressure to the credit ratings towards the middle and bottom of the capital stack. As of the June 2025 remittance, 61 of the original 65 loans remained in the trust, with an aggregate balance of $1.07 billion, representing a collateral reduction of 11.7% since issuance. To date, three loans, representing 2.1% of the current pool balance, have defeased. There are 10 loans, representing 28.7% of the pool balance, on the servicer's watchlist that are being monitored for performance concerns, deferred maintenance items, and the occurrence of trigger events. The pool is concentrated by property type, with office, multifamily, and retail collateral representing 24.1%, 22.5%, and 22.3% of the pool, respectively. The sole loan in special servicing, First Stamford Plaza, is secured by a Class A office complex in Stamford, Connecticut. The trust debt of $25.0 million is a pari passu portion of a $164.0 million whole loan securitized across three other CMBS transactions, including JPMCC 2017-JP7 and JPMDB 2017-C7, which are also rated by Morningstar DBRS. The loan had previously been monitored on the servicer's watchlist for performance declines and was transferred to special servicing in December 2023 for payment default. A receiver was appointed in May 2024 and the trust took title of the property in February 2025. Occupancy has declined since issuance with the February 2025 occupancy rate reported at 77.0%. Consequently, property performance has deteriorated with the loan reporting a debt service coverage ratio (DSCR) at 1.19x as of the year-end (YE) 2023 reporting, compared with the YE2022 DSCR of 1.57x, and the Morningstar DBRS DSCR of 2.38x derived at issuance. According to the February 2025 rent roll, near-term lease rollover includes leases representing approximately 7.5% of the net rentable area (NRA) scheduled to expire within the next 12 months. According to Reis, the submarket remains soft as office properties in the Stamford submarket reported a Q1 2025 vacancy rate of 28.5% with an average rental rate of $34.40 per square foot (sf). The property was most recently appraised in January 2025 at a value of $133.5 million, a slight decline from the February 2024 appraised value of $135.9 million and an 53.2% decline from the issuance appraised value of $285.0 million. Morningstar DBRS liquidated the loan in its analysis based on a 25.0% haircut to that appraised value, resulting in a trust loan loss of $11.0 million and a loss severity of 44.0%. The largest loan on the servicer's watchlist, 222 Second Street, is secured by a 452,418 sf office property in the South Financial District submarket of San Francisco. The trust debt of $110.0 million is a pari passu portion of a $291.5 million whole loan. The 26-story office tower was developed in 2015 and is currently 100.0% leased to LinkedIn. At closing, LinkedIn invested more than $60.0 million to build out its space in addition to a $43.1 million tenant improvement (TI) contribution from the sponsor. LinkedIn's 26 leases at the property are guaranteed by its parent company, Microsoft, and are scheduled to expire between December 2025 and December 2027. The loan was added to the servicer's watchlist in January 2025 as LinkedIn did not give the required 17 months' notice to renew the first phase of leases expiring in December 2025. LinkedIn has also marketed approximately 115,000 sf of space (about 25.0% of NRA) up for sublease in the past two years, including 63,000 sf (floors 17-20), subleased to Silicon Valley Bank, 13,000 sf (the entire 25th floor) subleased to Early Warning Services, LLC and the entire 24th floor (an additional 13,000 sf) recently leased to Demandbase, Inc. According to recent servicer commentary, $6.6 million of cash has been trapped as part of ongoing cash management. According to Reis, Class A office properties within the South Financial District submarket reported a Q1 2025 vacancy rate of 23.5%. Although the loan benefits from strong sponsorship from Tishman Speyer and is structured with an anticipated repayment date in September 2027 prior to the September 2029 maturity, the high submarket vacancy and probability that LinkedIn will ultimately give up select space as leases continue to roll increases the overall risk for the loan. As such, Morningstar DBRS applied a stressed LTV and an elevated PoD in the analysis for this review, resulting in a loan expected loss (EL) that was approximately twice the pool average. The second largest loan on the servicer's watchlist, Corporate Woods, is secured by 16 office buildings and retail space collectively accounting for more than 2.0 million sf across the Overland Park suburb of Kansas City. The loan was added to the servicer's watchlist for a cash management trigger activating after the YE2024 DSCR, was reported at 1.03x. The decline in financial performance is attributed to a drop in the occupancy rate from 83.3% at YE2023 to 72.4% as of the YE2024 rent roll. While the collateral office portfolio is well located within a desirable suburb on the Kansas side of the Kansas City metro, the submarket has been affected by declining demand for office space in the post-pandemic environment. Morningstar DBRS believes these factors, along with the in-place performance declines, have contributed to a significant value decline from the issuance appraisal. As such, Morningstar DBRS analyzed the loan with a stressed LTV and an elevated PoD in its analysis. The resulting loan EL exceeds the pool average by more than three times. At issuance, four loans, representing 24.8% of the pool balance, were shadow-rated investment grade. With this review, Morningstar DBRS confirms that the performance of four of those loans--General Motors Building, Westin Building Exchange (Prospectus ID#5; 6.3% of the pool), The Churchill (Prospectus ID#8; 4.6% of the pool), and Moffett Place B4 (Prospectus ID#13; 2.8% of the pool)--remains consistent with investment-grade loan characteristics, given the strong credit metrics, experienced sponsorship, and the underlying collateral's historically stable performance. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2025-BNK50: DBRS Finalizes B Rating on Class JRR Certs ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-BNK50 issued by BANK 2025-BNK50: -- Class A-SB at AAA (sf) -- Class A-1 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-4-1 at AAA (sf) -- Class A-4-2 at AAA (sf) -- Class A-4-X1 at AAA (sf) -- Class A-4-X2 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-5-1 at AAA (sf) -- Class A-5-2 at AAA (sf) -- Class A-5-X1 at AAA (sf) -- Class A-5-X2 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-S-1 at AAA (sf) -- Class A-S-2 at AAA (sf) -- Class A-S-X1 at AAA (sf) -- Class A-S-X2 at AAA (sf) -- Class B at AA (high) (sf) -- Class B-1 at AA (high) (sf) -- Class B-2 at AA (high) (sf) -- Class B-X1 at AA (high) (sf) -- Class B-X2 at AA (high) (sf) -- Class C at AA (low) (sf) -- Class C-1 at AA (low) (sf) -- Class C-2 at AA (low) (sf) -- Class C-X1 at AA (low) (sf) -- Class C-X2 at AA (low) (sf) -- Class D at A (high) (sf) -- Class D-1 at A (high) (sf) -- Class D-2 at A (high) (sf) -- Class D-X1 at A (high) (sf) -- Class D-X2 at A (high) (sf) -- Class E at A (low) (sf) -- Class E-1 at A (low) (sf) -- Class E-2 at A (low) (sf) -- Class E-X1 at A (low) (sf) -- Class E-X2 at A (low) (sf) -- Class F-RR at BBB (sf) -- Class G-RR at BBB (low) (sf) -- Class H-RR at BB (low (sf) -- Class J-RR at B (sf) -- Class X-A at AAA (sf) All trends are Stable. The collateral for the BANK 2025-BNK50 transaction consists of 34 fixed-rate loans secured by 71 commercial and multifamily properties with an aggregate cut-off date balance of $490.94 million. Seven loans, representing 57.8% of the pool, are shadow-rated investment grade by Morningstar DBRS. There are 21 loans secured by cooperative properties in this transaction, representing 22.8% of the pool, including 17 NCB (National Cooperative Bank) loans, representing 12.4% of the pool. Although these loans were not shadow-rated for modeling purposes, they exhibit characteristics of a AAA shadow credit rating. In aggregate, 70.2% of the loans in the pool display attributes of shadow-rated loans; a significantly higher percentage than previous Morningstar DBRS-rated conduits. Morningstar DBRS analyzed the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS Net Cash Flow (NCF) and their respective constants, the initial Morningstar DBRS WA Debt Service Coverage Ratio (DSCR) of the pool was 2.88 times (x). The WA Morningstar DBRS Issuance Loan-to-Value Ratio (LTV) of the pool was 42.8% and the loan is scheduled to amortize to a weighted-average (WA) Morningstar DBRS Balloon LTV of 40.8% at maturity based on the A note balances. Excluding the shadow-rated and cooperative loans, the deal still exhibits a reasonable WA Morningstar DBRS Issuance LTV of 60.6% and a WA Morningstar DBRS Balloon LTV of 60.1%. Only two loans, representing 11.8% of the pool, exhibit a Morningstar DBRS Issuance LTV of higher than 67.6%, a threshold generally indicative of above-average default frequency, Additionally, three loans, representing 4.8% of the pool, exhibit a Morningstar DBRS DSCR of lower than 1.25x, a threshold indicative of a higher likelihood of midterm default. The transaction has a sequential-pay pass-through structure. Seven loans, representing 57.8% of the pool, exhibit credit characteristics consistent with investment-grade shadow credit ratings. These loans' credit characteristics were as follows: 10 West 66th Street Co-Op was consistent with a AAA shadow credit rating; Adini Portfolio was consistent with a AA (high) shadow credit rating; Visa Global HQ was consistent with a AA (low) shadow credit rating; Washington Square was consistent with an A (low) shadow credit rating; Discovery Business Center and Foothills Park Place Shopping Center Galt House were consistent with a BBB (high) shadow credit rating; and Marriott World Headquarters was consistent with a BBB shadow credit rating. This transaction features 17 NCB loans, representing 12.4% of the pool, which consist of co-operative multifamily properties. These loans have an exceptionally low WA Morningstar DBRS Issuance LTV of 14.3% and a significantly high Morningstar DBRS DSCR of 6.49x. Because of these strong credit characteristics, Morningstar DBRS considers these loans consistent with a AAA shadow credit rating. Additionally, there are four other loans, representing 10.4% of the pool, secured by cooperative properties that have an exceptionally low WA DBRS Issuance LTV of 12.1% and a significantly high Morningstar DBRS WA DSCR of 7.30x. Twelve loans, representing 40.3% of the pool, are in areas with a Morningstar DBRS Market Rank of 7, which indicate dense urban areas that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Additionally, 12 loans, representing 27.7% of the pool, are in areas with Morningstar DBRS Market Ranks of 5 or 6, which benefit from lower default frequencies than less-dense suburban, tertiary, and rural markets. New York is the predominant urban market represented in the transaction. Lastly, 28 loans, representing 72.5% of the pool, are in the Morningstar DBRS MSA Group 3, which represents the best-performing group among the top 25 metropolitan statistical areas (MSAs) in terms of historical commercial mortgage-backed securities (CMBS) default rates. Thirty-one loans, representing 86.8% of the pool, have Morningstar DBRS Issuance LTVs lower than 60.9%, a threshold historically indicative of relatively low-leverage financing and generally associated with below-average default frequency. When excluding the shadow-rated and cooperative loans, which represent 73.5% of the pool, the transaction exhibits a WA Morningstar DBRS Issuance LTV of 60.6%. There is only one loan in the pool, Coastal Equities Portfolio, with a Morningstar DBRS LTV equal to or higher than 70.0%. The initial Morningstar DBRS WA DSCR of 2.88x, or 1.46x when excluding shadow-rated and loans secured by cooperative properties, is healthy in today's challenging interest rate environment where debt service payments have nearly doubled since mid-2022, severely constraining DSCRs. Four loans, representing 33.8% of the pool, received a property quality assessment of Average + or Above Average while only two loans, representing 3.0% of the pool, received a property quality assessment of Average - or Below Average. Higher-quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in a more stable performance. The pool contains 34 loans and is concentrated with a lower Herfindahl score of 13.6, with the top 10 loans representing 80.2% the pool. These metrics are lower than the Morningstar DBRS-rated BBCMS Mortgage Trust 2025-5C34 transaction, which had a Herfindahl score of 22.5, and the BANK5 2024- 5YR10 transaction, which had a Herfindahl score of 30.7. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2025-BNK50: Fitch Assigns B-sf Final Rating on Cl. H-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BANK 2025-BNK50 commercial mortgage pass-through certificates series 2025-BNK50 as follows: - $11,400,000 class A-1 'AAAsf'; Outlook Stable; - $12,200,000 class A-SB 'AAAsf'; Outlook Stable; - $100,000,000a class A-4 'AAAsf'; Outlook Stable; - $0a class A-4-1 'AAAsf'; Outlook Stable; - $0a class A-4-2 'AAAsf'; Outlook Stable; - $0ab class A-4-X1 'AAAsf'; Outlook Stable; - $0ab class A-4-X2 'AAAsf'; Outlook Stable; - $213,358,000a class A-5 'AAAsf'; Outlook Stable; - $0a class A-5-1 'AAAsf'; Outlook Stable; - $0a class A-5-2 'AAAsf'; Outlook Stable; - $0ab class A-5-X1 'AAAsf'; Outlook Stable; - $0ab class A-5-X2 'AAAsf'; Outlook Stable; - $336,958,000b class X-A 'AAAsf'; Outlook Stable; - $62,578,000a class A-S 'AAAsf'; Outlook Stable; - $0a class A-S-1 'AAAsf'; Outlook Stable; - $0a class A-S-2 'AAAsf'; Outlook Stable; - $0ab class A-S-X1 'AAAsf'; Outlook Stable; - $0ab class A-S-X2 'AAAsf'; Outlook Stable; - $18,653,000ac class B 'AA-sf'; Outlook Stable; - $0ac class B-1 'AA-sf'; Outlook Stable; - $0ac class B-2 'AA-sf'; Outlook Stable; - $0abc class B-X1 'AA-sf'; Outlook Stable; - $0abc class B-X2 'AA-sf'; Outlook Stable; - $18,051,000ac class C 'A-sf'; Outlook Stable; - $0ac class C-1 'A-sf'; Outlook Stable; - $0ac class C-2 'A-sf'; Outlook Stable; - $0abc class C-X1 'A-sf'; Outlook Stable; - $0abc class C-X2 'A-sf'; Outlook Stable; - $6,018,000ac class D 'BBB+sf'; Outlook Stable; - $0ac class D-1 'BBB+sf'; Outlook Stable; - $0ac class D-2 'BBB+sf'; Outlook Stable; - $0abc class D-X1 'BBB+sf'; Outlook Stable; - $0abc class D-X2 'BBB+'; Outlook Stable; - $6,618,000ac class E 'BBBsf'; Outlook Stable; - $0ac class E-1 'BBBsf'; Outlook Stable; - $0ac class E-2 'BBBsf'; Outlook Stable; - $0abc class E-X1 'BBBsf'; Outlook Stable; - $0abc class E-X2 'BBB'; Outlook Stable; - $4,814,000cd class F-RR 'BBB-sf'; Outlook Stable; - $8,424,000cd class G-RR 'BB-sf'; Outlook Stable; - $5,415,000cd class H-RR 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: - $9,026,000cd class J-RR; - $4,814,331cd class K-RR; - $5,373,268e class RR certificates; - $4,200,115e class RR interest. (a) Exchangeable Certificates. The class A-4, class A-5, class A-S, class B, class C, class D and class E certificates are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal Risk Retention Interest classes. The aggregate fair value of the class F-RR, class G-RR, class H-RR, class J-RR and class K-RR certificates will equal approximately 3.05% of the fair value of all of the classes of certificates, other than the class R certificates. (e) Vertical Risk Retention. The ratings are based on the information provided by the issuer as of June 18, 2025. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 34 loans secured by 71 commercial properties having an aggregate principal balance of $490,942,714 as of the cut-off date. The loans were contributed to the trust by JPMorgan Chase Bank, N.A., Bank of America, N.A., Wells Fargo Bank, N.A, Morgan Stanley Mortgage Capital Holdings LLC and National Cooperative Bank, N.A. The master servicers will be Trimont LLC and National Cooperative Bank, N.A., and the special servicers will be K-Star Asset Management LLC and National Cooperative Bank, N.A. The trustee and the certificate administrator will be Computershare Trust Company, N.A. The certificates will follow a sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 67.4% of the loans by balance, cash flow analysis of 88.4% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 17 loans totaling 88.4% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $87.0 million represents a 9.4% decline from the issuer's aggregate underwritten NCF of $96.0 million. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Lower Fitch Leverage: The pool has the lowest leverage compared to all CMBS 2.0 multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 67.0% is significantly lower than both the 10-year 2025 YTD and 2024 averages of 93.0% and 84.5%, respectively. The pool's Fitch NCF debt yield (DY) of 17.7% is better than both the 10-year 2025 YTD and 2024 averages of 11.4% and 12.3%, respectively. Investment-Grade Credit Opinion Loans: Six loans representing 53.7% of the pool by balance received an investment-grade credit opinion. The pool's total credit opinion percentage is significantly higher than both the 10-year 2025 YTD and 2024 averages of 15.0% and 21.4%, respectively. Washington Square (9.98%), Discovery Business Center (9.98%) and Marriott World Headquarters (9.95%) received investment-grade credit opinions of 'BBB-sf*' on a standalone basis. Adini Portfolio (9.97%) received an investment-grade credit opinion of 'AA-sf*' on a standalone basis. 10 West 66th Street (7.1%) received an investment-grade credit opinion of 'AAAsf*' on a standalone basis. VISA Global HQ (6.7%) received an investment-grade credit opinion of 'Asf*' on a standalone basis. The pool also contains non-credit opinion co-op loans totaling 15.7% of the pool. Excluding the credit opinion and co-op loans, the pool's Fitch LTV and DY are 92.5% and 9.9%, respectively, compared with the equivalent conduit 10-year 2025 YTD LTV and DY averages of 99.3% and 9.9%, respectively. Higher Pool Concentration: The pool is the most concentrated Fitch-rated multiborrower transaction since 2023. The top 10 loans make up 80.2% of the pool, which is worse than both the 10-year 2025 YTD and 2024 averages of 57.7% and 63.0%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 14.6. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAAsf' / 'AAsf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' / 'BB+sf' / 'BBsf' / 'B+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A+sf' / 'A-sf' / 'BBBsf' / 'BB+sf / 'BB-sf'. CRITERIA VARIATION In its analysis of this transaction, Fitch took into consideration a combination of factors, including comparable transactions based on Fitch leverage and investment-grade credit opinion loan percentage as well as the pool's loan concentration. The top 10 loans make up 80.2% of the pool with an effective loan count of 14.6. Fitch's criteria are designed to be used in conjunction with experienced analytical judgment exercised through a committee process. A rating committee may adjust the application of these criteria to reflect the risks of a specific transaction or entity. Such adjustments are known as variations. The analysis of this transaction includes a criteria variation due to model-implied rating (MIR) variations in excess of the limit stated in Fitch's "U.S. and Canadian Multiborrower CMBS Rating Criteria" for new ratings. According to the criteria, the committee can decide to deviate from the MIRs; however, if the MIR variation is greater than one notch, this will be a criteria variation. The MIR variation for classes G-RR and H-RR are greater than one notch. Absent the variation, the class G-RR and class H-RR certificates would have expected ratings of 'BB+sf' and 'BB-sf', respectively, instead of 'BB-sf' and 'B-sf', respectively. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BANK5 2025-5YR15: Fitch Assigns B-(EXP)sf Rating on Cl. G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to BANK5 2025-5YR15, Commercial Mortgage Pass-Through Certificates, Series 2025-5YR15 as follows: - $2,950,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $150,000,000ab class A-2 'AAA(EXP)sf'; Outlook Stable; - $0b class A-2-1 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-2-X1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-2-2 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-2-X2 'AAA(EXP)sf'; Outlook Stable; - $226,333,000ab class A-3 'AAA(EXP)sf'; Outlook Stable; - $0b class A-3-1 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-3-X1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-3-2 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-3-X2 'AAA(EXP)sf'; Outlook Stable; - $379,283,000c class X-A 'AAA(EXP)sf'; Outlook Stable; - $103,626,000c class X-B 'A-(EXP)sf'; Outlook Stable; - $59,602,000b class A-S 'AAA(EXP)sf'; Outlook Stable; - $0b class A-S-1 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-S-X1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-S-2 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-S-X2 'AAA(EXP)sf'; Outlook Stable - $24,382,000b class B 'AA-(EXP)sf'; Outlook Stable; - $0b class B-1 'AA-(EXP)sf'; Outlook Stable; - $0bc class B-X1 'AA-(EXP)sf'; Outlook Stable; - $0b class B-2 'AA-(EXP)sf'; Outlook Stable; - $0bc class B-X2 'AA-(EXP)sf'; Outlook Stable; - $19,642,000b class C 'A-(EXP)sf'; Outlook Stable; - $0b class C-1 'A-(EXP)sf'; Outlook Stable; - $0bc class C-X1 'A-(EXP)sf'; Outlook Stable; - $0b class C-2 'A-(EXP)sf'; Outlook Stable; - $0bc class C-X2 'A-(EXP)sf'; Outlook Stable; - $16,932,000cd class X-D 'BBB-(EXP)sf'; Outlook Stable; - $12,191,0001cd class X-F 'BB-(EXP)sf'; Outlook Stable; - $16,932,000d class D 'BBB-(EXP)sf'; Outlook Stable; - $12,191,000d class F 'BB-(EXP)sf'; Outlook Stable; - $8,128,000df class G-RR 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $21,673,543df class H-RR - $14,463,729ef class RR; a) The exact initial certificate balances or notional amounts of the class A-2, class A-2-X1, class A-2-X2, class A-3, class A 3-X1 and class A-3-X2 trust components (and consequently, the exact initial certificate balance or notional amount of each class of class A-2 exchangeable certificates and class A-3 exchangeable certificates) are unknown and will be determined based on the final pricing of the certificates. However, the initial certificate balances, assumed final distribution dates, weighted average lives and principal windows of the class A-2 and class A-3 trust components are expected to be within the applicable ranges: Class A-2 trust component: $0 - $150,000,000; Class A-3 trust component: $226,333,000 - $376,333,000. The aggregate of the initial certificate balances of the class A-2 and class A-3 trust components is expected to be approximately $376,333,000, subject to a variance of plus or minus 5%. The class A-2-X1 and class A-2-X2 trust components will have initial notional amounts equal to the initial certificate balance of the class A-2 trust component. The class A-3 X1 and class A-3-X2 trust components will have initial notional amounts equal to the initial certificate balance of the class A-3 trust component. In the event that the class A-3 trust component is issued with an initial certificate balance of $376,333,000, the class A-2 trust component (and, correspondingly, the class A-2 exchangeable certificates) will not be issued. The balances above reflect the highest and lowest respective value of each range. (b) The class A-2, class A-2-1, class A-2-2, class A-2-X1, class A-2-X2, class A-3, class A-3-1, class A-3-2, class A-3-X1, class A-3-X2, class A-S, class A‑S-1, class A-S-2, class A-S-X1, class A-S-X2, class B, class B‑1, class B-2, class B-X1, class B-X2, class C, class C-1, class C-2, class C-X1 and class C-X2 are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. (c) Notional amount and interest only. (d) Privately placed and pursuant to Rule 144A. (e) Vertical-risk retention interest representing approximately 2.60% of the initial certificate balance of each class. (f) Horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 31 loans secured by 68 commercial properties having an aggregate principal balance of $556,297,272 as of the cutoff date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Bank of America, National Association and JPMorgan Chase Bank, National Association. The master servicer is expected to be Trimont LLC, the special servicer is expected to be LNR Partners, LLC and the operating advisor is expected to be Park Bridge Lender Services LLC. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. The transaction is expected to close on July 15, 2025. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 18 loans totaling 83.8% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $210.4 million represents a 16.3% decline from the issuer's aggregate underwritten NCF of $251.4 million. Lower Fitch Leverage: The pool 's Fitch leverage is lower than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 92.2% is lower than the 2025 YTD five-year multiborrower transaction average of 100.4% and the 2024 five-year multiborrower transaction average of 95.2%. The pool's Fitch NCF debt yield (DY) of 11.2% is higher than the 2025 YTD average of 9.7% and the 2024 average of 10.2%. Investment Grade Credit Opinion Loans: Two loans representing 10.6% of the pool by balance received investment grade credit opinions. 1535 Broadway received an investment grade credit opinion of 'AAsf*' on a standalone basis. The Wharf received an investment grade credit opinion of 'A-sf*' on a standalone basis. The pool's total credit opinion percentage is higher than the 2025 YTD average of 10.3% but lower than the 2024 average of 12.6% for five-year multiborrower transactions. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 96.4% and 10.6%, respectively, compared to the equivalent five-year multiborrower 2025 YTD LTV and DY averages of 104.0% and 9.4%, respectively. High Pool Concentration: The pool's effective loan count is 19.1. The pool is concentration is in-line with recently rated Fitch transactions. The top 10 loans represent 61.5% of the pool, which is in-line with the 2025 YTD five-year multiborrower average of 61.9% but worse than the 2024 average of 60.2%. Effective property count was 3.8, lower than the YTD 2025 and 2024 five-year multiborrower averages of 4.6 and 4.3, 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 equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/' less than 'CCCsf'/'less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'BB+sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on 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. BDS 2021-FL10: DBRS Confirms BB Rating on Class F Notes ------------------------------------------------------- DBRS Limited confirmed its credit ratings on all the classes of notes issued by BDS 2021-FL10 Ltd. as follows: -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (high) (sf) -- Class C Notes at A (high) (sf) -- Class D Notes at A (sf) -- Class E Notes at BBB (sf) -- Class F Notes at BB (sf) -- Class G Notes at B (high) (sf) All trends are Stable. The credit rating confirmations reflect the transaction's favorable collateral composition as the trust continues to be primarily secured by multifamily collateral, with minimal changes since Morningstar DBRS' last credit rating action in May 2025, which resulted in upgrades across the Class B through G Notes stemming from loan collateral reduction totaling 27.9% since issuance. Historically, loans secured by multifamily properties have exhibited lower default rates and the ability to retain and increase asset value. Additionally, the majority of individual borrowers are progressing the stated business plans to increase property cash flow asset value. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. The transaction closed in December 2021 with an initial collateral pool of 32 short-term, floating-rate mortgage loans secured by 35 mostly transitional properties with a cut-off date balance of $932.1 million. Most of the loans were in a period of transition with plans to stabilize and improve asset value. The transaction was structured with a Reinvestment Period that expired with the November 2023 Payment Date. As of the May 2025 remittance, the pool comprised 26 loans secured by 27 properties with a cumulative trust balance of $888.2 million. Since issuance, 21 loans with a cumulative trust balance of $535.5 million have been paid in full. The transaction benefits from a significant concentration of loans backed by multifamily properties, representing 92.8% of the current trust balance. The remaining assets are concentrated by industrial, manufactured housing, and hotel properties. The loans are primarily secured by properties in suburban markets with 23 loans, representing 89.7% of the current trust balance, in locations with Morningstar DBRS Market Ranks of 3, 4, and 5. Three loans, representing 10.3% of the pool, are secured by properties in tertiary markets, as defined by Morningstar DBRS, with a Morningstar DBRS Market Rank of 2. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 and may not reflect the current environment of rising interest rates or widening capitalization rates faced by borrowers and lenders. In its analysis, Morningstar DBRS applied upward loan-to-value adjustments across 14 loans, representing 66.1% of the current trust balance. Through June 2025, the lender advanced a cumulative $78.1 million in loan future funding allocated to 20 individual borrowers to aid in property stabilization efforts. The largest advance of $26.7 million was made to the borrower of American Steel Collection (4.4% of the current pool balance), which is secured by a portfolio of four industrial properties in Oakland, California. The borrower's business plan focuses on increasing occupancy and rental rates to market levels by completing approximately $35.2 million in capital expenditures. An additional $13.5 million of loan future funding allocated to three individual borrowers remains available. The largest unadvanced portion of $8.5 million is allocated to the borrower of the aforementioned American Steel Collection. In addition to this loan, Morningstar DBRS identified a number of loans that are lagging in their original business plans. Morningstar DBRS' analysis includes additional adjustments to the loan-level probability of default for these assets to reflect these concerns. Seventeen of the outstanding loans, representing 64.0% of the current trust balance, are scheduled to mature by YE2025; however, almost all of the loans have remaining extension options. While required performance tests may not be met across all collateral properties, borrowers and lenders may negotiate loan modifications to extend maturity dates, if necessary. Any loan modifications would likely require additional equity infusions from borrowers in the form of principal curtailments, the purchase of new interest rate cap agreements, or deposits into existing reserve accounts. As of May 2025, there were no loans in special servicing while 18 loans were being monitored on the servicer's watchlist, representing 71.5% of the current trust balance. Twelve of these loans are being monitored primarily for upcoming maturities, with the remaining loans being flagged for deferred maintenance items and/or performance-related concerns as the borrowers execute their business plans. Occupancy rates and cash flow may remain depressed at select properties as the borrowers work toward property stabilization. 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 2018-B5: Fitch Lowers Rating on Class E-RR Debt to 'Bsf' ------------------------------------------------------------------ Fitch Ratings has downgraded 10 and affirmed four classes of Benchmark 2018-B5 Mortgage Trust (BMARK 2018-B5). Negative Rating Outlooks were assigned to classes A-S, X-A, B, X-B, C, D, X-D and E-RR following their downgrades. Fitch has downgraded 10 and affirmed four classes of Benchmark 2018-B6 Mortgage Trust (BMARK 2018-B6). Negative Outlooks were assigned to classes A-S, X-A, B, C, D, E, and X-D following their downgrades. Entity/Debt Rating Prior ----------- ------ ----- Benchmark 2018-B6 A-2 08162CAB6 LT AAAsf Affirmed AAAsf A-3 08162CAC4 LT AAAsf Affirmed AAAsf A-4 08162CAD2 LT AAAsf Affirmed AAAsf A-AB 08162CAE0 LT AAAsf Affirmed AAAsf A-S 08162CAF7 LT AA-sf Downgrade AAAsf B 08162CAG5 LT A-sf Downgrade AA-sf C 08162CAH3 LT BBB-sf Downgrade A-sf D 08162CAL4 LT BB-sf Downgrade BB+sf E 08162CAN0 LT B-sf Downgrade B+sf F-RR 08162CAQ3 LT CCCsf Downgrade B-sf G-RR 08162CAS9 LT CCsf Downgrade CCCsf J-RR 08162CAU4 LT Csf Downgrade CCsf X-A 08162CAJ9 LT AA-sf Downgrade AAAsf X-D 08162CAY6 LT B-sf Downgrade B+sf Benchmark 2018-B5 A-2 08160BAD6 LT AAAsf Affirmed AAAsf A-3 08160BAC8 LT AAAsf Affirmed AAAsf A-4 08160BAB0 LT AAAsf Affirmed AAAsf A-S 08160BAH7 LT AA-sf Downgrade AAAsf A-SB 08160BAE4 LT AAAsf Affirmed AAAsf B 08160BAJ3 LT A-sf Downgrade AA-sf C 08160BAK0 LT BBB-sf Downgrade A-sf D 08160BAL8 LT BBsf Downgrade BBBsf E-RR 08160BAQ7 LT Bsf Downgrade BBsf F-RR 08160BAS3 LT CCCsf Downgrade Bsf G-RR 08160BAU8 LT CCsf Downgrade CCCsf X-A 08160BAF1 LT AA-sf Downgrade AAAsf X-B 08160BAG9 LT A-sf Downgrade AA-sf X-D 08160BAN4 LT BBsf Downgrade BBBsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 7.7% in BMARK 2018-B5 and 7.5% in BMARK 2018-B6, compared to 5.4% and 5.6%, respectively, at the prior rating action. Fitch Loans of Concerns (FLOCs) include 13 loans (38.6% of the pool) in BMARK 2018-B5, including three specially serviced loans (8.1%) and 23 loans (46.0%) in BMARK 2018-B6, including six specially serviced loans (12.0%). BMARK 2018-B5: The downgrades in the BMARK 2018-B5 transaction reflect higher pool loss expectations since the prior rating action, primarily driven by deteriorated values of specially serviced loans, Westbrook Corporate Center (1.8%) and Workspace (5.3%) and continued underperformance of FLOCs, including 660 Columbus Avenue (4.7%), Aon Center (4.6%) and 215 Lexington Avenue (2.8%). In addition, at issuance 27.6% of the pool was considered to have investment grade credit opinions. Fitch no longer considers eBay North First Commons (5.5%), Aon Center, 181 Fremont Street (4.3%) and the specially serviced Workspace to have investment grade credit opinions. The Negative Outlooks in BMARK 2018-B5 reflect the pool's office concentration of 31.1% and the potential for further downgrade should performance of the FLOCs continues to deteriorate beyond Fitch's current expectations and/or recovery prospects on the specially serviced loans worsen. BMARK 2018-B6: The downgrades in the BMARK 2018-B6 transaction reflect higher pool loss expectations since the prior rating action, driven by lower values for specially serviced loans, Carlton Plaza (2.2%), Workspace (3.8%) and 1027-1031 West Madison Street (0.8%) and performance deterioration of office FLOCs, including Willow Creek Corporate Center (6.9%). In addition, at issuance 28.0% of the pool was considered to have investment grade credit opinions. Fitch no longer considers the specially serviced Workspace (3.8%) to have an investment grade credit opinion. The Negative Outlooks in BMARK 2018-B6 reflect the high office concentration at 43.8% and the potential for further downgrades if recoveries for specially serviced loans are lower than expected and/or performance of office FLOCs, including Willow Creek Corporate Center, Workspace, Carlton Plaza, Jefferson Plaza Albuquerque (0.9%) and 1027-1031 West Madison Street, continues to deteriorate beyond current expectations. The Negative Outlooks also incorporate an additional sensitivity scenario that factors a heightened probability of default on the Willow Creek Corporate Center. Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action and the largest contributor to expected losses in the BMARK 2018-B5 transaction is the Westbrook Corporate Center loan (1.8%), which is secured by a 1.14 million-sf suburban office property located in Westchester, IL. The loan transferred to special servicing in September 2024 for non-monetary default. Property occupancy has continued to decline, falling to 55% as of September 2024, down from 67% at YE 2023 and 71% at YE 2022. The decline is primarily due to the departure of major tenant, American Imaging Management (7.2% of the NRA) and downsize of the largest tenant, Follett Higher Education Group (11.3%; lease expiration in October 2025), which downsized by 82,005 sf (7.1%) and extended its lease to April 2033. Fitch's 'Bsf' rating case loss of 72.8% (prior to concentration adjustments) reflects a discount to a recent valuation equating to a stressed value of approximately $21 psf. The second-largest increase in loss expectations since the prior rating action in both the BMARK 2018-B5 and BMARK 2018-B6 transactions is the Workspace loan (5.3% of the pool in BMARK 2018-B5 and 3.8% in BMARK 2018-B6), which is secured by a portfolio of 147 office, flex and retail properties totaling approximately 9.9 million sf in five MSAs (Philadelphia, Southern Florida, Tampa, Minneapolis-St. Paul, and Phoenix) The loan transferred to special servicing in November 2024 due to shortfalls in the cash management account. The servicer-reported portfolio occupancy was 76% as of June 2024 with an NOI DSCR of 1.26x as compared to 89% and 3.99x at issuance. The loan was modified in July 2023 which extended the loan maturity to July 2025. As of the May 2025 remittance, the loan was reported as 30 days delinquent. Fitch's 'Bsf' case loss of 14.6% (prior to a concentration adjustment) is based on a 10% cap rate and 5% stress to the annualized June 2024 NOI. The third-largest increase in loss expectations since the prior rating action in the BMARK 2018-B5 transaction is the 660 Columbus Avenue loan (4.7%), which is secured by a 65,936-sf anchored retail property located on the Upper West Side of New York City. Property performance has declined due to the departure of major tenant, Party City (19.3% of the NRA; lease expiration in January 2026). Party City terminated its lease prior to lease expiration and ceased paying rent in February 2025 after filing for bankruptcy in December 2024. As a result, occupancy declined to 81% from 100% at YE 2024 with NOI insufficient to cover debt service. Fitch's 'Bsf' rating case loss of 14.0% (prior to concentration adjustments) reflects an 8.25% cap rate and 20% stress to the YE 2024 NOI given the concerns with the departure of the major tenant. The largest increase in loss expectations since the prior rating action and the largest contributor to expected losses in the BMARK 2018-B6 transaction is the Carlton Plaza loan (2.2%), which is secured by a 154,933-sf suburban office building located in Woodland Hills, CA. The loan transferred to special servicing in January 2025 due to imminent monetary default. Property performance has continued to decline due to the departure of multiple tenants. As of the March 2025 rent roll, the occupancy was 60%, compared with 63% at YE 2024 and 74% at YE 2023. As of September 2024, the servicer-reported NOI DSCR declined to 1.25x from 1.67x at YE 2023. Fitch's 'Bsf' rating case loss of 59.2% (prior to concentration adjustments) reflects a discount to the most recent appraisal value equating to a stressed value of approximately $62 psf. The third-largest increase in loss expectations since the prior rating action in the BMARK 2018-B6 transaction is the Willow Creek Corporate Center loan (6.9%), which is secured by a seven building, 421,785-sf office campus located in Redmond, WA. The primary tenant at the property is Meta Platforms Technologies which accounts for 97.7% of the NRA. Per the March 2025 rent roll, Meta has concentrated rollover, with 36.8% of the NRA scheduled to expire in July 2026. According to CoStar, Meta has listed the entire space of one of the buildings on the campus (15.6%) for sublease. The lease for that space is set to expire in February 2031. Lease expirations across the property are staggered with 37% of the NRA scheduled to expire in 2026 with the next set of leases (8.2%) expiring in 2028. Fitch's 'Bsf' rating case loss of 7.2% (prior to concentration adjustments) reflects a 10% cap rate and 35% stress to the YE 2024 NOI to account for concerns related to the concentrated near-term rollover and elevated availability at the property. Increased Credit Enhancement (CE): As of the May 2025 distribution date, the aggregate balances of the BMARK 2018-B5 and BMARK 2018-B6 transactions have been reduced by 10.0% and 8.9%, respectively, since issuance. The BMARK 2018-B5 transaction includes five loans (4.0% of the pool) that have fully defeased; BMARK 2018-B6 has three loans (2.3%) that have fully defeased. The BMARK 2018-B5 transaction has 22 (63.4%) full-term, interest-only (IO) loans and 30 (36.6%) loans that are currently amortizing. The BMARK 2018-B6 transaction has 21 (61.2%) full-term, interest-only (IO) loans and 31 (38.8%) loans that are currently amortizing. Cumulative interest shortfalls of $170,893 are affecting the non-rated class NR-RR in BMARK 2018-B5 and $633,190 are affecting the non-rated class NR-RR in BMARK 2018-B6. 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 high CE, senior 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. Further downgrades to the sub-senior classes currently on Rating Outlook Negative are possible with lower-than-expected recoveries for the specially serviced loans and/or continued performance declines of the FLOCs. These FLOCs include Westbrook Corporate Center, Workspace, 660 Columbus Avenue, Aon Center and 215 Lexington Avenue in BMARK 2018-B5, and Carlton Plaza, Workspace, Willow Creek Corporate Center and 1027-1031 West Madison Street in BMARK 2018-B6. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if performance and/or valuation of the FLOCs/specially serviced loans, deteriorate further or fail to stabilize. Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the loans with deteriorating performance and/or with greater certainty of losses on the specially serviced loans, or with prolonged workouts of the loans in special servicing. Downgrades to distressed ratings would occur if additional loans are transferred to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with improved pool-level loss expectations and improved performance and/or valuations on the FLOCs/specially serviced loans. This includes Westbrook Corporate Center, Workspace, 660 Columbus Avenue, Aon Center and 215 Lexington Avenue in BMARK 2018-B5, and Carlton Plaza, Workspace, Willow Creek Corporate Center and 1027-1031 West Madison Street in BMARK 2018-B6. Classes would not be upgraded above 'AA+sf' if there is 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 distressed ratings are not expected and would only occur 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. BENCHMARK 2020-B17: Fitch Lowers Rating on Two Tranches to 'CCsf' ----------------------------------------------------------------- Fitch Ratings has downgraded seven and affirmed nine classes of Benchmark 2020-B16 Mortgage Trust (BMARK 2020-B16). In addition, Fitch assigned Negative Outlooks to three classes following their downgrades. The Outlooks are Negative for five affirmed classes. Fitch also downgraded 10 and affirmed four classes of Benchmark 2020-B17 Mortgage Trust (BMARK 2020-B17). Fitch assigned Negative Outlooks to eight classes following their downgrades. Entity/Debt Rating Prior ----------- ------ ----- BMARK 2020-B16 A-3 08161NAC1 LT AAAsf Affirmed AAAsf A-4 08161NAE7 LT AAAsf Affirmed AAAsf A-5 08161NAF4 LT AAAsf Affirmed AAAsf A-M 08161NAH0 LT AAAsf Affirmed AAAsf A-SB 08161NAD9 LT AAAsf Affirmed AAAsf B 08161NAJ6 LT AA-sf Affirmed AA-sf C 08161NAK3 LT A-sf Affirmed A-sf D 08161NAW7 LT BBsf Downgrade BBBsf E 08161NAY3 LT BB-sf Downgrade BBB-sf F 08161NBA4 LT CCCsf Downgrade Bsf G 08161NBC0 LT CCsf Downgrade CCCsf X-A 08161NAG2 LT AAAsf Affirmed AAAsf X-B 08161NAL1 LT A-sf Affirmed A-sf X-D 08161NAN7 LT BB-sf Downgrade BBB-sf X-F 08161NAQ0 LT CCCsf Downgrade Bsf X-G 08161NAS6 LT CCsf Downgrade CCCsf Benchmark 2020-B17 A-2 08162MAV0 LT AAAsf Affirmed AAAsf A-4 08162MAW8 LT AAAsf Affirmed AAAsf A-5 08162MAX6 LT AAAsf Affirmed AAAsf A-S 08162MBB3 LT AA-sf Downgrade AAAsf A-SB 08162MAY4 LT AAAsf Affirmed AAAsf B 08162MBC1 LT A-sf Downgrade AA-sf C 08162MBD9 LT BBB-sf Downgrade A-sf D 08162MAC2 LT BBsf Downgrade BBBsf E 08162MAE8 LT Bsf Downgrade BBsf F-RR 08162MAG3 LT CCCsf Downgrade B-sf G-RR 08162MAJ7 LT CCsf Downgrade CCCsf X-A 08162MAZ1 LT AA-sf Downgrade AAAsf X-B 08162MBA5 LT BBB-sf Downgrade A-sf X-D 08162MAA6 LT Bsf Downgrade BBsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss increased in both transactions since Fitch's prior rating actions. In BMARK 2020-B16 it increased to 4.8% from 3.9% and in BMARK 2020-B17 to 5.3% from 4.8%. The BMARK 2020-B16 transaction has five Fitch Loans of Concern (FLOCs; 23.7% of the pool), including one loan (3.8%) in special servicing. The BMARK 2020-B17 transaction has eight FLOCs (43.9%), including four loans (14.4%) in special servicing. BMARK 2020-B16: The downgrades reflect higher pool loss expectations since the prior rating action, primarily driven by higher loss expectations for the specially serviced 1019 Market (FLOC; 3.8%) that is based on an updated dark value analysis, given the property remains almost fully vacant. The loan transferred to special servicing in February 2024, and subsequently became delinquent after the borrower failed to make payments after January 2025. The downgrades also reflect the sustained high loss expectations on FLOCs 3500 Lacey (5.7%), 181 West Madison loan (4.9%), and Landing Square (4.0%), due to performance deterioration. In addition, at issuance 40.9% of the pool was considered to have investment grade credit opinions. Fitch no longer considers 650 Madison (5.2%) and the specially serviced 181 West Madison to have investment grade credit opinions. The Negative Outlooks reflect that further downgrades are possible, if expected losses increase for 1019 Market, 3500 Lacey, and Landing Square, including lack of performance stabilization, updated lower valuations and/or with extended resolution times for the specially serviced 1019 Market loan. The Negative Outlook reflects the pool's concentration of office loans, comprising 32.5% of the pool, with 19.7% of office loans being FLOCs, including the loans no longer considered investment grade BMARK 2020-B17: The downgrades reflect higher pool loss expectations driven primarily by underperforming office FLOCs, as well as the specially serviced 25 Jay Street. Loans with increased expected losses compared to the prior rating action include Apollo Education Group HQ Campus (5.7%), 3000 Post Oak (3.5%), and the specially serviced 25 Jay Street (2.2%), which reflects an updated appraisal value. Loans with continued and sustained higher expected losses compared to issuance include Murphy Crossing (10%) and 3500 Lacey (4.2%). In addition, at issuance 39.9% of the pool was considered to have investment grade credit opinions. Fitch no longer considers 650 Madison (5.9%) and the specially serviced Stonemont Net Lease Portfolio (3.0%) to have investment grade credit opinions. The Negative Outlooks incorporates an additional sensitivity scenario on the Murphy Crossing (10.0%) FLOC that considers a heightened probability of default, to reflect the elevated risk with the upcoming rollover of the largest tenant, which has a lease expiration in April 2026 and has vacated a large portion of its space. The Negative Outlooks also reflect possible downgrades should loss expectations on the specially serviced loans increase further due to prolonged workouts and updated lower valuations, as well as further performance deterioration for Murphy Crossing and Apollo Education Group HQ. Additionally, the Negative Outlooks reflect the pool's high concentration of office loans, comprising 49.7% of the pool, including 38.8% of which are office FLOCs and two loans no longer considered investment grade. Largest Increases in Loss Expectations/Largest Loss Contributors: The largest increase in loss since the prior rating action and the largest contributor to overall pool loss expectations in BMARK 2020-B16 is the 1019 Market loan, which is secured by an 81,722-sf office property located in downtown San Francisco, CA. The loan transferred to special servicing in February 2024 due to imminent monetary default, as the borrower noted it may not be able to continue funding shortfalls. The borrower failed to pay the February 2025 debt service and according to the servicer, receivership motion has been filed and a non-judicial foreclosure is being pursued. The loan is over 90 days delinquent and categorized as in foreclosure. The largest tenant, Zendesk (96.6% of the NRA, through August 2022) terminated its lease in 2021, with occupancy declining to 3.4%, as the remaining tenant, SF Chai LLC, has a lease through August 2025. As of YE 2024, the occupancy remains depressed at 3.4%, and the loan has been cash flow negative since YE 2021, following the departure of the largest tenant. The servicer-reported YE 2024 NOI DSCR was -0.94x compared with the YE 2023 NOI DSCR of -0.88x. As of May 2025, the balance of the rollover reserve account was $4.9 million, which can be applied towards re-tenanting costs for the Zendesk space. Fitch's 'Bsf' rating case loss of 37.6% (prior to concentration add-ons) reflects a Fitch implied dark value of $28.0 million ($343 psf) as the property is mostly vacant; the updated dark value reflects a 61% decline from the issuance appraisal value. No updated appraisal has been provided by the special servicer. The second largest contributor to overall pool loss expectations in BMARK 2020-B16 and the fourth largest contributor to overall pool loss expectations in BMARK 2020-B17 is the 3500 Lacey loan, secured by 583,982-sf office property located in Downers Grove, IL. This loan was flagged as a FLOC due to recovering performance and weak submarket fundamentals. According to the February 2025 rent roll, the property was 95.3% occupied. The largest tenants include Health Care Service Corporation (24.1%; December 2033), Glanbia (16.4%; February 2030), and Invesco (12.1%; April 2036, renewed from April 2025). Upcoming rollover includes 1.9% of the NRA through 2025 and 6.1% of the NRA through 2026. According to CoStar, the Eastern East/West Corridor Submarket reported a vacancy rate and average asking rental rate of 19.3% and $31.65 psf, respectively, compared with the overall market vacancy rate and average asking rental rate of 16.8% and $39.53 psf, respectively. The servicer-reported NOI DSCR has fallen to 1.90x as of YE 2024, compared with 1.95x at YE 2023, 2.14x at TTM September 2022, and 2.53x at YE 2021. Fitch's 'Bsf' rating case loss of 12.9% (prior to concentration add-ons) reflects a 10.0% cap rate, and a 10% stress to the YE 2023 NOI. The third largest contributor to overall pool loss expectations in BMARK 2020-B16 is the 181 West Madison loan, secured by a 50-story, 946,099-sf office tower located in the central business district (CBD) of Chicago, IL. The largest tenant is Northern Trust (42.3% of the NRA) with a lease expiration in December 2027. The loan transferred to special servicing in November 2021 due to the bankruptcy of the borrower, HNA Group and returned to the master servicer following a loan modification in August 2023. Property performance has deteriorated since issuance. As of YE 2024, occupancy was 85% with a NOI DSCR of 1.50x, down from 88% and 5.16x at issuance. Fitch's 'Bsf' rating case loss of 9.4% (prior to concentration add-ons) reflects a cap rate of 9.5% and a lower updated Fitch sustainable net cash flow (NCF) of $11.7 million, which is 10.6% below Fitch's prior rating action NCF of $13.1 million, and 19.4% below Fitch's issuance NCF of $16.2 million. The updated Fitch NCF reflects a higher vacancy assumption of 22% given the elevated submarket availability rates and greater uncertainty surrounding the largest tenant's commitment to the property, evidenced by its short-term lease extension and recent available space listing. The fourth largest contributor to overall pool loss expectations in BMARK 2020-B16 is the Landing Square loan, secured by 322-unit multifamily property located in Atlanta, GA. This loan was flagged as a FLOC due to declining performance due to declining occupancy and DSCR below 1.0x. As of YE 2024, the occupancy declined to 81%, compared with 92% at YE 2023, 78% at YE 2022, and 91% at YE 2021. The servicer-reported NOI DSCR has fallen to 0.47x as of YE 2024, compared with 1.14x at YE 2023, 1.52x at YE 2022 and 1.55x at YE 2021. According to the servicer, the decline in performance is attributed to drop in occupancy, coupled with a $118.8/unit decrease in average rental rates. As of the December 2024 rent roll, the average rental rate was $1,251/unit. Fitch's 'Bsf' rating case loss of 9.5% (prior to concentration add-ons) reflects an 8.75% cap rate and a 7.5% stress to the TTM March 2024 NOI. Fitch is also monitoring the performance of the former investment grade loan, 650 Madison (5.2% in BMARK 2020-B16 and 5.9% in BMARK 2020-B17). The loan is secured by a 27-story, class A office building in Midtown Manhattan. The servicer-reported YE 2024 NOI is down 2.8% from YE 2023 and down 1.4% from YE 2022. Collateral occupancy was 53% as of September 2024, with the downsize of the largest tenant, Ralph Lauren (RL), compared with occupancy of 79% at YE 2023 and 97% at issuance. The departure of MSK (16.7% of NRA) in June 2022 also contributed to the overall decline in occupancy. This loan is a FLOC due to the renewal terms and downsizing of RL. Fitch's 'Bsf' rating case loss of 2.9% (prior to concentration adjustments) incorporated a 7.25% cap rate and Fitch's updated sustainable NCF of $42.1 million, which reflects the renewal terms of RL, as the tenant downsized from 41% of the NRA to 24% with a rental rate per square footage 30% below the existing in-place rent, and leases-in-place for the remaining tenants as of the January 2025 rent roll, with credit given to near-term contractual rent escalations. The renewed RL lease expires April 2036. The largest increase in loss since the prior rating action and the largest contributor to overall pool loss expectations in BMARK 2020-B17 is the 3000 Post Oak loan, secured by a 19-story, 441,523-sf office building located in Houston, TX. The loan transferred to the special servicer in August 2024 for imminent default related to the single tenant, Bechtel (98.9% of the NRA), vacating at the lease expiration in October 2024. Bechtel relocated 8.6 miles west to the Westchase area occupying an office that is approximately half the size of 3000 Post Oak. The Galleria/Uptown submarket of Houston reported an elevated vacancy rate of 35.5% according to Costar as of 1Q25. Fitch's 'Bsf' rating case loss of 34.5% (prior to concentration adjustments) reflects a 10.25% cap rate, 50% stress to the YE 2023 NOI and factors a higher probability of default to account for the departure of the single tenant, high submarket vacancy, and anticipated maturity default concerns. The second largest increase in loss since the prior rating action and the second largest contributor to overall pool loss expectations in BMARK 2020-B17 is the 25 Jay Street loan, which is secured by a 32-unit multifamily property located in the DUMBO neighborhood of Brooklyn, NY. This loan transferred to special servicing in October 2021 and became over 90 days delinquent in March 2023. The servicer filed for foreclosure in February 2023 and the servicer continues to seek confirmation of its plan of liquidation in the bankruptcy action. The most recent servicer-reported June 2022 NOI DSCR was 0.65x, compared with 0.47x at YE 2021, and 1.26x at YE 2020. Updated financials were requested, but not provided. Fitch's 'Bsf' rating case loss of 39.4% (prior to concentration add-ons) factors a 10% stress on the most recent appraisal value, which has declined significantly from the appraisal value at issuance. The lower than standard stress to the appraisal value considers the strong location of the asset and reflects an approximate value per unit of $478,000 The third largest increase in loss since the prior rating action and the fifth largest contributor to overall pool loss expectations in BMARK 2020-B17 is the Apollo Education Group HQ Campus loan, secured by a single-tenant office building located in Phoenix, AZ. The loan transferred to special servicing in December 2024 due to imminent maturity default. According to the servicer, the borrower noted that it would be unable to pay off the loan at maturity and requested an extension. A 12-month extension was executed in May 2025 providing a new maturity date in June 2026. This loan is a FLOC due to dark space at the subject property. The subject is 100% leased to Apollo Education Group, Inc. (commonly the University of Phoenix) through March 2031, six years after loan maturity. The property has served as the firm's corporate headquarters since 2007. According to CoStar, the tenant only occupies 12.8% of the NRA and the remaining space is vacant and available for sublease. The tenant is continuing to make rental payments and the loan remains current. Fitch's 'Bsf' rating case loss of 7.1% (prior to concentration adjustments) reflects a 10.25% cap rate, 20% stress to the June 2024 NOI and factors a higher probability of default to account for the departure of the single tenant and anticipated maturity default concerns at the extended maturity date. The third largest contributor to overall pool loss expectations for BMARK 2020-B17 is the Murphy Crossing loan, secured by a 363,567-sf office property located in Milpitas, CA. The loan is a FLOC as the largest tenant, Intersil Corporation (59.5% of the NRA), has a lease expiration in April 2026 and it remains uncertain on whether the status of the lease. As of September 2024, reported occupancy for the property was 79%, remaining unchanged from March 2024, compared with 99% as of June 2023. The other tenant at the property is SonicWall, Inc (20.6%, March 2029). The most recent servicer-reported September 2024 NOI DSCR was 2.61x, compared with 2.63x at YE 2021 NOI, and 1.26x at YE 2020. As of May 2025, the balance of the rollover reserve account was $2.5 million. Additionally, CoStar reports about 78% of Intersil Corporation's space is listed as vacant. In addition, the Milipitas Submarket reported a vacancy rate and average asking rental rate of 14.0% and $54.75 psf, respectively, compared with the overall market vacancy rate and average asking rental rate of 16.1% and $76.63 psf, respectively. Fitch's 'Bsf' rating case loss of 7.5% (prior to concentration adjustments) reflects a cap rate of 10% and a 20% stress to the most recently reported TTM September 2024 NOI to address the tenancy and occupancy concerns. Fitch also included an additional sensitivity scenario in its analysis to account for elevated refinance risk where the loan-level 'Bsf' sensitivity case loss increases to 15.5% (prior to concentration add-ons); this scenario contributed to the Negative Outlooks. The sixth largest contributor to overall pool loss expectations in BMARK 2020-B17 is the Stonemont Net Lease Portfolio loan, which is no longer considered to have an investment grade credit opinion. The loan transferred to special servicing in January 2025 for imminent maturity default when borrower failed to pay off the trust loan and other non-trust components at its final extended maturity in January 2025. The trust holds a $25 million senior fixed rate component which is pari passu with $271.3 million non-trust senior fixed rate components. Additionally, there is a subordinate $351.3 million non-trust fixed rate component and non-trust $17.1 million floating rate component outstanding. The portfolio is comprised of 40 properties (66 properties at issuance) located across 13 different states and leased to 11 unique tenants. Office properties represent approximately 96% of remaining NRA and 92% of recent base rent. Fitch's 'Bsf' rating case loss of 5.5% (prior to concentration adjustments) incorporated a higher vacancy assumption due to dark and subleased space and a stressed capitalization rate of 10.0%, up from 9.0% at issuance. Fitch's NCF is $39.3 million which is 28% below the servicer reported TTM June 2024 portfolio NCF. Per recent reporting, the special servicer is dual tracking the exercise of remedies along with continuing negotiations with the borrower. Change in Credit Enhancement (CE): As of the May 2025 distribution date, the pool's aggregate balance for BMARK 2020-B16 has been reduced by 3.0% to $872.1 million from $899.1 million at issuance. Two loans (2.3% of pool) are defeased. As of the May 2025 distribution date, the pool's aggregate balance for BMARK 2020-B17 has been reduced by 10.1% to $847.4 million from $943.4 million at issuance. One loan (0.5% of pool) is defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to senior 'AAAsf' rated classes are not expected due to the high CE and senior position in the capital structure and expected increased in CE from 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 'AAsf' and 'Asf' category rated classes could occur should performance of the FLOCs, most notably 1019 Market, 3500 Lacey, 181 West Madison, and Landing Square in BMARK 2020-B16 and Murphy Crossing, 25 Jay Street, 3000 Post Oak, Apollo Education Group HQ Campus, and 3500 Lacey in BMARK 2020-B17, deteriorate further or if more loans than expected default at or prior to maturity. - Downgrades to the 'BBBsf', 'BBsf', 'Bsf' category rated classes are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. - Downgrades to 'CCCsf' and 'CCsf' rated classes would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of FLOCs, including 1019 Market, 3500 Lacey, 181 West Madison, and Landing Square in BMARK 2020-B16 and Murphy Crossing, 25 Jay Street, 3000 Post Oak, Apollo Education Group HQ Campus, and 3500 Lacey in BMARK 2020-B17. - Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to 'CCCsf' and 'CCsf' 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. BENEFIT STREET XL: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Benefit Street Partners CLO XL Ltd./Benefit Street Partners CLO XL 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 BSP CLO Management LLC, a subsidiary of Franklin Templeton. The preliminary ratings are based on information as of June 24, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Benefit Street Partners CLO XL Ltd./ Benefit Street Partners CLO XL LLC Class A, $256.0 million: AAA (sf) Class B, $48.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $12.0 million: BB- (sf) Subordinated notes, $36.8 million: NR NR--Not rated. BIRCH GROVE 14: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Birch Grove CLO 14 Ltd. Entity/Debt Rating ----------- ------ Birch Grove CLO 14 Ltd. A LT AAA(EXP)sf Expected Rating A-L LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Birch Grove CLO 14 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Birch Grove Capital 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 23.33, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 94.97% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.42% versus a minimum covenant, in accordance with the initial expected matrix point of 73.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 3.1-year reinvestment period, shorter than other CLOs, and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 24 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, 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 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, and 'Asf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 Birch Grove CLO 14 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. BVRT 2025-1: Fitch Assigns 'B-sf' Final Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential asset-backed notes issued by BVRT 2025-1, LLC (BVRT 2025-1). Entity/Debt Rating Prior ----------- ------ ----- BVRT 2025-1, LLC A LT AA-sf New Rating AA-(EXP)sf B LT A-sf New Rating A-(EXP)sf C LT BBB-sf New Rating BBB-(EXP)sf D LT BB-sf New Rating BB-(EXP)sf E LT B-sf New Rating B-(EXP)sf IO LT A-sf New Rating A-(EXP)sf IO-Li LT A-sf New Rating A-(EXP)sf IO-Mg LT A-sf New Rating A-(EXP)sf IO-Mg2 LT A-sf New Rating A-(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by three special interest certificates issued by BLT Trust which represent the issuer's right to receive all amounts received by the related underlying trust in connection with a Master Credit Enhancement Agreement. The master credit enhancement agreements generally represent private risk transfer transactions between the underlying issuer (i.e., BLT Trust) and Fannie Mae (FNMA). The underlying certificates will be paid interest and will pay down subject to the performance of a related reference pool subject to performance thresholds. FNMA will absorb losses up to some pre-determined amount after which losses will be borne by the underlying certificates by means of releasing money from the related cash collateral account and using it to repay FNMA instead of paying down the certificates. In addition, the related interest-only (IO) strip (i.e., the underlying trust risk share payment) will be used to provide payments on the issued notes. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch sees home price values for the underlying reference pools as approximately 10.8% 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. Counterparty Risk (Negative): The rated bonds are limited to the rating of FNMA as the source of the risk share payment as well as cash that is currently sitting in an account located at JPMorgan. Due to the reliance on the cash collateral account to pay principal on the bonds, there is excessive counterparty risk linked to JPMorgan Chase Bank, N.A. which will limit the ratings of the bonds to that of the counterparty. This limitation is also applicable for the IO bond as payments on the bond are only made if FNMA has access to the money in the JPMorgan account limiting the future IO rating to that of the bank. Agency Credit Quality (Positive): The underlying collateral pools consist of agency eligible loans that were previously delivered to FNMA by various FNMA-approved sellers. As of the most recent remittance period, the pools consist of roughly 34,200 loans with a total unpaid principal balance of $6.4 billion. The pool has a similar collateral profile to other CRT transactions Fitch has rated with a roughly weighted average FICO of 733, a debt-to-income of 38.8 and a 65 sustainable loan-to-value. Underlying Pools: - BLT Trust Series Li (Li); - BLT Trust Series Mg (Mg); - BLT Trust Series Mg2 (Mg2). The underlying pools are primarily backed by primary residences, more than 95% owner occupied, less than 1% investor, and the remainder second homes. More than 90% of the underlying pools consist of purchase loans, with the remainder refinances. The pool is significantly more seasoned than other risk transfer transactions rated between 2017 and 2020 (i.e., the origination vintages of the underlying loans). On average the underlying collateral is roughly 74 months seasoned, compared to average 16 months to 30 months seasoned for prior transactions. BVRT 2025-1 has benefited from strong home price appreciation, and still maintains a portion of mortgage insurance (MI) on the underlying collateral. Approved Losses (Positive): Losses on the underlying certificate are passed through to the rated transaction based on the definition of approved losses in the collateral pool. Approved losses generally relate to losses incurred by borrower default and the associated costs in liquidating the property while excluding uncovered losses. Uncovered losses deal more with counterparty considerations such as breach of reps and warranties (R&W) and the lack of mortgage insurance payouts. As a result, the losses for the rated P&I bonds give full credit for mortgage insurance (if applicable) and do not apply a R&W adjustment. However, the losses on the rated IOs, since they are reflective of each collateral pool, do not take into account MI credit and assume a Tier 1 R&W framework with an unrated counterparty. The payments on the underlying certificates will pass through to the rated bonds in this transaction. FNMA will bear the losses from the underlying pool first up to 0.35% for the underlying series Li and 0.50% for underlying series Mg and Mg2 (taken as a percentage of the initial collateral balance) before BVRT 2025-1 will bear losses. As of the most recent remittance period the underlying certificates for series Li, Mg and Mg2 have credit enhancement of 2.09%, 2.44% and 1.60%, respectively. Pro Rata Structure with Triggers (Mixed): The underlying transactions benefit from sequential structure whereby the contributed bond shares principal payments with the hypothetical senior bond. The included bond is expected to rapidly pay down as it receives the entire share of subordinate principal. These payments are passed through to the offered bonds and paid pro rata subject to triggers related to losses on the underlying reference pools. If the triggers fail, the deal pays sequentially. The deal also benefits from excess interest which can be used to pay down the bonds. Interest Only Bond (Neutral): The underlying certificate receives a per-year fee off the outstanding collateral balance. For the rated transaction, the sum of this fee is passed through and is being broken up into a senior and subordinate portion in which the top portion is diverted to a rated bond while the subordinate piece pays interest on the bonds and is written down reflective of collateral losses. The senior portion is only paid down by principal payments or if the subordinate piece is fully written off by losses. While the senior portion receives its interest payments from FNMA and is thereby capped at its rating, the rating is also limited to that of JPMorgan Chase Bank, N.A. as that is where the collateral account is held and the credit enhancement provided (which is sized to at least cover Fitch's A-sf loss expectation). If the collateral is not available at all times, FNMA can stop payments which would result in a default of the senior IO bond as well potential shortfalls on the P&I bonds. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 10.7% at the base case. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. In addition, a downgrade of either JPMorgan Chase Bank, N.A or FNMA could result in downgrades of the rated bonds. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 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. BVRT 2025-1: Fitch Gives 'B-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed notes to be issued by BVRT 2025-1, LLC (BVRT 2025-1). Entity/Debt Rating ----------- ------ BVRT 2025-1, LLC A LT AA-(EXP)sf Expected Rating B LT A-(EXP)sf Expected Rating C LT BBB-(EXP)sf Expected Rating D LT BB-(EXP)sf Expected Rating E LT B-(EXP)sf Expected Rating IO LT A-(EXP)sf Expected Rating IO-Li LT A-(EXP)sf Expected Rating IO-Mg LT A-(EXP)sf Expected Rating IO-Mg2 LT A-(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by three special interest certificates issued by BLT Trust which represent the Issuer's right to receive all amounts received by the related Underlying Trust in connection with a Master Credit Enhancement Agreement. The Master Credit Enhancement Agreements generally represent private Risk Transfer transactions between the underlying Issuer (ie: BLT Trust) and Fannie Mae. The underlying certificates will be paid interest and will pay down subject to the performance of a related reference pool subject to performance thresholds. Fannie Mae will absorb losses up to some pre-determined amount after which losses will be borne by the underlying certificates by means of releasing money from the related Cash Collateral Account and using it to repay Fannie Mae instead of paying down the certificates. Additionally, the related interest -only (IO) strip (ie: the underlying Trust Risk Share Payment) will be used to provide payments on the issued notes. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch sees home price values for the underlying reference pools as approximately 10.8% 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. Counterparty Risk (Negative): The rated bonds are limited to the rating of FNMA as the source of the risk share payment as well as cash that is currently sitting in an account located at JP Morgan. Due to the reliance on the cash collateral account to pay principal on the bonds, there is excessive counterparty risk linked to JP Morgan Chase Bank, N.A. which will limit the ratings of the bonds to that of the counterparty. This limitation is also applicable for the IO bond as payments on the bond are only made if FNMA has access to the money in the JP Morgan account limiting the future IO rating to that of the bank. Agency Credit Quality (Positive): The underlying collateral pools consist of agency eligible loans that were previously delivered to FNMA by various FNMA approved sellers. As of the most recent remittance period the pools consist of roughly 34,200 loans with a total unpaid principal balance of $6.4 billion. The pool has a similar collateral profile to other CRT transactions Fitch has rated with a roughly weighted average FICO of 733, a debt-to-income of 38.8 and a 65 sustainable loan-to-value. Underlying Pools: - BLT Trust Series Li (Li); - BLT Trust Series Mg (Mg); - BLT Trust Series Mg2 (Mg2). The underlying pools are primarily backed by primary residences, more than 95% owner occupied, less than 1% investor, and the remainder second homes. More than 90% of the underlying pools consist of purchase loans, with the remainder refinances. The pool is significantly more seasoned than other risk transfer transactions rated between 2017-2020 (ie: the origination vintages of the underlying loans). On average the underlying collateral is roughly 74 months seasoned, compared to average 16 months to 30 months seasoned for prior transactions. BVRT 2025-1 has benefited from strong home price appreciation. And still maintains a portion of Mortgage Insurance (MI) on the underlying collateral. Approved Losses (Positive): Losses on the underlying certificate are passed through to the rated transaction based on the definition of Approved Losses on the collateral pool. Approved losses generally relate to losses incurred by borrower default and the associated costs in liquidating the property while excluding Uncovered Losses. Uncovered Losses deal more with counterparty considerations such as breach of reps and warranties and the lack of mortgage insurance payouts. As a result, the losses for the rated P&I bonds give full credit for mortgage insurance (if applicable) and do not apply a R&W adjustment. The losses on the rated IOs however, since they are reflective of each collateral pool, do not take into account MI credit and assume a Tier 1 R&W framework with an unrated counterparty. The payments on the underlying certificates will pass through to the rated bonds in this transaction. FNMA will bear the losses from the underlying pool first up to .35% for the underlying series Li and 0.50% for underlying series Mg and Mg2 (taken as a % of the initial collateral balance) before BVRT 2025-1 will bear losses. As of the most recent remittance period the underlying certificates for series Li, Mg and Mg2 have credit enhancement of 2.09%, 2.44% and 1.60% respectively. Pro-Rata Structure with Triggers (Mixed): The underlying transactions benefit from sequential structure whereby the contributed bond shares principal payments with the hypothetical senior bond. The included bond is expected to rapidly pay down as it receives the entire share of subordinate principal. These payments are passed through to the offered bonds and paid pro rata subject to triggers related to losses on the underlying reference pools. If the triggers fail the deal pays sequentially. The deal also benefits from excess interest which can be used to pay down the bonds. Interest Only Bond (Neutral): The underlying certificate receives a per year fee off the outstanding collateral balance. For the rated transaction the sum of this fee is passed through and is being broken up into a senior and subordinate portion in which the top portion is diverted to a rated bond while the subordinate piece pays interest on the bonds and is written down reflective of collateral losses. The senior portion is only paid down by principal payments or if the subordinate piece is fully written off, by losses. While the senior portion receives its interest payments from FNMA and is thereby capped at its rating, the rating is additionally limited to that of JP Morgan Chase Bank, N.A. as that is where the collateral account is held, and the credit enhancement provided (which is sized to at least cover Fitch's A-sf loss expectation). If the collateral is not at all times available, FNMA can stop payments which would result in a default of the Senior IO bond as well potential shortfalls on the P&I bonds. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 10.7% at the base case. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Additionally, a downgrade of either J.P. Morgan Chase Bank, N.A or Fannie Mae could result in downgrades of the rated bonds. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 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. CAPITAL ONE: Fitch Affirms 'BBsf' Rating on 2002-1D Trust Notes --------------------------------------------------------------- Fitch Ratings has affirmed the long-term ratings assigned to Capital One Multi-Asset Execution Trust (COMET) notes. The Rating Outlook remains Stable for all rated notes. The affirmation of the rated notes reflects available credit enhancement (CE) and performance to date. The Stable Outlook reflects Fitch's expectation that performance and loss multiples will remain supportive of the rating. Entity/Debt Rating Prior ----------- ------ ----- Capital One Multi-Asset Execution Trust Card Series 2002-1D LT BBsf Affirmed BBsf 2005-3B 14041NCG4 LT Asf Affirmed Asf 2009-A C LT BBBsf Affirmed BBBsf 2009-C B LT Asf Affirmed Asf 2019-3A 14041NFV8 LT AAAsf Affirmed AAAsf 2021-2A 14041NFX4 LT AAAsf Affirmed AAAsf 2022-2A 14041NGA3 LT AAAsf Affirmed AAAsf 2022-3A 14041NGB1 LT AAAsf Affirmed AAAsf 2023-1A 14041NGD7 LT AAAsf Affirmed AAAsf 2024-1A 14041NGE5 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Receivables' Performance and Collateral Characteristics: Chargeoff performance has deteriorated over the past year. As of the May 2025 distribution date, the 12-month average gross chargeoff rate was 3.59%, up from 3.02% a year earlier, but still slightly below the 2019 full-year average of 3.62%. The weakening trend reflects the ongoing impact of persistently high inflation and a prolonged period of elevated interest rates on consumers, with lower-income and lower-FICO borrowers remaining particularly vulnerable, especially in light of the recent increase in tariffs. Despite this deterioration, trust performance has demonstrated some resilience, as chargeoffs remain within Fitch's steady-state assumptions. Fitch continues to maintain a conservative gross chargeoff steady-state assumption of 6.00%. Monthly payment rate (MPR), which includes principal and finance charge collections and is a measure of how quickly credit card holders are paying off their credit card debts, has remained generally stable over the past year. The 12-month average MPR as of the May 2025 distribution date was 47.15%, compared to 47.45% one year ago and well above the current MPR steady state (27.00%). Although Fitch expects performance weakening as elevated interest rates pressure borrowers directly impacting repayment on card balances, the strong credit profile and high seasoning of accounts will continually support the MPR performance at elevated levels. Fitch has revised its MPR steady state to 29.00% from 27.00%. The 12-month average gross yield as of the May 2025 distribution date was 27.70%, which comprises of finance charges, fees, and interchange. This compares with the 12-month average of 27.91% as of the May 2024 distribution date. Fitch's analysis of gross yield considered the recent CFPB ruling to credit card late fee regulations to abandon a cap of $8.00 allowing issuers to revert to the prior framework, which will further support gross yield performance. Fitch has maintained its steady state at 20.50%. CE remains sufficient with loss multiples and are in line with the current ratings under each rating category. The Stable Outlook on the notes reflects Fitch's expectation that performance and loss multiples will remain supportive of these ratings. Originator and Servicer Quality: Fitch considers Capital One, National Association (A-/F1/Stable) an effective and capable originator and servicer given its extensive track record. Any deterioration in the financial condition of Capital One, National Association may affect the performance of the pool of receivables backing the COMET notes Counterparty Risk: The notes' ratings are dependent on the financial strength of certain counterparties. Fitch believes this risk is currently mitigated as evidenced by the ratings of the applicable counterparties to the transactions. Interest Rate Risk: Interest rate risk is currently mitigated by the available CE. For the class A notes, total credit enhancement of 21.00% is provided by 9.00% subordination of class B notes, 9.00% subordination of class C notes and 3.00% subordination of class D notes. The class B benefits from 12.00% credit enhancement achieved through 9.00% subordination of class C and 3.00% subordination of class D. The class C benefits from 4.00% credit enhancement achieved through 3.00% subordination of class D and a reserve account. The class D benefits from a reserve account. Fitch analyzed characteristics of the underlying collateral to better assess overall asset performance. This supplements Fitch's analysis of the originator's historical data when determining the following steady state performance assumptions and stresses: Steady State: - Annualized Gross Chargeoffs: 6.00%; - Monthly Payment Rate (MPR): revised to 29.00% from 27.00%; - Annualized Gross Yield: 20.50%; - Purchase Rate: 100.00%. Rating Case Assumption (for 'AAAsf', 'Asf', 'BBBsf', and 'BBsf'): Chargeoffs (multiple): 4.50x/3.00x/2.25x/1.75x Payment Rate (haircut): 55.00/46.20/39.60/30.80; Gross Yield (haircut): 35.00/25.00/20.00/15.00; Purchase Rate (haircut): 50.00/40.00/35.00/30.00. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating sensitivity to increased chargeoff rate: Current ratings for class A, B, C and D notes (Steady State: 6.00%): 'AAAsf'/'Asf'/'BBBsf'/'BBsf', respectively; - Increase Steady State by 25%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'; - Increase Steady State by 50%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'; - Increase Steady State by 75%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'. Rating sensitivity to reduced MPR: Current ratings for class A, B, C and D notes (Steady State: 29.00%): 'AAAsf'/'Asf'/BBBsf'/'BBsf', respectively; - Reduce Steady State by 15%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'; - Reduce Steady State by 25%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'; - Reduce Steady State by 35%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'. Rating sensitivity to reduced purchase rate: Current ratings for class A, B, C and D notes (Steady State: 100%): 'AAAsf'/'Asf'/'BBBsf'/'BBsf', respectively; - Reduce Steady State by 50%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'; - Reduce Steady State by 75%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'; - Reduce Steady State by 100%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'. Rating sensitivity to reduced yield: Current ratings for class A, B, C and D notes (Steady State: 20.50%): 'AAAsf'/'Asf'/'BBBsf'/'BBsf', respectively; - Reduce Steady State by 15%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'; - Reduce Steady State by 25%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'; - Reduce Steady State by 35%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'. Rating sensitivity to increased chargeoff rate and reduced MPR: Current ratings for class A, B, C and D notes (chargeoff Steady State: 6.00%; MPR Steady State: 29.00%): 'AAAsf'/'Asf'/'BBBsf'/'BBsf', respectively; - Increase chargeoff rate by 25% and reduce MPR by 15%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'; - Increase chargeoff rate by 50% and reduce MPR by 25%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'; - Increase chargeoff rate by 75% and reduce MPR by 35%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating sensitivity to decreased chargeoff rate: - Current ratings for class A, B, C and D notes (Steady State: 6.00%): 'AAAsf', 'Asf', 'BBBsf' and 'BBsf', respectively; - Decrease Steady State by 50%: 'AAAsf' for all classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CARVANA AUTO 2025-P2: Fitch Assigns 'BB+sf' Rating on Class N Debt ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Carvana Auto Receivables Trust 2025-P2 (CRVNA 2025-P2). Entity/Debt Rating Prior ----------- ------ ----- Carvana Auto Receivables Trust 2025-P2 A1 ST F1+sf New Rating F1+(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf N LT BB+sf New Rating BB+(EXP)sf KEY RATING DRIVERS Collateral — Prime Credit Quality: CRVNA 2025-P2 is backed by collateral that is consistent with that of prior prime securitizations issued by Carvana. The CRVNA 2025-P2 pool has a weighted average FICO score of 701, which is on the lower end relative to peer prime issuers. However, FICO scores above 750 total 26.0% of the pool. The transaction's percentage of extended-term loans (61+ months) is elevated at 95.3% of the pool and loans with terms of more than 72 months formed 47.9% of the pool, both higher than most comparable transactions. The pool is diversified by vehicle brand, model and geography. Used vehicles make up 100% of the pool. Forward-Looking Approach to Derive Rating-Case Loss Proxy: Carvana provided managed portfolio data beginning in 2015, which showed consistent performance for its prime originations between 2015 and the start of the pandemic. Post-pandemic performance was strong, owing to significant government stimulus and strong used car prices, which had a positive impact on pre-pandemic vintages with loans outstanding in addition to the 2020 vintage originations. Performance deterioration began with the 2021 vintage, with each subsequent vintage experiencing higher loss levels through 2023, impacted by both higher defaults and lower recoveries as used vehicle values declined. At this early stage, the 2024 vintage shows improvement, with losses coming in lower than 2023. In the absence of a full cycle of detailed historical performance data, Fitch supplemented the Carvana managed performance data with proxy data from a comparable auto loan platform to derive the credit loss expectation. Fitch used Carvana's 2021-2023 performance data and recessionary data from 2007-2008 from peer auto ABS issuers to determine the rating case loss proxy. In addition, Fitch took potential risks of the current economic environment and the state of the auto industry and wholesale vehicle market (WVM) into consideration, as well as future expectations and their potential impact on the pool when deriving the rating case loss proxy. Fitch's forward-looking rating case credit cumulative net loss (CNL) proxy is 3.50%. Payment Structure — Adequate Credit Enhancement: Initial hard credit enhancement (CE) totals 10.65%, 6.45%, 1.95%, 0.50% and 0.25% for classes A, B, C, D and N, respectively. Initial expected excess spread is 7.01%. Initial CE is sufficient to withstand Fitch's rating case CNL proxy of 3.50% at the applicable rating loss multiples of 5.00x for 'AAAsf', 4.00x for 'AAsf', 3.00x for 'Asf' 2.00x for 'BBBsf', and 1.67x for 'BB+sf'. Operational and Servicing Risks — Stable Origination/Underwriting/Servicing: Carvana demonstrates adequate abilities as an originator and underwriter, and Bridgecrest demonstrates adequate abilities as a servicer. The performance history of Carvana's managed portfolio demonstrates its abilities as an originator and underwriter, and prior Carvana and DriveTime securitizations demonstrate Bridgecrest's abilities as a servicer. In addition, Vervent serves as a backup servicer in case Bridgecrest is unable to perform. Fitch deems Carvana to be an adequate originator and Bridgecrest an adequate servicer for this transaction. Fitch's base-case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 3.00% based on Fitch's "Global Economic Outlook — April 2025 Update" report and historical managed portfolio performance and projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. In addition, unanticipated declines in recoveries could result in lower net loss coverage, which may make certain note ratings susceptible to negative rating action, depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade 'BBsf' and to 'CCCsf', based on the break-even loss coverage provided by the CE structure. Fitch increases the rating case CNL proxy by 1.5x and 2.0x to represent moderate and severe stresses, respectively. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and the rating impact with a 50% haircut. These analyses aim to indicate the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by steady delinquencies and defaults, would increase CE levels and lead to consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected ratings for the subordinate notes could be upgraded by up to two categories. 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 automobile receivables from the underlying asset pool. 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 EVs in the pool, at 7.26% for BEVs and 5.20% for PHEVs/HEVs, did not affect Fitch's ratings analysis or conclusions. As such, it has no impact on Fitch's ESG Relevance Score for the transaction. 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. COOPR RESIDENTIAL 2025-CES2: Fitch Gives B(EXP) Rating on B-2 Debt ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to COOPR Residential Mortgage Trust 2025-CES2 (COOPR 2025-CES2). Entity/Debt Rating ----------- ------ COOPR 2025-CES2 A-1 LT AAA(EXP)sf Expected Rating A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 4,613 primarily closed-end second-lien (CES) loans with a total balance of approximately $318 million as of the cutoff date. Nationstar Mortgage LLC, d/b/a Mr. Cooper (Nationstar), originated 100% of the loans and will be the primary servicer for all the loans. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure. In addition, excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): As a result of its updated view on sustainable home prices, Fitch views the home price values of this pool as 11.3% above a long-term sustainable level (versus 11% on a national level as of 4Q24). Affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 2.9% yoy nationally as of February 2025, despite modest regional declines, but are still being supported by limited inventory. Prime Credit Quality (Positive): The collateral consists of 4,613 loans totaling approximately $318 million and seasoned at about three months in aggregate, as calculated by Fitch. The borrowers have a strong credit profile, including a WA Fitch model FICO score of 736, a debt-to-income ratio (DTI) of 37% and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 73.5%. All the loans are of a primary residence, cashout refinance loans and originated through a retail channel. Additionally, roughly 98.7% of the loans were treated as full documentation. Second Lien Collateral (Negative): All loans were originated by Nationstar as CES, with one loan (0.01% of pool) subsequently moved to a first lien position after the senior lien was paid down. Fitch assumed no recovery and 100% loss severity (LS), based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans; after controlling for credit attributes, no additional penalty was applied to Fitch's probability of default (PD) assumption. Sequential Structure (Positive): The transaction's cash flow is based on a sequential-pay structure in which the subordinate classes do not receive principal until the most senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated certificates prior to other principal distributions is highly supportive of timely interest payments to those certificates in the absence of servicer advancing. Monthly excess cash flow will be applied first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any unpaid net WAC shortfalls. The structure includes a step-up coupon feature whereby the fixed interest rate for the senior classes increases by 100 basis points (bps), subject to the net WAC, after the 48th payment date. 180-Day Charge-Off Feature (Positive): The class XS majority noteholder has the ability, but not the obligation, to instruct the servicer to write off the balance of a loan at 180 days delinquent (DQ), based on the Mortgage Bankers Association (MBA) delinquency method. To the extent the servicer expects meaningful recovery in any liquidation scenario, the class XS majority noteholder may direct the servicer to continue to monitor the loan and not charge it off. While the 180-day charge-off feature will result in losses being incurred sooner, there is a larger amount of excess interest to protect against them. This compares favorably with a delayed liquidation scenario, where losses occur later in the life of a transaction and less excess is available to cover them. If a loan is not charged off due to a presumed recovery, this will provide added benefit to the transaction, above Fitch's expectations. Additionally, recoveries realized after the writedown at 180 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.3% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics. A third-party due diligence review was completed on 47% of the loans in this transaction. The scope, as described in Form 15E, focused on credit, regulatory compliance and property valuation reviews, consistent with Fitch criteria for new originations. All reviewed loans received a final overall grade of 'A' or 'B' and indicate sound origination practices consistent with non-agency prime RMBS. Fitch considered this information in its analysis and, as a result, the due diligence performed on the pool received a model credit, which reduced the 'AAAsf' loss expectation by 22 bps. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CROSSROADS ASSET 2025-A: DBRS Finalizes BB Rating on E Notes ------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the following classes of notes (the Notes) issued by Crossroads Asset Trust 2025-A: -- $40,000,000 Class A-1 Notes at R-1 (high) (sf) -- $146,630,000 Class A-2 Notes at AAA (sf) -- $18,250,000 Class B Notes at AA (sf) -- $14,750,000 Class C Notes at A (sf) -- $18,120,000 Class D Notes at BBB (sf) -- $10,750,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The 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 was 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 was 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 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 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, is the Back-up Servicer for the Transaction. (10) The 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 were 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. CROSSROADS ASSET 2025-A: Moody's Assigns Ba2 Rating to Cl. E Notes ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to the series 2025-A notes issued by Crossroads Asset Trust 2025-A (XROAD 2025-A). Crossroads Equipment Lease & Finance, LLC (Crossroads) is the sponsor of the securitization, which is backed by fixed-rate loans and leases secured by trucking and transportation equipment (the financed units). Crossroads is also the servicer of the securitized pool. XROAD 2025-A is Crossroads' fourth transaction backed by similar collateral, and the second rated by us. The complete rating actions are as follows: Issuer: Crossroads Asset Trust 2025-A Class A-1 Notes, Definitive Rating Assigned P-1 (sf) Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa1 (sf) Class C Notes, Definitive Rating Assigned A1 (sf) Class D Notes, Definitive Rating Assigned Baa1 (sf) Class E Notes, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The definitive ratings for the notes are based on, (1) the credit quality of the underlying financed units including the types of equipment and the credit profile of the obligors; (2) Moody's expectations of the pool's credit performance, informed by the historical performance of Crossroads' prior securitizations and its managed portfolio; (3) the ability, experience and expertise of Crossroads as the originator and servicer of the underlying securitized pool ; (4) the back-up servicing arrangement with GreatAmerica Portfolio Services Group, LLC; (5) the strength of the transaction structure, including the sequential-pay structure, initial levels of credit enhancement and target levels of credit enhancement. For the subordinated classes, Moody's also factored in the possibility that excess spread will not be sufficient to cover all losses should the performance of the underlying securitized pool be meaningfully worse than Moody's expectations; and (6) the legal aspects of the transaction. Additionally, in assigning the definitive short-term rating to the class A-1 notes, Moody's considered the cash flows that Moody's expects the underlying receivables to generate prior to the class A-1 notes' legal final maturity date. Moody's cumulative net loss expectation for the XROAD 2025-A collateral pool is 4.25% and loss at a Aaa stress is 27.00%. The cumulative net loss expectation and loss at a Aaa stress are higher than those for the previous transaction Moody's rated, the 2024-A, reflecting further weakening in the performance of Crossroads' trucking and transportation equipment, and in particular the 2022 and 2023 used equipment vintages, while also factoring in a slight improvement in the credit quality of obligors relative to the previous transaction's pool. Moody's based Moody's cumulatives net loss expectation and loss at a Aaa stress on analysis of the credit quality of the underlying securitized collateral pool, as well as the potential movement in the pool's composition following the addition of assets during the prefunding period, and the historical performance of similar collateral, including Crossroads' managed portfolio performance, the track-record, ability and expertise of Crossroads to perform the servicing functions, and current expectations for the US macroeconomic environment and the trucking industry during the life of the transaction. Moody's also considers the heightened economic uncertainty arising from the current inflationary environment and increased uncertainties around trade. The increased costs and reduced consumer spending have led to a weakened manufacturing sector, which in turn has resulted in decreased freight volumes. The classes of notes will be paid sequentially. At transaction closing, the class A, class B, class C, class D and class E notes benefit from 28.90%, 21.85%, 16.15%, 9.15% and 5.00% of hard credit enhancement, respectively. Initial hard credit enhancement for the notes consists of (1) subordination (except in the case of the class E notes), (2) initial over-collateralization of 4.00% that can build to a target of 6.50% of the outstanding adjusted discounted pool balance, and has a floor of 2.00%, and (3) a fully funded, non-declining reserve account of 1.00% of the initial adjusted discounted pool balance. The transaction could also benefit from excess spread. The sequential-pay structure and non-declining reserve account will result in a build-up of credit enhancement supporting the rated notes. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the subordinate notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's then current expectations of loss may be better than Moody's original expectations because of lower frequency of default by the underlying obligors or slower than expected depreciation in the value of the equipment securing obligors' promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. This transaction has a sequential pay structure and therefore credit enhancement will grow as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build-up of enhancement. Down Moody's could downgrade the notes if levels of credit protection are insufficient to protect investors against current expectations of portfolio losses. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or higher than expected deterioration in the value of the equipment securing obligors' promise of payment. As the primary drivers of performance, negative changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties and inadequate transaction governance. Additionally, Moody's could downgrade the class A-1 short term rating following a significant slowdown in principal collections that could result from, among other reasons, high delinquencies or a servicer disruption that impacts obligors' payments. CSAIL 2016-C6: Fitch Lowers Rating on Two Tranches to 'Csf' ----------------------------------------------------------- Fitch Ratings has downgraded eight and affirmed five classes of Credit Suisse Commercial Mortgage Trust's CSAIL 2016-C6 commercial mortgage trust pass-through certificates. Following the downgrade to classes B, C, D, and X-B, the classes were assigned a Negative Rating Outlook. The Outlooks for classes A-S and X-A remain Negative. In addition, Fitch has downgraded four and affirmed seven classes of DBJPM 2016-C3 Mortgage Trust commercial mortgage pass-through certificates. Following the downgrade to class C, the class was assigned a Negative Outlook. The Outlooks for classes A-M, B, X-A, and X-B remain Negative. Entity/Debt Rating Prior ----------- ------ ----- DBJPM 2016-C3 A-4 23312VAE6 LT AAAsf Affirmed AAAsf A-5 23312VAF3 LT AAAsf Affirmed AAAsf A-M 23312VAH9 LT AA+sf Affirmed AA+sf A-SB 23312VAD8 LT AAAsf Affirmed AAAsf B 23312VAJ5 LT A+sf Affirmed A+sf C 23312VAK2 LT BBsf Downgrade BBBsf D 23312VAS5 LT CCCsf Downgrade BB-sf E 23312VAU0 LT CCsf Downgrade B-sf X-A 23312VAG1 LT AA+sf Affirmed AA+sf X-B 23312VAL0 LT A+sf Affirmed A+sf X-C 23312VAN6 LT CCCsf Downgrade BB-sf CSAIL 2016-C6 A-4 12636MAD0 LT AAAsf Affirmed AAAsf A-5 12636MAE8 LT AAAsf Affirmed AAAsf A-S 12636MAJ7 LT AAAsf Affirmed AAAsf A-SB 12636MAF5 LT AAAsf Affirmed AAAsf B 12636MAK4 LT Asf Downgrade AA-sf C 12636MAL2 LT BBBsf Downgrade A-sf D 12636MAV0 LT Bsf Downgrade B+sf E 12636MAX6 LT CCsf Downgrade CCCsf F 12636MAZ1 LT Csf Downgrade CCCsf X-A 12636MAG3 LT AAAsf Affirmed AAAsf X-B 12636MAH1 LT Asf Downgrade AA-sf X-E 12636MAP3 LT CCsf Downgrade CCCsf X-F 12636MAR9 LT Csf Downgrade CCCsf KEY RATING DRIVERS Increased 'B' Loss Expectations: Deal-level 'Bsf' rating case losses increased to 10.9% in CSAIL 2016-C6 and 10.1% in DBJPM 2016-C3, from 9.9% and 6.4%, respectively, at Fitch's last rating action. Fitch Loans of Concern (FLOCs) comprise 10 loans (40.7% of the pool) in CSAIL 2016-C6, including two specially serviced loans (11%), and six loans (24.3%) in DBJPM 2016-C3, including one specially serviced loan (11.4%). Due to the concentration of upcoming scheduled maturities and adverse selection concerns, Fitch performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status and collateral quality, and then ranked them by their perceived likelihood of repayment and/or loss expectation. Loan maturities, accounting for 83.2% of the pool balance in CSAIL 2016-C6, are concentrated between September 2025 and May 2026, and 95.3% of the pool balance in DBJPM 2016-C3 matures between January 2026 and August 2026. The downgrades in the CSAIL 2016-C6 transaction reflect increased pool loss expectations since Fitch's prior rating action, driven primarily by continued performance deterioration and refinanceability concerns of the specially serviced Laurel Corporate Center (8.3%) and Lofton Place Apartments (2.7%) loans, as well as other FLOCs including Quaker Bridge Mall (12.9%), Landmark Centre (1.7%), and Peakview Office Plaza (1.5%). The downgrades in the DBJPM 2016-C3 transaction reflect increased pool loss expectations since Fitch's prior rating action, primarily driven by a lower appraisal value and performance deterioration for the specially serviced retail loan Westfield San Francisco Centre (11.4%) and refinanceability concerns due to a large amount of upcoming lease maturities for the office FLOC, 260 Townsend Street (3.8%). Due to refinancing and valuation concerns, Fitch's analysis of DBJPM 2016-C3 also incorporated an additional sensitivity scenario that factored in an outsized loss of 90% on the Westfield San Francisco Centre loan. In this scenario, pool-level losses increase to 13.6%. This analysis contributed to the Negative Outlooks. The largest contributor to expected loss in CSAIL 2016-C6 is the Quaker Bridge Mall loan, which is secured by a 357,221-sf regional mall located in Lawrenceville, NJ. The non-collateral anchor tenant Lord & Taylor closed in February 2021 and non-collateral anchor tenant Sears closed in 2018 leaving two remaining anchors, JCPenney and Macy's. As of December 2024, the collateral was 78% occupied and has been stable since the pandemic. The largest collateral tenant, Forever 21 (7.5% of NRA; lease expiration January 2026), vacated in early 2025 dropping occupancy to approximately 70%. The three largest remaining tenants are Old Navy (4.9%; March 2030), H&M (4.9%; January 2028) and Victoria's Secret (3.4%; January 2025; store still open). The NOI debt service coverage ratio (DSCR) for the full-term interest only loan as of YE 2024 was 2.06x compared with 2.08x as of YE 2023, 2.00x as of YE 2022 and 2.22x as of YE 2021. Fitch's 'Bsf' Rating Case Loss (prior to concentration add-on) of 31% is based on an 13% cap rate and a 10% stress to the YE 2023 NOI to account for the upcoming rollover and factors a higher probability of default to account for refinancing concerns. The largest increase and second largest contributor to expected loss in CSAIL 2016-C6 is the Laurel Corporate Center, which is secured by five office buildings totaling 560,147 sf within the Laurel Corporate Center and the Bishops Gates Corporate Center office parks. The loan transferred to the special servicer in April 2024 due to monetary default and remains over 90 days delinquent. As of April 2025, the property was 79.6% occupied compared to 85.5% at December 2023, 89.8% at December 2022, and 92% at December 2021. The NOI DSCR for the amortizing loan as of YE 2023 was 2.45x compared with 2.24x as of YE 2022, 2.20x as of YE 2021 and 2.22x as of YE 2020. The property has upcoming tenant rollover of 18% in 2025 and 2026. Per servicer commentary, a court appointed receiver is in the process of taking over all the operating accounts. Fitch's 'Bsf' rating case loss of 32% (prior to concentration add-ons) reflects a discount to the June 2024 appraisal, reflecting a stressed value of approximately $62 psf. The largest increase in expected loss in DBJPM 2016-C3 is the Westfield San Francisco Centre loan, secured by a 553,366-sf retail and a 241,155-sf office portion of a 1,445,449-sf super regional mall located in the San Francisco Union Square neighborhood. The loan transferred to special servicing in June 2023 due to imminent monetary default after the sponsors, Westfield and Brookfield, disclosed their intentions to return the keys to the lender. A receiver was appointed in October 2023. The sponsors have cited operating challenges in downtown San Francisco contributing to deteriorating sales, reduced occupancy and decreasing foot traffic. The receiver is working with the municipality, BART, and the Union Square Alliance to address life/safety issues at the property and in the neighborhood. Bloomingdale's, the non-owned anchor, closed in April 2025, which follows the prior departure of anchor tenant Nordstrom (21.5% of the total mall NRA) in October 2023. Mall occupancy has fallen to 18.5% as of September 2024 and is expected to decline further with other tenants anticipated to vacate. The mall has reported negative cash flow with a September 2024 NOI DSCR of -0.79x, down from 1.02x as of September 2023. Fitch's 'Bsf' rating case loss of approximately 60% (prior to concentration add-ons) is based on a 20% stress to the most recent appraisal value, which is approximately 78.7% below the appraisal value at issuance and equates to a recovery value of $197 psf. Fitch also performed an additional sensitivity scenario to account for potential outsized losses with continued deterioration in performance, increasing the 'Bsf' sensitivity case loss, which contributed to the Negative Outlooks. The second largest increase in expected loss in DBJPM 2016-C3 is the 260 Townsend Street loan, secured by a 65,638-sf seven-story office building and 82-space adjacent parking garage, located in San Francisco, California. Per the March 2025 rent roll, the property is 78.7% occupied, but the two remaining tenants have lease expirations in June 2025 and March 2026. The YE 2024 NOI DSCR was 2.56x compared to 2.20x at YE 2023 and 2.14x at YE 2022. Fitch's 'Bsf' rating case loss of 36.4% (prior to concentration add-ons) reflects a 10% cap rate and a 50% stress to the YE 2024 NOI due to all tenants rolling by March 2026, and a higher probability of default to account for refinancing concerns. Changes in Credit Enhancement (CE): As of the May 2025 distribution date, the aggregate pool balances for the CSAIL 2016-C6 and DBJPM 2016-C3 transactions have been paid down by 32.7% and 17.7%, respectively, since issuance. The CSAIL 2016-C6 transaction has 20 fully defeased loans (23.9% of the pool) and DBJPM 2016-C3 has five (21.2%) fully defeased loans. Cumulative interest shortfalls of $429 thousand are affecting classes E, F and the non-rated class NR in CSAIL 2016-C6, and $2.9 million are affecting classes D, E and the non-rated classes F, G, and H in DBJPM 2016-C3. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades of the senior 'AAAsf' rated classes are not likely due to their high CE, senior position in the capital structure and expected continued increasing CE from amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades of the junior 'AAAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur or are expected to occur. Downgrades of classes rated in the 'AAsf' and 'Asf' categories that have Negative Outlooks may occur should performance of the FLOCs, most notably Quaker Bridge Mall, Laurel Corporate Center, West LA Office - 2730 Wilshire in CSAIL 2016-C6 and Westfield San Francisco Centre, 260 Townsend Street, Intercontinental Kansas City Hotel in DBJPM 2016-C3, deteriorate further or fail to stabilize. Downgrades of the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades of the distressed ratings would occur if additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' 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. This includes Quaker Bridge Mall, Laurel Corporate Center, West LA Office - 2730 Wilshire in CSAIL 2016-C6 and Westfield San Francisco Centre, 260 Townsend Street, Intercontinental Kansas City Hotel in DBJPM 2016-C3. 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 prospects 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. EXTENET ISSUER 2025-1: Fitch Assigns BB- Final Rating on C Notes ---------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to ExteNet Issuer, LLC, Secured Distributed Network Revenue Notes, Series 2025-1. Fitch has also affirmed the ratings on ExteNet Issuer, LLC, Secured Distributed Network Revenue Notes, Series 2024-1. The Outlooks remain Stable. Fitch has assigned final ratings and Outlooks as follows: - $83,300,000 series 2025-1, class A-2, 'A-sf'; Outlook Stable; - $10,100,000 series 2025-1, class B, 'BBB-sf'; Outlook Stable; - $24,100,000 series 2025-1, class C, 'BB-sf'; Outlook Stable. Fitch has additionally affirmed the following classes: - $272,200,000 series 2024-1, class A-2, 'A-sf'; Outlook Stable; - $47,400,000 series 2024-1, class B, 'BBB-sf'; Outlook Stable; - $56,300,000 series 2024-1, class C, 'BB-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 weighted average (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 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 Issuer Default Rating 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 due to 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. FANNIE MAE 2003-W10: Moody's Hikes Rating on Cl. 1M Certs to Caa3 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating of Class 1M issued by Fannie Mae REMIC Trust 2003-W10. The collateral backing this deal consists of FHA-VA mortgages. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Cl. 1M, Upgraded to Caa3 (sf); previously on Aug 10, 2018 Downgraded to Ca (sf) RATINGS RATIONALE The rating action reflects the current level of credit enhancement available to the bond, the recent performance, analysis of the transaction structures, Moody's updated loss expectation on the underlying pool and Moody's revised loss-given-default expectation on the bond. The bond in this action is 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. Principal Methodology The principal methodology used in this rating was "US FHA-VA Residential Mortgage-backed Securitizations: Surveillance" published in April 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the rating 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 rating 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. GCAT 2025-NQM3: S&P Assigns B (sf) Rating on Class B-2 Certs ------------------------------------------------------------ S&P Global Ratings assigned its ratings to GCAT 2025-NQM3 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien, 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 (non-QM) mortgage loans (44.37% by balance) and ability-to-repay (ATR)-exempt mortgage loans (39.10% by balance). The principal balance is approximately $507.24 million as of the cutoff date. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty framework; -- The mortgage aggregator, Blue River Mortgage VI LLC; 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 our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as S&P's view of housing fundamentals. The outlook is updated, if necessary, when these projections change materially. 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 ratings address 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 2019-RPL1: Moody's Ups Rating on Cl. B-3 Certs from B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of seven bonds from three deals issued by CIM Trust and GCAT. The transactions are backed by seasoned performing and modified re-performing residential mortgage loans (RPL). The collateral is serviced by multiple servicers. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. The complete rating actions are as follows: Issuer: CIM Trust 2019-R2 Cl. B1, Upgraded to Aa2 (sf); previously on Aug 16, 2024 Upgraded to A3 (sf) Cl. B2, Upgraded to A1 (sf); previously on Aug 16, 2024 Upgraded to Baa3 (sf) Cl. M3, Upgraded to Aaa (sf); previously on Aug 16, 2024 Upgraded to Aa3 (sf) Issuer: CIM Trust 2019-R5 Cl. B2, Upgraded to Aaa (sf); previously on Aug 16, 2024 Upgraded to Aa2 (sf) Issuer: GCAT 2019-RPL1 Trust Cl. B-1, Upgraded to Aaa (sf); previously on Aug 16, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Aug 16, 2024 Upgraded to A3 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Aug 16, 2024 Upgraded to B1 (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 performance of the related pools and a one-year increase in credit enhancement of 2.5% on average for the bonds Moody's upgraded. The loans underlying the pools have fewer delinquencies and lower realized losses than originally anticipated, resulting in an improvement of approximately 29.3%, on average, in Moody's loss projections for the pools since Moody's last review (the link above provides Moody's current estimates). 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 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. GLS AUTO 2024-2: S&P Affirms BB (sf) on Class E Notes ----------------------------------------------------- S&P Global Ratings raised its ratings on 10 classes of notes from four GLS Auto Receivables Issuer Trust (GCAR) transactions. At the same time, S&P affirmed its ratings on eight classes of notes from three of the same GCAR transactions. These are ABS transactions that are backed by subprime retail auto loan receivables originated and serviced by Global Lending Services LLC. The rating actions reflect: -- S&P said, "Each transaction's collateral performance to date and our expectations regarding its future collateral performance; Our revised cumulative net loss (CNL) expectations for each transaction, and the transactions' structures and credit enhancement levels; and Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent macroeconomic outlook that incorporates baseline forecasts for U.S. GDP and unemployment." -- Considering all these factors, S&P believes the creditworthiness of each class of notes is consistent with the rating actions. -- S&P said, "The GCAR 2023-1 continues to perform worse than our prior expectation. As such, we revised and raised our expected CNL for this series. The GCAR 2023-2, 2024-1, and 2024-2 transactions are performing in line with our original or prior CNL expectations. As a result, we maintained our expected CNLs for these transactions." Table 1 Collateral performance (%)(i) Pool 60+ day Current Current Current Series Mo. factor delinq. Ext. CGL CRR CNL 2023-1 27 38.69 9.10 3.69 23.25 34.48 15.23 2023-2 25 47.98 7.89 3.69 19.33 36.18 12.34 2024-1 16 64.42 5.93 3.70 10.81 36.24 6.89 2024-2 13 72.02 5.67 2.49 7.08 38.96 4.32 (i)As of the June 2025 distribution date. Mo.--Month. Delinq.--Delinquencies. Ext.--Extensions. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Table 2 CNL expectations (%) Original Prior revised Revised lifetime lifetime lifetime Series CNL exp. CNL exp.(i) CNL exp. 2023-1 17.50 20.00 21.00 2023-2 17.50 19.00 19.00 2024-1 17.50 N/A 17.50 2024-2 17.50 N/A 17.50 (i)Previously revised in June 2024 for series 2023-1 and 2023-2. CNL exp.--Cumulative net loss expectations. N/A–-Not applicable. Each transaction has a sequential principal payment structure--in which the notes are paid principal by seniority--that will increase the credit enhancement for the senior notes as the pool amortizes. Each transaction also has credit enhancement consisting of a non-amortizing reserve account, overcollateralization, subordination for the more senior classes, and excess spread. As of the June 2025 distribution date, each transaction is at its target reserve level and target overcollateralization level. The raised and affirmed ratings reflect S&P's view that the total credit support as a percentage of the current pool balance, as of the collection period ended May 31, 2025, compared with its current expected loss expectations, is commensurate with each rating. Table 3 Hard credit support(i)(ii) Total hard Current total hard credit support credit support Series Class at issuance (%) (% of current) 2023-1 C 28.90 73.58 2023-1 D 15.95 40.12 2023-1 E 7.80 19.06 2023-2 B 40.45 85.65 2023-2 C 27.40 58.44 2023-2 D 13.75 30.00 2023-2 E 6.20 14.26 2024-1 A-3 54.80 91.13 2024-1 B 40.00 68.16 2024-1 C 26.10 46.58 2024-1 D 14.00 27.80 2024-1 E 6.00 15.38 2024-2 A-2 55.00 81.38 2024-2 A-3 55.00 81.38 2024-2 B 40.35 61.03 2024-2 C 26.75 42.15 2024-2 D 14.60 25.28 2024-2 E 6.60 14.17 (i)As of the June 2025 distribution date. (ii)Calculated as a percentage of the total gross receivable pool balance, which consists of overcollateralization and a reserve account, and if applicable, subordination. Excludes excess spread, which can also provide additional enhancement. S&P said, "We analyzed the current hard credit enhancement compared to the remaining expected CNLs for those classes where hard credit enhancement alone--without credit to the stressed excess spread--was sufficient, in our view, to raise or affirm the ratings on the notes. For other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to stressed excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate, given each transaction's performance to date and our current economic outlook. "We also conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised base-case loss expectation. "In our view, the results demonstrated that all of the classes have adequate credit enhancement at their respective raised and affirmed rating levels, which is based on our analysis as of the collection period ended May 31, 2025 (the June 2025 distribution date). "We will continue to monitor the performance of all outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." RATINGS RAISED GLS Auto Receivables Issuer Trust Rating Series Class To From 2023-1 C AAA (sf) AA- (sf) 2023-1 D AA- (sf) BBB- (sf) 2023-1 E BB (sf) BB- (sf) 2023-2 B AAA (sf) AA+ (sf) 2023-2 C AAA (sf) A+ (sf) 2023-2 D A (sf) BBB- (sf) 2024-1 B AAA (sf) AA (sf) 2024-1 C AA (sf) A (sf 2024-2 B AA+ (sf) AA (sf) 2024-2 C A+ (sf) A (sf) RATINGS AFFIRMED GLS Auto Receivables Issuer Trust Series Class Rating 2023-2 E BB- (sf) 2024-1 A-3 AAA (sf) 2024-1 D BBB (sf) 2024-1 E BB (sf) 2024-2 A-2 AAA (sf) 2024-2 A-3 AAA (sf) 2024-2 D BBB (sf) 2024-2 E BB (sf) GOLDENTREE LOAN 17: Fitch Assigns 'B-sf' Rating on Cl. F-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to GoldenTree Loan Management US CLO 17, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- GoldenTree Loan Management US CLO 17, Ltd. X-R LT NRsf New Rating A-R LT NRsf New Rating A-J LT AAAsf New Rating B 38139FAE0 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 38139FAG5 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 38139FAJ9 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating D-J LT BBB-sf New Rating E 38139GAA6 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating F 38139GAC2 LT PIFsf Paid In Full B-sf F-R LT B-sf New Rating Transaction Summary GoldenTree Loan Management US CLO 17, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by GLM II, LP. The transaction originally closed June 2023. The CLO's secured notes will be refinanced on June 24, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 24.07 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 99.27% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.34% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: 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 'BBB+sf' and 'AA+sf' for class A-J, 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-R, between less than 'B-sf' and 'BB+sf' for class D-J, between less than 'B-sf' and 'B+sf' for class E-R, and between less than 'B-sf' and 'B+sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-J notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-R, 'A-sf' for class D-J, 'BBB+sf' for class E-R, and 'BBB-sf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 GoldenTree Loan Management US CLO 17, 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. GS MORTGAGE 2025-RPL3: 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-RPL3 (GSMBS 2025-RPL3). Entity/Debt Rating ----------- ------ GS Mortgage-Backed Securities Trust 2025-RPL3 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT AA(EXP)sf Expected Rating A-4 LT A(EXP)sf Expected Rating A-5 LT BBB(EXP)sf Expected Rating M-1 LT A(EXP)sf Expected Rating M-2 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 2,670 seasoned performing and reperforming loans with a total balance of approximately $466 million as of the cutoff date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch considers the home price values of this pool as 10.9% above a long-term sustainable level (versus 11% on a national level as of 4Q24). Affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 2.9% yoy nationally as of February 2025, despite modest regional declines, but are still being supported by limited inventory. RPL Credit Quality (Negative): The collateral pool consists primarily of peak-vintage RPL first lien loans. As of the cutoff date, the pool was 84.2% current. Approximately 47.7% of the loans (i) were treated as having clean payment histories for the past two years or more (clean current) or (ii) have been clean since origination if seasoned less than two years. In addition, 88.0% of loans have a prior modification. The borrowers have a weak credit profile (645 FICO and 45% debt-to-income ratio [DTI]) and relatively low leverage (56.6% sustainable loan-to-value ratio [sLTV]). Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the senior classes are repaid in full. The credit enhancement consists of subordinated notes, the distributions of which will be subordinated to P&I payments due to senior noteholders. In addition, excess cash flow resulting from the difference between the interest earned on the mortgage collateral and that paid on the notes may be available to pay down the bonds sequentially (after prioritizing fees to transaction parties, net WAC shortfalls and the breach reserve account). No Servicer P&I Advances (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduce liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated class. 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 MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. 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 various firms. The third-party due diligence described in Form 15E focused on a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth In Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). The scope was consistent with published Fitch criteria for due diligence on RPL RMBS. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - Loans with an indeterminate HUD1 located in states that fall under Freddie Mac's "Do Not Purchase List" received a 100% LS override; - Loans with an indeterminate HUD1 but not located in states that fall under Freddie Mac's "Do Not Purchase List" received a five-point LS increase; - Unpaid taxes and lien amounts were added to the LS. In total, these adjustments increased the 'AAAsf' loss by approximately 75bps. 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. HPS LOAN 2025-25: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to HPS Loan Management 2025-25, Ltd. Entity/Debt Rating ----------- ------ HPS Loan Management 2025-25, Ltd. A LT AAAsf New Rating B LT AAsf New Rating C-1 LT Asf New Rating C-2 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 NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary HPS Loan Management 2025-25, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by HPS Investment Partners CLO (UK) LLP. 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 leverage 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 97.6% first lien senior secured loans and has a weighted average recovery assumption of 73.6%. 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 41.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity 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 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 metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A notes, between 'BB+sf' and 'A+sf' for class B notes, between 'B+sf' and 'BBB+sf' for class C-1/C-2 notes, between less than 'B-sf' and 'BB+sf' for class D-1 notes, between less than 'B-sf' and 'BB+sf' for class D-2 notes, and between less than 'B-sf' and 'B+sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'AAsf' for class C-1 /C-2 notes, 'A-sf' for class D-1 notes, 'A-sf' for class D-2 notes, and 'BBB-sf' for class E notes. 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 HPS Loan Management 2025-25, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. HPS LOAN 3-2014: S&P Assigns B+ (sf) Rating on Class D-R Notes -------------------------------------------------------------- S&P Global Ratings took various rating actions on 10 classes of notes from HPS Loan Management 2013-2 Ltd. and HPS Loan Management 3-2014 Ltd., both U.S. broadly syndicated CLO transactions managed by HPS Investment Partners LLC. Four of the ratings were placed on CreditWatch with negative implications on May 1, 2025, due to a combination of increase in exposure to collateral obligations in the 'CCC' category, a drop in their overcollateralization (O/C) ratios, and weakened cash flow results. While S&P raised four ratings, it also lowered the ratings on the four classes and removed them from CreditWatch negative. Additionally, S&P affirmed two ratings. S&P said, "The rating actions follow our review of each transaction's performance using data from the May 2025 trustee report. In our review, we analyzed each transaction's performance and cash flows and applied our global corporate CLO criteria in our rating decisions. The ratings list highlights the key performance metrics behind the specific rating actions." The transactions have all exited their respective reinvestment periods and are paying down the notes in the order specified in their respective documents. As a result of paydowns and support changes in their respective portfolios, CLOs in their amortization phase may have ratings on tranches move in opposite directions. While principal paydowns increase senior credit support, principal losses and/or declines in portfolio credit quality may decrease junior credit support. The portfolios of each transaction reviewed have significant exposure to collateral obligations rated in the 'CCC' category. As the notes continue to be paid down, such exposure may become more concentrated in each portfolio and could further deteriorate junior credit support. S&P said, "We noted that the class D trustee O/C test failed in HPS Loan Management 3-2014 Ltd., but the trustee O/C levels maintained compliance with test levels as of the latest trustee report for all tranches in HPS Loan Management 2013-2 Ltd." 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." While each class's indicative cash flow results are a primary factor, S&P also incorporate other considerations into its decision to raise, lower, affirm, or limit rating movements. These considerations typically include: -- Whether the CLO is reinvesting or paying down its notes; -- Existing subordination or O/C levels and recent trends; -- The cushion available for coverage ratios and comparative analysis in relation to other CLO classes with similar ratings; -- Forward-looking scenarios for 'CCC' and 'CCC-' rated collateral, as well as collateral with stressed market values; -- Current concentration levels; -- The risk of imminent default or dependence on favorable market conditions to meet obligations; and -- Additional sensitivity runs to account for any of the other considerations. The upgrades primarily reflect the classes' increased credit support due to the senior note paydowns, improved O/C levels, and passing cash flow results at higher rating levels. The downgrades primarily reflect the classes' indicative cash flow results and decreased credit support as a result of principal losses and/or negative migration in portfolio credit quality. S&P said, "The affirmations reflect our view that the available credit enhancement for each respective class is still commensurate with the assigned ratings. "Although our cash flow analysis indicated a different rating for some classes of notes, we took the rating action after considering one or more qualitative factors listed above. "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 list Rating Issuer 232 Class CUSIP To From HPS Loan Management 2013-2 Ltd. A-2R notes 44330DAG5 AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. HPS Loan Management 2013-2 Ltd. B-R notes 44330DAJ9 AAA (sf) AA (sf) Main rationale: Senior note paydowns and passing cash flows. S&P's rating action considered the current credit enhancement level, which is commensurate with the raised rating. HPS Loan Management 2013-2 Ltd. C-R notes 44330DAL4 BBB+ (sf) BBB- (sf) Main rationale: Senior note paydowns, O/C improvement, and passing cash flows. Although S&P's base-case analysis indicated a higher rating, its rating action considered higher than the average 'CCC' and 'D' asset exposure; the current credit enhancement level; pure O/Cs, and the sensitivity results, which is commensurate with the current rating. HPS Loan Management 2013-2 Ltd. D-R notes 44330FAA3 B+ (sf) BB- (sf)/ Watch Neg Main rationale: S&P said, "While our base-case cash flows indicated a lower rating, we limited the downgrade to one notch based on the pure O/C and the existing level of credit enhancement, which aligns with the current rating. Also, the O/Cs are passing and have marginally improved since last rating action." HPS Loan Management 2013-2 Ltd. E-R notes 44330FAC9 CCC- (sf) CCC+ (sf)/ Watch Neg Main rationale: Decline in credit support and increased concentration of 'CCC' and 'D' rated assets. S&P said, "Although the cash flow results pointed to a lower rating than the rating action suggests, we limited the downgrade to two notch based on its pure O/C. At this time, we did not downgrade this class to 'CC' as we don't consider its default to be virtually certain. We believe that aligns with our definition of 'CCC' and is dependent upon favorable business, financial, and economic conditions to meet its financial commitment." HPS Loan Management 3-2014 Ltd. A-2R Notes 40436XAE7 AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. HPS Loan Management 3-2014 Ltd. B-R notes 40436XAG2 AAA (sf) AA (sf) Main rationale: Senior note paydowns and passing cash flows. S&P's rating action considered the current credit enhancement level, which is commensurate with the raised rating. HPS Loan Management 3-2014 Ltd. C-R notes 40436XAJ6 A+ (sf) BBB (sf) Main rationale: Senior note paydowns, O/C improvement, and passing cash flows. Although S&P's base-case analysis indicated a higher rating, its rating action considered higher than the average 'CCC' and 'D' asset exposure; the current credit enhancement level; pure O/Cs, and the sensitivity results, which is commensurate with the current rating. HPS Loan Management 3-2014 Ltd. D-R notes 40436YAA3 B- (sf) B+ (sf)/ Watch Neg Main rationale: S&P said, "While our base-case cash flow results indicated a lower rating, our rating action considered the note's pure O/C and the existing level of credit enhancement, which aligns with the current rating. We do not believe that this tranche aligns with our definition of 'CCC' and is not dependent upon favorable business, financial, and economic conditions to meet its financial commitment." HPS Loan Management 3-2014 Ltd. E-R notes 40436YAC9 CCC- (sf) B- (sf)/ Watch Neg Main rationale: S&P said, "Decline in credit support and increased concentration of 'CCC' and 'D' rated assets. Although the cash flow results pointed to a lower rating than today's rating action suggests, we limited downgrade based on its pure O/C. At this time, we did not downgrade this class to 'CC' as we do not consider its default to be virtually certain. We believe that aligns with our definition of 'CCC' and is dependent upon favorable business, financial, and economic conditions to meet its financial commitment." IP 2025-IP: DBRS Finalizes BB(low) Rating on Class F Certs ---------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-IP (the Certificates) issued by IP 2025-IP Mortgage Trust (IP 2025-IP): -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) All trends are stable. The IP 2025-IP single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in a 1,328-unit Class A apartment complex spanning three 39-story towers with 539 parking spaces and 51,419 square feet (sf) of retail space in Tribeca, New York City. Transaction proceeds of $675.0 million along with $15.0 million of sponsor equity will be used to refinance $675.0 million worth of debt and to cover closing costs. Initially developed in 1975, the property has a current occupancy rate of 93.3% based on the April 17, 2025, rent roll. Originally built in 1975 as part of an affordable housing initiative for lower- and middle-income residents, the property received tax breaks and subsidized mortgages until it exited the program in 2004. Upon exiting the program, the sponsor began renovating the units as they become available; the current tenants that were part of the Landlord Assistance Program (LAP) and those that are receiving Section 8 vouchers are allowed to stay in their units as long as they maintain occupancy and the sponsor has the ability to turn those units to free market-rate units once the residents vacate. Currently, the collateral has a mix of market-rate units, Section 8 voucher tenant units (Section 8), and LAP units. The fair-market units account for 805 units and about 60.6% of the total rentable units, the Section 8 units account for 252 units and about 19.0% of the total units, and the LAP units account for about 267 units and approximately 20.1% of the total units. The remaining four units, or 0.3% of the total rentable units, are nonrevenue employee units. Both the Section 8 voucher units and the LAP units are 100% occupied as of the April 2025 rent roll. The Section 8 tenants are responsible for paying rent up to 30% of their adjusted income with the U.S. Department of Housing and Urban Development paying the difference between the contractual tenant rent and the market rent for the units. Once a tenant vacates a Section 8 unit, it is no longer subject to the Section 8 program and may become a fair-market unit that can be leased at the current market rent. The LAP units are former Mitchell-Lama Housing Program tenants that are enrolled in LAP and are subject to annual rent increases, which track the New York City Rent Guidelines Board index +1%. If a tenant vacates one of the LAP units, the unit is no longer subject to LAP and becomes a fair-market unit. The sponsor's business plan is to renovate all Section 8, LAP, and unrenovated fair-market units upon turnover. In addition to the residential portion of the collateral, there is approximately 51,419 sf of street-facing retail space and 539 parking spaces spread across five separate garages. The largest retail tenant is The Cocoon, which is a family-centered members club that focuses on child growth and development programming and camps; they have two New York City locations, with the other one being on the Upper West Side. The collateral is located in the Tribeca neighborhood of New York City, which is part of the Reis-designated West Village/Downtown submarket. This submarket has historically benefited from low vacancy rates and stable rent trends. As of Q1 2025, the submarket vacancy rate was 3.7%, which shows a slight 0.3% increase since 2024. Since 2020, the submarket has seen a 30.0% rent increase in asking rent per unit to $5,638 from $4,306. In this same period, the vacancy rate has decreased to 3.7% from 5.4%. Furthermore, there is little new construction within the submarket and the vacancy rate is therefore expected to remain somewhat stable. The asking rent seen for properties of a similar vintage (1970-79) of $6,288 per unit is higher than the subject average rent of $5,005 per unit. As the Section 8 and LAP units turn, the sponsor hopes to raise rents to be in line with the market rate. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2016-JP2: Fitch Lowers Rating on Cl. E Certs to CCsf -------------------------------------------------------------- Fitch Ratings has downgraded eight and affirmed three classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 commercial mortgage pass-through certificates (JPMCC 2016-JP2). Fitch assigned Negative Outlooks to classes A-S, B, C, X-A, and X-B following their downgrades. In addition, Fitch has downgraded six and affirmed seven classes of JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP7 Commercial Mortgage Pass-Through Certificates (JPMCC 2017-JP7). Fitch assigned Negative Outlooks to classes C, D, E-RR and X-B following their downgrades. The Outlooks remain Negative for affirmed classes A-S, B and X-A. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2016-JP2 A-3 46590MAQ3 LT AAAsf Affirmed AAAsf A-4 46590MAR1 LT AAAsf Affirmed AAAsf A-S 46590MAV2 LT AA-sf Downgrade AAAsf A-SB 46590MAS9 LT AAAsf Affirmed AAAsf B 46590MAW0 LT A-sf Downgrade AA-sf C 46590MAX8 LT BB-sf Downgrade BBB-sf D 46590MAC4 LT CCCsf Downgrade Bsf E 46590MAE0 LT CCsf Downgrade CCCsf X-A 46590MAT7 LT AA-sf Downgrade AAAsf X-B 46590MAU4 LT A-sf Downgrade AA-sf X-C 46590MAA8 LT CCCsf Downgrade Bsf JPMCC 2017-JP7 A-3 465968AC9 LT AAAsf Affirmed AAAsf A-4 465968AD7 LT AAAsf Affirmed AAAsf A-5 465968AE5 LT AAAsf Affirmed AAAsf A-S 465968AJ4 LT AAAsf Affirmed AAAsf A-SB 465968AF2 LT AAAsf Affirmed AAAsf B 465968AK1 LT AA-sf Affirmed AA-sf C 465968AL9 LT BBB-sf Downgrade A-sf D 465968AM7 LT BB-sf Downgrade BBBsf E-RR 465968AP0 LT B-sf Downgrade BBsf F-RR 465968AR6 LT CCCsf Downgrade Bsf G-RR 465968AT2 LT Csf Downgrade CCCsf X-A 465968AG0 LT AAAsf Affirmed AAAsf X-B 465968AH8 LT BBB-sf Downgrade A-sf KEY RATING DRIVERS Performance and Increased 'B' Loss Expectations: Deal-level 'Bsf' rating case losses have risen since Fitch's prior rating actions on both transactions, increasing to 13.64% from 9.04% in JPMCC 2016-JP2 and to 10.06% from 7.39% in JPMCC 2017-JP7. Fitch Loans of Concern (FLOCs) comprise 12 loans (34.9% of the pool) in JPMCC 2016-JP2, including five loans in special servicing (20.2%) and 10 loans (42.5%) in JPMCC 2017-JP7, including three loans in special servicing (22.0%). Due to the near-term loan maturities in the transactions, 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. JPMCC 2016-JP2: The downgrades in JPMCC 2016-JP2 reflect higher pool loss expectations since Fitch's prior rating action, driven by a significantly lower appraisal value on the Marriott Atlanta Buckhead and updated valuation declines on deteriorating office and retail FLOCs, including both specially serviced loans, as well as higher expected losses on performing FLOCs expected to default at maturity. All but one of the remaining loans mature in 2025 and 2026. FLOCs with elevated losses include the specially serviced 100 East Pratt (6.4%), 650 Poydras (4.3%), specially serviced Hagerstown Premium Outlets (3.6%), specially serviced 700 17th Street (2.5%) and Four Penn Center (2.6%). The downgrades also consider the potential for interest shortfalls. If the pool becomes concentrated with defaulted assets past maturity, principal and interest advancing could become limited or deemed non-recoverable, The Negative Outlooks in JPMCC 2016-JP2 reflect the high office concentration in the pool (38.8%), refinance concerns and the potential for downgrades with continued degradation in values and/or with prolonged workouts for specially serviced loans, including those expected to default at maturity after failing to refinance. JPMCC 2017-JP7: The downgrades in JPMCC 2017-JP7 reflect increased pool loss expectations primarily due to the newly specially serviced Starwood Capital Group Hotel Portfolio loan (9.7%) and continued deterioration in values of specially serviced loans First Stamford Place (9.7%) and Springhill Suites Newark Airport (2.6%). The Negative Outlooks in JPMCC 2017-JP7 reflect the notably high office concentration of 41.7%. There is also potential for downgrades if performance does not stabilize for the office FLOCs, including First Stamford Place, 211 Main Street, Crystal Corporate Center, St. Luke's Office, Apex Fort Washington and Columbus Office Portfolio I. Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action and largest overall contributor to loss in JPMCC 2016-JP2 is the Marriott Atlanta Buckhead loan (6.7%), which is secured by a 10-story, 349-key full-service hotel located approximately 8.5 miles north of Downtown Atlanta in the Buckhead district. The loan initially transferred to the special servicer in January 2021, returned to the master servicer in October 2022, and transferred again to the special servicer in September 2024. A new franchise agreement was executed with Wyndham Hotels, and the Marriott flag is no longer in place as of December 2024. Performance of the hotel has yet to recover from trough performance during the pandemic. The TTM June 2024 NOI was 60% below YE 2019 and remains 53% below the originator's underwritten expectations. Cash flow remains insufficient to cover debt service with TTM June 2024 NOI DSCR of 0.92x, an improvement from 0.28x as of YE 2023 but below YE 2019 NOI DSCR of 2.72x. Fitch's 'Bsf' ratings case loss of 57% reflects a discount to a recent appraisal value which equates to a stressed value of approximately $71,400 per key. The recent appraisal value reflects a 35% decline from the prior appraisal and is a 62% decline from the appraisal at issuance. The second largest increase in loss expectations since the prior rating action and the third largest contributor to overall losses in JPMCC 2016-JP2 is the 100 East Pratt (6.4%) loan. The loan is secured by a 28-story, 662,708 sf, LEED Silver certified office in downtown Baltimore, MD and transferred to special servicing in May 2025. Occupancy has declined substantially with the departure of the largest tenant, T Rowe Price (67% of NRA), which exercised a termination option and vacated at the end of April 2025. As of the May 2025 remittance, the reserve balance totaled $42.9 million (approximately $65 psf) collected as a result of a cash trap and termination fees. The second largest tenant, PwC (5.5% of NRA) with lease expiration in April 2030, has also expressed intentions to vacate their space in 2026 and is expected to market their space for sublease. Following the departure of T Rowe Price, overall occupancy declined to 23.5%, and cash flow is projected to be insufficient to meet debt service obligations. Fitch's 'Bsf' rating case loss of 32% (prior to concentration add-ons) reflects a 10% cap rate, 60% stress to the YE 2024 NOI and increased probability of default due to the specially serviced status, departure of the largest tenant and anticipated decline in cashflow. While reserves may be deployed to re-tenant vacant space, it is not expected to fully mitigate losses given the substantial vacancy and significant capital required to stabilize performance. The third largest increase in loss expectations since the prior rating action in JPMCC 2016-JP2 is the 650 Poydras loan (4.3%), secured by a 453,255-sf office building located in the CBD of New Orleans, LA. As of the May 2025 remittance the loan remains current. Occupancy as of March 2025 was 78% with NOI DSCR of 1.77x in-line with performance at YE 2024. YE 2024 NOI has improved 3.8% from YE 2023 but remains 5.8% below the originator's underwritten expectations. In addition, the property has exposure to the GSA as the largest tenant occupying 14% of the NRA with lease expiration in February 2026. The property serves as the Eastern District of Louisiana location for the Department of Justice. Fitch's 'Bsf' rating loss of 15% (prior to concentration add-ons) reflects a 25% stress to the YE 2024 NOI due to GSA exposure and near-term rollover, a cap rate of 10%. It also factors in a higher probability of default to account for refinance concerns. In JPMCC 2017-JP7, the Starwood Capital Hotel Portfolio loan (9.7% of the pool) represents the largest increase in expected losses since Fitch's prior rating action and is the second largest driver of overall loss. The loan is secured by a portfolio comprised of 65 hotels totaling 6,370 keys located across 21 states. The loan transferred to special servicing in March 2025 for imminent maturity default. The servicer is actively negotiating modification terms with the borrower, Starwood Capital Group. The loan is paid through May 2025 and has remained current since issuance. Portfolio performance continues to lag post-pandemic. The YE 2023 NOI is 37% below YE 2019 and 26% below the Fitch issuance NCF. The servicer-reported portfolio NOI DSCR was 1.61x as of September 2024, a decline from 1.72x at YE 2023, 1.98x at YE 2022 and 1.62x at YE 2021. Total average portfolio occupancy, ADR, and RevPAR was 66%, $121, and $79, respectively, as of the TTM ended September 2024 compared to 54%, $92, and $49 at YE 2020 and 74%, $116, and $86 at YE 2019. Fitch's 'Bsf' rating case loss of 27% (prior to concentration add-ons) reflects an 11.50% cap rate to the YE 2023 NOI, and heightened probability of default as the loan transferred to special servicing. Fitch's 'Bsf' rating case loss for this loan at the prior rating action was 4.8%. The second largest increase in loss expectations since the prior rating action and the overall largest contributor to loss in JPMCC 2017-JP7 is First Stamford Place (9.7%), which is a three-building suburban office property totaling 810,471-sf located in Stamford, CT. The asset transferred to special servicing in December 2023 and became REO in March 2025. While occupancy improved to 79% as of March 2024 from 75% at YE 2023, it remains well-below issuance occupancy of 91%. Cash flow has deteriorated significantly, with YE 2023 NOI down 49.8% from the originator's underwritten NOI at issuance. As of March 2024, the servicer-reported NOI DSCR was 1.96x, compared with 1.91x as of YE 2022. Per Costar as of 1Q25, the Stamford office submarket reported a high vacancy and availability rate 24.3% and 25.1%, respectively. Fitch's 'Bsf' rating case loss of 39% (prior to concentration adjustments) reflects a discount to a recent appraisal value, reflecting a recovery value of $123 psf. The third largest loss contributor to loss in JPMCC 2017-JP7 is the Springhill Suites Newark Airport (2.6% of the pool), a 200-room limited-service hotel in Newark, NJ. The asset transferred to special servicing in June 2020 and has been REO since March 2023. As of TTM February 2025, the property had reported occupancy, ADR and RevPAR of 83%, $147, and $121 which compares with issuance metrics of 92%, $118, and $108 reported as of TTM March 2017. As of YTD June 2024 the hotel reported an NOI DSCR of 0.46x a decline from 0.85x as of YE 2023. Fitch's 'Bsf' ratings case loss of 48% reflects a discount to a recent appraisal value which equates to a recovery value of approximately $42,000 per key. Changes in Credit Enhancement (CE): As of the May 2025 distribution date, the aggregate pool balances of the JPMCC 2016-JP2 and JPMCC 2017-JP7 transactions have been paid down by 20.9% and 23.6%, respectively, since issuance. The JPMCC 2016-JP2 transaction has 10 fully defeased loans (23.7% of the pool) and JPMCC 2017-JP7 has seven (17.0%) fully defeased loans. Cumulative interest shortfalls of $3.27 million are affecting classes E, F and the non-rated class NR in JPMCC 2016-JP2, and $1.4 million are affecting class G-RR and the non-rated class NR-RR in JPMCC 2017-JP7. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades of the senior 'AAAsf' rated classes are not likely due to their high CE, senior position in the capital structure and expected continued increasing CE from amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades of the junior 'AAAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur or are expected to occur. Downgrades of classes rated in the 'AAsf' and 'Asf' categories that have Negative Outlooks may occur should performance of the FLOCs deteriorate further or if more loans than expected default at or prior to maturity. The FLOCs include Marriott Atlanta Buckhead, 100 East Pratt, 650 Poydras, Hagerstown Premium Outlets, 700 17th Street, Four Penn Center, RC Shoppes, Waltonwood at University, Decatur Crossing, 417-425 North Eighth Street, 2000 Glades Rd, Best Western Plus Austin Central in JPMCC 2016-JP2, and Starwood Capital Group Hotel Portfolio, First Stamford Place, 211 Main Street, Crystal Corporate Center, Porter's Vale Shopping Center, Springhill Suites Newark Airport, Apex Fort Washington, Columbus Office Portfolio I, Professional Centre at Gardens Mall, Siete Square I in JPMCC 2017-JP7. Downgrades of the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades of the distressed ratings would occur if additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' categories may occur if CE significantly increases from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the classes rated in the 'BBBsf' category would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to classes rated in the 'BBsf' and 'Bsf' categories are not likely until the later years of the 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 likely but are 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. JP MORGAN 2021-1MEM: DBRS Confirms B Rating on Class E Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-1MEM issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-1MEM as follows: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (low) (sf) -- Class C at BBB (sf) -- Class D at BB (low) (sf) -- Class E at B (sf) -- Class HRR at B (low) (sf) Morningstar DBRS maintained Negative trends on all Classes. The credit rating confirmations reflect Morningstar DBRS' outlook on the transaction, which is unchanged since last review, as collateral performance remains in line with expectations. During its previous review in July 2024, Morningstar DBRS downgraded its credit ratings on Classes C, D, E, and HRR as a result of the downward pressure implied by the loan-to-value (LTV) sizing benchmarks following updates to the Morningstar DBRS analysis. These updates were made to capture the observed secular shift in use and demand for office space, as well as the upcoming departure of the largest tenant at the collateral property, InterSystems Corporation (InterSystems; 58.5% of net rentable area (NRA)), which will vacate its space in June 2025. The implied LTV is based on the updated Morningstar DBRS value of $388.2 million, and the trust debt is 106.7%. As InterSystems has yet to vacate the property, occupancy remains unchanged at 98.5%, per the March 2025 rent roll. The loan structure provides for a cash flow sweep to be initiated in certain circumstances involving the InterSystems lease, which was activated in December 2023. InterSystems was required to pay a termination fee, which together with the cash flow sweep, amounts to $55.4 million per the June 2025 reporting. This is primarily as a result of the fees collected as part of from InterSystems' termination option, which have nearly doubled since last review to $22.7 million. While this is a positive development, Morningstar DBRS continues to view the execution risk of such a large lease-up as significant, particularly in the current environment. The property, however, benefits from its location adjacent to the Massachusetts Institute of Technology (MIT) campus and institutional sponsorship, which appears committed to re-tenanting the building. Only one lease (6.2% of NRA) has been signed in the 18 months since InterSystems' notice of termination, with no other prospective tenants known to the servicer as of the date of this press release. Given the unknowns regarding the leasing momentum and general demand for the space to be vacated, Morningstar DBRS has maintained Negative trends on all classes. The collateral for the underlying loan is One Memorial Drive, a Class A, 17-story office building totaling 409,422 square feet (sf) adjacent to the MIT campus in Cambridge, Massachusetts. The property includes a five-story, approximately 300-stall parking garage, and amenities include a fitness center, full-service cafe, on-site Blue Bike station, electric vehicle chargers, and bike storage. The property was built in 1985 and renovated in 2018, with approximately $49.0 million spent on capital improvements, including elevator modernizations, HVAC upgrades, roof replacements, and tenant improvements for the two largest tenants. Sponsorship is provided by Metropolitan Life Insurance Company and Norges Bank Investment Management. Whole-loan proceeds of $414.0 million include six pari passu senior notes with an aggregate initial principal balance of $299.3 million and one junior note with an initial principal balance of $114.7 million. The subject transaction totals $255.8 million and consists of one senior note with a principal balance of $141.5 million and the junior note. The remaining notes are securitized in the BMARK 2021-B30 ($95.0 million) and BMARK 2021-B31 ($63.2 million) transactions, neither of which are rated by Morningstar DBRS. The loan is interest-only (IO) throughout its 10-year term with a scheduled maturity in October 2031. The second largest tenant is Microsoft Corporation (Microsoft; 38.3% of NRA; lease expiration in June 2028), which has been in occupancy since 2007 and has one 10-year extension option remaining. The tenant has no termination options available. Collectively, InterSystems and Microsoft represent 96.7% of the NRA. As noted above, the borrower has signed one lease with MIT for the entire second floor (25,298 sf) on a 10-year term beginning January 2026. The tenant will pay an initial rate of $96.00 per square foot (psf), significantly higher than the market rate InterSystems is currently paying at $76.25 psf. MIT will receive 10 months of free rent and a tenant improvement package of $120.00 psf. According to Q1 2025 Reis data, office properties in the Cambridge/Charlestown/Somerville submarket reported an average asking rental rate of $59.50 psf with vacancy at 11.9%, a minimal change since Q1 2024. Coinciding with InterSystem's departure, 213,000 sf of space is currently listed as available on the property's website. As of YE2024, the loan reported a net cash flow (NCF) of $30.7 million (a debt service coverage ratio of 2.72 times), in line with historical reporting. In its analysis for this review, Morningstar DBRS maintained the stabilized NCF of $25.2 million derived at last review, which considered the departure of InterSystems and gave credit to the expected sum of reserves upon its departure, re-leasing the space to market, less the associated MIT leasing costs. Using a 6.5% capitalization rate, which was in line with other assets in the market, Morningstar DBRS determined a stabilized value of $388.2 million, reflecting a haircut of 53.1% from the issuance value of $828.0 million. Morningstar DBRS maintained positive qualitative adjustments to the LTV sizing benchmarks totaling 5.0%, to reflect the desirable property quality and location along the MIT campus within a strong submarket. The Morningstar DBRS value and implied LTV result in moderate downward pressure across the capital stack, further supporting the Negative trends as outlined above. The Morningstar DBRS credit ratings assigned to Classes A, B, C, and E are higher than the results implied by the LTV sizing benchmarks. These variances are warranted given the loan structure, as termination fees and cash sweep have collected sufficient funds to re-lease the property, coupled with the property's location adjacent the MIT campus in a strong market characterized by low vacancy and limited construction of new product, and an institutional loan sponsor that appears committed to re-tenanting the property. In addition, the updated Morningstar DBRS value indicates that the debt service coverage would remain above breakeven for the investment-grade rated classes, should leasing momentum continue to be slow. Morningstar DBRS also considered a dark value in excess of $390.0 million, which suggests a recovery for those same classes should the loan default and the servicer ultimately liquidate the asset; however, Morningstar DBRS maintained Negative trends on these classes, given the increase risks from issuance and will continue to monitor the leasing progress. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2025-VIS2: S&P Assigns B- (sf) Rating on Cl. B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to J.P. Morgan Mortgage Trust 2025-VIS2's mortgage pass-through certificates series 2025-VIS2. 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, and two- to four-family residential properties. The pool consists of 1,510 business-purpose investment property loans, which are all ability-to-repay-exempt loans. The preliminary ratings are based on information as of June 24, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and reviewed originators; and -- S&P said, "Our economic outlook, which considers our 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(i) J.P. Morgan Mortgage Trust 2025-VIS2 Class A-1A, $224,592,000: AAA (sf) Class A-1B, $38,690,000: AAA (sf) Class A-1, $263,282,000: AAA (sf) Class A-2, $33,660,000: AA- (sf) Class A-3, $42,365,000: A- (sf) Class M-1, $19,151,000: BBB- (sf) Class B-1, $14,122,000: BB- (sf) Class B-2, $9,286,000: B- (sf) Class B-3, $5,029,707 NR Class A-IO-S, notional(ii): NR Class XS, notional(iii): NR Class A-R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal and do not address payment of the cap carryover amounts. (ii)The notional amount equals the aggregate stated principal balance of the mortgage loans serviced by Newrez LLC doing business as Shellpoint Mortgage Servicing, and Selene Finance L.P., as of the cutoff date. (iii)The notional amount equals the aggregate stated principal balance of loans in the pool as of the cutoff date. NR--Not rated. N/A--Not applicable. LCCM 2017-LC26: Fitch Affirms 'Bsf' Rating on Class E Certificates ------------------------------------------------------------------ Fitch Ratings has affirmed all 12 classes of LCCM 2017-LC26 Mortgage Trust commercial mortgage pass-through certificates. Following their affirmations, the Rating Outlooks for classes D, E, and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- LCCM 2017-LC26 A-3 50190DAG1 LT AAAsf Affirmed AAAsf A-4 50190DAJ5 LT AAAsf Affirmed AAAsf A-S 50190DAS5 LT AAAsf Affirmed AAAsf A-SB 50190DAE6 LT AAAsf Affirmed AAAsf B 50190DAU0 LT AA-sf Affirmed AA-sf C 50190DAW6 LT A-sf Affirmed A-sf D 50190DAY2 LT BBsf Affirmed BBsf E 50190DBA3 LT Bsf Affirmed Bsf F 50190DBC9 LT CCCsf Affirmed CCCsf X-A 50190DAL0 LT AAAsf Affirmed AAAsf X-B 50190DAN6 LT A-sf Affirmed A-sf X-D 50190DAQ9 LT BBsf Affirmed BBsf KEY RATING DRIVERS Stable 'B' Loss Expectations: The affirmations reflect generally stable deal-level 'Bsf' rating case loss for the transaction of 6.2%, down slightly from 6.3% at Fitch's prior rating action, primarily due to better than expected recovery from loan liquidations and defeasance of loans previously contributing to losses, which offset performance deterioration of certain Fitch Loan's of Concern (FLOCs). The FLOCs comprise eight loans (30.5%), including two loans (10.7% of the pool) in special servicing. The Negative Outlooks for classes D, E, and X-E reflect the high concentration of office loans (32.9% of the pool) and exposure to loans in special servicing (10.7%), namely the Regions Center and Bank Tower (7.4% of the pool) and Hilton Garden Inn Corvallis (3.4%). The outlooks also reflect the potential for further downgrades should performance of the FLOCs, including Marriott LAX (11.7%), Wilmington Hotel Portfolio (2.8%), 3295 River Exchange (1.7%), and 4424 N. Broad Street (1.5%), does not stabilize and/or workouts for the specially serviced loans are prolonged, leading to higher-than-expected losses. Largest Loss Contributors: The largest contributor to overall loss expectations and the largest increase in loss expectations since the prior rating action is The Regions Center and Bank Tower (7.4%), which is secured by a 492,394-sf office property located in Shreveport, LA. The loan was transferred to special servicing in July 2024 due to imminent monetary default and a receiver was subsequently appointed in September 2024. As of September 2024, the building's occupancy declined to 71.7%, due to Regions Bank — the largest tenant — downsizing from 13.4% to 6.4% of the NRA, concurrent with a lease extension through August 2029. Consequently, the NOI DSCR has decreased to 1.20x at TTM September 2024, down from 1.36x at YE 2023. In addition, rollover includes 12.7% of the NRA in 2024 and 12.2% in 2026. Fitch's 'Bsf' ratings case loss of 36.1% (prior to concentration adjustments), reflects a 20% stress to TTM September 2024 NOI and an increased probability of default to account for the expected decline in occupancy, rollover risk and cash flow deterioration. The largest loan in the pool and the second largest contributor to loss expectations is the Marriot LAX (11.7% of the pool), secured by a 1,004 key full-service hotel located in close proximity to the Los Angeles Airport. While performance has recovered from the trough of the pandemic, YE 2024 NOI remains 32.6% below the originator's underwritten NOI from issuance. The decline in operating income is due to an 18.4% increase in operating expenses, most notably from a 50.7% increase in real estate taxes and a 39.1% increase in utilities in addition to higher R&M, franchise fees and G&A expenses. The YE 2024 NOI DSCR was 1.42x which compares with 1.83x as of YE 2019 and 2.10x at issuance. Due to the sustained performance declines, Fitch's 'Bsf' ratings case loss of 5.2% (prior to concentration adjustments) reflects an 11.25% cap rate and a 10% stress to the YE 2024 NOI. The second largest increase in loss expectations since the prior rating action is the 4424 N. Broad Street (1.5%) loan, secured by a 38,234-sf retail property located in Philadelphia, PA. The loan was identified as a FLOC due to concentrated rollover in 2026. While the property was fully occupied as of YE 2024, 76.4% of the tenancy is due to roll in the first half of 2026. According to Costar, 19.6% of the NRA has been listed as available starting in October 2025. The YE 2024 NOI DSCR was 1.58x, a slight improvement from 1.51x at YE 2023. Fitch's 'Bsf' ratings case loss of 10.9% reflects a 9% cap rate and a 15% stress to the YE 2023 NOI in addition to an increased probability of default due to the loan's heightened maturity default concerns. Increased Credit Enhancement (CE): As of the June 2025 remittance report, the pool's aggregate balance has been reduced by 27.1% to $455.98 million from $625.7 million at issuance. Ten loans (27.1% of the pool) have fully defeased. Cumulative interest shortfalls of $396,178 are affecting class G and the VRR class. There are 29 loans (28.5% of the pool) that are full-term interest only (IO) and 22 loans (71.5%) that are currently amortizing. While all the loans have a maturity in 2027, maturities are concentrated in the second quarter of 2027 (78.4% of loans). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 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 the junior 'AAAsf' rated classes could occur with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories may occur should performance of the FLOCs deteriorate further or if more loans than expected default at or prior to maturity. These FLOCs include Regions Center and Bank Tower, Hilton Garden Inn Corvallis, Marriott LAX, Wilmington Hotel Portfolio, 4424 N. Broad Street, 3295 River Exchange and the Telegraph Plaza Shopping Center. Downgrades for classes in the 'BBBsf', 'BBsf' and 'Bsf' categories, all of which have Negative Outlooks, 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 with additional transfer of loans 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 the 'AA-sf' and 'A-sf' rated classes would occur with continued improvements in CE and/or defeasance combined with stable to improving pool performance. Upgrades to classes rated in the 'BBBsf' category would be limited due to sensitivity to concentration risks or potential future concentrations. Such upgrades would only be considered if there is sustained improved performance of the FLOCs, particularly for the office loans Regions Center and Bank Tower, along with the expectation of refinancing for the Bank of America Office Campus Buildings 200-500 and Peoples Center. Upgrades to the 'BBsf' and 'Bsf' rated classes are unlikely and would not occur until later years of the transaction and would require improving performance of the FLOCs or loans in special servicing. Upgrades to distressed rated classes are unlikely unless there are better than expected recoveries on loans in special servicing 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. LENDINGCLUB 2025-P1: Fitch Assigns 'Bsf' Rating on Class F Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the ABS issued by LendingClub Rated Notes Issuer Trust Series 2025-P1 (LENDR 2025-P1) as listed below. Entity/Debt Rating ----------- ------ LENDR 2025-P1 A LT AA+sf New Rating B LT AA-sf New Rating C LT A-sf New Rating D LT BBBsf New Rating E LT BBsf New Rating F LT Bsf New Rating Transaction Summary LendingClub Bank (LendingClub) is the sponsor of the transaction. LendingClub established the LendingClub Rated Notes Issuer Trust, a master trust, to facilitate the issuance of series notes, certificates and retained interests. Series LENDR 2025-P1 is a new series issuance out of this larger master trust. The LENDR 2025-P1 trust is backed by a static pool of unsecured consumer loans originated by LendingClub. KEY RATING DRIVERS Solid Receivable Quality: The LENDR 2025-P1 pool consists of 100% prime loans categorized by LendingClub's internal risk grades: P1 (49.99%), P2 (31.26%) and P3 (18.76%). P1 represents the highest credit quality/lowest risk, followed by P2 and P3. The LENDR 2025-P1 pool has a weighted average (WA) FICO score of 722.4; 27.85% of the borrowers have a FICO below 700, with a minimum FICO of 662. The obligors in the pool have a WA debt-to-income ratio (DTI) of 19.70%. The WA interest rate of the pool is 12.27%, and the pool has a WA remaining term of 48.45 months with close to negligible seasoning. Stabilizing Default Rate Trends: LendingClub's go-forward approved default rates for its prime loan portfolio (P1, P2 and P3 risk grades), which collateralizes the capital structure, began to increase early in vintage year 2021 and saw a notable rise by vintage year 2022. The cumulative gross default (CGD) rate in vintage 1Q21 was approximately 4.9% and peaked at approximately 9.6% in vintage 2Q22. However, since initiating corrective measures that included cutting originations to higher-risk grades, performance in subsequent 2023 vintages has been improving qoq. Fitch's WA base case default assumption (the default assumption) for LENDR 2025-P1 is 10.80%. The default assumption was established based on data stratified by LendingClub's proprietary risk grade and loan term. In setting the expected case (default assumption), Fitch considered performance trends from vintage year 2021 and recognized the improving default curves in vintage year 2023 and continuing in 2024. Credit Enhancement Mitigates Stressed Losses: Credit enhancement (CE) consists of overcollateralization (OC) and subordination for the senior tranche. Initial hard CE totals 33.4%, 28.8%, 18.9%, 14.8%, 6.9% and 4.18% for class A, B, C, D, E and F notes, respectively. Although the transaction does not have a reserve account, initial CE is sufficient to cover Fitch's stressed cash flow assumptions for all classes. Fitch applied a 'AAAsf' rating stress of 4.25x the base case default rate for prime loans. The stress multiples decrease for lower rating levels, according to Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history for the loans, WA borrower FICO scores and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Adequate Servicing Capabilities: LendingClub has a strong track record of servicing consumer loans since launching its online lending marketplace platform in 2007. LendingClub performs pre-charge-off loan servicing activities in-house, along with outsourcing post-charge-off activities to third parties. The bank is the lead servicer on all its securitization transactions. The trust has assigned CardWorks Servicing, LLC as the back-up servicer. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or charge-offs could produce loss levels higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case default assumption an additional 10%, 25%, and 50% and examining rating implications. These increases of the base case default rate are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flow and loss coverage levels over the life of the investments under higher than initial base case default assumptions. Fitch models cash flow with the revised default estimates while holding constant all other modeling assumptions. Current Ratings: 'AA+sf'/'AA-sf'/'A-sf'/'BBBsf'/'BBsf'/'Bsf'. Rating sensitivity to increased defaults (class A/class B/class C/class D/class E/class F): Increased default base case by 10%: 'AA-sf'/'A+sf'/'BBB+sf'/'BBB-sf'/'Bsf'/'CCCsf'; Increased default base case by 25%: 'A+sf'/'Asf'/'BBBsf'/'BB+sf'/'CCCsf'/'NRsf'; Increased default base case by 50%: 'A-sf'/'BBB+sf'/'BB+sf'/'BBsf'/'NRsf'/'NRsf'. Rating sensitivity to reduced recovery (class A/class B/class C/class D/class E/class F): Reduced recovery base case by 10%: 'AAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; Reduced recovery base case by 25%: 'AAsf'/'A+sf'/'BBB+sf'/'BBB-sf'/'B+sf'/'CCCsf'; Reduced recovery base case by 50%: 'AAsf'/'A+sf'/'BBB+sf'/'BBB-sf'/'B+sf'/'CCCsf'. Rating sensitivity to increased defaults and reduced recovery (class A/class B/class C/class D/class E/class F): Increased default base case by 10% and reduced recovery base case by 10%: 'AA-sf'/'A+sf'/'BBB+sf'/'BBB-sf'/'Bsf'/'CCCsf'; Increased default base case by 25% and reduced recovery base case by 25%: 'A+sf'/'A-sf'/'BBB-sf'/'BBsf'/'CCCsf'/'NRsf'; Increased default base case by 50% and reduced recovery base case by 50%: 'A-sf'/'BBBsf'/'BB+sf'/'B+sf'/'NRsf'/'NRsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by steady delinquencies, would increase CE levels and lead to a potential upgrade. If defaults are 20% lower than the projected base case default rate, the expected ratings for the class B and C notes could be upgraded by up to one or two notches, respectively. Rating sensitivity from decreased defaults (class A/class B/class C/class D/class E/class F): Current Ratings: 'AA+sf'/'AA-sf'/'A-sf'/'BBBsf'/'BBsf'/'Bsf'. Decreased default base case by 20%: 'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'BBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on a comparison and recalculation of certain characteristics with respect to 100 randomly selected statistical receivables. Fitch considered this information in its analysis, and the findings did not have an impact on its analysis. 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. LOANCORE 2021-CRE5: DBRS Confirms B Rating on Class G Notes ----------------------------------------------------------- DBRS, Inc. upgraded credit ratings on four classes issued by LoanCore 2021-CRE5 Issuer Ltd. as follows: -- Class B Secured Floating Rate Notes to AAA (sf) from AA (sf) -- Class C Secured Floating Rate Notes to AA (sf) from A (high) (sf) -- Class D Secured Floating Rate Notes to A (sf) from BBB (sf) -- Class E Secured Floating Rate Notes to BBB (high) (sf) from BBB (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A Senior Secured Floating Rate Notes at AAA (sf) -- Class A-S Secured Floating Rate Notes at AAA (sf) -- Class F Floating Rate Notes at BB (sf) -- Class G Floating Rate Notes at B (sf) All trends are Stable. The credit rating upgrades are reflective of the increased credit support to the bonds as a result of additional collateral reduction following the previous Morningstar DBRS credit rating action in May 2025. Over the past two reporting periods, the Kimpton Hotel Eventi loan, with a former trust balance of $73.0 million, was paid in full, and the 619 & 701 Ocean Front Walk loan, with a former trust balance of $1.8 million, was repurchased from the trust by the collateral manager. The credit rating upgrades are further supported by Morningstar DBRS' expectation of additional loan repayment in the near term, based on updated performance metrics provided by the collateral manager. This includes the largest loan in the pool, The Paragon at Kierland ($91.0 million) and the Magnolia at Crestview loan ($47.0 million) as the borrowers of both loans have achieved property stabilization prior to their respective loan maturity in June 2025. The credit rating confirmations reflect the majority of outstanding borrowers continue to progress with the stated business plans as well as the increased credit support to the bonds. While select loans have exhibited performance concerns, Morningstar DBRS expects the lender and the borrowers of these loans to negotiate loan modifications to extend maturity dates, if necessary. Any loan modifications would likely require additional equity infusions from borrowers in the form of principal curtailments, the purchase of new interest rate cap agreements, or deposits into existing reserve accounts. The transaction also benefits from a concentration of loans secured by multifamily collateral, totaling 14 loans and 72.4% of the current trust balance. Multifamily properties have historically exhibited the ability to better maintain property cash flow and asset value. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us info-DBRS@morningstar.com. At issuance, the initial collateral consisted of 20 floating-rate mortgages or pari passu participation interests in mortgage loans secured by 45 mostly transitional properties with a cut-off balance of $909.6 million. As of the May 2025 remittance, the pool comprised 20 loans secured by 21 properties, with a cumulative trust balance of $768.0 million, representing collateral reduction of 25.8% since issuance. Beyond the multifamily concentration noted above, two loans, representing 12.1% of the current trust balance, are secured by mixed-use properties. The transaction benefits from minimal exposure to office assets as only one loan, representing 4.2% of the current trust balance, is secured by an office property. In comparison with the June 2024 reporting, office properties represented 3.8% of the collateral, while multifamily properties represented 65.9% of the collateral, and mixed-use properties represented 13.2% of the collateral. Leverage across the pool has increased from issuance, with a current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) of 79.4%, up from 72.1% at issuance. Similarly, the WA as-stabilized LTV has also increased to 69.0% from 64.2% at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 and 2022 and may not reflect the current rising interest rate or widening capitalization rate environments. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments across 14 loans, representing 81.5% of the current trust balance, generally reflective of higher cap rate assumptions compared with the implied cap rates based on the appraisals. Through May 2025, the lender had advanced cumulative loan future funding of $48.3 million to 11 of the outstanding individual borrowers to aid in property stabilization efforts. The largest future funding advances have been made to the borrowers of The Beacon La Costa (Prospectus ID#29; 7.2% of the current pool; $10.0 million), Crown Court Apartments (Prospectus ID#40; 6.8% of the current pool; $9.0 million), and Eaton Canyon Tech Center (Prospectus ID#37; 4.2% of the current pool; $8.2 million) loans. The Beacon La Costa loan is secured by a mixed-use property in Carlsbad, California; the Crown Court Apartments loan is secured by a multifamily property in Scottsdale, Arizona, and the Eaton Canyon Tech Center loan is secured by an office property in Pasadena, California. The borrowers of these loans have used loan future funding for capital improvement projects and to fund leasing costs. An additional $11.1 million of loan future funding allocated to six individual borrowers remains available. The largest portions of the available funds, $4.4 million and $3.4 million, are allocated to the borrowers of the Eaton Canyon Tech Center and The Beacon La Costa loans, respectively. As of the May 2025 remittance, one loan, representing 2.0% of the current trust balance, is in special servicing. The loan, 1900 West Lawrence Avenue, is secured by a mixed-use property consisting of 59 residential units and 19,000 square feet of retail space in Chicago. The $32.0 million senior loan ($15.5 million trust loan) initially matured in July 2023 but did not transfer to special servicing until December 2023. The loans remain delinquent on monthly debt service payments since May 2024 and according to the Q1 2025 report provided by the collateral manager, a receiver has been appointed with a resolution strategy to sell the asset. As of March 2025, the multifamily portion of the collateral was 94.9% occupied and the commercial component 100% occupied with DeVry University occupied 17,306 sf on a lease expiring in November 2030. The property reported a trailing 12-month (T-12) ended March 31, 2025, amount of $1.8 million. The property has not been appraised since loan closing when it was valued at $41.7 million. In its analysis, Morningstar DBRS applied a stressed cap rate to the T-12, ended March 31, 2025, cash flow to derive an updated property value and liquidated the loan from the pool. Including all outstanding advances and additional projected advances, the resulting implied loss severity on the loan is in excess of 30.0% or $5.0 million. Seven loans, representing 36.0% of the current trust balance, are on the servicer's watchlist. The loans are flagged for below breakeven operating performance or upcoming/past maturity dates. Through YE2025, 15 loans, representing 79.7% of the cumulative trust loan balance, have scheduled maturity dates. Eleven of these loans (61.3% of the current trust balance) have remaining extension options, which Morningstar DBRS expects will be exercised with or without loan modifications if borrowers cannot successfully execute exit strategies. Regarding the remaining four loans, Morningstar DBRS expects the lender and borrowers will negotiate loan modifications to extend the respective maturity dates. Through Q1 2025, 17 loans, representing 83.9% of the current trust balance, have been modified. The terms of the individual loan modifications vary and have included the waiver of performance-based tests to exercise maturity extensions, the requirement to purchase new interest rate capitalization agreements, changes to interest rate structures and reallocations of loan future funding dollars. Loan modifications have often required additional equity commitments from borrowers in the form of upfront principal curtailments, deposits into reserve accounts and/or increased loan payments guarantees. 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. LONG POINT: Moody's Affirms Ba2 Rating on $11.5MM Cl. D-1 Notes --------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Long Point Park CLO, Ltd.: US$43.75M Class B Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Nov 1, 2024 Upgraded to Aa1 (sf) US$37.5M Class C Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Nov 1, 2024 Upgraded to Baa2 (sf) Moody's have also affirmed the ratings on the following notes: US$367.5M (Current outstanding amount US$16,144,681) Class A-1a Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 28, 2017 Definitive Rating Assigned Aaa (sf) US$25.5M Class A-1b Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 28, 2017 Definitive Rating Assigned Aaa (sf) US$54.75M Class A-2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 2, 2024 Upgraded to Aaa (sf) US$11.5M Class D-1 Secured Deferrable Floating Rate Notes, Affirmed Ba2 (sf); previously on Dec 28, 2017 Definitive Rating Assigned Ba2 (sf) US$11.5M Class D-2 Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Dec 28, 2017 Definitive Rating Assigned Ba3 (sf) Long Point Park CLO, Ltd., issued in December 2017, is a collateralised loan obligation (CLO) backed by a portfolio of of broadly syndicated senior secured corporate loans. The portfolio is managed by Blackstone CLO Management LLC. The transaction's reinvestment period ended in January 2023. RATINGS RATIONALE The rating upgrades on the Class B and C notes are primarily a result the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in November 2024. The affirmations on the ratings on the Class A-1a, A-1b, A-2, D-1 and D-2 notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The senior notes have paid down by approximately USD78.7 million (21.4%) since the last rating action in November 2024 and USD351.4 million (95.6%) 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 226.5%, 155.8%, 122.9% and 108.8% compared to October 2024[2] levels of 163.3%, 133.3%, 115.1% and 106.2%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. 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 methodologies 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: USD222.1 million Defaulted Securities: USD0.7 million Diversity Score: 41 Weighted Average Rating Factor (WARF): 3305 Weighted Average Life (WAL): 3.0 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.2% Weighted Average Recovery Rate (WARR): 46.7% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into 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'. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. MARINER FINANCE 2024-A: DBRS Confirms BB(low) Rating on E Notes --------------------------------------------------------------- DBRS, Inc. confirmed ten credit ratings from two Mariner Finance Issuance Trust transactions. Mariner Finance Issuance Trust 2024-A -- Class A Notes AAA (sf) Confirmed -- Class B Notes AA (low)(sf) Confirmed -- Class C Notes A (low)(sf) Confirmed -- Class D Notes BBB (low) (sf) Confirmed -- Class E Notes BB(low) (sf) Confirmed Mariner Finance Issuance Trust 2024-B -- Class A Notes AAA (sf) Confirmed -- Class B Notes AA (low)(sf) Confirmed -- Class C Notes A (sf) Confirmed -- Class D Notes BBB (sf) Confirmed -- Class E Notes BB (sf) Confirmed The rationale for the rating recommendation considers the following factors: -- Mariner Finance Issuance Trust 2024-A and Mariner Finance Issuance Trust 2024-B are currently within the initial revolving terms. -- The collateral performance to date and Morningstar DBRS' assessment of future performance. -- The transaction parties' capabilities with regard 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: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (April 10, 2025). MISSION LANE 2025-B: Fitch Assigns 'B(EXP)sf' Rating on Cl. F Notes ------------------------------------------------------------------- Fitch Ratings expects to assign ratings to six classes of Mission Lane Credit Card Master Trust (MLCCMT), Series 2025-B, fixed-rate notes. The notes are backed by a revolving pool of receivables that arise under general purpose, consumer Visa credit card accounts originated and owned by Transportation Alliance Bank, Inc. (dba TAB Bank) and WebBank (both partner banks and account owners), and serviced by Mission Lane LLC (Mission Lane). These are Fitch's inaugural ratings of the credit card receivables-backed notes issued by MLCCMT. The Rating Outlook for the notes is Stable. Entity/Debt Rating ----------- ------ Mission Lane Credit Card Master Trust, Series 2025-B Class A LT AAA(EXP)sf Expected Rating Class B LT AA(EXP)sf Expected Rating Class C LT A(EXP)sf Expected Rating Class D LT BBB(EXP)sf Expected Rating Class E LT BB(EXP)sf Expected Rating Class F LT B(EXP)sf Expected Rating KEY RATING DRIVERS Receivables' Performance and Collateral Characteristics: Underlying collateral characteristics play a vital role in the performance of a credit card ABS transaction. Fitch closely examines collateral characteristics such as credit quality, seasoning, geographic concentration, delinquencies, and utilization rate on credit cards. Trust collateral performance has been normalizing compared to the strength exhibited through the pandemic and is exhibiting stable patterns in recent periods. As of the March 2025 collection period, 60+ day delinquencies and gross charge-offs decreased to 6.37% and 15.04%, respectively, from 6.45% and 15.92% one year prior. Monthly payment rate (MPR) remained stable at 13.91%, compared to 13.87% one year ago, while gross yield (net of reversals) decreased to 35.16% from 35.89% in March 2024. Credit enhancement (CE) is adequate, with loss multiples in line with the expected ratings and Fitch's applicable criteria. The Stable Rating Outlook on the notes reflects Fitch's expectation that performance will remain supportive of the ratings. Originator and Servicer Quality: Fitch considers the partner banks adequate originators and Mission Lane an adequate servicer, as evidenced by the historical delinquency and loss performance of the trust receivables. Mission Lane, formerly operated as the credit card division of LendUp Loans LLC prior to its 2018 spinoff as an independent company, has serviced credit card receivables since 2015, demonstrating extensive experience in credit card origination and operational stability. The availability of a warm backup servicer and the depth of the servicing market further mitigate operational risk. Counterparty Risk: Fitch's ratings of the notes are dependent on the financial strength of certain counterparties. Fitch believes this risk is mitigated by the ratings of the applicable counterparties to the transactions and contractual remedial provisions in the transaction documents that are in line with Fitch's counterparty criteria. Interest Rate Risk: The transaction carries a degree of interest rate mismatch, in line with the market. Interest rate risk is mitigated by the available CE, which comprises subordination (not available to class F), overcollateralization in the form of the subordinated transferor amount (STA) at 3.00%, and a reserve account. CE supporting class A, B, C, D, E, and F notes is 40.57%, 33.82%, 24.37%, 16.52%, 10.37%, and 3.00%, respectively. The reserve account will be funded if the three-month average excess spread percentage falls to or below 4.00% and will not be funded at close. Fitch analyzed characteristics of the underlying collateral to better assess overall asset performance. This supplements Fitch's analysis of the originator's historical data when determining the following steady state performance assumptions and rating case multiples and haircuts: Steady State Assumptions: - Annualized Charge-offs: 17.00%; - MPR: 11.00%; - Annualized Yield: 29.50%; - Purchase Rate: 100.00%. Rating Case Assumptions for class A, B and C notes: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Charge-offs (multiple): 3.50x/3.00x/2.25x/1.75x/1.50x/1.10x; - MPR (haircut): 40.00%/35.00%/30.00%/25.00%/15.00%/7.50%; - Yield (haircut): 35.00%/30.00%/25.00%/20.00%/15.00%/10.00%; - Purchase Rate (haircut): 100.00%/100.00%/100.00%/100.00%/100.00%/100.00% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating sensitivity to increased charge-off rate: Expected ratings for class A, B, C, D, E and F notes (steady state: 17.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Increase steady state by 25%: 'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'B+sf'/' - Increase steady state by 50%: 'AA-sf'/'Asf'/'BBB-sf'/'BB-sf'/'Bsf'/' - Increase steady state by 75%: 'A+sf'/'A-sf'/'BB+sf'/'B+sf'/' Rating sensitivity to reduced MPR: Expected ratings for class A, B, C, D, E and F notes (steady state: 11.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 15%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBB-sf'/'BB-sf'/' - Reduce steady state by 25%: 'AA-sf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'/' - Reduce steady state by 35%: 'A+sf'/'BBB+sf'/'BB+sf'/'B+sf'/' Rating sensitivity to reduced purchase rate: Expected ratings for class A, B, C, D, E and F notes (100% base assumption): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 50%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 75%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 100%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'. Rating sensitivity to reduced gross yield: Expected ratings for class A, B, C, D, E and F notes (steady state: 29.50%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 15%: 'AAAsf'/'AAsf'/'A-sf'/'BBB-sf'/'BB-sf'/' - Reduce steady state by 25%: 'AA+sf'/'AA-sf'/'A-sf'/'BB+sf'/'B+sf'/' - Reduce steady state by 35%:'AA+sf'/'AA-sf'/'BBB+sf'/'BB+sf'/'Bsf'/' Rating sensitivity to increased charge-off rate and reduced MPR: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; Expected ratings for class A, B, C, D, E and F notes (charge-off steady state: 17.00%; MPR steady state: 29.50%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Increase charge-off steady state by 25% and reduce MPR steady state by 15%: 'AA-sf'/'Asf'/'BBB-sf'/'BBsf'/'Bsf'/' - Increase charge-off steady state by 50% and reduce MPR steady state by 25%: 'A-sf'/'BBBsf'/'BB-sf'/'Bsf'/' - Increase charge-off steady state by 75% and reduce MPR steady state by 35%: 'BBB-sf'/'BBsf'/'Bsf'/' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating sensitivity to reduced charge-off rate: Expected ratings for class A, B, C, D, E and F notes (charge-off steady state: 17.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' '; - Reduce steady state by 50%: 'AAAsf'/'AAAsf'/'AAAsf'/'AA-sf'/'Asf'/'BBB-sf'. Some of the subordinate classes of MLCCMT, series 2025-B may be able to support higher ratings based on the output of Fitch's proprietary cashflow model. Since the credit card program is set up as a continuous funding program and requires that any new issuance does not affect the ratings of existing tranches, the CE levels are set up to maintain a constant rating level per class of issued notes and may provide more than the minimum CE necessary to retain issuance flexibility. Therefore, Fitch may decide not to assign or maintain ratings above the ratings in anticipation of future issuances. 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 & Touch LLP. The third-party due diligence described in Form 15E focused on the comparison and recomputation of certain information with respect to 100 credit card receivable accounts, selected from a credit card receivable listing with respect to 1,969,838 credit card receivable accounts. 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. MORGAN STANLEY 2015-C25: Fitch Lowers Class F Debt Rating to CCsf ----------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 10 classes of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2015-C25 (MSBAM 2015-C25). Fitch revised the Rating Outlook to Negative from Stable for classes A-5, A-S, X-A, and X-B. Fitch has downgraded three classes and affirmed 11 classes of Morgan Stanley Capital (MSCI) 2015-UBS8 Commercial Mortgage Pass-Through certificates. Fitch assigned Negative Outlooks to class B, C, and X-B following its downgrade and revised the Outlook to Negative from Stable for affirmed classes A-4 and X-A. Fitch Ratings has affirmed 13 classes of Bank of America Merrill Lynch Commercial Mortgage Trust (BACM) 2015-UBS7. The Rating Outlook for class A-S and X-B have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2015-C25 A-4 61765TAE3 LT AAAsf Affirmed AAAsf A-5 61765TAF0 LT AAAsf Affirmed AAAsf A-S 61765TAK9 LT AAAsf Affirmed AAAsf A-SB 61765TAC7 LT AAAsf Affirmed AAAsf B 61765TAL7 LT AA-sf Affirmed AA-sf C 61765TAM5 LT A-sf Affirmed A-sf D 61765TAN3 LT BBsf Affirmed BBsf E 61765TAP8 LT CCCsf Downgrade Bsf F 61765TAR4 LT CCsf Downgrade CCCsf X-A 61765TAG8 LT AAAsf Affirmed AAAsf X-B 61765TAH6 LT AAAsf Affirmed AAAsf X-D 61765TAJ2 LT BBsf Affirmed BBsf MSCI 2015-UBS8 A-3 61691ABK8 LT AAAsf Affirmed AAAsf A-4 61691ABL6 LT AAAsf Affirmed AAAsf A-S 61691ABN2 LT AAsf Affirmed AAsf B 61691ABP7 LT BBB-sf Downgrade A-sf C 61691ABQ5 LT Bsf Downgrade BB-sf D 61691AAQ6 LT CCCsf Affirmed CCCsf E 61691AAS2 LT CCsf Affirmed CCsf F 61691AAU7 LT Csf Affirmed Csf G 61691AAW3 LT Csf Affirmed Csf X-A 61691ABM4 LT AAAsf Affirmed AAAsf X-B 61691AAA1 LT BBB-sf Downgrade A-sf X-D 61691AAC7 LT CCsf Affirmed CCsf X-F 61691AAG8 LT Csf Affirmed Csf X-G 61691AAJ2 LT Csf Affirmed Csf BACM Trust 2015-UBS7 A-3 06054AAW9 LT AAAsf Affirmed AAAsf A-4 06054AAX7 LT AAAsf Affirmed AAAsf A-S 06054ABB4 LT AAAsf Affirmed AAAsf A-SB 06054AAV1 LT AAAsf Affirmed AAAsf B 06054ABC2 LT A-sf Affirmed A-sf C 06054ABD0 LT BB+sf Affirmed BB+sf D 06054ABE8 LT CCCsf Affirmed CCCsf E 06054AAG4 LT CCsf Affirmed CCsf F 06054AAJ8 LT Csf Affirmed Csf X-A 06054AAY5 LT AAAsf Affirmed AAAsf X-B 06054AAZ2 LT AAAsf Affirmed AAAsf X-D 06054ABA6 LT CCCsf Affirmed CCCsf X-E 06054AAA7 LT CCsf Affirmed CCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 9.1% in BACM Trust 2015-UBS7, 10% in MSBAM 2015-C25, and 9.9% in MSCI 2015-UBS8. Fitch Loans of Concerns (FLOCs) comprise five loans (26.8% of the pool) in BACM 2015-UBS7, including one specially serviced loan (0.5%); six loans (24.4%) in MSBAM 2015-C25; and 10 loans (32.1%) in MSCI 2015-UBS8, including three specially serviced loans (3.9%). Fitch also performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of repayment or loss expectation. The rating actions also incorporate this analysis. The placement of 'AAAsf' rated classes on Rating Outlook Negative considers the potential for interest shortfalls given the short remaining term to maturity for the majority of the loans. If the pool becomes concentrated with defaulted assets past maturity, principal and interest advancing could become limited or deemed non-recoverable. BACM 2015-UBS7: The affirmations reflect the relatively stable loss expectations since Fitch's prior review. The Negative Outlooks reflects the high office concentration (31%) and possible future downgrades due to continued performance deteriorations of the FLOCs, primarily 261 Fifth Avenue (13.3%), Mall of New Hampshire (9.5%), and Antioch Crossing Shopping Center (2.9%). MSBAM 2015-C25: The downgrade of classes E & F reflect higher pool loss expectations since Fitch's prior rating action, driven by further performance declines and upcoming refinance concerns on the FLOCs, primarily those secured by office properties, including 261 Fifth Avenue (11.0%), Bucks County Technology Park (2.6%), and Landmark Towers (1.5%). The Negative Outlooks indicate a possible future downgrade due to the pool's high concentration of FLOCs at 24%. Furthermore, the pool has a significant proportion of office properties at 32%, many of which are underperforming and facing refinancing challenges. MSCI 2015-UBS8: The downgrades reflect the continued deterioration of the FLOCs (32% of the pool), primarily 525 Seventh Avenue (9.8%), Holiday Inn Express - SFO (3%), Lafayette Shopping Center (1.5%), and 2424 & 2500 Wilcrest Drive (1.2%). The Negative Outlooks reflect the significant refinancing concerns within the pool and the potential for further downgrades should performance of the aforementioned FLOCs continue to deteriorate or retail outlet FLOCs, including Grove City Premium Outlets and Gulfport Premium Outlets, continue to underperform. Largest contributor to loss: The largest contributor to pool loss expectations in the MSBAM 2015-C25 and BACM 2015-UBS7 transactions is the 261 Fifth Avenue loan, which is secured by a 446,820-sf office building in the Midtown South submarket of Manhattan. The loan was flagged as a FLOC due to refinance concerns. As of YE 2024 occupancy was 87%, which is in-line with prior years. The largest tenants are Town and Country Holdings (8%; expires 2031), Dan Klores (7.4%, expires 2032) and Himatsingka (6.9%; expires 2030). The property has minimal upcoming rollover. The servicer reported net operating income (NOI) debt service coverage ratio (DSCR) was 1.57x at YE 2024, compared with 1.48x at YE 2023 and 1.36x at YE 2022. Fitch's 'Bsf' rating case loss of approximately 28% (prior to concentration add-ons) reflects a 10% cap rate, 10% stress to the YE 2024 NOI, and an increased probability of default due to refinance concerns. The loan matures in September 2025. The second-largest contributor to pool loss expectations and largest increase in loss expectations since Fitch's prior rating in MSBAM 2015-C25 is the Commerce Office Park loan (6.4%), which is secured by a 285,368-sf suburban office building in Commerce, CA. The largest two tenants are the county of Los Angeles (Sheriff Dept., Dept. of Child Services and Dept. of Health Services) leases 71% NRA with leases expiring between January 2026 and April 2029. The State of California (Department of Motor Vehicles and Department of Justice) leases 26.5% NRA, with leases expiring between 2026 and 2030. The servicer reported NOI DSCR was 2.01x at YE 2024, compared with 1.95x at YE 2023 and 1.92x at YE 2022. Occupancy has been 100% since YE 2019. Fitch's 'Bsf' rating case loss of approximately 21% (prior to concentration add-ons) reflects a 10% cap rate, 20% stress to the YE 2024 NOI to reflect upcoming rollover concerns and an increased probability of default due to refinancing concerns. The loan matures in August 2025. The third-largest contributor to loss in the MSBAM 2015-C25 transaction is the Landmark Towers loan, which is secured by a 275,441-sf office property located in Oklahoma City, OK. The loan has been designated as a FLOC due to declining performance. The servicer reported a NOI DSCR of 0.22x at YE 2024, compared to 0.56x at YE 2023, 0.77x at YE 2022, and 1.09x at YE 2021. Occupancy was 40% as of March 2024. Fitch's 'Bsf' rating case loss of 51% (prior to concentration add-ons) reflects a 10% cap rate to the YE 2024 NOI and factors in an increased probability of default due to refinance concerns. The loan matures in August 2025. The second-largest contributor to loss in BACM 2015-UBS7 is the New Hampshire Mall loan (9.5%), which is secured by a regional mall sponsored by Simon Property Group and located in Manchester, NH. Sears, a non-collateral anchor, closed in November 2018; a portion of that space has since been re-leased to Dick's Sporting Goods and Dave & Buster's. The loan transferred to special servicing in May 2020 due to the pandemic was returned to the master servicer in April 2021. It has remained on the servicer's watchlist due to ongoing cash management and monitored for the upcoming maturity date of July 1, 2025. As of YE 2024, the property was 88% occupied and NOI DSCR was 1.79x, compared to 84% and 1.87x, respectively, at YE 2023, 83% and 1.96x at YE 2021, and 87% and 2.11x at YE 2019. Tenant sales for stores less than 10,000 sf excluding Apple as of July 2024 were $378 psf, which compares to $390 psf at YE 2023, and $417 psf at YE 2021. Including Apple, tenant sales were approximately $760 psf, compared with $1,535 psf at YE 2023, and $1,294 psf at YE 2021. As of June 2024, Apple's sales were $80 million. Apple's lease expires in February 2030. Fitch's 'Bsf' rating case loss prior to concentration add on is approximately 34%, which reflects a cap rate of 15% to the Fitch net cash flow based off a 10% stress to the YE 2024 NOI. Fitch increased the probability of default in its analysis to reflect the increasing maturity default risk given the regional mall property type. The loan matures in July 2025. The largest contributor to loss expectations in MSCI 2015-UBS8 is the 525 Seventh Avenue loan (9.8%), which is secured by a 23-story office property containing 505,273-sf located in the Garment District of Manhattan. The loan has been designated as a FLOC due to rollover concerns and maturity default risk; the loan matures in November 2025. The servicer-reported NOI DSCR was 1.31x at YE 2023 compared with 1.22x at YE 2022 and 1.30x at YE 2021. As of the June 2024 rent roll, occupancy has improved to 94% from 87% in September 2022, attributed to a new 10-year lease commencing in 2023 with a sponsor-affiliated tenant for 5% of the NRA. Near-term rollover includes 16.1% of the NRA (11% of the GPR) in 2025 and 8.5% (10.5%) in 2026. Fitch's 'Bsf' rating case loss of approximately 24% (prior to concentration add-ons) reflects a 10% cap rate and a 10% haircut to the YE 2023 NOI. Fitch also increased the probability of default due to anticipated refinance concerns. The second-largest contributor to loss expectations in MSCI 2015-UBS8 is Grove City Premium Outlets, which is secured by a 531,200-sf open-air outlet center located in Grove City, PA, a tertiary market located along I-79, approximately 55 miles north of Pittsburgh. This FLOC was flagged due to declining occupancy and maturity default risk. Occupancy was 74% as of June 2024, which is in line with prior years. The loan matures in December 2025. Fitch's 'Bsf' rating case loss of approximately 34% (prior to concentration add-ons) reflects a 15% cap rate and a 10% haircut to the YE 2023 NOI to reflect upcoming rollover concerns. Additionally, Fitch increased the probability of default to 100% to factor the continued underperformance and maturity default risk. Lafayette Shopping Center loan (3%), which is secured by a 105,445-sf anchored retail center located in Marietta, OH. The loan transferred to special servicing in May 2024 due to cash flow problems stemming from performance declines. The servicer reported YE 2023 NOI DSCR was 0.81x, compared with 1.09x at YE 2022, and 1.21x at YE 2021. Fitch's 'Bsf' rating case loss of 38.9% (prior to concentration add-ons) reflects a 10.5% cap rate to the YE 2023 NOI and factors in an increased probability of default due to the loan's recent transfer to special servicing. The third-largest contributor to loss expectations in MSCI 2015-UBS8 is the Holiday Inn Express - SFO loan, which is secured by a 146-key limited-service hotel located in Burlingame, CA, approximately three miles southeast of San Francisco International Airport (SFO) and 15 miles south of the San Francisco CBD. The loan has been designated as a FLOC due to a low DSCR. The servicer reported YE 2024 NOI DSCR was 0.30x, compared with 0.28x at YE 2023, 0.67x at YE 2022, and 0.17x at YE 2021. The property has struggled to rebound from the pandemic. Fitch's 'Bsf' rating case loss prior to concentration add on is approximately 44.2%, which reflects a 11.5% cap rate, 15% stress to the YE 2024 NOI and an increased the probability of default due to refinance concerns. Credit Enhancement: As of the May 2025 distribution date, the pool's aggregate balance for BACM Trust 2015-UBS7 has been reduced by 24.2% to $524.7 million from $757.3 million at issuance. Three loans (5% of pool) have been defeased. All 26 remaining loans are scheduled to mature between June 2025 and November 2025. The pool has incurred $19.4 million in realized losses to date and interest shortfalls of $2.5 million are currently affecting classes G and H. As of the May 2025 distribution date, the pool's aggregate balance for MSBAM 2015-C25 has been reduced by 39% to $717.4 million from $1.2 billion at issuance. Five loans (12.7% of pool) have been defeased. All 38 remaining loans are scheduled to mature between June 2025 and September 2025. The pool has incurred $1.9 million in realized losses and interest shortfalls of $159,699 are currently affecting the non-rated class G. As of the May 2025 distribution date, the pool's aggregate balance for BACM Trust 2015-UBS8 has been reduced by 21.8% to $629.2 million from $805 million at issuance. Eleven loans (18% of pool) have been defeased. The pool has incurred $38.6 million in realized losses to date and interest shortfalls of $3.3 million are currently affecting classes F, G, H and J. All 47 remaining loans are scheduled to mature between April 2025 and December 2025. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes with Stable Outlooks 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 'AAAsf', 'AAsf' and 'Asf' categories, which have Negative Outlooks, may occur should performance of the FLOCs deteriorate further or if more loans than expected default at or prior to maturity. These FLOCs include 261 5th Avenue loan, The Mall of New Hampshire and Antioch Crossing Shopping Center in BACM 2015-UBS7; 261 Fifth Avenue, Bucks County Technology Parkand Landmark Towers in MSBAM 2015-C25; 525 Seventh Avenue, Grove City Premium Outlets, Gulfport Premium Outlets, Holiday Inn Express - SFO, Holiday Inn Express - in BACM 2015-UBS8. Downgrades to in the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and/or with prolonged workouts or greater certainty of losses on the specially serviced loans. Downgrades to distressed ratings would occur should additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. 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 but could occur 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 unlikely, but possible with better-than-expected recoveries on specially serviced loans and/or significantly higher improved performance of the FLOCs. These FLOCs include 261 5th Avenue loan, The Mall of New Hampshire and Antioch Crossing Shopping Center in BACM 2015-UBS7; 261 Fifth Avenue, Bucks County Technology Parkand Landmark Towers in MSBAM 2015-C25; 525 Seventh Avenue, Grove City Premium Outlets, Gulfport Premium Outlets, Holiday Inn Express - SFO, Holiday Inn Express - in BACM 2015-UBS8. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2023-19: Fitch Assigns BB-sf Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Morgan Stanley Eaton Vance CLO 2023-19, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Morgan Stanley Eaton Vance CLO 2023-19, Ltd. A-1-R LT NRsf New Rating A-2 617934AC8 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 617934AE4 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 617934AG9 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 617934AJ3 LT PIFsf Paid In Full BBB-sf D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E 617926AA8 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Morgan Stanley Eaton Vance CLO 2023-19, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Morgan Stanley Eaton Vance CLO Manager LLC. This is the first refinancing where the existing secured notes will be refinanced in whole on June 24, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $398 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 23.16, 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 98.14% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.28% and will be managed to a WARF covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: 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-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Morgan Stanley Eaton Vance CLO 2023-19, 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. MOSAIC SOLAR 2022-1: Fitch Lowers Rating on 2 Tranches to CCCsf --------------------------------------------------------------- Fitch Ratings has downgraded the C and D classes of notes for the Mosaic Solar Loan Trust (Mosaic Trust) 2022-2, Mosaic Trust 2022-3, Mosaic Trust 2023-1, and Mosaic Trust 2023-2 transactions. Fitch has also downgraded the D classes of notes and revised the Rating Outlooks to Negative from Stable for the class C notes for the Mosaic Trust 2023-3, Mosaic Trust 2023-4, and Mosaic Trust 2024-1 transactions. In addition, Fitch has downgraded the class A and class B notes of the Mosaic Trust 2023-1 and Mosaic Trust 2023-2 transactions. The Outlook for Mosaic Trust 2022-3 remains Stable. The Outlooks for all other downgraded notes rated 'B-sf' or higher are Negative. The remaining ratings on 14 classes of eight Mosaic Trust transactions have been affirmed. Entity/Debt Rating Prior ----------- ------ ----- Mosaic Solar Loan Trust 2022-1 A 61946QAA9 LT AA-sf Affirmed AA-sf Mosaic Solar Loan Trust 2022-2 A 61946UAA0 LT AA-sf Affirmed AA-sf B 61946UAB8 LT A-sf Affirmed A-sf C 61946UAC6 LT CCCsf Downgrade BBsf D 61946UAD4 LT CCCsf Downgrade Bsf Mosaic Solar Loan Trust 2022-3 A 61946KAA2 LT AA-sf Affirmed AA-sf B 61946KAB0 LT A-sf Affirmed A-sf C 61946KAC8 LT Bsf Downgrade BBsf D 61946KAD6 LT CCCsf Downgrade Bsf Mosaic Solar Loan Trust 2023-1 Class A 61945VAA9 LT Asf Downgrade AA-sf Class B 61945VAB7 LT BBBsf Downgrade A-sf Class C 61945VAC5 LT B-sf Downgrade BBsf Class D 61945VAD3 LT CCCsf Downgrade Bsf Mosaic Solar Loan Trust 2023-2 Class A 61945WAA7 LT Asf Downgrade AA-sf Class B 61945WAB5 LT BBB-sf Downgrade A-sf Class C 61945WAC3 LT CCCsf Downgrade BBsf Class D 61945WAD1 LT CCCsf Downgrade Bsf Mosaic Solar Loan Trust 2023-3 A 618933AA3 LT AA-sf Affirmed AA-sf B 618933AB1 LT A-sf Affirmed A-sf C 618933AC9 LT BBB-sf Affirmed BBB-sf D 618933AD7 LT B+sf Downgrade BB-sf Mosaic Solar Loan Trust 2023-4 A 618934AA1 LT AA-sf Affirmed AA-sf B 618934AB9 LT A-sf Affirmed A-sf C 618934AC7 LT BBB-sf Affirmed BBB-sf D 618934AD5 LT CCCsf Downgrade BB-sf Mosaic Solar Loan Trust 2024-1 A 618937AA4 LT AA-sf Affirmed AA-sf B 618937AB2 LT A-sf Affirmed A-sf C 618937AC0 LT BBB-sf Affirmed BBB-sf D 618937AD8 LT B-sf Downgrade BB-sf Transaction Summary The Mosaic Trust transactions are securitizations of consumer loans originated by Solar Mosaic, LLC (Mosaic) and backed by photovoltaic (PV) systems and/or batteries to store the energy produced. On June 6, 2025, Mosaic filed for relief under Chapter 11 of the U.S. Bankruptcy Code. The downgrades of the notes from the transactions are primarily driven by their increasing susceptibility to economic pressures resulting from lower prepayment rates and rising default levels. Since these transactions closed, there has been a notable decrease in overcollateralization and substantial negative excess spread, exacerbating the financial strain on subordinated notes. For Class C and D notes subject to downgrades, they also reflect their volatile performance, caused by structural features, including transaction's triggers related to cumulative net defaults, the deals' target overcollateralization (OC) as well as yield supplement OC (YSOC) mechanisms, which alter the principal payment positions of classes C and D in the waterfall. These economic trends are shown by the class A and B notes in the deals, which have not yet achieved their target overcollateralization. The prepayment rates have fallen short of Fitch's initial projections, leading to extended note life cycles and heightened exposure to loss risks. In addition, the broader economic environment, characterized by subdued housing activity and anticipated delayed monetary easing, suggests that prepayments will continue to remain low, impacting the credit enhancement levels available to safeguard against defaults. These factors collectively underscore the vulnerabilities faced by Mosaic Trust's transactions, prompting the downgrades and reflecting Fitch's adjusted assessment of future performance. The Negative Outlooks reflect the heightened exposure of these tranches to (i) asset performance remaining volatile, with additional risk of asset performance deterioration due to the originator's bankruptcy, and (ii) continuing lower-than-expected prepayment rates. The affirmations reflect Fitch's assessment that available credit enhancement (CE) to each affirmed tranche is commensurate with Fitch's assumed losses at the relevant rating level. Assumed losses also incorporate the risk of short-term asset performance deterioration due to the originator's bankruptcy. No impact from the originator's bankruptcy has been observed so far. The Stable Outlooks reflect the stronger credit protection available to these bonds, more limited exposure to volatile asset performance and decreasing asset prepayment levels. In Fitch's view, CE available to affirmed bonds also adequately covers the risk of additional short-term volatility which could result from an orderly servicing transition based on the existing back-up servicing arrangements should Mosaic, in its capacity as master servicer for the transactions, be terminated in the future due to the bankruptcy proceedings. Under the existing back-up servicing arrangements, a transition from Mosaic to the back-up servicer could take up to 45 calendar days. KEY RATING DRIVERS Prepayments Exacerbate Negative Excess Spread: Prepayments in Solar Mosaic ABS transactions issued in 2022 and early 2023 (2022-1, 2022-3, 2023-1, and 2023-2) have been materially below Fitch's initial expectations. Conversely, prepayments in newer deals (2023-3, 2023-4, and 2024-1) have been closer to Fitch's initial expectations. Fitch has aligned the prepayment assumptions to the FICO distribution-based levels assigned for the 2025-1 deal. This decreases the post-Investment Tax Credit (ITC) weighted-average (WA) base case annual prepayment rate assumptions to around 6% per annum for all Mosaic Trust transactions. Fitch has also adjusted the pre-reamortization period (pre-ITC) WA base case annual prepayment rates to 7.7%-8.3%. Low prepayments exacerbate the impact of negative excess spread on the Mosaic Trust transactions' credit profiles. The current weighted average cost of funds (rebased to stated principal balance) for these deals ranges from 3.54% to 6.58%, which yield annual excess spreads assuming stressed fees of 0.90% ranging from -3.23% to -0.78%. While the loans were purchased at a discount to mitigate negative or low excess spreads, the lower prepayments extend the life of rated notes increasing losses due to negative excess spreads. This leaves less credit enhancement (CE) to protect against credit losses, which affects certain subordinated notes in particular. Lower Prepayments and Negative Excess Spread Drive Downgrades and Revisions in Rating Outlooks: The downgrades reflect vulnerability to the effects of lower prepayment rates. Class C and D notes do not receive any principal distributions until the class A and B notes reach the target CE level (as a percentage of adjusted pool balance — i.e., pool balance net of yield supplement overcollateralization). As lower prepayments early in the transaction's life increase the yield supplement overcollateralization, the target has not been reached for any of the deals, and C and D have been locked out from principal distributions. Volatile Asset Performance: Fitch updated its base case default rate for the remaining life of the transactions and reviewed its default multipliers. The updated base case default rate assumption and default rate multiples reflect: (i) additional FICO-based performance data, (ii) different FICO weights by transaction, and (iii) Fitch's macro-economic outlook. Fitch raised its WA lifetime base case default assumptions to 10.41%, 12.63%,11.14%, 10.16%, 9.97%, 10.13%, 13.58%, and 11.08% for Mosaic Trust 2022-1, 2022-2, 2023-1. 2023-2, 2023-3, 2023-4 and 2024-1, respectively. The related WA rating default multiples on the most senior notes (AA-sf, except for Mosaic Trust 2023-1 and Mosaic Trust 2023-2, which is Asf) are 3.52x, 3.39x, 3.48x, 2.90x, 2.90x, 3.53x, 3.40x and 3.45x for Mosaic Trust 2022-1, 2022-2, 2023-1. 2023-2, 2023-3, 2023-4 and 2024-1, respectively. Mosaic Trust 2023-4's defaults stand out as worse than Fitch's expectations. Driven by early underperformance particularly of higher FICO borrowers, defaults decreased CE on the class C and class D notes. The Negative Outlooks on the class C and D notes for 2023-4 reflect the worse than expected default performance and class D's particular vulnerability to this underperformance. For more seasoned transactions, cumulative recoveries on defaulted loans represent about 5%-6% of the balance of all defaults as of May 2025. The low observations are consistent with the low seasoning of the transactions and the typically long recovery for photovoltaic loans. Fitch has maintained the base case recovery assumption of 35% used for Mosaic 2025-1, a 'AA-sf' recovery haircut of 44% and a recovery lag assumption of 48 months. Servicing Continuity Risk Under Review: Mosaic acts as master servicer for the transactions, with no plans for a servicer transition and no expected changes in staffing or servicing standards. While the bankrutpcy of Mosaic represents a servicer termination event under the transaction documents, Mosaic Chapter 11 filings include an automatic stay on all contracts involving the company, preventing the trustee from enforcing any remedial provision under the transaction documents upon a bankruptcy of the servicer, including servicer termination events. Under the Mosaic ABS transaction documents, the backup servicer Vervent would need to step in within 45 calendar days from a servicer termination event. Concord, in its capacity as subservicer for the transactions, currently conducts most of the day-to-day servicing. Fitch considers the existing back-up servicing arrangements to be adequate to mitigate servicing disruption risk in the transactions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Material changes in policy support; - The economics of purchasing and financing photovoltaic panels and batteries, and/or ground-breaking technological advances that make the existing equipment obsolete; - Longer or more severe than expected asset performance deterioration (see Key Rating Drivers above). Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Fitch currently caps these transactions' ratings in the 'AAsf' category due to limited performance history, while the assigned 'AA-sf' rating is further constrained by the level of CE. As a result, a positive rating action could result from an increase of CE due to deleveraging, underpinned by low defaults and sustained high prepayments. 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. NATIXIS COMMERCIAL 2019-MILE: DBRS Confirms B(low) Rating on C Debt ------------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-MILE issued by Natixis Commercial Mortgage Securities Trust 2019-MILE as follows: -- Class A at BBB (low) (sf) -- Class B at BB (low) (sf) -- Class C at B (low) (sf) -- Class D at CCC (sf) -- Class E at CCC (sf) -- Class F at CCC (sf) Morningstar DBRS maintained the Negative trends on Classes A, B, and C, while Classes D, E, and F have credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS). The credit rating confirmations reflect Morningstar DBRS' outlook on the transaction, which is unchanged since last review, as collateral performance remains in line with expectations. During its previous review in July 2024, Morningstar DBRS downgraded its credit ratings on all classes as a result of the downward pressure implied by the loan-to-value ratio (LTV) sizing benchmarks following updates to the Morningstar DBRS analysis. These updates were made to capture the observed secular shift in use and demand for office space as well as the subject property's low occupancy rate, declining cash flow, and soft submarket. Morningstar DBRS has maintained its analytical approach from last review, which considered a conservative liquidation scenario based on an updated Morningstar DBRS-derived dark value for the subject property of $204.1 million, as further detailed below. The resulting loss severity exceeded 50%, suggesting losses could be realized into the Class B certificate upon the eventual disposition of the loan. The Negative trends have been maintained to reflect the potential for further credit deterioration based on the uncertain timeline for disposition and potential for value to decline further. The loan is secured by the fee-simple and leasehold interests in the Wilshire Courtyard property, comprising two six-story, LEED Gold-certified office buildings (the property) with an aggregate of 1.1 million square feet (sf) in Los Angeles' Miracle Mile submarket. The loan transferred to special servicing in May 2023 as a result of imminent default after the borrower failed to exercise the loan's final maturity extension option, but was returned to the master servicer at the end of 2023 following the execution of a loan modification extending the loan's maturity to July 2026. As a condition of the modification, a $23.9 million principal curtailment was paid, reducing the loan balance to $384.3 million, reflecting a 5.9% reduction from the initial balance of $408.2 million. At closing, there was an additional $69.4 million of mezzanine debt held outside the trust that is coterminous with the mortgage loan. According to the April 2025 rent roll, the property was 59.6% occupied compared with the implied occupancy rate of 55.0% that Morningstar DBRS assumed at the last review, which included Sony Pictures Entertainment Inc. (Sony; 22.8% of the net rentable area (NRA); lease expiration in May 2036) that took occupancy in June 2024. With consideration for Skydance Media (2.1% of the NRA), which vacated in February 2025, and Concord Music Group, Inc. (3.4% of the NRA), which confirmed its departure in September 2025, the property has an implied occupancy rate closer to 54%. The most notable departure since the last review was that of Twentieth Century Fox Television (formerly 7.3% of NRA), which vacated as expected in December 2024. Seven tenants (14.2% of the NRA) are scheduled to vacate prior to maturity; however, the borrower has gained some leasing momentum during the last 12 months as six new tenants (5.2% of the NRA), in addition to Sony, have signed leases. These tenants will have initial rental rates of more than $50 per square foot (psf). Five tenants (32.2% of the NRA) are currently receiving full or partial rental abatements. As a result of the rental abatements, the property's net cash flow (NCF) further declined to $12.4 million as of YE2024 from $17.5 million at YE2023 and $20.0 million at YE2022; however, NCF is expected to improve once Sony's rental abatement period ends in November 2025. According to Q1 2025 Reis data, office properties in the Mid-Wilshire/Miracle Mile/Park Mile submarket reported an average asking rental rate of $39.51 psf, in line with the Q1 2024 average asking rate, while the vacancy rate was 22.7%, a slight improvement from 23.3% as of Q1 2024. While an updated appraisal has not been provided, Morningstar DBRS believes the property value has deteriorated significantly since issuance and, as such, maintained its dark value analysis from last review, which analyzes the potential for principal recoverability in the scenario that the property is 100% vacant. To determine the dark value, Morningstar DBRS assumed that the property was fully vacant and after 1.5 years of downtime would be re-leased to a market. Notable inputs included a vacancy factor of 20.0%, a concluded rental rate $50.0 psf based on recently signed leases, and an expense ratio of 40.0%, which resulted in a stabilized Morningstar DBRS NCF of $28.5 million. A cap rate of 9.25% was applied, supported by market trends and incorporating a 100-basis-point dark-value adjustment to account for the time and risk to re-tenant the space. Tenant improvements (TI) of $68.16 psf and leasing commissions (LC) of 6.0% were maintained from the 2020 analysis. The total leasing cost to stabilize, including the downtime during which a property owner will still have fixed operating expenses, was $132.9 million. In its analysis, Morningstar DBRS gave credit to the loan's outstanding TI/LC and termination fee reserves of $28.7 million as of the June 2024 remittance, resulting in a dark value of $204.1 million ($192 psf) and an LTV) of 188.3%. Based on the trust amount of $384.3 million, a 1.0% liquidation fee, and one year of principal and interest advances, the total trust exposure could reach approximately $420.3 million. The results of liquidation analysis suggested a loss severity exceeding 50%, which would fully reduce the balance of Class C through Class G and a small portion of Class B. 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. OHA CREDIT 12-R: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-1, B-1, B-2, C, D, and E debt and proposed new class X debt from OHA Credit Funding 12-R Ltd./OHA Credit Funding 12-R LLC, a CLO managed by Oak Hill Advisors L.P. that was originally issued in August 2022 and underwent a refinancing in July 2023. The preliminary ratings are based on information as of June 24, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 21, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class B-R, C-R, D-R, and E-R debt and assign ratings to the replacement and proposed new debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing class B-R, C-R, D-R, and E-R debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to July 20, 2027. -- The reinvestment period will be extended to July 20, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to July 20, 2037. -- New class X debt will be issued in connection with this refinancing and is expected to be paid down using interest proceeds during the first four payment dates, beginning with the Jan. 20, 2026, payment date. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned OHA Credit Funding 12-R, Ltd./OHA Credit Funding 12-R, LLC Class X(i), $3.57 million: AAA (sf) Class A-1, $396.50 million: AAA (sf) Class B-1, $30.50 million: AA (sf) Class B-2, $15.00 million: AA (sf) Class C (deferrable), $52.00 million: A (sf) Class D (deferrable), $39.00 million: BBB- (sf) Class E (deferrable), $26.00 million: BB- (sf) Other Debt OHA Credit Funding 12-R, Ltd./ OHA Credit Funding 12-R, LLC Class A-2, $39.00 million: NR Subordinated notes, $41.50 million: NR (i)The class X debt is expected to be paid down using interest proceeds over the course of four payment dates beginning with the payment date in January 2026. NR--Not rated. PFP 2025-12: Fitch Assigns 'B-sf' Final Rating on Class G Notes --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the PFP 2025-12 LLC notes as follows: Entity/Debt Rating Prior ----------- ------ ----- PFP 2025-12 A 69382JAA9 LT AAAsf New Rating AAA(EXP)sf A-S 69382JAB7 LT AAAsf New Rating AAA(EXP)sf B 69382JAC5 LT AA-sf New Rating AA-(EXP)sf C 69382JAD3 LT A-sf New Rating A-(EXP)sf D 69382JAE1 LT BBBsf New Rating BBB(EXP)sf E 69382JAF8 LT BBB-sf New Rating BBB-(EXP)sf F 69382LAA4 LT BB-sf New Rating BB-(EXP)sf G 69382LAC0 LT B-sf New Rating B-(EXP)sf Preferred Shares 69382L205 LT NRsf New Rating NR(EXP)sf - $597,802,000a class A 'AAAsf'; Outlook Stable; - $140,354,000a class A-S 'AAAsf'; Outlook Stable; - $71,476,000a class B 'AA-sf'; Outlook Stable; - $53,283,000a class C 'A-sf'; Outlook Stable; - $31,189,000a class D 'BBBsf'; Outlook Stable; - $15,595,000a class E 'BBB-sf'; Outlook Stable; - $29,890,000 class F 'BB-sf'; Outlook Stable; - $20,793,000 class G 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $79,274,823b preferred shares. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, estimated to be 12.500% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,039,656,823 and does not include future funding. Transaction Summary The notes are collateralized by 28 loans secured by 39 commercial properties having an aggregate principal balance of $939,656,823 as of the cut-off date. The pool includes three delayed-close loans totaling $74.9 million, which are expected to close within 30 days. The pool also includes ramp-up collateral interest of approximately $100.0 million. The pool does not include $84.1 million of future funding. The loans and interest securing the notes are owned by PFP 2025 12, Ltd, as the issuer of the notes. The servicer and special servicer are Trimont, LLC. The trustee is Wilmington Trust, National Association, and the note administrator is Computershare Trust Company, National Association. The notes will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 14 loans in the pool (61.9% by balance). Fitch's resulting aggregate net cash flow (NCF) of $51.3 million represents a 9.5% decline from the issuer's aggregate underwritten NCF of $56.7 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Lower Fitch Leverage: The pool has lower leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value (LTV) ratio of 128.5% is better than both the 2025 YTD and 2024 CRE CLO averages of 137.9% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 7.1% is better than both the 2025 YTD and 2024 CRE CLO averages of 6.6% and 6.5%, respectively. Lower Pool Concentration: The pool is more diverse than any other Fitch-rated CRE CLO transaction. The top 10 loans make up 55.1% of the pool, which is lower than both the 2025 YTD and 2024 CRE CLO averages of 60.5% and 70.5%, respectively. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 22.7. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: The pool is comprised of 93.6% interest-only (IO) loans, based on initial loan terms. This is higher than both the 2025 YTD and 2024 CRE CLO averages of 90.9% and 56.8%, respectively. As a result, the pool is not expected to paydown by the initial maturity of the loans. By comparison, the average scheduled paydowns for Fitch‐rated U.S. CRE CLO transactions during 2025 YTD and 2024 were 0.2% and 0.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BB-sf' /'B-sf'/'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BB+sf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria". Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Recovery Rating Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on its analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. POINT BROADBAND 2025-1: Fitch Gives BB-(EXP) Rating on Cl. C Notes ------------------------------------------------------------------ Fitch Ratings expects to rate Point Broadband Funding, LLC's secured network revenue notes, series 2025-1 as follows: - $15 million(a) 2025-1 class A-1-L 'Asf'/Outlook Stable; - $125 million(b) 2025-1 class A-1-V 'A-sf'/Outlook Stable; - $437.2 million 2025-1 class A-2 'A-sf'/Outlook Stable; - $72.9 million 2025-1 class B 'BBB-sf'/Outlook Stable; - $90.0 million 2025-1 class C 'BB-sf'/Outlook Stable. Entity/Debt Rating ----------- ------ Point Broadband Funding, LLC, Secured Network Revenue Notes, Series 2025-1 A-1-L LT A(EXP)sf Expected Rating A-1-V LT A-(EXP)sf Expected Rating A-2 LT A-(EXP)sf Expected Rating B LT BBB-(EXP)sf Expected Rating C LT BB-(EXP)sf Expected Rating (a) This note is a liquidity funding note that can be drawn for the purpose of funding liquidity funding advances subject to the satisfaction of certain conditions. The balance of the note will be $0 at issuance and is not counted when calculating debt/Fitch NCF ratio. (b) This note is a Variable Funding Note (VFN) and has a maximum commitment of $125 million contingent on leverage consistent with the class A-1 notes. This class will reflect a zero balance at issuance. Transaction Summary The transaction is a securitization of the contract payments derived from an existing fiber to the premises (FTTP) network and wireless network assets. Debt is secured by the cash flow from operations and benefits from a perfected security interest in the securitized assets, which includes conduits, cables, network-level equipment, access rights, customer contracts, transaction accounts and an equity pledge from the asset entities. The collateral network consists of approximately 306,000 fiber passings and approximately 112,000 subscribers, primarily located across the Southeast, Mid-Atlantic, Midwest, and Northeast regions of the United States with the top three markets including Virginia (34.1% of annualized revenue), Alabama (18.6%) and Michigan (14.6%). The network is operated by Point Broadband, who provides fiber internet and voice services for residential (62.9% of annualized revenue [AR]) and commercial (17.4%) customers. In addition, the sponsor provides fixed wireless internet and voice services (13.6%) of ARRR. Approximately 6.0% of AR is comprised of other revenue and installation revenue. The ratings reflect a structured finance analysis of cash flows from the ownership interest in the underlying fiber optic network, rather than an assessment of the corporate default risk of the ultimate parent, Point Broadband Intermediate, LLC. KEY RATING DRIVERS Net Cash Flow and Trust Leverage: Fitch's net cash flow (NCF) on the pool is $60.0 million in the base case, implying a 17.7% haircut to issuer base case NCF as of the series 2025-1 closing date. The debt multiple relative to Fitch's NCF on the rated classes is 10.0x in this scenario, versus the debt/issuer NCF leverage of 8.2x. Inclusive of the cash flow required to draw on the maximum variable funding note (VFN) commitment of $125 million, the Fitch NCF on the pool is $77.3 million, implying a 19.6% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.4x, compared with the debt/issuer NCF leverage of 7.6x. 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, scale of the network, market diversity, the market position of the sponsor, capability of the operator, higher barriers to entry and strength of the transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology will be developed that renders obsolete the current transmission of data through fiber optic cables. Fiber optic cable networks are currently the fastest and most reliable means to transmit information and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Declining cash flow as a result of higher expenses, contract churn, contract amendments or the development of an alternative technology for the transmission of data could lead to downgrades; - Fitch's base case NCF is 17.7% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 from 'A-sf' to 'BBB-sf', class B from 'BBB-sf' to 'BBsf', and class C from 'BB-sf' to 'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Increasing cash flow without an increase in corresponding debt from rate increases, additional contracts, contract amendments, or expense reductions could lead to upgrades; - A 10% increase in Fitch's base case NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 from 'A-sf' to 'Asf', class B from 'BBB-sf' to 'BBBsf', and class C from 'BB-sf' to 'BBsf'; - Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. The transaction is also structured with variable funding notes, which will likely offset any improvements in cash flow with a corresponding increase in debt. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Point Broadband Funding, LLC, Secured Network Revenue Notes, Series 2025-1 has an ESG Relevance Score of '4' for Transaction & Collateral Structure due to several factors including the issuer's ability to issue additional notes, which has a negative impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. POLUS US II: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Polus US CLO II Ltd. Entity/Debt Rating ----------- ------ Polus US CLO II Ltd. X LT AAAsf New Rating A-1 LT AAAsf New Rating A-J LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBBsf New Rating D-J LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Polus US CLO II Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Polus Capital Management (US) Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.23, 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 98.25% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.08% 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 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 and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'Asf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-J, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-J 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 X, class A-1 and class A-J notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-J 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 Polus US CLO II 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. PRM TRUST 2025-PRM6: Fitch Assigns 'B-sf' Rating on Class HRR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final 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. RCKT MORTGAGE 2025-CES6: Fitch Assigns Bsf Rating on Five Tranches ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES6 (RCKT 2025-CES6). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2025-CES6 A-1 LT AAAsf New Rating AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf A-4 LT AAsf New Rating AA(EXP)sf A-5 LT Asf New Rating A(EXP)sf A-6 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-1A LT BBsf New Rating BB(EXP)sf B-1B LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-2A LT Bsf New Rating B(EXP)sf B-2B LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-X-1A LT BBsf New Rating BB(EXP)sf B-X-1B LT BBsf New Rating BB(EXP)sf B-X-2A LT Bsf New Rating B(EXP)sf B-X-2B LT Bsf New Rating B(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 6,921 closed-end second-lien (CES) loans with a total balance of approximately $596 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. Fitch has withdrawn the expected rating of 'AAA(sf)' for the previous class A-1L notes as the loan was not funded at close and is no longer being offered. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): As a result of its updated view on sustainable home prices, Fitch views the home price values of this pool as 11.3% above a long-term sustainable level (versus 11% on a national level as of 4Q24). Affordability is the worst it has been in decades, driven by high interest rates and elevated home prices. Home prices have increased 2.9% yoy nationally as of February 2025 despite modest regional declines, but are still supported by limited inventory. Prime Credit Quality (Positive): The collateral consists of 6,921 loans totaling approximately $596 million and seasoned at about three months in aggregate, as calculated by Fitch (one month, per the transaction documents) — taken as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile, including a WA Fitch model FICO score of 741, a debt-to-income ratio (DTI) of 39% and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 77%. Of the pool, 99.3% of the loans are of a primary residence and 0.7% represent investor properties or second homes, and 93.6% of loans were originated through a retail channel. Additionally, 55.0% of loans are designated as safe-harbor qualified mortgages (SHQMs) and 19.1% are higher-priced qualified mortgages (HPQMs). Due to the 100% loss severity (LS) assumption, no additional penalties were applied for the HPQM loan status. Second-Lien Collateral (Negative): The entire collateral pool comprises CES loans originated by Rocket Mortgage. Fitch assumed no recovery and a 100% LS based on the historical behavior of second-lien loans in economic stress scenarios. Fitch assumes second-lien loans default at a rate comparable to first-lien loans; after controlling for credit attributes, no additional penalty was applied to Fitch's probability of default (PD) assumption. Sequential Structure (Positive): The transaction has a typical sequential payment structure. Principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow is derived from remaining amounts after allocation of the interest and principal priority of payments. These amounts will be applied as principal, first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. 180-Day Charge-off Feature (Positive): The class XS majority noteholder has the ability, but not the obligation, to instruct the servicer to write off the balance of a loan at 180 days delinquent (DQ) based on the Mortgage Bankers Association (MBA) delinquency method. To the extent the servicer expects meaningful recovery in any liquidation scenario, the class XS majority noteholder may direct the servicer to continue to monitor the loan and not charge it off. While the 180-day charge-off feature will result in losses being incurred sooner, there is a larger amount of excess interest to protect against them. This compares favorably with a delayed liquidation scenario, where losses occur later in the life of a transaction and less excess is available to cover them. If a loan is not charged off due to a presumed recovery, this will provide added benefit to the transaction, above Fitch's expectations. Additionally, recoveries realized after the writedown at 180 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC. The third-party due diligence described in Form 15E focused on credit, regulatory compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% PD credit to the 25% of the pool by loan count in which diligence was conducted. This adjustment resulted in a 23bps reduction to the 'AAAsf' expected loss. ESG Considerations RCKT 2025-CES6 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to lower operational risk considering the R&W, transaction due diligence results, as well as originator and servicer quality, which has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. REGATTA 34: Fitch Assigns 'BB-sf' Final Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Regatta 34 Funding Ltd. Entity/Debt Rating Prior ----------- ------ ----- Regatta 34 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 Notes LT NRsf New Rating NR(EXP)sf 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 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 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. Date of Relevant Committee June 13, 2025 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. ROMARK WM-R: S&P Affirms 'B+ (sf)' Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-1, B-2-R, and C debt from Romark WM-R Ltd. At the same time, S&P lowered its ratings on the class F debt and removed it from CreditWatch negative. S&P also affirmed its ratings on the class A-1, D, and E debt and removed its rating on the class E debt from CreditWatch negative. The class E and F debt were placed on CreditWatch negative May 1, 2025. The rating actions follow S&P's review of the transaction's performance using data from the April 2025 trustee report. Although the same portfolio backs all 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. The transaction has paid down $101.27 million to the class A-1 debt since our June 27, 2024, rating actions. The reported overcollateralization (O/C) ratios showed the following changes since the May 2024 trustee report, which S&P used for its previous rating actions: -- The senior O/C ratio improved to 138.81% from 130.15%. -- The class C O/C ratio improved to 123.77% from 119.27%. -- The class D O/C ratio improved to 111.56% from 109.97%. -- The class E O/C ratio improved to 104.73% from 104.59%. -- Class F is not supported by an O/C test. The raised ratings on the class B-1, B-2-R, and C 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-1, D, and E debt reflect adequate credit support at the current rating levels. S&P said, "On a standalone basis, our cash flow analysis indicates the potential for a higher rating for the class B-1, B-2-R, C, and D debt. We also considered the transaction's higher exposure to 'CCC' collateral obligations, as well as to some assets with low market values. The affirmations of our ratings on the class B-1, B-2-R, C, and D debt reflect additional sensitivity runs that consider the CLO's exposure to these lower-quality assets and those currently at distressed prices, and our preference for more cushion to offset any future potential negative credit migration in the underlying collateral." Although all trustee-reported O/C ratios improved, the trustee-reported weighted average recovery rate (WARR) and weighted average spread (WAS) declined during the same period: -- The 'AAA' WARR decreased to 41.38% from 42.32%. -- The WAS decreased to 3.29% from 3.59%. This, combined with par losses that occurred over time, affected the cash flows of the class F debt, which is junior in the capital structure and therefore more sensitive to such changes as the portfolio amortizes. S&P said, "Additionally, the collateral portfolio's credit quality has slightly deteriorated since our last rating actions. Collateral obligations with ratings in the 'CCC' category decreased in dollar value but increased in percentage to 8.33% ($27.85 million) reported as of the April 2025 trustee report from 6.95% ($28.83 million) reported as of the May 2024 trustee report. "On a standalone basis, the result of the cash flow analysis for class F indicated a lower rating. While we believe that the class F debt now aligns with our 'CCC' rating category, we limited its downgrade to one notch to 'CCC+ (sf)' after considering its pure O/C (trustee O/C without haircut). However, any increase in defaults and/or further deterioration in the portfolio's credit quality could lead to potential negative rating actions on both notes. "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 Romark WM-R Ltd. Class B-1 to 'AA+ (sf)' from 'AA (sf)' Class B-2-R to 'AA+ (sf)' from 'AA (sf)' Class C to 'AA- (sf)' from 'A (sf)' Rating Lowered And Removed From CreditWatch Negative Romark WM-R Ltd. Class F to 'CCC+ (sf)' from 'B- (sf)'/Watch Neg Ratings Affirmed Romark WM-R Ltd. Class A-1: AAA (sf) Class D: BBB- (sf) Rating Affirmed And Removed From CreditWatch Negative Romark WM-R Ltd. Class E to 'B+ (sf)' from 'B+ (sf)'/Watch Neg RR 40: S&P Assigns BB- (sf) Rating on Class D Notes --------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 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 MORTGAGE 2025-NQM3: S&P Assigns 'B' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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-, 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, townhouses, planned-unit developments, condominiums, and two- to four-family residential properties. The pool consists of 665 loans, which are non-qualified mortgage/ability-to-repay-compliant (ATR-compliant) and ATR-exempt loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially." Ratings Assigned 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 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. SCULPTOR CLO XXX: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-1R, C-2R, D-1R, D-2R, and E-R debt and proposed new class X-R debt from Sculptor CLO XXX Ltd./Sculptor CLO XXX LLC, a CLO managed by Sculptor Loan Management L.P. that was originally issued June 28, 2022. The preliminary ratings are based on information as of June 24, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 30, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original class B-1, B-2, C, D-1, and D-2 debt and assign ratings to the replacement class A-R, B-R, C-1R, C-2R, D-1R, D-2R, and E-R debt and proposed new class X-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to June 30, 2027. -- The reinvestment period will be extended to July 20, 2030. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to July 20, 2038. -- No additional assets will be purchased on the June 30, 2025, first refinancing date, and the target initial par amount will remain at $400.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2025. -- The proposed new class X-R debt will be issued on the June 30, 2025, refinancing date, and is expected to be paid down using interest proceeds in seven equal installments of $428,571.43, beginning on the Jan. 20, 2026, payment date and ending on July 20, 2027. -- The required minimum overcollateralization ratios, reinvestment overcollateralization ratio, and minimum weighted average coupon will all be amended. -- No additional subordinated notes will be issued on the refinancing date. -- The transaction was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data and supplemented using the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Sculptor CLO XXX Ltd./Sculptor CLO XXX LLC Class X-R(i), $3.00 million: AAA (sf) Class A-R, $248.00 million: AAA (sf) Class B-R, $56.00 million: AA (sf) Class C-1R (deferrable), $21.50 million: A (sf) Class C-2R (deferrable), $2.50 million: A (sf) Class D-1R (deferrable), $20.00 million: BBB (sf) Class D-2R (deferrable), $6.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) (i)The new class X-R debt is expected to be paid down using interest proceeds in seven equal installments of $428,571.43, beginning on the Jan. 20, 2026, payment date and ending on July 20, 2027. SEQUOIA MORTGAGE 2025-6: Fitch Assigns Bsf Rating on B5 Certs ------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2025-6 (SEMT 2025-6). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2025-6 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B1A LT AA-sf New Rating AA-(EXP)sf B1X LT AA-sf New Rating AA-(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBB-sf New Rating BBB-(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 402 loans with a total balance of approximately $478.8 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. Following Fitch's publication of its presale and expected ratings, an updated collateral pool was provided which included updated balances and three loan drops from the prior pool. Fitch re-ran its asset analysis and the proposed levels did not change. Additionally, Fitch received an updated structure based off the new deal balance and confirmed there were no changes to its expected ratings. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 402 loans totaling approximately $478.8 million and seasoned at about four months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted average (WA) Fitch model FICO score of 779 and a 36.7% debt-to-income ratio (DTI). The borrowers also have moderate leverage, with a 78.9% sustainable loan-to-value ratio (sLTV) and a 69.9% mark-to-market combined LTV ratio (cLTV). Overall, 93.0% of the pool loans are for a primary residence, while 7.0% are loans for second homes; 79.4% of the loans were originated through a retail channel. In addition, 100.0% of the loans are designated as safe-harbor qualified mortgage (SHQM) loans. Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.9% above a long-term sustainable level (versus 11.0% on a national level as of 4Q24, down 0.1% since the prior quarter). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 2.9% yoy nationally as of February 2025, despite modest regional declines, but are still being supported by limited inventory. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. After the credit support depletion date, principal will be distributed sequentially — first to the super-senior classes (A-9, A-12 and A-18) concurrently on a pro rata basis and then to the senior-support A-21 certificate. SEMT 2025-6 will feature the servicing administrator (RRAC), following initial reductions in the class A-IOS strip and servicing administrator fees, obligated to advance delinquent P&I to the trust until deemed nonrecoverable. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates, and absent the full advancing, bonds can be vulnerable to missed payments during periods of adverse performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 42.1% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 23-bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2025-6 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2025-6 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SOLVE 2025-HEC1: DBRS Gives Prov. BB Rating on Class B Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of notes (together, the Notes) to be issued by SOLVE 2025-HEC1: -- $112.1 million Asset-Backed Notes, Series 2025-HEC1, Class A (Class A) at (P) BBB (sf) -- $18.9 million Asset-Backed Notes, Series 2025-HEC1, Class B (Class B) at (P) BB (sf) The (P) BBB (sf) credit rating reflects a cumulative advance rate of 56.5 % for Class A and the (P) BB (sf) credit rating reflects a cumulative advance rate of 66.1 % for Class B. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Home equity investments (HEIs) allow homeowners to access the equity in their homes without having to sell their homes or make monthly mortgage payments. HEIs provide homeowners with an alternative to borrowing and are available to homeowners of any age (unlike reverse mortgage loans, for example, for which there is often a minimum age requirement). With an HEI, a homeowner receives an upfront cash payment (an Investment Amount) and, in exchange, gives an investor (i.e., an originator) a stake in the property. The homeowner retains sole right of occupancy at the property and pays all upkeep and expenses during the term of the HEI, but the originator earns an investment return based on the future value of the property. Like reverse mortgage loans, the HEI underwriting approach is asset based, meaning that there is greater emphasis on the underlying property's value and the amount of home equity than on the homeowner's credit quality. The property value is the main predictor of investment return because it is the source of funds to satisfy the obligation. HEIs are nonrecourse; in a default situation, a homeowner is not required to provide additional funds when the HEI settlement amount exceeds the remaining equity value in the property (after accounting for any other obligations such as senior liens, if applicable). Recovery of the Investment Amount and any originator return is subject to the amount of appreciation/depreciation on the property, the amount of debt that may be senior to the HEI, and the cap on investor return, if applicable. As of the cut-off date, May 31, 2025, 116 contracts in the transaction were first-lien contracts, representing $10.54 million in original investment payments; 786 were second-lien contracts, representing $83.65 million in original investment payments; 82 were third-lien contracts, representing $10.24 million in original investment payments; and five were fourth-lien contracts, representing $0.34 million in original investment payments. Of the pool, 10.06% of the contracts by original investment amount are first lien with a weighted-average (WA) option percentage of 58.74%; 79.84% are second-lien contracts with a WA option percentage of 57.28%; 9.77% are third-lien contracts with a WA option percentage of 61.07%; and the remaining 0.33% are fourth-lien contracts with a WA option percentage of 63.46%. This brings the entire transaction's WA option percentage to 57.82%. The current unadjusted loan-to-value ratio of the pool is 36.69% (i.e., of senior liens ahead of the contracts). At the cut-off date, the pool had a WA original option-to-value ratio of 18.47% and a WA original loan-plus-option-to-value ratio of 61.79%. The transaction uses a sequential structure in which cash distributions are first made to reduce the interest amount and cap carryover amount on Class A. Payments are then made to the note amount on Class A until such notes reduce to zero followed by payments to reduce the additional accrued amounts for Class A that accrued on any earlier payment date but have not been paid until the additional accrued amounts reduce to zero. Class B are full accrual notes and will not be entitled to receive any payments of interest or principal until the Class A and Class A additional accrued amounts have been paid in full. Payments will not be made to Class B unless and until an optional redemption, auction proceeds redemption, or indenture default. Upon an optional redemption, auction proceeds redemption, or indenture default, payments are made to the aggregate note amount on the outstanding Notes. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related note amounts. In addition, the associated financial obligations for Class A include the related cap carryover and interest amounts. Notes: All figures are in U.S. dollars unless otherwise noted. SYMPHONY CLO 49: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Symphony CLO 49, Ltd. Entity/Debt Rating ----------- ------ Symphony CLO 49, Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating Transaction Summary Symphony CLO 49, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Symphony Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 22.89 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 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.68% and will be managed to a WARR 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 'A-sf' and 'AAAsf' for class A1, between 'BBB+sf' and 'AA+sf' for class A2, 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 D1, between less than 'B-sf' and 'BB+sf' for class D2, 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 A1 and class A2 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 D1, 'Asf' for class D2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Symphony CLO 49, 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. TMSQ 2014-1500: DBRS Confirms B Rating on Class B Certs ------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-1500 issued by TMSQ 2014-1500 Mortgage Trust as follows: -- Class X-A at BBB (high) (sf) -- Class A at BBB (sf) -- Class B at B (sf) -- Class C at CCC (sf) -- Class D at CCC (sf) The trends on all classes are Negative, with the exception of Classes C and D, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. The transaction is secured by the borrower's fee-simple interest in a 506,000 square foot (sf), 33-story Class A mixed-use building in the Times Square Bowtie in New York City. The majority of the building is designated as office space while approximately 106,000 sf is designated as retail and storage space. The credit rating confirmations reflect Morningstar DBRS' overall outlook for the transaction, which remains relatively unchanged since the prior review in July 2024. At that time, Morningstar DBRS downgraded its credit ratings on all classes based on a liquidation scenario, the results of which suggested that losses could fully erode the Class D and C certificates and partially erode the Class B certificate upon the eventual disposition of the loan. Given the lack of positive leasing momentum at the property and Morningstar DBRS' expectation that occupancy will continue to decline as a result of additional tenant departures, it is unlikely that the subject's operating performance will rebound in the near to moderate term, placing further downward pressure on cash flows. These factors support maintaining the Negative trends with this review. The whole loan of $505.0 million consists of $335.0 million of senior debt (structured with a 10-year interest-only (IO) term) held within the trust and $170.0 million of mezzanine debt held outside of the trust. The loan transferred to special servicing in July 2024 because the borrower was unable to repay the loan prior to the October 6, 2024, maturity date. The borrower requested a forbearance that would give it the ability to inject new capital and stabilize the property. An agreement was executed in March 2025, the terms of which included a 24-month initial forbearance period from October 2024 to October 2026 with two additional 12-month options ending in October 2028, the implementation of cash management provisions, and an equity contribution from the borrower. The equity contribution consists of $14.1 million to cover all shortfalls on an ongoing basis with an additional $20.2 million to be placed into an all-purpose reserve account for the future leasing and capital expenditure costs required to stabilize the property. The most recent appraisal, dated December 2024, valued the collateral at $335.0 million on an as-is basis, representing a 58.6% decline from the issuance value of $810.0 million. The updated valuation reflects a trust debt loan-to-value ratio (LTV) of 100.0% compared with the issuance appraised LTV of 41.4%. When including the mezzanine debt held outside of the trust, the LTV increases to 150.7%. According to the December 2024 rent roll, the occupancy rate at the property declined to 61.3% from approximately 90.0% at issuance. The retail segment continues to perform well, reporting an occupancy rate of 100.0%. The former second-largest tenant, Nasdaq, which previously occupied 53,000 sf (approximately 11.0% of the net rentable area (NRA)) vacated the property upon lease expiration in August 2024. The largest tenant at the property, Times Square Studio (TSS), currently occupies approximately 13.0% of the NRA. The bulk of the TSS space is configured for studio use and it is currently the filming location for the Walt Disney Co. (Disney)-owned ABC's Good Morning America (GMA) program. TSS has provided notice that it will vacate the property in July 2025 as part of Disney's larger move to consolidate its physical footprint at its new headquarters in Hudson Square. The borrower is actively marketing the space ahead of GMA's departure; however, given the unique build-out and distinctive requirements of studio/production space, Morningstar DBRS expects re-leasing efforts to progress at a slow pace. Should the borrower fail to backfill the TSS space prior to July 2025, the occupancy rate at the property will decline further to approximately 45.0%. Although the remainder of the tenant roster is relatively granular, with no other tenant accounting for more than 4.0% of NRA, leases representing approximately 10.0% of the NRA are scheduled to roll within the next 12 months, potentially placing further upward pressure on the property's vacancy rate. According to Reis, the Q1 2025 office vacancy rate for the Midtown West submarket was 13.3%, relatively in line with the prior year's figure. The vacancy rate is forecast to remain elevated, above 13.0%, through 2028. The servicer reported a net cash flow (NCF) of $23.5 million for YE2024 (reflecting a debt service coverage ratio of 1.64 times), 34.7% below the issuer's underwritten NCF of $36.0 million. Given that TSS and Nasdaq account for approximately 33.0% and 11.0% of in-place base rent at the property, respectively, Morningstar DBRS estimates property cash flows will fall below breakeven by the end of the year. The Morningstar DBRS value derived at the last review was maintained for this credit rating action. The analysis considered the property's three distinct segments, including the office and ground-floor retail components, as well as the TSS space. Given the expected departure of the two largest office tenants, Morningstar DBRS derived individual dark values for the office component and the TSS space, estimating for each a stabilized cash flow and utilizing a capitalization (cap) rate of 8.75% (including a 100-basis-point dark-value adjustment to account for the time and risk to re-tenant vacant space) with lease-up costs deducted in each case. In addition, credit was given to the income generated by the exterior signage. Because of the stable performance of the ground-floor retail space, Morningstar DBRS re-analyzed the existing cash flow stream based on the in-place tenancy and recent market data to determine an as-is value. A cap rate of 7.0% was utilized for the ground-floor retail component, resulting in a value of $82.0 million. The aggregate Morningstar DBRS value of $257.8 million ($509 per square foot) for all three segments represents declines of 50.8% and 23.1%, respectively, from the Morningstar DBRS value derived in 2020 and the most recent appraised value. The Morningstar DBRS value implies an LTV of 130.0% on the senior debt, based on the current loan balance of $335.0 million. Given the deterioration in performance, soft submarket demand, and declining cash flows, a liquidation scenario was derived based on the Morningstar DBRS value of $257.8 million and an estimated exposure of $351.4 million when accounting for projected servicer advances and liquidation fees, which resulted in an implied loss of nearly $94.0 million, representing a loss severity of 28.0%. As previously noted, should those losses be incurred, there would be principal loss for Classes D through B with approximately $5.3 million (18.0%) of cushion remaining in the B (sf) rated Class B certificate. Mitigating factors include the execution of the aforementioned forbearance agreement that will provide the sponsor with additional time to work toward property stabilization in addition to the conservative assumptions made as part of the derivation of the Morningstar DBRS value for the underlying collateral. The property also benefits from a well-performing retail segment, and a significant signage component, given its prime location in Times Square. In addition, the loan's sponsor, TREHI, a subsidiary of Tamares Group, a private investment company headquartered in London, appears to be committed to the asset, as evidenced by the recent equity infusion. 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. TOWD POINT 2025-1: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Towd Point Mortgage Trust 2025-1 (TPMT 2025-1). Entity/Debt Rating ----------- ------ TPMT 2025-1 A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A2 LT AA-(EXP)sf Expected Rating M1 LT A-(EXP)sf Expected Rating M2 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating B4 LT NR(EXP)sf Expected Rating B5 LT NR(EXP)sf Expected Rating A1 LT AAA(EXP)sf Expected Rating A1L LT NR(EXP)sf Expected Rating CVR LT NR(EXP)sf Expected Rating XS1 LT NR(EXP)sf Expected Rating XS2 LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The transaction is expected to close on June 30, 2025. The notes are supported by 1,315 primarily seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of approximately $546 million as of the cutoff date. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicers will advance delinquent (DQ) monthly payments of P&I for up to 150 days (under the Office of Thrift Supervision method) or until deemed nonrecoverable. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to its updated view on sustainable home prices, Fitch views the home price values of this pool as 8.0% above a long-term sustainable level (versus 11.0% on a national level as of 4Q24, down 0.1% since the prior quarter). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 2.9% yoy nationally as of February 2025, despite modest regional declines, but are still being supported by limited inventory. Seasoned Prime Credit Quality (Positive): The collateral consists of 1,315 primarily seasoned performing first lien loans, totaling $546 million and seasoned at approximately 105 months in aggregate (calculated as the difference between the origination date and the run date). The pool is 99.5% current and 0.5% 30-59 days DQ. Over the past two years, 92.7% of loans have been clean current. This includes 11 loans with DQs due to servicing transfer, which Fitch treated as current. Additionally, 3.6% of loans have a prior modification. The borrowers have a strong credit profile (767 Fitch model FICO and 37% debt-to-income [DTI] ratio) and low leverage (47% sustainable loan-to-value [sLTV] ratio). Of the pool, 86.9% of loans are of a primary residence, while 13.1% represent investment properties or a second home. Low Leverage (Positive): The pool consists of loans with a weighted average (WA) original combined LTV (CLTV) ratio of 66.0%. All loans received updated property values, translating to a WA current (mark-to-market) CLTV ratio of 43.2% after applicable haircuts based on valuation type and an sLTV of 47.2% at the base case. This reflects low-leverage borrowers and is stronger than in comparable seasoned transactions. Payment Shock (Negative): Approximately 72% of the pool loans are vulnerable to a future payment shock, either as a result of underlying adjustable-rate loans or loans currently in an IO period (or both). As the adjustable-rate loans were originated under low rates and given the current rate environment, the reset could prove to be meaningful. The borrowers' credit profile and very low leverage should mitigate potential defaults arising from a payment shock; however, Fitch still increased defaults by 62% to account for this risk. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for DQ P&I. The limited advancing reduces loss severities, as there is a lower amount 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 side, as there is limited liquidity in the event of large and extended delinquencies. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure (pro rata to the AAAsf rated notes), whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. The provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those notes in the absence of servicer advancing. Indemnification Clause (Mixed): U.S. Bank will act as the remedy provider, indemnifying any losses resulting from noncompliance with the Ability to Repay (ATR) standards for its loans, which represent 78% of the pool by unpaid principal balance (UPB). U.S. Bank represents that each mortgage loan originated on or after Jan. 10, 2014, complies with the ATR standards in Regulation Z, Section 1026.43(c). If notified of a claim or settlement suggesting a potential breach of the ATR rep on a U.S. Bank mortgage loan, U.S. Bank must either repurchase the loan at the repurchase price or notify the issuer if it declines to do so. If U.S. Bank does not repurchase, it must pay the issuer for actual losses resulting from a successful borrower claim or foreclosure defense due to an ATR rep breach. Additionally, U.S. Bank must indemnify the issuer against losses, costs and liabilities from such breaches, except for those arising from the issuer's gross negligence, willful misconduct, or failure to comply with the U.S. Bank mortgage loan purchase agreement (MLPA). Fitch considers the indemnification provision robust enough to address any ATR-related risks or losses. For the remaining 22% of loans from a third-party loan aggregator, a due diligence review of a sample found no material ATR-related issues, and any potential concerns will be addressed by the sponsor's standard ATR representation. 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 MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 40.2% at 'AAAsf'. 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 The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated 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. CRITERIA VARIATION The first variation is that the due diligence sample size for the transaction does not meet the minimum requirements as listed in Fitch's criteria. Fitch expects a compliance review for the greater of 200 loans or a 10% sample if loans are sourced from a single originator. Of the U.S. Bank-originated loans, which represent 78% of the pool by UPB, only 76 loans, or 11% by loan count (11% by UPB), received a compliance review. While the current sample is in line on a percentage basis, it does not meet the minimum loan count. This pool is part of a larger cohort being securitized in pieces. Fitch was provided access to the entire diligence sample, which covered roughly 10%, or 656 loans. Fitch relied on the larger population sample, which had no material differences compared to this pool, to mitigate the lower total number of loans reviewed for this transaction. Additionally, the ATR rep for these loans is being provided by U.S. Bank, and any potential breaches of the rep will result in a repurchase, indemnification or cure by U.S. Bank. This variation had no rating impact. The second variation relates to the application of lower LS floors than those described in Fitch's criteria. This pool benefits from a material amount of equity buildup. Even after a 40% home price decline environment (AAAsf rating case), the stressed sLTV is only 73.0%. Additionally, the pool's sLTV of 47.2% is below the RPL industry average. Fitch believes that applying a 30% LS floor in this situation is highly punitive and considers that a 20% LS floor at 'AAAsf' provides additional downside protection in the event of idiosyncratic events while differentiating this pool from other pools with much higher sLTVs. This treatment resulted in a rating of approximately one notch higher for each class. 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, Opus, Clayton and Westcor. A third-party due diligence was performed on approximately 27% of the pool by loan count by AMC, Opus and Clayton, all assessed as 'Acceptable' third-party review (TPR) firms by Fitch. The scope primarily focused on a regulatory compliance review to ensure loans were originated in accordance with predatory lending regulations. Additionally, a tax and title review was completed on 100% of the loans by AMC and Westcor. While the review was substantially similar to Fitch criteria with respect to RPL transactions, the sample size yielded minor variations to the criteria as indicated above. Fitch considered this information in its analysis, which is reflected in the 'AAAsf' expected loss of 4.00% ESG Considerations TPMT 2025-1 has an ESG Relevance Score of '4' for Exposure to Environmental Impacts due to high geographic concentration leading to increased risk of catastrophe exposure, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. TOWD POINT 2025-CES2: Fitch Assigns 'B-(EXP)sf' Rating on B2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Towd Point Mortgage Trust 2025-CES2 (TPMT 2025-CES2). Entity/Debt Rating ----------- ------ TPMT 2025-CES2 A1 LT AAA(EXP)sf Expected Rating A2 LT AA-(EXP)sf Expected Rating A2A LT AA-(EXP)sf Expected Rating A2AX LT AA-(EXP)sf Expected Rating A2B LT AA-(EXP)sf Expected Rating A2BX LT AA-(EXP)sf Expected Rating A2C LT AA-(EXP)sf Expected Rating A2CX LT AA-(EXP)sf Expected Rating A2D LT AA-(EXP)sf Expected Rating A2DX LT AA-(EXP)sf Expected Rating AX LT NR(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating CVR LT NR(EXP)sf Expected Rating M1 LT A-(EXP)sf Expected Rating M1A LT A-(EXP)sf Expected Rating M1AX LT A-(EXP)sf Expected Rating M1B LT A-(EXP)sf Expected Rating M1BX LT A-(EXP)sf Expected Rating M1C LT A-(EXP)sf Expected Rating M1CX LT A-(EXP)sf Expected Rating M1D LT A-(EXP)sf Expected Rating M1DX LT A-(EXP)sf Expected Rating M2 LT BBB-(EXP)sf Expected Rating M2A LT BBB-(EXP)sf Expected Rating M2AX LT BBB-(EXP)sf Expected Rating M2B LT BBB-(EXP)sf Expected Rating M2BX LT BBB-(EXP)sf Expected Rating M2C LT BBB-(EXP)sf Expected Rating M2CX LT BBB-(EXP)sf Expected Rating M2D LT BBB-(EXP)sf Expected Rating M2DX LT BBB-(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating XS1 LT NR(EXP)sf Expected Rating XS2 LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes issued by Towd Point Mortgage Trust 2025-CES2 (TPMT 2025-CES2), as indicated above. The transaction is expected to close on June 30, 2025. The notes are supported by 4,835 newly originated and recently seasoned closed-end second lien (CES) loans with a total balance of $446 million as of the cutoff date. Spring EQ, LLC (Spring EQ) and Rocket Mortgage and originated approximately 67% and 32% of the loans, respectively. Shellpoint Mortgage Servicing (SMS) and Rocket Mortgage will service the loans. Shellpoint will advance delinquent (DQ) monthly payments of P&I for up to 60 days (under the Office of Thrift Supervision [OTS] methodology) or until deemed nonrecoverable. Fitch did not acknowledge the advancing in its analysis given its projected loss severities on the second lien collateral. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. Excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. In addition, the structure includes a senior IO class (class AX), which represents a senior interest strip of 1.50%, with such interest strip entitlement being senior to the net interest amounts paid to the P&I certificates. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to an updated view on sustainable home prices, Fitch views the home price values of this pool as 10.6% above a long-term sustainable level, compared with 11% on a national level as of 4Q24, down 0.1% QoQ. Housing affordability is at its worst levels in decades, driven by high interest rates and elevated home prices. Home prices increased 2.9% YoY nationally as of February 2025, despite modest regional declines, but are still being supported by limited inventory. Closed Second Liens (Negative): The entirety of the collateral pool comprises newly originated or recently seasoned second lien mortgages. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans. After controlling for credit attributes, no additional penalty was applied. Strong Credit Quality (Positive): The pool primarily consists of new-origination and recently seasoned second lien (mortgages, seasoned at approximately six months (as calculated by Fitch), with a relatively strong credit profile — a weighted average (WA) model credit score of 737, a 39% debt-to-income ratio (DTI) and a moderate sustainable loan-to-value ratio (sLTV) of 79%. All of the loans were treated as full documentation in Fitch's analysis. Approximately 53% of the loans were originated through a reviewed retail channel. Sequential-Pay Structure with Realized Loss and Writedown Feature (Mixed): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the most senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those notes in the absence of servicer advancing. With respect to any loan that becomes DQ for 150 days or more under the OTS methodology, the related servicer will review, and may charge off, such loan with the approval of the asset manager, based on an equity analysis review performed by the servicer, causing the most subordinated class to be written down. Fitch views the writedown feature positively, despite the 100% LS assumed for each defaulted second lien loan, as cash flows will not be needed to pay timely interest to the 'AAAsf' and 'AA-sf' rated notes during loan resolution by the servicers. In addition, subsequent recoveries realized after the writedown at 150 days DQ, excluding forbearance mortgage or loss mitigation loans, will be passed on to bondholders as principal. The structure does not allocate excess cashflow to turbo down the bonds but includes a step-up coupon feature whereby the fixed interest rate for classes A1, A2 and M1 will increase by 100 bps, subject to the net WAC, after four years. In addition, the structure includes a senior IO class certificate (class AX), which represents a senior interest strip of 1.50% per annum based off the related mortgage rate of each mortgage loan, with such interest strip entitlement being senior to the net interest amounts paid to the notes and paid at the top of the waterfall. Notably, the inclusion of this senior IO class reduces the collateral WAC and effectively diminishes the excess spread. Given that it is a strip-off of the entire interest-bearing collateral balance and accrual amounts will be reduced by any losses on the collateral pool, class AX cannot be rated by Fitch. Overall, in contrast to other second lien transactions, this transaction has less excess spread available, and its application offers diminished support to the rated classes, requiring a higher level of credit enhancement (CE). Limited Advancing Construct (Neutral): The servicers will be advancing delinquent P&I on the closed end collateral for a period up to 60 days delinquent under the OTS method as long as such amounts are deemed recoverable. Given Fitch's projected loss severity assumption on second lien collateral, Fitch assumed no advancing in its analysis. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis shows how ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 41.9%, at 'AAAsf'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with model projections. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes, excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC (AMC) and Consolidated Analytics. A third-party due diligence review was completed on 76.5% of the loans. The scope, as described in Form 15E, focused on credit, regulatory compliance and property valuation reviews, consistent with Fitch criteria for new originations. The results of the reviews indicated low operational risk with only 22 loans receiving a final grade of C/D. Fitch applied a credit for the high percentage of loan-level due diligence, which reduced the 'AAAsf' loss expectation by 61bps. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. TRINITAS CLO XXXIII: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Trinitas CLO XXXIII Ltd./Trinitas CLO XXXIII LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Trinitas Capital Management LLC. The preliminary ratings are based on information as of June 23, 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 notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Trinitas CLO XXXIII Ltd./Trinitas CLO XXXIII LLC Class A(i), $179.00 million: AAA (sf) Class A loans(i), $100.00 million: AAA (sf) Class B, $63.00 million: AA (sf) Class C (deferrable), $27.00 million: A (sf) Class D-1 (deferrable), $22.50 million: BBB- (sf) Class D-2 (deferrable), $7.65 million: BBB- (sf) Class E (deferrable), $13.95 million: BB- (sf) Subordinated notes, $43.80 million: NR (i)All or a portion of the class A loans can be converted into class A notes. Upon such conversion, the class A loans will be decreased by the converted amount with a corresponding increase in the class A notes. No class A or any other class of notes may be converted into class A loans. NR--Not rated. UNLOCK HEA 2025-1: DBRS Gives Prov. BB Rating on C Notes -------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Asset-Backed Notes, Series 2025-1 (the Notes) to be issued by Unlock HEA Trust 2025-1 as follows: -- $180.9 million Class A at (P) BBB (sf) -- $9.6 million Class B at (P) BBB (low) (sf) -- $27.8 million Class C at (P) BB (sf) The BBB (sf) credit rating reflects credit enhancement of 17.3% for Class A, the (P) BBB (low) (sf) credit rating reflects credit enhancement of (P) 12.9% for Class B, and the (P) BB (sf) credit rating reflects credit enhancement of 0.2% for Class C. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Home equity investments (HEIs) allow homeowners access to the equity in their homes without having to sell their homes or make monthly mortgage payments. HEIs provide homeowners with an alternative to borrowing and are available to homeowners of any age (unlike reverse mortgage loans, for example, for which there is often a minimum age requirement). A homeowner receives an upfront cash payment (an Advance or an Investment Amount) in exchange for giving an Investor (i.e., an Originator) a stake in their property. The homeowner retains sole right of occupancy of the property and pays all upkeep and expenses during the term of the HEI, but the Originator earns an investment return based on the future value of the property, typically subject to a returns cap. Like reverse mortgage loans, the HEI underwriting approach is asset-based, meaning there is greater emphasis placed on the value of the underlying property and the amount of home equity than on the credit quality of the homeowner. The property value is the main focus for predicting investment return because it is the primary source of funds to satisfy the obligation. HEIs are nonrecourse; in a default situation a homeowner is not required to provide additional funds when the HEI settlement amount exceeds the remaining equity value in the property (after accounting for any other obligations such as senior liens, if applicable). Recovery of the Advance and any Originator return is driven by the structure of the agreement, the amount of appreciation/ depreciation on the property, the amount of debt that may be senior to the HEA, and the cap on investor return. As of the cut-off date, the collateral consists of approximately $218.7 million in current exercise value from 2,149 nonrecourse HEI agreements secured by first, second, or third liens on single-family detached, multifamily (two- to four-family), condominium, and townhouse properties. All the contracts in the asset pool were originated between 2023 and 2025. Of the pool, 267 contracts in the transaction are first-lien contracts, representing roughly $38.9 million in current exercise value; 1,578 are second-lien contracts, representing roughly $151.8 million in current exercise value; and 304 are third-lien contracts, representing roughly $27.9 million in current exercise value. Of the pool, 17.8% of the contracts are first lien and have a weighted-average (WA) exchange rate of 1.77 times (x; i.e., a multiplier of 1.77x); 69.4% are second-lien contracts and have a WA exchange rate of 1.90x; and the remaining 12.8% of the pool are third-lien contracts with a WA exchange rate of 1.94x. This brings the entire transaction's WA exchange rate to 1.88x. To better understand the impact and mechanics of exchange rates, please see the example in the Contract Mechanics; Worked Example section of the presale report. The current unadjusted loan-to-value ratio (LTV) of the pool is 34.46% (i.e., of senior liens ahead of the contracts). At cut-off, the pool had a WA contract-to-value (also known as option-to-value (OTV)) of 20.89%, and a WA loan plus contract-to-value (also known as loan plus option-to-value (LOTV)) of 55.35%. The OTV of a $100,000 option on a house worth $1,000,000 would be 10%. If that house had a $600,000 first lien, the unadjusted LTV would be 60%, and the LOTV would be 70%. The transaction uses a sequential structure in which cash distributions are first made to reduce the interest payment amount and any interest carryforward amount on Class A-IO, Class A, Class B (as long as a trigger event is not in effect), and Class C Notes (as long as a trigger event is not in effect). Payments are then made to reduce the note principal balance on Class A Notes until such notes are paid off. With respect to the Class B Notes, payments are first made to any remaining Interest Payment Amount and Interest Carryforward Amount and then to reduce the note principal balance until such notes are paid off. With respect to the Class C Notes, payments are first made to any remaining Interest Payment Amount and Interest Carryforward Amount and then to reduce the note principal balance until such notes are paid off. The Class D Notes are principal only and will not entitled to any payments until the Class A, B, and C Notes have been paid down. A trigger event will occur if (1) the payment date on which the Reserve Fund is less than 50% of the Reserve Fund Target Amount or (2) the payment date on which the average home price valuation of the outstanding HEA is less than 80% of the starting home valuation as of the cut-off date. During a trigger event, the Class B and C Notes shall not receive any interest or principal payments until the Class A Notes are fully paid down. The Class C Notes shall not receive any interest or principal payments until both the Class A and B Notes are fully paid down. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2015-LC20: DBRS Confirms C Rating on F Certs -------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2015-LC20 issued by Wells Fargo Commercial Mortgage Trust 2015-LC20 as follows: -- Class D to CCC (sf) from BB (sf) -- Class E to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class C at A (low) (sf) -- Class F at C (sf) -- Class X-B at A (sf) -- Class X-E at CCC (sf) -- Class PEX at A (low) (sf) The trends on Classes C, X-B, and PEX are 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 for the transaction, which is in winddown. There are eight loans remaining in the pool, all of which are past their original scheduled maturities; Morningstar DBRS analyzed each of the remaining loans in a liquidation scenario to test the recoverability of the remaining classes. Morningstar DBRS' liquidation assumptions resulted in cumulative losses of $46.7 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 downgrades to Classes D and E. The Negative trend on Class C reflects the increasing probability that ongoing interest shortfalls will exceed Morningstar DBRS' shortfall tolerance ceiling of two periods for the A (sf) credit rating category. With the May 2025 remittance, cumulative interest shortfalls increased to approximately $3.8 million, up from $2.2 million at the last credit rating action in July 2024. Class D was shorted full interest in April 2025 and has not received full interest between through the May 2025 remittance. Morningstar DBRS expects shortfalls to soon exceed the Morningstar DBRS shortfall tolerance ceiling for the BB (sf) credit rating category of six periods for Class D, further supporting the credit rating downgrade for this class; and, Morningstar DBRS expects interest shortfalls to increase to Class C when the Actuant HQ loan (Prospectus ID#24, 8.8% of the pool), secured by a dark suburban office property in Menomonee Falls, Wisconsin, ultimately transfers to special servicing. Morningstar DBRS' wind down scenario, based on conservative haircuts to the most recent appraisal values for the remaining loans in the pool, indicates that the senior investment-grade rate class is well insulated from liquidated losses, supporting the credit rating confirmations on Class C and the corresponding exchangeable Class PEX. Since the previous credit rating action, 52 loans have successfully repaid from the trust and one loan that was previously in special servicing, Holiday Inn Express - Lithia Springs (Prospectus ID#52), was liquidated from the trust with no realized loss. As of the May 2025 remittance, the current trust balance was $128.9 million, representing a collateral reduction of 84.5% from issuance. Of the remaining loans, three loans representing 39.7% of the pool are secured by office collateral, followed by lodging at 27.7%. There are two loans remaining in the trust that are not in special servicing; however, given each failed to repay at scheduled maturity, Morningstar DBRS also analyzed these loans with liquidation scenarios. The largest contributor to Morningstar DBRS' liquidated losses is One Monument Place (Prospectus ID#3, 25.9% of the pool), a 222,477-square-foot (sf) Class A office property in Fairfax, Virginia. The occupancy rate at the subject increased to 50.0% as of YE2024, up from 34.0% as of YE2023, but remains significantly below issuance when the occupancy rate was above 90.0%. The property is in a soft submarket in Fair Oaks, with Reis, Inc. reporting an elevated Q1 2025 vacancy rate of 27.7%, which is expected to persist over the next few years. The property was recently appraised in February 2025 appraisal for $16.3 million, down significantly from the March 2024 and issuance appraisal values of $22.0 million and $60.0 million, respectively. The loan, which had an initial maturity date in April 2020, has been granted several maturity extensions to April 2025 and was modified, converting the loan to interest-only (IO) with the borrower contributing $5.0 million in principal paydown in exchange. The loan transferred to special servicing in May 2025 after not repaying at its maturity; the borrower has requested another extension, which is being evaluated by the special servicer. Given the low appraisal value and soft submarket, Morningstar DBRS analyzed this loan in a liquidation scenario, applying a 30% haircut to the February 2025 appraised value, resulting in an implied loss approaching $29.0 million and a loss severity in excess of 85.0%. The second-largest loan in special servicing, University of Delaware Hotel Portfolio (Prospectus ID #4, 22.5% of the pool balance), is secured by two adjacent hotels totaling 245 keys and located near the main campus of the University of Delaware in Newark, Delaware. The loan failed to repay at its anticipated repayment date (ARD) in March 2022 and transferred to special servicing in January 2023 for imminent monetary default. As of the May 2025 remittance, a receiver is in place and is preparing to market the properties for sale in the summer of 2025. Performance of the collateral has suffered since the onset of the pandemic with the debt service coverage ratio (DSCR) reporting below break-even for the last several years and negative as of YE2024. According to the STR report for the trailing 12-month period (T-12) ended September 30, 2024, the weighted-average (WA) occupancy rate, average daily rate, and revenue per available room (RevPAR) were reported at 70.7%, $154.92, and $109.24, respectively. This is generally in line with the T-12 ended March 31, 2024, figures but still below pre-pandemic levels when the YE2019 RevPAR was reported at $115.64. Based on the updated March 2025 appraisal, the subject was valued at $34.8 million, down from the November 2023 and issuance values of $40.4 million and $49.0 million, respectively. The franchise agreements at both of the properties are to expire in May 2026. Given the portfolio's lackluster performance, value decline, and the likelihood that equity would need to be contributed to the properties to maintain brand standards, Morningstar DBRS analyzed this loan based on a 30% haircut to the March 2025 appraised value, resulting in an implied loss over $6.8 million and a loss severity of nearly 25.0%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. WESTLAKE AUTOMOBILE 2022-2: S&P Affirms B (sf) Rating on F Notes ---------------------------------------------------------------- S&P Global Ratings raised its ratings on six classes of notes and affirmed its ratings on four classes of notes from Westlake Automobile Receivables Trust (Westlake) 2021-3, 2022-1, and 2022-2. These are ABS transactions backed by subprime retail auto loan receivables originated and serviced by Westlake Services LLC. The rating actions reflect: -- Each transaction's collateral performance to date and its expectations regarding future collateral performance; -- S&P's remaining cumulative net loss (CNL) expectations for each transaction, and the transactions' structures and credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent macroeconomic outlook that incorporates a baseline forecast for U.S. GDP and unemployment. Based on these factors, and the capital contributions of $17 million and $30 million to Westlake 2022-1 and Westlake 2022-2, respectively, by Westlake Funding IV LLC and WPS IV LLC on May 15, 2025 (June 2025 distribution), S&P believes each notes' creditworthiness is consistent with the raised and affirmed ratings. Since S&P's last rating actions on Aug. 14, 2024, the Westlake 2021-3, 2022-1, and 2022-2 transactions are performing worse than our prior revised CNL expectations. The frequency of defaults has not decreased as the series' pools have aged. Gross charge-offs have remained elevated, and recoveries are at the program's low point. Together, these factors are resulting in elevated CNLs, reduction and or exhaustion of overcollateralization amounts, and draws on the reserve amount. Delinquencies and extensions, too, while stabilizing, are elevated. In view of the transactions' performance to date, coupled with continued adverse economic headwinds and weaker recovery rates, we further revised and raised our expected CNLs for these transactions (see table 2). As of the June 2025 distribution date: Westlake 2021-3 is below its required overcollateralization amount. The series was previously at its overcollateralization target; however, since the September 2024 distribution date, excess spread has been insufficient to cover net losses, and the required overcollateralization amount has not maintained. Westlake 2022-1 and 2022-2 overcollateralization amounts are exhausted. Both series were previously at their target overcollateralization amounts but sustained and elevated losses within the last 12 months resulted in a precipitous decline in these series' overcollateralization amounts and eventual depletion, as of the April 2025 distribution date for Westlake 2022-1 and as of the May 2025 distribution date for Westlake 2022-2. As a result, both series reserve amounts are being drawn to satisfy principal payments. To remedy the series poor performance, the reserve amounts for Westlake 2022-1 and Westlake 2022-2 were increased by the aforementioned capital contributions. Table 1 Collateral performance (%)(i) Pool Current Current Current 60-plus-day Series Month factor CGL CRR CNL delinq. Ext. 2021-3 43 13.84 19.26 30.47 13.39 1.93 9.02 2022-1 39 17.06 21.30 27.42 15.46 1.92 9.07 2022-2 36 24.04 21.83 28.97 15.51 1.91 9.29 (i)As of the June 2025 distribution date. Delinq.--Delinquencies. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Table 2 CNL expectations (%) Original Prior Current lifetime lifetime lifetime Series CNL exp. CNL exp.(i) CNL exp.(ii) 2021-3 12.75 (12.50-13.00) 12.75 14.50 2022-1 12.75 (12.50-13.00) 15.00 17.25 2022-2 12.75 (12.50-13.00) 15.75 19.00 (i)Revised in August 2024. (ii)Revised in June 2025. CNL exp.--Cumulative net loss expectations. Table 3 WLAKE overcollateralization summary(i) Current Target Series (%)(ii) (%)(iii) Current ($) Target ($) 2021-3 4.06 2.25 11,107,019 19,755,177 2022-1 0.00 4.20 0.00 15,166,835 2022-2 0.00 4.75 0.00 18,787,656 (i)As of the June 2025 distribution date. (ii)Percentage of the current collateral pool balance. (iii)For each series, the overcollateralization target on any distribution date is equal to the greater of (a) the target percentage of the current pool balance, and (b) 1.00% of the initial pool balance. Table 4 WLAKE reserve amount summary(i) Current Target Series (%)(ii) (%)(iii) Current ($) Target ($) 2021-3 7.23 1.00 19,755,177 19,755,177 2022-1 10.76 1.00 27,823,689(iv) 15,166,835 2022-2 10.98 1.00 43,432,651(iv) 16,452,466 (i)As of the June 2025 distribution date. (ii)Percentage of the current collateral pool balance. (iii)For each series, the reserve target on any distribution date is equal to the percentage of the initial pool balance. (iv)On May 15, 2025 (June distribution), Westlake Funding IV LLC and WPS IV LLC made a capital contribution of $17 million (6.57% of the current pool balance) to 2022-1 and $30 million (7.58% of the current pool balance) to 2022-2. Each transaction has a sequential principal payment structure in which the notes are paid principal by seniority, which will increase the credit enhancement for the senior notes as the pool amortizes. Each transaction also has credit enhancement in the form of a nonamortizing reserve account, overcollateralization (except series 2022-1 and 2022-2), subordination for the more senior classes, and excess spread. Notwithstanding the decrease (series 2021-3) and depletion (series 2022-1 and 2022-2) of overcollateralization amounts, the increase in the series 2022-1 and 2022-2 reserve amounts and the transactions' sequential principal payment structures have led to an increase in the other components of hard credit enhancement since issuance, which generally benefits the notes, especially the senior notes, as their collateral pools amortize (see table 5). Table 5 Hard credit support(i) Total hard Current total hard credit support credit support Series Class at issuance (%) (% of current) 2021-3 D 10.00 72.73 2021-3 E 6.65 48.51 2021-3 F 1.50 11.29 2022-1 D 12.55 72.02 2022-1 E 9.65 55.02 2022-1 F 2.10 10.76 2022-2 C 23.55 93.34 2022-2 D 14.30 54.87 2022-2 E 11.30 42.39 2022-2 F 3.75 10.98 (i)As of June 2025 distribution date, calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. Excludes excess spread that can also provide additional enhancement. S&P said, "In our analysis, we considered the aforementioned capital contribution to the series 2022-1 and 2022-2 reserve accounts to remedy the depletion of the series' overcollateralization amounts and achieve the credit enhancement required to maintain the ratings on the most subordinated class F for each transaction. This was a key consideration in the affirmation of the ratings on the subordinated class F notes for each series. Both series reserve amounts are being drawn to satisfy principal payments. Given the elevated losses these series are experiencing and the continued economic headwinds' negative impact on consumer affordability, if losses do not decelerate as these series age, the supportive contributions to each series will be eroded with negative implications for the series' most subordinated classes. "We incorporated an analysis of the current hard credit enhancement compared to the remaining expected CNLs for those classes where hard credit enhancement alone, without giving credit to the excess spread, was sufficient, in our view, to support the rating actions. For the other classes, we incorporated cash flow analyses to assess the loss coverage level, giving credit to excess spread. Our 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 transactions' performance to date. "In addition to our break-even cash flow analyses, we also conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised loss expectations. "In our view, the results demonstrated that all of the classes have adequate credit enhancement at their respective raised and affirmed rating levels, which is based on our analysis as of the collection period ended May 31, 2025 (the June 2025 distribution date). We will continue to monitor the performance of the outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." RATINGS RAISED Westlake Automobile Receivables Trust Rating Series Class To From 2021-3 D AAA (sf) AA+ (sf) 2021-3 E AA+ (sf) A (sf) 2022-1 D AAA (sf) AA- (sf) 2022-1 E AA (sf) A (sf) 2022-2 C AAA (sf) AA (sf) 2022-2 D AA- (sf) A+ (sf RATINGS AFFIRMED Westlake Automobile Receivables Trust Series Class Rating 2021-3 F BB- (sf) 2022-1 F B+ (sf) 2022-2 E BBB+ (sf) 2022-2 F B (sf) WIND RIVER 2019-2: S&P Lowers Class E-R Debt Rating to 'B (sf)' --------------------------------------------------------------- S&P Global Ratings lowered its rating on the class E-R debt from Wind River 2019-2 CLO Ltd./Wind River 2019-2 CLO LLC and removed the rating from CreditWatch with negative implications. The transaction is a U.S. CLO originally issued in November 2019 and refinanced in February 2022 that is managed by First Eagle Alternative Credit EU LLC. At the same time, we affirmed our ratings on the class A-1R, B-R, C-R, and D-R debt from the same transaction. The CLO is in its reinvestment phase, which is expected to end in January 2027. The rating actions follow S&P's review of the transaction's performance using data from the May 8, 2025, trustee report. Though the trustee-reported overcollateralization (O/C) ratios of all tranches are currently passing, they have declined since S&P's last rating action in February 2022. Following are the changes in the reported O/C ratios between the May 2025 report and the December 2021 report (when the CLO was refinanced): -- The class A/B O/C ratio declined to 127.87% from 132.06%. -- The class C O/C ratio declined to 118.51% from 122.40%. -- The class D O/C ratio declined to 110.43% from 114.05%. -- The class E O/C ratio declined to 105.63% from 109.09%. S&P said, "The drop in the O/C ratios is primarily due to par losses since our last rating action. In addition, the recovery rates have declined overall and the weighted average spread has dropped, which are contributing to the weakened cash flows. As a result of these factors, credit support has weakened for all tranches and the cash flow of the class E-R debt is no longer passing at the previous rating level. "On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class D-R and E-R debt than the rating actions reflect. However, we affirmed our rating on the class D-R debt and limited the downgrade for class E-R after considering the margin of failure, the credit support commensurate with the current rating levels, the low defaults, the low exposure to collateral obligations rated 'CCC' and 'CCC-', passing O/Cs, and that the transaction is still in its reinvestment period, which is not scheduled to end until January 2027. 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 the cash flow results indicated a higher rating for the class B-R debt, our action considered that the CLO is still in its reinvestment period (scheduled to expire January 2027) and that future reinvestment activity could change some of the portfolio characteristics. "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. "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 we will take rating actions as we deem necessary." Rating Lowered And Removed From CreditWatch Wind River 2019-2 CLO Ltd. Class E-R to 'B (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Wind River 2019-2 CLO Ltd. Class A-1R: AAA (sf) Class B-R: AA (sf) Class C-R: A (sf) Class D-R: BBB- (sf) WIND RIVER 2023-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Wind River 2023-1 CLO Ltd. reset transaction. Entity/Debt Rating ----------- ------ Wind River 2023-1 CLO Ltd. X-R LT AAAsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-1-R LT A+sf New Rating C-2-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 Wind River 2023-1 CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that originally closed in April 2023 and is managed by First Eagle Alternative Credit, LLC. On June 18, 2025, the existing secured notes will be refinanced in whole with refinancing proceeds. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $499 million (excluding defaulted obligations) 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', in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.37% first-lien senior secured loans and has a weighted average recovery assumption of 75.58%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 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 required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and '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 and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Wind River 2023-1 CLO Ltd. reset transaction. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. WIND RIVER 2023-1: Moody's Assigns B3 Rating to $250,000 F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Wind River 2023-1 CLO Ltd. (the Issuer): US$320,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$250,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. 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 eligible investments representing principal proceeds, and up to 10.0% of the portfolio may consist of not senior secured loans or eligible investments representing principal proceeds. First Eagle Alternative Credit, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other eight 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 methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2653 Weighted Average Spread (WAS): 2.80% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. [] DBRS Reviews 98 Classes in 12 US RMBS Transactions ----------------------------------------------------- DBRS, Inc. reviewed 98 classes in 12 U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed transactions are classified as legacy RMBS. Morningstar DBRS confirmed its credit ratings on 98 classes. The Affected Ratings are available at https://bit.ly/4lstrYu The Issuers are: MASTR Asset Backed Securities Trust 2005-WMC1 C-BASS 2007-SP1 Trust Terwin Mortgage Trust 2004-9HE Terwin Mortgage Trust 2004-7HE Terwin Mortgage Trust 2004-19HE Terwin Mortgage Trust 2004-15ALT Terwin Mortgage Trust 2004-13ALT C-BASS 2007-CB6 Trust C-BASS 2004-CB7 Trust ResMAE Mortgage Loan Trust 2006-1 Securitized Asset-Backed Receivables LLC Trust 2005-EC1 First Franklin Mortgage Loan Trust, Series 2005-FFH2 CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update" published on March 26, 2025 (https://dbrs.morningstar.com/research/450604). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in US Dollars unless otherwise noted. [] Fitch Takes Actions on Access Group 2002 Indenture of Trust -------------------------------------------------------------- Fitch Ratings has taken various rating actions on the outstanding notes of Access Group 2002 Indenture of Trust. All ratings were affirmed at their current levels with unchanged outlooks, except for the senior A class notes of 2002-1, which was downgraded to 'BBBsf' from 'AAsf' and assigned a Negative Rating Outlook. Entity/Debt Rating Prior ----------- ------ ----- Access Group, Inc. - Federal Student Loan Notes, Series 2003-1 A-4 00432CBA8 LT AAsf Affirmed AAsf A-5 00432CBB6 LT AAsf Affirmed AAsf A-6 00432CBC4 LT AAsf Affirmed AAsf B 00432CBE0 LT CCsf Affirmed CCsf Access Group, Inc. - Federal Student Loan Notes, Series 2002-1 A-3 00432CAM3 LT BBBsf Downgrade AAsf A-4 00432CAN1 LT BBBsf Downgrade AAsf B 00432CAP6 LT CCsf Affirmed CCsf Access Group, Inc. - Federal Student Loan Notes, Series 2004-1 A-2 00432CBN0 LT AAsf Affirmed AAsf B 00432CBT7 LT CCsf Affirmed CCsf Transaction Summary The class A notes for 2003-1 and 2004-1 are being affirmed at 'AA' with Stable Outlook. The class A note 2002-1 is being downgraded to 'BBBsf'/Negative from 'AAsf'/Stable, as available funds and maturity cushions tighten for the outstanding portfolio. All class B notes are being affirmed at 'CCsf', since these are unable to pass any credit and maturity stresses. In Fitch's opinion, current ratings are commensurate with the observed decrease in total parity, standing at 88.48% as of April 2025. 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: 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 CPR, and voluntary prepayments are expected to return to historical levels. Fitch is maintaining the sustainable constant default rate (sCDR) at 1.7% and revising the sustainable constant prepayment rate (sCPR) assumption to 8.0% from 4.25%, based on historical observed information. For modelling purposes, the 'AA+sf' and 'Bsf' default rates are of 22.50% and 7.50%, respectively. As of March 2025, the 31-60DPD increased to 1.51% from 1.38% in March 2024, while 91-120 DPD slightly increased to 0.40% from 0.38%. TTM levels of deferment and forbearance reached 0.60% (0.58%) and 1.80% (2.07%). These are used as the starting point in cash flow modeling. Subsequent declines or increases are modelled 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 April 30, 2025, collection period, all trust student loans are indexed to either 91-day T-bill or 30-day average SOFR + spread adjustment of 0.11448%. Approximately 6.58% of the notes are indexed to 90-day average SOFR + 0.26161%, and the remaining are auction rate securities. 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 (with reported senior and total parity of 117.41% and 88.48%, respectively), no cash is being released from the trust as the cash release threshold of 101% total parity has not been met. Liquidity support is provided by a reserve account sized at $2.9 million. 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. 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 the majority 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. Current Ratings: Classes A: 2004-1 'AAsf'; 2003-1 'AAsf'; 2002-1 'BBBsf'. All Classes B: 'CCCsf' Credit Stress Rating Sensitivity - Default increase 25%: classes A: 2004-1 'AAsf'; 2003-1 'AAsf'; 2002-1 'BBsf'. All classes B: 'CCCsf'; - Default increase 50%: classes A: 2004-1 'AAsf'; 2003-1 'AAsf'; 2002-1 'BBsf'. All classes B: 'CCCsf'; - Basis Spread increase 0.25%: classes A: 2004-1 'AAsf'; 2003-1 'AAsf'; 2002-1 'BBsf'. All classes B: 'CCCsf'; - Basis Spread increase 0.50%: classes A: 2004-1 'AAsf'; 2003-1 'AAsf'; 2002-1 'BBsf'. All classes B: 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: classes A: 2004-1 'AAsf'; 2003-1 'AAsf'; 2002-1 'BBsf'. All classes B: 'CCCsf'; - CPR decrease 50%: classes A: 2004-1 'AAsf'; 2003-1 'AAsf'; 2002-1 'BBsf'. All classes B: 'CCCsf'; - IBR Usage increase 25%: classes A: 2004-1 'AAsf'; 2003-1 'AAsf'; 2002-1 'Bsf'. All classes B: 'CCCsf'; - IBR Usage increase 50%: classes A: 2004-1 'AAsf'; 2003-1 'AAsf'; 2002-1 'Bsf'. All classes B: 'CCCsf'; - Remaining Term increase 25%: classes A: 2004-1 'AAsf'; 2003-1 'AAsf'; 2002-1 'CCCsf'. All classes B: 'CCCsf'; - Remaining Term increase 50%: classes A: 2004-1 'AAsf'; 2003-1 'AAsf'; 2002-1 'CCCsf'. All classes B: 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Credit Stress Rating Sensitivity - Default decrease 25%: classes A: 2004-1 'AA+sf'; 2003-1 'AA+sf'; 2002-1 'BBBsf'. All classes B: 'CCCsf'; - Default decrease 50%: classes A: 2004-1 'AA+sf'; 2003-1 'AA+sf'; 2002-1 'BBBsf'. All classes B: 'CCCsf'; - Basis Spread decrease 0.25%: classes A: 2004-1 'AA+sf'; 2003-1 'AA+sf'; 2002-1 'BBBsf'. All classes B: 'CCCsf'; - Basis Spread decrease 0.50%: classes A: 2004-1 'AA+sf'; 2003-1 'AA+sf'; 2002-1 'BBBsf'. All classes B: 'CCCsf'. Maturity Stress Rating Sensitivity - CPR increase 25%: classes A: 2004-1 'AA+sf'; 2003-1 'AA+sf'; 2002-1 'BBBsf'. All classes B: 'CCCsf'; - CPR increase 50%: classes A: 2004-1 'AA+sf'; 2003-1 'AA+sf'; 2002-1 'BBBsf'. All classes B: 'CCCsf'; - IBR Usage decrease 25%: classes A: 2004-1 'AA+sf'; 2003-1 'AA+sf'; 2002-1 'BBBsf'. All classes B: 'CCCsf'; - IBR Usage decrease 50%: classes A: 2004-1 'AA+sf'; 2003-1 'AA+sf'; 2002-1 'BBBsf'. All classes B: 'CCCsf'; - Remaining Term decrease 25%: classes A: 2004-1 'AA+sf'; 2003-1 'AA+sf'; 2002-1 'Asf'. All classes B: 'CCCsf'; - Remaining Term decrease 50%: classes A: 2004-1 'AA+sf'; 2003-1 'AA+sf'; 2002-1 'AA+sf'. All classes B: 'CCCsf'. 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. [] Fitch Takes Actions on Four WFCM 2016 Vintage CMBS Deals ----------------------------------------------------------- Fitch Ratings, on June 23, 2025, downgraded five and affirmed 12 classes of Wells Fargo Commercial Mortgage Trust 2016-NXS5 (WFCM 2016-NXS5). The Rating Outlooks for classes B, X-B, C and D remain Negative. Fitch has also downgraded eight classes and affirmed five classes of Wells Fargo Commercial Mortgage Trust 2016-NXS6 (WFCM 2016-NXS6) and assigned Negative Outlooks to classes B, X-B, C, D and X-D following their downgrades. Additionally, Fitch has revised the Outlook for class A-S to Negative from Stable. Fitch has also downgraded six and affirmed seven classes in Wells Fargo Commercial Mortgage Trust 2016-LC24 (WFCM 2016-LC24). Fitch has assigned a Negative Outlook to class C following the downgrade. Fitch has revised the Outlooks for class B and X-B to Negative from Stable. Fitch has also affirmed 10 classes in Wells Fargo Commercial Mortgage Trust 2016-LC25 (WFCM 2016-LC25). The Outlook remains Negative for classes D and X-D. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2016-NXS5 A-4 95000CAZ6 LT AAAsf Affirmed AAAsf A-5 95000CBA0 LT AAAsf Affirmed AAAsf A-6 95000CBB8 LT AAAsf Affirmed AAAsf A-6FL 95000CBK8 LT AAAsf Affirmed AAAsf A-6FX 95000CBM4 LT AAAsf Affirmed AAAsf A-S 95000CBD4 LT AAAsf Affirmed AAAsf A-SB 95000CBC6 LT AAAsf Affirmed AAAsf B 95000CBG7 LT AA-sf Affirmed AA-sf C 95000CBH5 LT A-sf Affirmed A-sf D 95000CBJ1 LT BB+sf Affirmed BB+sf E 95000CAJ2 LT CCCsf Downgrade Bsf F 95000CAL7 LT CCsf Downgrade CCCsf G 95000CAN3 LT Csf Downgrade CCsf X-A 95000CBE2 LT AAAsf Affirmed AAAsf X-B 95000CBF9 LT AA-sf Affirmed AA-sf X-F 95000CAC7 LT CCsf Downgrade CCCsf X-G 95000CAE3 LT Csf Downgrade CCsf WFCM 2016-NXS6 A-3 95000KBA2 LT AAAsf Affirmed AAAsf A-4 95000KBB0 LT AAAsf Affirmed AAAsf A-S 95000KBD6 LT AAAsf Affirmed AAAsf A-SB 95000KBC8 LT AAAsf Affirmed AAAsf B 95000KBG9 LT Asf Downgrade AA-sf C 95000KBH7 LT BBB-sf Downgrade A-sf D 95000KAJ4 LT B-sf Downgrade BB-sf E 95000KAL9 LT Csf Downgrade CCCsf F 95000KAN5 LT Csf Downgrade CCCsf X-A 95000KBE4 LT AAAsf Affirmed AAAsf X-B 95000KBF1 LT Asf Downgrade AA-sf X-D 95000KAA3 LT B-sf Downgrade BB-sf X-E 95000KAC9 LT Csf Downgrade CCCsf WFCM 2016-LC24 A-3 95000HBE1 LT AAAsf Affirmed AAAsf A-4 95000HBF8 LT AAAsf Affirmed AAAsf A-S 95000HBH4 LT AAAsf Affirmed AAAsf A-SB 95000HBG6 LT AAAsf Affirmed AAAsf B 95000HBL5 LT AAsf Affirmed AAsf C 95000HBM3 LT BBBsf Downgrade A-sf D 95000HAL6 LT CCCsf Downgrade B-sf E 95000HAN2 LT CCsf Downgrade CCCsf F 95000HAQ5 LT Csf Downgrade CCsf X-A 95000HBJ0 LT AAAsf Affirmed AAAsf X-B 95000HBK7 LT AAsf Affirmed AAsf X-D 95000HAA0 LT CCCsf Downgrade B-sf X-EF 95000HAC6 LT Csf Downgrade CCsf WFCM 2016-LC25 A-3 95000JAU2 LT AAAsf Affirmed AAAsf A-4 95000JAV0 LT AAAsf Affirmed AAAsf A-S 95000JAX6 LT AAAsf Affirmed AAAsf A-SB 95000JAW8 LT AAAsf Affirmed AAAsf B 95000JBA5 LT AA-sf Affirmed AA-sf C 95000JBB3 LT A-sf Affirmed A-sf D 95000JAC2 LT BBB-sf Affirmed BBB-sf X-A 95000JAY4 LT AAAsf Affirmed AAAsf X-B 95000JAZ1 LT AAAsf Affirmed AAAsf X-D 95000JAA6 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 12.6% in WFCM 2016-NXS5, 6.1% in WFCM 2016-NXS6, 10.8% in WFCM 2016-LC24 and 5.9% in WFCM 2016-LC25. These compare to 10.7%, 9.8%, 9.4% and 5.8%, respectively, at Fitch's last rating action. Fitch Loans of Concerns (FLOCs) comprise seven loans (24.8% of the pool) in WFCM 2016-NXS5, including four specially serviced loans (18.1%); 11 loans (30.7%) in WFCM 2016-NXS6, including two specially serviced loans (4.6%); 14 loans (23.7% of the pool) in WFCM 2016-LC24, including three specially serviced loans (8.1%); and 13 loans (24.1%) in WFCM 2016-LC25, including one specially serviced loan (1.4%). The downgrades in WFCM 2016-NXS5 reflect higher pool loss expectations since Fitch's prior rating action, mainly driven by increased expected losses for the 10 South LaSalle Street loan (13.1%). The Negative Outlooks reflect potential downgrades should the value of the specially serviced loans, including 10 South LaSalle Street and office FLOC 4400 Jenifer Street (4.4%), continue to decline. The downgrades in WFCM 2016-NXS6 reflect higher-than-expected realized losses affecting non-rated classes G and H. These losses resulted from the Cassa Times Square Mixed-Use loan disposition via a note sale in April 2025, which eroded credit enhancement at the bottom of the capital structure. Due to the large concentration of loan maturities in 2026 (88% excluding specially serviced loans), Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their current status and collateral quality and ranked them by their perceived likelihood of repayment and/or loss expectation. This analysis contributed to the rating actions and the Negative Outlooks. The downgrades in WFCM 2016-LC24 reflect higher pool loss expectations since Fitch's prior rating action, mainly driven by office FLOCs 1140 Avenue of the Americas (5.3%), One Meridian (4.1%) and One & Two Corporate Plaza (2%). The Negative Outlooks reflect potential downgrades should performance of these office FLOCs decline further. The affirmations in WFCM 2016-LC25 reflect generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks reflect performance and refinance concerns on the FLOCs including The Shops at Somerset Square (3.8%), Gurnee Mills (3%) and Causeway Plaza I, II & III (3.6%). Due to the large concentration of loan maturities in 2026 (99% excluding specially serviced loans), Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their current status and collateral quality and ranked them by their perceived likelihood of repayment and/or loss expectation. This analysis contributed to the rating actions and the Negative Outlooks. Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action and overall largest contributor to loss in WFCM 2016-NXS5 is the specially serviced 10 South LaSalle Street loan. The loan transferred to special servicing in August 2022 due to imminent monetary default. The property's occupancy declined to 71.9% in 2020 from 86.4% at YE 2018 after the second largest tenant, Northern Trust (previously 10.2% of the NRA), vacated upon their 2020 lease expiration. The vacant Northern Trust space is yet to be backfilled. As of the September 2024 rent roll, the property was 67.6% occupied; however, occupancy declined to 54.1% as the largest tenant Chicago Title Insurance (13.6% of NRA; March 2025) vacated at lease expiration. The third largest tenant, Clausen Miller PC (5.4% of NRA), has a lease expiration in December 2025, and the servicer has no updates on the tenant renewal. According to CoStar, comparable office properties in the Central Loop office submarket had 21.3% vacancy and 25.4% availability rates and market asking rent of $42.26. In comparison, the total submarket had 21.9% vacancy and 24.2% availability rates and market asking rent of $37.37. Fitch's 'Bsf' rating case loss of 45% (before concentration add-ons) reflects a 30% stress to YE 2023 NOI and a 10% cap rate. Four of the top five contributors to loss expectations in WFCM 2016-NXS6, are loans secured by office properties, two of which are in special servicing. The largest overall contributor to loss in WFCM 2016-NXS6 is the Crate & Barrel (3.9%) loan, which transferred to special servicing in March 2024 for imminent monetary default. As of the May 2025 remittance, the loan is current, and it has never been delinquent. The loan is secured by a 167,843-sf suburban office property in Northbrook, IL, about 25 miles north of Chicago. The property is 100% leased to Crate & Barrel on a triple net lease through November 2025 and serves as their global corporate HQ. The property was built-to-suit for the tenant in 2001, and the lease has five five-year renewal options. According to the servicer, the borrower is negotiating with Crate & Barrel to renew the lease. The servicer has proposed modifying the loan. Fitch requested a leasing update from the servicer, but none was provided. Fitch's 'Bsf' rating case loss (before concentration add-ons) of 29% reflects a 10.50% cap rate and a 25% stress to the YE 2023 NOI. The largest increase in loss expectations since the prior rating action and third overall largest contributor to loss in WFCM 2016-NXS6 is the Sterling Jewelers Corporate Headquarters FES (2.4%) loan. The loan is secured by a four-story single tenant office building comprised of 85,686-sf in Akron, OH. The property is 100% leased to Sterling Jewelers, Inc. through January 2048. Per CoStar, 45,372-sf of the approximately 79,268-sf available for sublease is vacant, and the remainder is available with 30 days' notice. Fitch requested a leasing update from the servicer, but none was provided. Fitch's 'Bsf' rating case loss (before concentration add-ons) of 33% reflects a 10% cap rate and a 25% stress to the YE 2023 NOI as well as an elevated probability of default. The 313-315 W Muhammad Ali Boulevard (0.7%) loan in WFCM 2016-NXS6 transferred to special servicing in December 2023 for imminent monetary default. The single tenant, JCAO - Child Services Division, vacated at lease expiration in December 2023. The property is currently dark. A receiver was appointed in July 2024, and, per the servicer, a foreclosure filing is in process. The loan is a 49,300-sf office property in Louisville, KY built in 1908 and renovated in 1992. Fitch requested a leasing update from the servicer, but none was provided. Fitch's 'Bsf' rating case loss (before concentration add-ons) of 80% reflects a stress to the most recent servicer-reported appraised value. The largest overall contributor to loss in WFCM 2016-LC24 is the 1140 Avenue of the Americas loan, which transferred to special servicing in March 2025 due to imminent maturity default. The loan is secured by a 242,466-sf Class A office building on the northeastern corner of West 44th Street and Avenue of the Americas (two blocks north of Bryant Park) in Midtown, Manhattan. A decline in occupancy has led to reduced cash flow, which is insufficient to cover debt service and operating expenses. Per the December 2024 rent roll, the property was 74.1% occupied compared to 81% at YE 2023 and 91% at underwriting. The YE 2023 NOI is 48% below YE 2022 and 80% below the Fitch issuance NCF. The borrower has indicated a lack of funds to maintain the property and has expressed willingness to cooperate with the lender in returning the property. The servicer reported that foreclosure proceedings are underway. Per the servicer, the largest tenant, City National Bank (14.4% of NRA; expiring June 2033), extended its lease 10 years in 2023 but at reduced rent. The second largest tenant is now a coworking space operator, 1140 Office Suites LLC (10.3% of NRA; exp. March 20231), which signed a lease in December 2023 backfilling the former third largest tenant Innovate NYC's (6.8%) space. The coworking tenant received a rent abatement through March 2024 and a half abatement through the remainder of 2024. Fitch's 'Bsf' rating case loss of 85% (before concentration add-ons) reflects a Fitch value of $16.1 million. It also reflects a high probability of default due to the short-term ground lease and declining performance. Fitch's value incorporates the YE 2023 NOI with an adjustment for rent abatements ending in 2024. Fitch also applied a cap rate of 12% to reflect the elevated risk from the ground lease, which expires in 2066. The current annual ground lease payment is $4.75 million. Fitch's loss expectation includes the potential for significant loan refinancing challenges. These challenges stem from declining performance and market conditions since issuance, upcoming tenant rollover and possible further performance deteriorating. The high ground lease payment and short remaining term compound these issues. The second largest increase in loss expectations since the prior rating action and second largest contributor to loss in WFCM 2016-LC24 is the One & Two Corporate Plaza loan. The loan is secured by a 276k SF suburban office property in Houston, TX built between 1984 and 1989. The loan transferred to special servicing in January 2021, was appointed a receiver in February 2021 and went REO in October 2022. While in special servicing, performance has continued to decline. Reported occupancy was 42.5% at January 2025 compared to 44% at YE 2023 and 83% at underwriting. Rollover included 5.3% of NRA in 2025, 4.2% in 2026 and 4.4% in 2027. According to CoStar, comparable office properties in the NASA/Clear Lake Office submarket had 14.0% vacancy and 23.3% availability rates and market asking rent of $31.38. In comparison, the total submarket had 9.8% vacancy and 14.1% availability rates and market asking rent of $26.10 Fitch's 'Bsf' rating case loss (before concentration add-ons) of 99% reflects a stress to the most recent servicer-reported appraised value. The largest increase in loss expectations since the prior rating action and third largest contributor to loss in WFCM 2016-LC24 is the One Meridian loan. The loan is a FLOC due to occupancy declines and the weak submarket. Per the September 2024 rent roll, the property was 64.1% occupied compared to 83% at YE 2022 and 97% at underwriting. Rollover includes 10.4% NRA in (2025, 13.2% in 2026 and 17.5% in 2027. Per Costar, the second largest tenant Godiva Chocolatier, Inc. (8.5% NRA, expiring March 31, 2026) has its space on the sublease market, and the servicer confirmed they will leave. The servicer also confirmed the largest tenant Contegix's space (11.3% NRA, expiring Feb. 28, 2033) is dark. According to CoStar, comparable office properties in the Berks County Office submarket had 28.0% vacancy and 29.2% availability rates and market asking rent of $26.24. In comparison, the total submarket had 5.6% vacancy and 6.9% availability rates and market asking rent of $19.98. Fitch's 'Bsf' rating case loss (before concentration add-ons) of 30% reflects a 10.25% cap rate and a 20% stress to the YE 2023 NOI. The largest overall contributor to loss in WFCM 2016-LC25 is The Shops at Somerset Square loan, which is a FLOC due to cash flow and occupancy declines. The loan is secured by a 113,987sf, five building, retail property in Glastonbury, CT (outside of Hartford). The YE 2024 NOI is 22% above YE 2023 and 38% below the Fitch issuance NCF. Per the February 2025 rent roll, occupancy was 62.8% compared to 69% at YE 2023, 72% at YE 2022 and 89% at underwriting. Rollover consisted of 3.3% in 2025, 13.2% in 2026, 3.8% in 2027, and 11.9% in 2028. Fitch's 'Bsf' rating case loss (before concentration add-ons) of 36% reflects a 10% cap rate and a 7.50% stress to the YE 2023 NOI as well as an increased probability of default given refinanceability concerns and potential for maturity default. The second largest overall contributor to loss in WFCM 2016-LC25 is the Gurnee Mills loan, which is secured by a 1.7 million-sf portion of a 1.9 million-sf regional mall in Gurnee, IL, approximately 45 miles north of Chicago. Non-collateral anchors include Burlington Coat Factory, Marcus Cinema and Value City Furniture. Collateral anchors include Macy's, Bass Pro Shops, Kohl's and Hobby Lobby/ Round 1 Bowling & Amusement (in the space previously occupied by Sears). The loan transferred to the special servicer in June 2020 for imminent monetary default and returned to the master servicer in May 2021 after receiving forbearance. Per the December 2024 rent roll, the property was 88% occupied, compared to 80% at March 2024, 76.4% at June 2023 and 93% at issuance. New tenants that opened in 2024 include Round 1 Bowling & Amusement and Reclectic. The vacant space formerly occupied by Bed Bath & Beyond (3.6% of NRA) is expected to be taken over by Boot Barn and Primark in 2025. The property is encountering near-term lease rollover, with leases totaling 11% of the NRA expiring through 2025, including Bass Pro Shops (8.1% of NRA; December 2025 lease expiration). Additionally, 15% of leases are set to expire in 2026, including Floor and Décor (6.3%) and Value City Furniture (4.7%). Fitch's 'Bsf' rating case loss of approximately 30% (prior to concentration add-ons) reflects a 15% stress to the YE 2023 NOI and a 12% cap rate as well as an increased probability of default. The largest increase in loss expectations since the prior rating action and third overall largest contributor to loss in WFCM 2016-LC25 is the Causeway Plaza I, II & III loan. The loan is a FLOC for rollover risk and loan performance since 2019 and is secured by a 335,556-sf suburban office property in Metairie, LA. Occupancy was 86% as of YE 2024 down from 97% as of YE 2018. In March 2019, AT&T (13.5% of NRA) vacated upon lease expiration, and NOI has yet to fully recover. The YE 2023 NOI is 15% below the YE 2018 NOI. Per the servicer, the largest tenant, Worley Parsons (11.4% NRA, November 2025), plans to vacate and move to Lakeway, TX. Rollover included 20.7% in 2025 (including Worley Parsons) and 7.9% in 2026. Fitch's 'Bsf' rating case loss (before concentration add-ons) of 25% reflects a 10% cap rate and a 15% stress to the YE 2023 NOI as well as an increased probability of default. Changes in Credit Enhancement (CE): As of the May 2025 distribution date, the aggregate balances of WFCM 2016-NXS5, WFCM 2016-NXS6, WFCM 2016-LC24 and WFCM 2016-LC25 have been paid down by 34.6%, 27.2%, 18.8% and 18.5%, respectively, since issuance. Respective defeasance percentages in WFCM 2016-NXS5, WFCM 2016-NXS6, WFCM 2016-LC24 and WFCM 2016-LC25 include 15 loans (20.8% of the pool), eight loans (11.7% of the pool), 15 loans (16.3% of the pool) and 11 loans (12% of the pool). Cumulative interest shortfalls for WFCM 2016-NXS5 were $7 million and affected the non-rated H class and rated G and F classes. Shortfalls for WFCM 2016-NXS6 were $2.5 million and affected the non-rated H class. Shortfalls for WFCM 2016-LC24 were $1.9 million and affected the non-rated H and I classes. Shortfalls for WFCM 2016-LC25 were $1.2 million and affected the non-rated H class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible downgrades with further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to the 'AAAsf' rated classes with Stable Outlooks are not expected due to the position in the capital structure and expected continued amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected. Downgrades to classes rated in the 'AAAsf' 'AAsf' and 'Asf' categories, particularly those with Negative Outlooks, may occur should performance of the FLOCs deteriorate further, expected losses increase or if more loans than expected default during the term and/or at or prior to maturity. These FLOCs include 10 South LaSalle Street and 4400 Jenifer Street in WFCM 2016-NXS5, Crate & Barrel, Sterling Jewelers Corporate Headquarters FES and 313-315 W Muhammad Ali Boulevard in WFCM 2016-NXS6, 1140 Avenue of the Americas, One Meridian and One & Two Corporate Plaza in WFCM 2016-LC24 and The Shops at Somerset Square, Gurnee Mills and Causeway Plaza I, II & III in WFCM 2016-LC25. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, particularly those with Negative Outlooks, could occur with higher-than-expected losses from continued underperformance of the aforementioned FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings of 'CCCsf', 'CCsf' and 'Csf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable to improved pool-level loss expectations and performance stabilization of FLOCs, including 10 South LaSalle Street and 4400 Jenifer Street in WFCM 2016-NXS5, Crate & Barrel, Sterling Jewelers Corporate Headquarters FES and 313-315 W Muhammad Ali Boulevard in WFCM 2016-NXS6, 1140 Avenue of the Americas, One Meridian and One & Two Corporate Plaza in WFCM 2016-LC24 and The Shops at Somerset Square, Gurnee Mills and Causeway Plaza I, II & III in WFCM 2016-LC25. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction and would not occur if interest shortfalls are expected. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes due to paydown and defeasance. 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. [] Moody's Takes Action on 58 Bonds From 9 US RMBS Deals -------------------------------------------------------- Moody's Ratings has upgraded the ratings of 48 bonds and downgraded the ratings of seven bonds from nine US residential mortgage-backed transactions (RMBS), backed by Alt-A, 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: American Home Mortgage Investment Trust 2005-1 Cl. VIII-A-2, Downgraded to Ca (sf); previously on Feb 9, 2018 Downgraded to Caa3 (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2005-WF2 Cl. AF-6A, Upgraded to Caa1 (sf); previously on Jan 9, 2017 Upgraded to Caa2 (sf) Cl. AF-6B, Upgraded to Caa1 (sf); previously on Jan 9, 2017 Upgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Jan 9, 2017 Upgraded to Caa2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. AF-7, Upgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to Caa2 (sf) Issuer: CSMC Mortgage-Backed Trust Series 2007-2 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Feb 1, 2016 Downgraded to Caa3 (sf) Cl. 1-A-2*, Upgraded to Caa1 (sf); previously on Feb 1, 2016 Downgraded to Caa3 (sf) Cl. 1-A-5, Downgraded to Ca (sf); previously on Feb 1, 2016 Downgraded to Caa3 (sf) Cl. 1-A-9*, Upgraded to Caa1 (sf); previously on Feb 1, 2016 Downgraded to Caa3 (sf) Cl. 1-A-10, Upgraded to Caa1 (sf); previously on Feb 1, 2016 Downgraded to Caa3 (sf) Cl. 1-A-13, Upgraded to Caa1 (sf); previously on Feb 1, 2016 Downgraded to Caa3 (sf) Cl. 1-A-14, Upgraded to Caa1 (sf); previously on Feb 1, 2016 Downgraded to Caa3 (sf) Cl. 1-A-15, Upgraded to Caa1 (sf); previously on Feb 1, 2016 Downgraded to Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-28CB Cl. A-1, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. A-2*, Upgraded to Caa2 (sf); previously on Oct 27, 2017 Confirmed at Caa3 (sf) Cl. A-3, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. A-4, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. A-5*, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. A-6, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. A-7, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. A-10, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. A-11, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. A-12*, Upgraded to Caa1 (sf); previously on Oct 27, 2017 Confirmed at Caa2 (sf) Cl. A-17, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. A-18, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. A-21, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-32CB Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-2*, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-7, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-8*, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-9, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-10, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-12, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-14, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-15*, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-16, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Issuer: GSR Mortgage Loan Trust 2006-1F Cl. 2A-7, Upgraded to Caa1 (sf); previously on Feb 12, 2015 Downgraded to Caa3 (sf) Issuer: GSR Mortgage Loan Trust 2006-7F Cl. 1A-1, Upgraded to Caa1 (sf); previously on Aug 3, 2012 Downgraded to Caa2 (sf) Cl. 3A-1, Upgraded to Caa1 (sf); previously on Jul 31, 2013 Downgraded to Caa3 (sf) Cl. 3A-2*, Upgraded to Caa1 (sf); previously on Jul 31, 2013 Downgraded to Caa3 (sf) Cl. 3A-5, Upgraded to Caa1 (sf); previously on Aug 3, 2012 Downgraded to Caa3 (sf) Cl. 4A-1, Upgraded to Caa2 (sf); previously on Jul 31, 2013 Downgraded to Caa3 (sf) Cl. 4A-10, Upgraded to Caa1 (sf); previously on Aug 3, 2012 Downgraded to Caa3 (sf) Cl. 4A-14*, Upgraded to Caa2 (sf); previously on Aug 3, 2012 Downgraded to Caa3 (sf) Cl. 4A-2, Upgraded to Caa2 (sf); previously on Aug 3, 2012 Downgraded to Ca (sf) Cl. 4A-3, Upgraded to Caa2 (sf); previously on Aug 3, 2012 Downgraded to Caa3 (sf) Cl. 4A-5, Upgraded to Caa2 (sf); previously on Jul 31, 2013 Downgraded to Ca (sf) Cl. 5A-1, Upgraded to Caa3 (sf); previously on Jul 31, 2013 Downgraded to Ca (sf) Cl. 5A-2*, Upgraded to Caa3 (sf); previously on Jul 31, 2013 Downgraded to Ca (sf) Issuer: Renaissance Home Equity Loan Trust 2006-3 Cl. AF-2, Upgraded to Ca (sf); previously on Mar 10, 2015 Downgraded to C (sf) Cl. AV-2, Upgraded to Caa2 (sf); previously on May 9, 2014 Downgraded to Caa3 (sf) Issuer: UCFC Home Equity Loan Trust 1998-C A-6, Upgraded to Caa1 (sf); previously on Mar 23, 2011 Downgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 23, 2011 Downgraded to Caa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) A-7, Upgraded to B1 (sf); previously on Mar 23, 2011 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to B1 (sf); previously on Mar 23, 2011 Downgraded to Caa2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) * 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. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. 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 18 Bonds from 11 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 18 bonds from 11 US residential mortgage-backed transactions (RMBS), backed by manufactured housing 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: Bombardier Capital Mortgage Securitization Corp 1999-A M-1, Upgraded to Ca (sf); previously on Jul 28, 2004 Downgraded to C (sf) Issuer: Bombardier Capital Mortgage Securitization Corp 1999-B A-6, Upgraded to Ca (sf); previously on Mar 15, 2017 Downgraded to C (sf) Issuer: Bombardier Capital Mortgage Securitization Corp 2000-A Cl. A-1, Upgraded to Caa2 (sf); previously on Mar 15, 2017 Downgraded to C (sf) Cl. A-2, Upgraded to Ca (sf); previously on Mar 15, 2017 Downgraded to C (sf) Cl. A-3, Upgraded to Ca (sf); previously on Mar 15, 2017 Downgraded to C (sf) Cl. A-4, Upgraded to Ca (sf); previously on Mar 15, 2017 Downgraded to C (sf) Cl. A-5, Upgraded to Ca (sf); previously on Mar 15, 2017 Downgraded to C (sf) Issuer: Bombardier Capital Mortgage Securitization Corp 2001-A Cl. M-1, Upgraded to Caa1 (sf); previously on Mar 2, 2018 Upgraded to Caa3 (sf) Cl. M-2, Upgraded to Caa3 (sf); previously on Jul 28, 2004 Downgraded to C (sf) Issuer: Conseco Finance Securitizations Corp. Series 1999-6 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 20, 2016 Downgraded to Ca (sf) Issuer: IndyMac MH Contract 1998-1 A-3, Upgraded to B2 (sf); previously on Dec 10, 2018 Downgraded to Caa1 (sf) A-4, Upgraded to B2 (sf); previously on Dec 10, 2018 Downgraded to Caa1 (sf) A-5, Upgraded to B2 (sf); previously on Dec 10, 2018 Downgraded to Caa1 (sf) Issuer: Lehman ABS Manufactured Housing Contract Trust 2001-B Cl. M-1, Upgraded to Aa2 (sf); previously on Oct 8, 2024 Upgraded to Baa2 (sf) Issuer: MERIT Securities Corp Series 13 M1, Upgraded to A1 (sf); previously on Sep 12, 2024 Upgraded to Baa3 (sf) Issuer: Oakwood Mortgage Investors, Inc., Series 1999-D A-1, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Issuer: Origen Manufactured Housing Contract Senior/Subordinate Asset-Backed Certificates, Series 2001-A Cl. M-1, Upgraded to Ca (sf); previously on Mar 30, 2009 Downgraded to C (sf) Issuer: UCFC Funding Corporation 1998-2 M-1, Upgraded to Ca (sf); previously on Mar 30, 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 for each bond. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The 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 28% on average over the past 12 months for the upgraded bonds. 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 8 Bonds From 3 US RMBS Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of eight bonds from three 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: IndyMac INDX Mortgage Loan Trust 2007-FLX6 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Confirmed at Caa2 (sf) Cl. 2-A-2, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to C (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC8 Cl. M-4, Upgraded to B1 (sf); previously on Jun 21, 2019 Upgraded to B2 (sf) Cl. M-5, Upgraded to B1 (sf); previously on Jun 21, 2019 Upgraded to Caa2 (sf) Issuer: New Century Home Equity Loan Trust, Series 2004-A Cl. B-I, Upgraded to Ca (sf); previously on Mar 18, 2011 Downgraded to C (sf) Cl. M-I-1, Upgraded to Caa1 (sf); previously on Mar 18, 2011 Downgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 18, 2011 Downgraded to Caa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Ratings Withdrawn on March 25, 2009) Cl. M-I-2, Upgraded to Caa2 (sf); previously on Mar 18, 2011 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. 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. [] S&P Takes Various Actions on 247 Classes From 167 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 247 classes from 167 U.S. RMBS transactions issued between 1998 and 2008. The review yielded 48 downgrades and 199 discontinuances. A list of Affected Ratings can be viewed at: https://tinyurl.com/5yh8ytw8 S&P said, "The rating actions reflect our analysis of the transactions' interest shortfalls and/or missed interest payments on the affected classes. We lowered our ratings in accordance with our "S&P Global Ratings Definitions," published Dec. 2, 2024, which imposes a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying our ratings definitions, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments (e.g., interest on interest) and if the missed interest payments will be repaid by the maturity date. "In instances where the class does receive additional compensation for outstanding interest shortfalls, our analysis considers the likelihood that the missed interest payments, including the capitalized interest, would be reimbursed under our various rating scenarios. In this review, 45 classes from 35 transactions were affected (see the ratings list below where the main rationale states "Ultimate repayment of missed interest unlikely at higher rating levels."). "In instances where the class does not receive additional compensation for outstanding interest shortfalls, our analysis focuses on our expectations regarding the length of the interest payment interruptions. We lowered our ratings on three classes from two transactions due to the interest shortfall (see the ratings list where main rationale states "Interest shortfall."). "In accordance with our surveillance and withdrawal policies, we discontinued 199 ratings from 135 transactions that had observed interest shortfalls or missed interest payments during recent remittance periods. We previously lowered our rating on these classes to 'D (sf)' because of principal losses, accumulated interest shortfalls, missed interest payment, and/or credit related reductions in interest due to loan modification. We view a subsequent upgrade to a rating higher than 'D (sf)' as unlikely under the relevant criteria within this review (see the ratings list below where the main rationale states "Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria."). "We will continue to monitor our ratings on securities that experience interest shortfalls and/or missed interest payments, and we will further adjust our ratings as we consider appropriate." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. 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