250706.mbx

250706.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, July 6, 2025, Vol. 29, No. 186 Headlines AB BSL 6: S&P Assigns BB- (sf) Rating on Class E Notes ACRES 2025-FL3: Fitch Assigns 'B-(EXP)sf' Rating on Class H Notes AGL CLO 25: Fitch Assigns 'BB+sf' Rating on Class E-R Notes AGL CLO 42: Fitch Assigns 'BB+sf' Rating on Class E Notes AGL CLO 42: Moody's Assigns B3 Rating to $250,000 Class F Notes ANCHORAGE CAPITAL 15: Fitch Assigns 'BBsf' Rating on Cl. E-R2 Notes ANCHORAGE CAPITAL 15: Moody's Assigns B3 Rating to Cl. F-R2 Notes APIDOS CLO XLV: Fitch Assigns 'BB+(EXP)sf' Rating on Cl. E-R Notes APIDOS CLO XLV: Moody's Assigns (P)B3 Rating to $500,000 F-R Notes APIDOS CLO XXIX: Fitch Assigns 'BB+sf' Rating on Class E-R Notes APIDOS CLO XXIX: Moody's Assigns B3 Rating to $500,000 F-R Notes BALLYROCK CLO 24: S&P Assigns Prelim BB- (sf) Rating on D-R Notes BARCLAYS 2025-NQM3: S&P Assigns Prelim B (sf) Rating on B-2 Notes BARINGS CLO 2025-II: Fitch Assigns 'BB-(EXP)' Rating on Cl. E Notes BATTALION CLO XXIX: Fitch Assigns 'BB-sf' Rating on Class E Notes BB-UBS TRUST 2012-TFT: S&P Cuts Class TE Notes Rating to 'D (sf)' BBCCRE TRUST 2015-GTP: S&P Lowers F Certs Rating to 'CCC(sf)' BENCHMARK 2019-B12: S&P Affirms BB (sf) Rating on Class WM-C Notes BENEFIT STREET 41: S&P Assigns Prelim BB- (sf) Rating on E Notes BFLD TRUST 2025-EWEST: Moody's Assigns Ba2 Rating to Cl. E Certs BIRCH GROVE 14: Fitch Assigns 'BB-sf' Final Rating on Class E Notes BMO 2025-5C11: Fitch Assigns 'B-sf' Final Rating on Two Tranches CBAMR 2017-4: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CBAMR LTD 2017-4: Moody's Assigns Caa1 Rating to $250,000 F-R Notes CHASE AUTO 2025-1: Moody's Assigns B3 Rating to Class F Notes CHASE HOME 2025-7: Fitch Assigns B-sf Final Rating on Cl. B-5 Certs CHASE HOME 2025-7: Moody's Assigns B3 Rating to Cl. B-5 Certs CIFC FUNDING 2017-IV: Moody's Ups Rating on $34.29MM D Notes to Ba2 CITIGROUP 2017-P8: Fitch Lowers Rating on Four Tranches to 'B-sf' CITIGROUP 2019-C7: Moody's Lowers Rating on Cl. 805A Certs to B3 COLUMBIA CENT 35: Fitch Assigns 'BB-sf' Rating on Class E Notes COMM MORTGAGE 2010-C1: Moody's Lowers Rating on 2 Tranches to Ca COOPR RESIDENTIAL 2025-CES2: Fitch Assigns 'Bsf' Rating on B-2 Debt CQS US 2025-4: Fitch Assigns 'BB-sf' Rating on Class E Notes DAVIS SQUARE V: Moody's Ups Rating on $1.74MM A-1-a Notes to Caa3 DRYDEN CLO 77: S&P Affirms B- (sf) Rating on Class F-R Notes DT AUTO 2023-2: S&P Affirms BB (sf) Rating on Class E Notes FIGRE TRUST 2025-HE4: S&P Assigns Prelim B- (sf) Rating on F Notes GARNET CLO 2025-1: S&P Assigns BB- (sf) Rating on Class E Notes GFH 2025-IND: Fitch Assigns 'B-sf' Rating on Class HRR Certificates GOLDENTREE LOAN 26: Fitch Assigns 'B-(EXP)sf' Rating on Cl. F Notes GS MORTGAGE 2025-NQM2: Fitch Assigns 'Bsf' Rating on Cl. B-2 Certs GS MORTGAGE 2025-NQM2: S&P Assigns 'BB' Rating on B-2 Notes GS MORTGAGE 2025-PJ6: Moody's Assigns B1 Rating to Cl. B-5 Certs GS MORTGAGE 2025-RPL3: Fitch Gives 'Bsf' Rating on Class B-2 Certs HALSEYPOINT CLO 7: Moody's Assigns B3 Rating to $250,000 F-R Notes HERTZ VEHICLE III: Moody's Gives Ba2 Rating to 2025-3 Class D Debt HILDENE TRUPS 3: Moody's Assigns Ba3 Rating to $24.7MM D-RR Notes HOMES 2025-AFC2: S&P Assigns B (sf) Rating on Class B-2 Notes HPS PRIVATE 2025-3: S&P Assigns BB- (sf) Rating on Class E Notes ILPT COMMERCIAL 2025-LPF2: Fitch Assigns 'B-sf' Rating on HRR Certs INVESCO CLO 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes JP MORGAN 2025-1: Moody's Assigns B3 Rating to Cl. B-5 Certs JP MORGAN 2025-CCM3: Moody's Assigns B1 Rating to Cl. B-5 Certs JP MORGAN 2025-INV1: Moody's Assigns B3 Rating to Cl. B-5 Certs JP MORGAN 2025-VIS2: S&P Assigns B- (sf) Rating on B-2 Certs JPMCC MORTGAGE 2019-BROOK: Fitch Lowers Rating on E Certs to 'B-sf' LCM 29: S&P Raises Class E-R Notes Rating to B (sf) LCM 41: S&P Assigns BB+ (sf) Rating on Class E Notes LEGACY BENEFITS 2004-1: Moody's Lowers Rating on Cl. B Certs to Ca MIDOCEAN CREDIT VI: S&P Affirms B- (sf) Rating on Class F Notes MIDOCEAN CREDIT X: S&P Lowers Class E-R Notes Rating to 'B+ (sf)' MIDOCEAN CREDIT XIX: Fitch Assigns 'BB-sf' Rating on Class E Notes MONROE CAPITAL X: S&P Assigns Prelim BB-(sf) Rating on E-R-2 Notes MORGAN STANLEY 2015-C23: Fitch Affirms 'B-sf' Rating on Cl. F Debt MORGAN STANLEY 2021-230P: S&P Lowers D Certs Rating to 'B- (sf)' MORGAN STANLEY 2025-NQM4: S&P Assigns B (sf) Rating on B-2 Certs NATIXIS 2017-75B: S&P Affirms 'CCC- (sf)' Rating on Cl. V-2 Certs OAKTREE CLO 2022-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes OAKTREE CLO 2025-32: S&P Assigns Prelim B- (sf) Rating on F Notes OBRA CLO 2: S&P Assigns BB- (sf) Rating on Class E Notes OCEANVIEW MORTGAGE 2025-INV3: Moody's Assigns '(P)B3' to B-5 Certs OCP CLO 2016-11: S&P Assigns Prelim BB- (sf) Rating on E-R3 Notes OHA CREDIT 7: S&P Assigns Prelim. B-(sf) Rating on Cl. F-R2 Notes ORION CLO 2025-5: S&P Assigns BB- (sf) Rating on Class E Notes PARALLEL 2023-1: S&P Assigns BB- (sf) Rating on Class D-R Notes PMT LOAN 2022-INV1: Moody's Raises Rating on Cl. B-5 Certs to Ba2 PMT LOAN 2025-J1: Moody's Assigns Ba2 Rating to Cl. B-5 Certs RADIAN MORTGAGE 2025-J2: Fitch Assigns 'Bsf' Rating on B-5 Certs RATE MORTGAGE 2025-J2: Moody's Assigns B3 Rating to Cl. B-5 Certs REGATTA 32: Fitch Assigns 'BB-sf' Rating on Class E Notes SBNA AUTO 2025-SF1: Fitch Assigns 'Bsf' Rating on Class F Debt SCALELOGIX ABS 2025-1: S&P Assigns Prelim 'BB-' Rating on C Notes SCULPTOR CLO XXX: S&P Assigns BB- (sf) Rating on Cl. E-R Notes SIERRA TIMESHARE 2024-2: Fitch Affirms BB-sf Rating on Cl. D Notes SILVER POINT 10: Fitch Assigns 'BB+sf' Rating on Class E Notes SOUND POINT XXXI: Moody's Cuts Rating on $24.75MM Cl. E Notes to B1 SOUND POINT XXXIII: Moody's Cuts Rating on $20MM Cl. E Notes to B1 SYMPHONY CLO 49: Fitch Assigns 'BB-sf' Final Rating on Cl. E Notes TCW CLO 2023-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes TCW CLO 2023-1: S&P Withdraws 'BB- (sf)' Rating on Class E Notes TEXAS DEBT 2023-I: Fitch Assigns 'BB-sf' Rating on Class E-R Notes TIAA CLO I: S&P Lowers Class E-R Notes Rating to B- (sf) TIAA CLO III: Moody's Lowers Rating on $18MM Class E Notes to B2 TOWD POINT 2025-1: Fitch Assigns B-sf Final Rating on Cl. B2 Notes TRINITAS CLO VIII: Moody's Affirms B1 Rating on $26MM Cl. E Notes UBS COMMERCIAL 2018-C9: Fitch Lowers Rating on C Certs to 'B-sf' VOYA CLO 2020-1: S&P Raises Class E-R Notes Rating to B+ (sf) VOYA CLO 2025-2: Fitch Assigns 'BB-sf' Rating on Class E Notes WARWICK CAPITAL 6: Fitch Assigns 'BB-sf' Rating on Class E Notes WELLS FARGO 2015-C31: Fitch Lowers Rating on Two Tranches to 'BBsf' WFRBS COMMERCIAL 2013-C14: Moody's Cuts Rating on 2 Tranches to B1 WHARF COMMERCIAL 2025-DC: Fitch Assigns 'Bsf' Rating on HRR Certs [] Moody's Raises Rating of 18 Bonds from 11 US RMBS Deals [] Moody's Takes Rating Action on 34 Bonds from 12 US RMBS Deals [] Moody's Takes Rating Action on 8 Bonds from 2 US RMBS Deals [] Moody's Takes Rating Action on 9 Bonds from 5 US RMBS Deals [] Moody's Takes Rating Actions on 27 Bonds from 10 US RMBS Deals [] Moody's Upgrades Ratings on 12 Bonds from 3 US RMBS Deals [] Moody's Upgrades Ratings on 13 Bonds from 3 US RMBS Deals [] Moody's Upgrades Ratings on 14 Bonds from 2 US RMBS Deals [] Moody's Upgrades Ratings on 14 Bonds from 6 US RMBS Deals [] Moody's Upgrades Ratings on 20 Bonds from 8 US RMBS Deals [] Moody's Upgrades Ratings on 25 Bonds from 2 US RMBS Deals [] Moody's Upgrades Ratings on 31 Bonds from 4 US RMBS Deals [] Moody's Upgrades Ratings on 37 Bonds from 11 US RMBS Deals [] Moody's Upgrades Ratings on 37 Bonds from 5 US RMBS Deals [] Moody's Upgrades Ratings on 47 Bonds from 8 US RMBS Deals ********* AB BSL 6: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------ S&P Global Ratings assigned its ratings to AB BSL CLO 6 Ltd./AB BSL CLO 6 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by AB Broadly Syndicated Loan Manager LLC, a subsidiary of AllianceBernstein L.P. The 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 AB BSL CLO 6 Ltd./AB BSL CLO 6 LLC Class A, $252.00 million: AAA (sf) Class B, $52.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $34.10 million: NR NR--Not rated. ACRES 2025-FL3: Fitch Assigns 'B-(EXP)sf' Rating on Class H Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to ACRES 2025-FL3, LLC as follows: - $552,000,000a class A 'AAA(EXP)sf'; Outlook Stable; - $86,400,000a class A-S 'AAA(EXP)sf'; Outlook Stable; - $70,800,000a class B 'AA-(EXP)sf'; Outlook Stable; - $57,600,000a class C 'A-(EXP)sf'; Outlook Stable; - $34,800,000a class D 'BBB(EXP)sf'; Outlook Stable; - $18,000,000a class E 'BBB-(EXP)sf'; Outlook Stable; - $13,200,000ab class F 'BB+(EXP)sf'; Outlook Stable; - $20,400,000ab class G 'BB-(EXP)sf'; Outlook Stable; - $24,000,000ab class H 'B-(EXP)sf'; Outlook Stable; The following class is not expected to be rated by Fitch: - $82,800,000bc Income Notes. (a) Privately placed and pursuant to Rule 144A. (b) The Notes F, Notes G, Notes H and Income Notes are not offered; (c) The Income Notes may be issued in one or more components, which in the aggregate will be equal to the approximate principal balance set forth in the table above. The approximate collateral interest balance as of the cutoff date is $801,129,649 and does not include future funding. The expected ratings are based on information provided by the issuer as of June 24, 2025. Transaction Summary The notes are collateralized by 21 loans secured by 23 commercial properties having an aggregate principal balance of $801,129,649 as of the cut-off date. The pool also includes a ramp-up collateral interest of approximately $158.9 million. The loans interest securing the notes securing the notes will be owned by ACRES Capital LLC, as the issuer of the notes. The servicer is expected to be CBRE Loan Services, Inc and the special servicer is expected to be Situs Holdings, LLC. The trustee is expected to be Wilmington Trust, National Association, and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on 9 loans in the pool (35.4% by balance). Fitch's resulting aggregate net cash flow (NCF) of $20.1 million represents a 15.7% decline from the issuer's aggregate underwritten NCF of $56.7 million. This excludes loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Higher Fitch Leverage: The pool has higher leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value (LTV) ratio of 143.0% is higher than both the 2025 YTD and 2024 CRE CLO averages of 140.3% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 6.2% is lower than both the 2025 YTD and 2024 CRE CLO averages of 6.4% and 6.5%, respectively. Higher Pool Concentration: The pool is less diverse than any other Fitch-rated CRE CLO transaction. The top 10 loans make up 62.6% of the pool, which is higher than the 2025 YTD averages of 60.0% and but lower than the 2024 CRE CLO average of 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 21.3. 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 comprises 100.0% interest-only (IO) loans, based on initial loan terms. This is lower than both the 2025 YTD and 2024 CRE CLO averages of 78.2% and 56.8%, respectively. As a result, the pool is not expected to paydown by the initial maturity of the loans. However, the pool comprises 13.5% IO loans, based on fully extended loan terms. The pool is expected to pay down 1.5% based by the fully extended loan terms. By comparison, the average scheduled paydowns for Fitch‐rated U.S. CRE CLO transactions during 2025 YTD and 2024 were 0.4% 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'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf' /'B+sf'/'B-sf'/' 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'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'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 and Recovery Rating Rate, were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG 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. AGL CLO 25: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 25 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- AGL CLO 25 Ltd. A1-R LT NRsf New Rating NR(EXP)sf A2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AA+sf New Rating AA+(EXP)sf C-R LT A+sf New Rating A+(EXP)sf D1-R LT BBBsf New Rating BBB(EXP)sf D2-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB+sf New Rating BB+(EXP)sf 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, 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, 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. Date of Relevant Committee 20 June 2025 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 any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. AGL CLO 42: Fitch Assigns 'BB+sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 42 LTD. Entity/Debt Rating Prior ----------- ------ ----- AGL CLO 42 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 LT BBB-sf New Rating BBB-(EXP)sf E LT BB+sf New Rating BB+(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary AGL CLO 42 LTD. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 99.7% first-lien senior secured loans and has a weighted average recovery assumption of 73.69%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 averafe 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 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-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 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 Date of Relevant Committee June 11, 2025 ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 42 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. AGL CLO 42: Moody's Assigns B3 Rating to $250,000 Class F Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by AGL CLO 42 Ltd. (the Issuer or AGL CLO 42): US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. AGL CLO 42 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, senior secured bonds or senior secured notes. The portfolio is approximately 94% ramped as of the closing date. AGL CLO Credit Management LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued five other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3036 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 45.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. ANCHORAGE CAPITAL 15: Fitch Assigns 'BBsf' Rating on Cl. E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage Capital CLO 15, Ltd. Entity/Debt Rating ----------- ------ Anchorage Capital CLO 15, Ltd.-2025 A-1R2 LT NRsf New Rating A-2R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-R2 LT BBB-sf New Rating E-R2 LT BBsf New Rating F-R2 LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Anchorage Capital CLO 15, 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. Issuers rated in the 'B' rating category denote a highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 95.98% first lien senior secured loans and has a weighted average recovery assumption of 71.76%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, and between less than 'B-sf' and 'BB+sf' for class D-R2 and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R2 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-R2, 'AAsf' for class C-R2, and 'A-sf' for class D-R2 and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 15, 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. ANCHORAGE CAPITAL 15: Moody's Assigns B3 Rating to Cl. F-R2 Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of refinancing notes (the Refinancing Notes) issued by Anchorage Capital CLO 15, Ltd. (the Issuer): US$251,000,000 Class A-1R2 Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$250,000 Class F-R2 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 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. Anchorage Collateral Management, L.L.C. (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the five classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period 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: $400,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3134 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 44.5%% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. APIDOS CLO XLV: Fitch Assigns 'BB+(EXP)sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Apidos CLO XLV Ltd. reset transaction. Entity/Debt Rating ----------- ------ Apidos CLO XLV Ltd. A-1R LT NR(EXP)sf Expected Rating A-2R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1R LT BBB-(EXP)sf Expected Rating D-2R LT BBB-(EXP)sf Expected Rating E-R LT BB+(EXP)sf Expected Rating F-R LT NR(EXP)sf Expected Rating Transaction Summary Apidos CLO XLV Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 95.6% first-lien senior secured loans and has a weighted average recovery assumption of 72.77%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, and between less than 'B-sf' and 'BB+sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1R, and 'A-sf' for class D-2R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Apidos CLO XLV 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. APIDOS CLO XLV: Moody's Assigns (P)B3 Rating to $500,000 F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to two classes of CLO refinancing notes (the Refinancing Notes) to be issued by Apidos CLO XLV Ltd (the Issuer): US$315,000,000 Class A-1R Senior Secured Floating Rate Notes due 2038, Assigned (P)Aaa (sf) US$500,000 Class F-R Mezzanine Deferrable Floating Rate Notes due 2038, Assigned (P)B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. 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: Performing par and principal proceeds balance: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3085 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. APIDOS CLO XXIX: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO XXIX reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Apidos CLO XXIX A-1-R LT AAAsf New Rating AAA(EXP)sf A-1A 03767MAC2 LT PIFsf Paid In Full AAAsf A-1B 03767MAE8 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AA+sf New Rating AA+(EXP)sf C-R LT A+sf New Rating A+(EXP)sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB+sf New Rating BB(EXP)sf F-R LT NRsf New Rating NR(EXP)sf Transaction Summary Apidos CLO XXIX (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CVC Credit Partners U.S. CLO Management LLC. The CLO originally closed in June 2018, and its secured notes were refinanced in whole on June 25, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 million of primarily first lien senior secured leveraged loans. The final rating assigned to the class E-R notes is higher than the expected rating communicated in the presale report. The rating change from 'BB(EXP)sf' to 'BB+sf' for the class E-R notes is driven by the lower cost of funding on the mezzanine tranches. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 97.66% first lien senior secured loans and has a weighted average recovery assumption of 73.12%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between '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, 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 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, and 'Asf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Apidos CLO XXIX. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. APIDOS CLO XXIX: Moody's Assigns B3 Rating to $500,000 F-R Notes ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to two classes of refinancing notes (the Refinancing Notes) issued by Apidos CLO XXIX (the Issuer): US$338,250,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2037, Definitive Rating Assigned Aaa (sf) US$500,000 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 96.0% of the portfolio must consist of first lien senior secured loans and up to 4.0% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. CVC Credit Partners US CLO Management LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; change of Issuer's jurisdiction of incorporation and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $550,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3129 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8.1 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or 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. BALLYROCK CLO 24: S&P Assigns Prelim BB- (sf) Rating on D-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A1-R, A2-R, B-R, C1-R, C2-R, and D-R debt from Ballyrock CLO 24 Ltd./Ballyrock CLO 24 LLC, a CLO managed by Ballyrock Investment Advisors LLC that was originally issued in June 2023. The preliminary ratings are based on information as of July 1, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 11, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to July 15, 2027. -- The reinvestment period will be extended to July 15, 2030. -- The legal final maturity date (for the replacement debt and the existing subordinated notes) will be extended to July 15, 2038. -- The target initial par amount will remain at $450 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- 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 Ballyrock CLO 24 Ltd./Ballyrock CLO 24 LLC Class A1-R, $288.00 million: AAA (sf) Class A2-R, $54.00 million: AA (sf) Class B-R (deferrable), $27.00 million: A (sf) Class C1-R (deferrable), $27.00 million: BBB- (sf) Class C2-R (deferrable), $4.50 million: BBB- (sf) Class D-R (deferrable), $13.50 million: BB- (sf) Other Debt Ballyrock CLO 24 Ltd./Ballyrock CLO 24 LLC Subordinated notes, $42.00 million: Not rated BARCLAYS 2025-NQM3: S&P Assigns Prelim B (sf) Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Barclays Mortgage Loan Trust 2025-NQM3's mortgage-backed securities.. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family residential properties, and manufactured housing. The pool consists of 971 loans backed by 982 properties, which are non-QM/ATR-compliant and ATR-exempt. The preliminary ratings are based on information as of July 3, 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 originators; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings(i) Assigned Barclays Mortgage Loan Trust 2025-NQM3 Class A-1, $278,266,000: AAA (sf) Class A-2, $28,616,000: AA (sf) Class A-3, $42,036,000: A (sf) Class M-1, $18,157,000: BBB (sf) Class B-1, $12,433,000: BB (sf) Class B-2, $9,670,000: B (sf) Class B-3, $5,526,469: Not rated Class SA, $37,836: Not rated Class XS, notional(ii): Not rated Class PT, $394,742,305: Not rated Class R, not applicable: Not rated (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the net WAC shortfall amounts. (ii)Class XS notes on any payment date will have a notional amount equal to the aggregate unpaid principal balance of the mortgage loans as of the first day of the related collection period and will not be entitled to payments of principal. BARINGS CLO 2025-II: Fitch Assigns 'BB-(EXP)' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Barings CLO Ltd. 2025-II. Entity/Debt Rating ----------- ------ Barings CLO Ltd. 2025-II A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Barings CLO Ltd. 2025-II (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Barings LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 23.92, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.12% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.55% 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 five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and '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, '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. ESG Considerations Fitch does not provide ESG relevance scores for Barings CLO Ltd. 2025-II. 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. BATTALION CLO XXIX: Fitch Assigns 'BB-sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Battalion CLO XXIX Ltd. Entity/Debt Rating Prior ----------- ------ ----- Battalion CLO XXIX 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 Battalion CLO XXIX Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Brigade Capital Management, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 22.28 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 74% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Battalion CLO XXIX Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BB-UBS TRUST 2012-TFT: S&P Cuts Class TE Notes Rating to 'D (sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its rating on BB-UBS Trust 2012-TFT's class TE commercial mortgage pass-through certificates and subsequently withdrew the rating. At the same time, S&P discontinued its ratings on the class A and X-A certificates. BB-UBS Trust 2012-TFT is a U.S. CMBS transaction currently backed by one remaining commercial mortgage loan secured by a regional shopping mall, as of the June 2025 trustee remittance report. According to the May 7, 2025, trustee remittance report, the servicer passed through $24,055 of expenses related to interest on advances to the trust from the servicer's prior advancing of debt service payments (from December 2024 through February 2025) on the Town East Mall whole loan. Although the sponsor brought the loan current in the March 2025 reporting period, it did not pay the related interest on the advances. Instead, the servicer was reimbursed from principal amortization proceeds from the Town East Mall loan. This caused class TE, which derives 100% of its cash flow from a subordinate component of the whole loan, to incur principal losses totaling 16 basis points of its original balance. Subsequently, as per the June 6, 2025, trustee remittance report, the Town East Mall whole loan paid off, reducing class TE's $10.5 million beginning balance to zero. As a result, S&P lowered its rating to 'D (sf)' and then withdrew it. S&P said, "We discontinued our rating on the class A certificates because this class received full principal and interest payments following the repayment of the Town East Mall whole loan in the pool, according to the June 2025 trustee remittance report. "We discontinued our rating on the class X-A interest-only (IO) certificates, in-line with our criteria for rating IO securities, because the IO class's notional balance was reduced to $0 following the full principal repayment of class A and it received full interest payments, according to the June 2025 trustee remittance report." Rating Lowered BB-UBS Trust 2012-TFT Class TE to 'D (sf)' from 'CCC- (sf)' Rating Withdrawn BB-UBS Trust 2012-TFT Class TE to NR from 'D (sf)' Ratings Discontinued BB-UBS Trust 2012-TFT Class A to NR from 'A (sf) Class X-A to NR from 'A (sf)' NR--Not rated. BBCCRE TRUST 2015-GTP: S&P Lowers F Certs Rating to 'CCC(sf)' ------------------------------------------------------------- S&P Global Ratings lowered its ratings on eight classes of commercial mortgage pass-through certificates from BBCCRE Trust 2015-GTP, a U.S. CMBS transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a 10-year, 4.588% annual fixed-rate, interest-only (IO) mortgage loan totaling $660.0 million as of the June 12, 2025, trustee remittance report. The transaction is secured by the borrower's fee simple and leasehold interests in a portfolio of 41 single-tenant properties (40 being fee simple interest) built between 1902 and 2013, totaling 2.6 million sq. ft. in 19 U.S. states. Most of the properties are currently leased to U.S. federal government agencies via the General Services Administration (GSA) or its delegated leasing authority. The loan matures Aug. 6, 2025. Rating Actions The downgrades on classes A, B, C, D, E, and F primarily reflect: -- S&P's revised expected-case value, which is 17.4% lower than the valuation it derived in its last review in October 2024 due to actual and expected additional vacancies at the collateral properties, predominantly in suburban office locations, and its observed higher market risk premium for these properties. -- The vacancy and availability rates in the properties' respective office submarkets generally remain elevated, which makes re-leasing more difficult, and future vacancies could increase, given the current administration's emphasis on reductions to federal government agencies. -- The loan, which matures in August 2025, has a less-than-one-month delinquent payment status as of the June 2025 trustee remittance report and was transferred to special servicing on April 18, 2025, due to imminent maturity default. The special servicer is reviewing the borrower's request for a loan modification and extension. S&P said, "The downgrades of classes E and F to 'CCC (sf)' reflect our qualitative consideration that the classes are vulnerable to default as their repayment depends on favorable business, financial, and economic conditions. According to the June 2025 trustee remittance report, class F had reported outstanding accumulated interest shortfalls totaling $87,083 due to special servicing fees. If the shortfalls remain outstanding for a prolonged period, we may further lower our rating on class F to 'D (sf)'. "The downgrades on the class X-A and X-B IO certificates are based on our criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X-A certificates references class A, and the notional amount of the class X-B certificates references classes B and C. "At issuance and in our October 2024 review, we applied a positive loan-level loan-to-value (LTV) threshold adjustment for the granularity and geographic diversity of the portfolio properties. We carried forward this adjustment in our current review. "We will continue to monitor the performance of the properties and loan, as well as the ongoing workout negotiations between the borrower and special servicer. If we receive information that differs materially from our expectations, such as updated appraisal values that are substantially below our revised expected-case value, property performance that is below our expectations, an appraisal reduction amount (ARA) or nonrecoverable determination, or a special servicing workout that negatively impacts the transaction's liquidity and recovery, we may revisit our analysis and take additional rating actions as we deem appropriate." Property-Level Analysis Updates S&P said, "In our October 2024 review, we noted that while the June 2024 rent roll indicated the portfolio was 97.9% occupied, we expected occupancy to drop to 92.7% because the master servicer informed us that the Veterans Affairs tenant from the 150,300-sq.-ft. Austin, Texas property vacated in September 2024. At that time, we assumed a 90.0% occupancy rate to arrive at an S&P Global Ratings' net cash flow (NCF) of $51.4 million." As of the December 2024 rent roll, the portfolio was still reported as 97.9% occupied, which continues to include the since-vacated Veterans Affairs tenant (September 2024 lease expiration). S&P expects occupancy to further decrease to 89.1% after reflecting the expected vacancy (as noted by the master servicer) of the 69,554-sq.-ft. Miramar, Fla. property upon the Federal Aviation Administration's lease expiration on June 30, 2025. S&P said, "In our current analysis, we used a 10.9% vacancy rate, a $35.05 per sq. ft. S&P Global Ratings' gross rent, and a 35.1% operating expense ratio to derive an S&P Global Ratings NCF of $48.4 million, which is 5.9% below the NCF we derived in our October 2024 review. "Utilizing an S&P Global Ratings' capitalization rate of 8.75% (which is up 107 basis points since our October 2024 review, reflecting our perceived higher risk premium in connection with the current administration's focus on reducing the number of federal government agencies and employees), we arrived at an S&P Global Ratings' expected case value of $553.2 million, which is a 17.4% decrease from our October 2024 review and a 45.8% decline from the November 2015 appraised value of $1.0 billion. This yielded an S&P Global Ratings' LTV ratio of 119.3% on the trust balance." Table 1 Servicer-reported collateral performance 2024(i) 2023(i) 2022(i) Occupancy rate (%) 97.9 97.7 99.1 Net cash flow (mil. $) 55.7 57.9 59.2 Debt service coverage (x) 1.81 1.89 1.93 Appraisal value (mil. $)(ii) 1,021.0 1,021.0 1,021.0 (i)Reporting period. (ii)At issuance. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (June 2025)(i) (Oct 2024)(i) (August 2015)(i) Occupancy rate (%) 89.1 90.0 95.0 Net cash flow (mil. $) 48.4 51.4 56.0 Capitalization rate (%) 8.75 7.68 7.68 Value (mil. $) 553.2 669.8 731.1 Value per sq. ft. ($) 214 260 284 Loan-to-value ratio (%) 119.3 98.5 90.3 (i)Review period. Ratings Lowered BBCCRE Trust 2015-GTP Class A to 'A (sf)' from 'AA+ (sf)' Class B to 'BBB- (sf)' from 'A (sf)' Class C to 'BB (sf)' from 'BBB+ (sf)' Class D to 'B- (sf)' from 'BB (sf)' Class E to 'CCC (sf)' from 'B (sf)' Class F to 'CCC (sf)' from 'B- (sf)' Class X-A to 'A (sf)' from 'AA+ (sf)' Class X-B to 'BB (sf)' from 'BBB+ (sf)' BENCHMARK 2019-B12: S&P Affirms BB (sf) Rating on Class WM-C Notes ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on two classes of commercial mortgage pass-through certificates from Benchmark 2019-B12 Mortgage Trust, a U.S. CMBS conduit transaction. At the same time, S&P affirmed its ratings on 12 other classes from the transaction. Rating Actions The downgrade on class A-S primarily reflects: -- S&P's lower revised net cash flow (NCF) and expected-case valuations for the mixed-use, office, lodging, or retail properties securing eight loans, comprising 21.3% of the pooled trust balance, due to reported declines in the operating performance below our initial expectations; -- S&P's moderate (between 26.0% and 59.0% of the current loan balance) loss assumptions on two (2.8%) of the specially serviced loans, Hampton Inn Denver Airport and Oakbrook Terrace, using its lower revised expected-case values; and -- S&P's higher capitalization rate assumptions, generally up to 100 basis points more than that of issuance, reflecting its observed higher market risk premium for class B office properties securing seven loans (18.7%) following its revised capitalization rates in our criteria, "CMBS Global Property Evaluation Methodology," published July 26, 2024. S&P said, "The affirmations on classes A-2, A-3, A-4, A-5, and A-AB reflect that, in our analysis, the model-indicated ratings are in line with the current outstanding ratings even after making these adjustments. "The downgrade on the class X-A interest-only (IO) certificates is based on our criteria for rating IO securities, which state that the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-A references classes A-1 (paid in full), A-2, A-3, A-4, A-5, A-AB, and A-S. "In addition, we affirmed our ratings on the Woodlands Mall loan specific classes WM-A, WM-B, and WM-C, and The Centre loan specific classes TC-A, TC-B, TC-C, and TC-D. These loan-specific classes receive distributions from the subordinate component of the Woodlands Mall and The Centre whole loans, respectively. "Although the model-indicated ratings for classes TC-A, TC-B, TC-C, and TC-D are higher than the current outstanding ratings, primarily as a result of our revised lower capitalization rate for the collateral multifamily property following our capitalization rates revision for this property type published in our criteria and referenced in the article, "Various Rating Actions Taken On 395 Classes From 61 U.S. CMBS Transactions," published Feb. 17, 2022, we affirmed our ratings on these classes because we qualitatively considered that the Centre loan is currently with the special servicer due to maturity default. The borrower failed to refinance the loan at its July 6, 2024, maturity date. The loan has a reported performing matured balloon payment status (paid through the June 2025 reporting period). Per the special servicer, the residential units were 93.6% occupied as of the May 2025 rent roll. The special servicer and the borrower continue to evaluate workout options including a potential loan modification. "According to the June 2025 trustee remittance report, class WM-C has an outstanding interest shortfall amount of $1,271 that we considered de-minimis. "At issuance, we applied a transaction-level qualitative adjustment for high partial- and full-term IO concentration, as well as loan-level loan-to-value (LTV) threshold adjustments for various criteria-related concerns for six loans ($241.6 million, 22.4% of pooled trust balance). In our current review, we carried forward these adjustments. "We will continue to monitor the performance of the transaction and the collateral loans, including any developments around the loans with reported declines in performance and the resolution of the specially serviced loans. To the extent future developments differ meaningfully from our underlying assumptions, we may update our analysis for these loans and take further rating actions as we determine necessary." Property-Level Analysis Updates S&P said, "Since issuance, we revised our S&P Global Ratings' NCFs and expected-case values on collateral properties securing eight loans, totaling $230.4 million or 21.3% of the pooled trust balance, due mainly to reported declines in the operating performance below our initial expectations." The eight loans include: -- The Zappettini Portfolio ($65.0 million, 6.0%). The trust loan represents a pari passu portion of a $120.0 million whole loan. -- 250 Livingston ($50.0 million, 4.6%). The trust loan represents a pari passu portion of a $125.0 million whole loan. -- Waterfront Plaza ($42.7 million, 4.0%). The trust loan represents a pari passu portion of a $106.7 million whole loan. -- ICON Upper East Side Portfolio ($17.7 million, 1.6%). The trust loan represents a pari passu portion of a $41.5 million senior A component within a $98.7 million whole loan. -- Oakbrook Terrace ($17.2 million, 1.6%). -- SWVP Portfolio ($15.0 million, 1.4%). The trust loan represents a pari passu portion of a $200.0 million whole loan. -- Hampton Inn Denver Airport ($13.4 million, 1.2%). -- Greenleaf at Howell ($9.4 million, 0.9%). The trust loan represents a pari passu portion of a $43.7 million whole loan. S&P said, "Four of these loans, The Zappettini Portfolio, Oakbrook Terrace, Hampton Inn Denver Airport, and Greenleaf at Howell, totaling 9.7% of the pooled trust balance, are in special servicing. Based on the respective special servicers' commentaries, we expect these loans to be either modified and returned to the master servicer as corrected mortgage loans or resolved through foreclosure and sale. "In addition to our capitalization rates revisions for multifamily, self-storage, mall, and industrial properties, we increased our capitalization rates for class B office properties, generally up to 100 basis points (bps), as outlined in our July 2024 property evaluation criteria. As a result, we changed our capitalization rates for seven loans (18.7%) that are backed by class B office properties." The Zappettini Portfolio The loan, which has a reported foreclosure payment status (paid through February 2025), was transferred to the special servicer on June 7, 2024, due to maturity default. The loan matured June 6, 2024. According to the special servicer, K-Star Asset Management LLC, it has filed for foreclosure with a potential sale in third quarter 2025 but is also currently reviewing a new proposed workout resolution submitted by the sponsor. The servicer reported that occupancy fell to 63.3% as of September 2024 from 87.6% in 2023. According to CoStar, the vacant spaces are currently still being marketed for lease. S&P said, "Given the lack of leasing progress, still weak fundamentals in the Mountain View flex office submarket, and concentrated tenant rollover (according to the September 2024 rent roll, leases representing about 41.0% of the net rentable areas [NRA] expire through 2026), we revised our whole loan NCF to $5.9 million by assuming a 20.0% stabilized vacancy rate, a $48.56 per-sq.-ft. S&P Global Ratings' gross rent, and 31.7% operating expense ratio. Our current revised NCF is 25.3% lower than the $7.9 million NCF we derived at issuance. Using an S&P Global Ratings' capitalization rate of 8.50%, up 75 bps from 7.75% at issuance, which reflects our observed higher market risk premium for class B office properties in a weak office submarket, we arrived at an S&P Global Ratings' expected-case value of $69.9 million or $278 per sq. ft., a 27.9% decrease from our issuance value of $97.0 million and 62.7% below the issuance appraised value of $187.4 million." Oakbrook Terrace The loan, which has a reported foreclosure payment status (paid through the May 2025 reporting period), was transferred to the special servicer on Feb. 28, 2025, due to imminent monetary default. According to the special servicer, K-Star, the three largest tenants, totaling 22.2% of NRA, vacated the office building upon their respective lease expirations in 2025. This resulted in the property's occupancy rate dropping to approximately 50.0%, and, according to the special servicer, there have been no substantial leasing activity at the property. S&P said, "Given the lack of leasing progress and still weak fundamentals in the Eastern East/West Corridor office submarket, we revised our NCF to $1.2 million by assuming a 70.0% stabilized occupancy rate, down 19.9% from our issuance NCF of $1.5 million. Using an S&P Global Ratings' capitalization rate of 9.50%, up from 8.50% at issuance to reflect our observed higher market risk premium for weak performing class B office properties, we arrived at an S&P Global Ratings' expected-case value of $12.4 million or $54 per sq. ft., a 28.3% decrease from our issuance value of $17.3 million and 55.8% below the issuance appraised value of $28.1 million. "Using our revised expected-case value of $12.4 million, we estimated a moderate loss (between 26.0% and 59.0% of the current loan balance) upon the loan's eventual resolution." Hampton Inn Denver Airport The loan, which has a reported foreclosure payment status (paid through the May 2025 reporting period), was transferred to special servicing on Oct. 10, 2024, due to cash management issues because the borrower indicated it is no longer willing to fund operating expenses for the hotel. According to the special servicer, K-Star, a receiver was appointed in November 2024, and the property is currently under contract for sale with an expected closing date in the near-term. S&P said, "Due to reported decline in operating performance, we revised our NCF to $823,279 and expected-case value to $8.2 million (or $67,482 per guestroom), down from our $1.2 million NCF and $11.9 million value that we derived at issuance. Using our revised expected-case value, we estimated a moderate loss upon the loan's eventual resolution." Transaction Summary As of the June 17, 2025, trustee remittance report, the collateral pool balance was $1.08 billion, which is 91.3% of the pool balance at issuance. The pool currently includes 41 fixed-rate loans, down from 47 loans at issuance. Five loans ($135.0 million, 12.5%) are with the special servicer, one ($3.3 million, 0.3%) is defeased, and nine ($252.1 million, 23.4%) are on the master servicer's watchlist. S&P said, "Excluding the defeased loan and two of the five specially serviced loans (Hampton Inn Denver Airport and Oakbrook Terrace) because we expect them to liquidate in the near-term from the trust, and adjusting the servicer-reported numbers, we calculated an S&P Global Ratings' weighted average debt service coverage of 2.00x and an S&P Global Ratings' weighted average LTV ratio of 92.2% using an S&P Global Ratings' weighted average capitalization rate of 7.67% on the 38 remaining loans." To date, the transaction has not experienced any principal losses. S&P expects losses to reach approximately 1.1% of the original pool trust balance upon the eventual resolution of two specially serviced loans. Ratings Lowered Benchmark 2019-B12 Mortgage Trust Class A-S to 'A+ (sf)' from 'AA (sf)' Class X-A to 'A+ (sf)' from 'AA (sf)' Ratings Affirmed Benchmark 2019-B12 Mortgage Trust Class A-2: AAA (sf) Class A-3: AAA (sf) Class A-4: AAA (sf) Class A-5: AAA (sf) Class A-AB: AAA (sf) Class TC-A: A+ (sf) Class TC-B: BBB+ (sf) Class TC-C: BB+ (sf) Class TC-D: B+ (sf) Class WM-A: A- (sf) Class WM-B: BBB- (sf) Class WM-C: BB (sf) BENEFIT STREET 41: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings Benefit Street Partners CLO 41 Ltd./Benefit Street Partners CLO 41 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by BSP CLO Management LLC, a subsidiary of Franklin Templeton. The preliminary ratings are based on information as of July 2, 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 41 Ltd./ Benefit Street Partners CLO 41 LLC Class A, $384.00 million: AAA (sf) Class B, $72.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D-1 (deferrable), $36.00 million: BBB- (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $18.00 million: BB- (sf) Subordinated notes, $53.20 million: NR NR--Not rated. BFLD TRUST 2025-EWEST: Moody's Assigns Ba2 Rating to Cl. E Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by BFLD Trust 2025-EWEST, Commercial Mortgage Pass-Through Certificates, Series 2025-EWEST. Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba2 (sf) Cl. HRR, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The certificates are collateralized by a first lien mortgage on the borrower's fee simple interest in 1 Eagle Street, which is comprised of two 39-story towers housing 745 multifamily units, 7,862 SF of ground floor commercial space and a subgrade-level parking garage with a capacity for 233 vehicles. The property was recently built in 2022, is of Class A+ quality, and is located in the Greenpoint neighborhood of Brooklyn, NY. Moody's ratings are based on the credit quality of the loan and the strength of the securitization structure. Approximately 521 units (69.9% of unit count) are market rate and 224 units (30.1% of unit count) are designated as affordable housing for qualified low income households. The market rate component contains 428,317 SF of NRA for an average size of 822 SF, and the affordable housing component contains 162,245 SF of NRA for an average size of 724 SF. The income qualifications for the affordable units are based on area's median income thresholds of 80, 125, and 130 percent. A 421a real estate tax abatement is received in return for maintaining affordability requirements. All apartments include a high-level finishes, open-concept, flexible floor plans with abundant natural light, floor-to-ceiling windows with high-end woven solar window shades, wide plank oak flooring, quartz countertops, Bosch appliances, spacious walk-in closets and porcelain bathroom fixtures. In addition, many units at the property benefit from views of the East River and Manhattan. With regard to common amenities, the Property offers approximately 42,000 SF of high-end amenity space including crash pad, coworking space, fitness center & yoga studio, spin studio, the workshop, game room, children's room, test kitchen, central terrace, indoor & outdoor pools. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.21x and Moody's first mortgage actual stressed DSCR is 0.82x. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $400,000,000 represents a Moody's LTV ratio of 99.2% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 94.1% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Total debt adjusted MLTV ratio of 114.4% inclusive of mezzanine debt held outside the trust. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The property's average property quality grade is 1.0. Notable strengths of the transaction include: asset quality, strong location, submarket performance and experienced sponsorship Notable concerns of the transaction include: interest-only loan profile, limited stabilized operating history, lack of asset diversification The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking views of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. BIRCH GROVE 14: Fitch Assigns 'BB-sf' Final Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and ratings Outlook to Birch Grove CLO 14 Ltd. Entity/Debt Rating Prior ----------- ------ ----- Birch Grove CLO 14 Ltd. A LT AAAsf New Rating AAA(EXP)sf A-L LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary 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 73.80%. 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 both class A and Class A-L, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, 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 or Class A-L notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, '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. Date of Relevant Committee June 18, 2025 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. BMO 2025-5C11: Fitch Assigns 'B-sf' Final Rating on Two Tranches ---------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BMO 2025-5C11 Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2025-5C11 as follows: - $611,000 class A-1 'AAAsf'; Outlook Stable; - $104,461,000 class A-2 'AAAsf'; Outlook Stable; - $383,616,000 class A-3 'AAAsf'; Outlook Stable; - $488,688,000 class X-A 'AAAsf'; Outlook Stable; - $52,360,000 class A-S 'AAAsf'; Outlook Stable; - $44,505,000 class B 'AA-sf'; Outlook Stable; - $28,798,000 class C 'A-sf'; Outlook Stable; - $125,663,000 class X-B 'A-sf'; Outlook Stable; - $16,580,000 class D 'BBBsf'; Outlook Stable; - $7,854,000 class E 'BBB-sf'; Outlook Stable; - $24,434,000 class X-D 'BBB-sf'; Outlook Stable; - $15,708,000 class F 'BB-sf'; Outlook Stable; - $15,708,000 class X-F 'BB-sf'; Outlook Stable; - $11,345,000 class G 'B-sf'; Outlook Stable; - $11,345,000 class X-G 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: - $7,854,000 class J; - $7,854,000 class X-J; - $24,434,556 class K-RR. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 37 loans secured by 63 commercial properties with an aggregate principal balance of $698,126,557, as of the cutoff date. The loans were contributed to the trust by Bank of Montreal, Starwood Mortgage Capital LLC, Société Générale Financial Corporation, KeyBank National Association, and Greystone Commercial Mortgage Capital LLC. The master servicer is Midland Loan Services, a division of PNC Bank, National Association, and the special servicer is LNR Partners, LLC. The trustee and certificate administrator is Computershare Trust Company, National Association. BellOak, LLC is the operating advisor. The certificates follow a sequential paydown structure. Since Fitch published its expected ratings on June 11, 2025, the balances for classes A-2 and A-3 were finalized. The initial certificate balance of the class A-2 was expected to be in the range of $0 to $225,000,000, and the initial aggregate certificate balance of the class A-3 was expected to be in the range of $263,077,000 to $488,077,000. The final class balances for classes A-2 and A-3 are $104,461,000 and $383,616,000, respectively. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 23 loans totaling 84.3% by balance. Fitch's resulting net cash flow (NCF) of $59.5 million represents a 12.6% decline from the issuer's underwritten NCF. Higher Leverage Compared to Recent Transactions: The pool has higher leverage than recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 107.4% is higher than the 2025 YTD and 2024 averages of 98.3% and 92.4%, respectively. The pool's Fitch NCF debt yield (DY) of 8.5% is lower than the 2025 YTD and 2024 averages of 10.1% and 10.7%, respectively. Fewer Investment-Grade Credit Opinion Loans: One loan representing 1.4% of the pool received an investment-grade credit opinion. 1535 Broadway (1.4% of pool) received a standalone credit opinion of 'AAsf*'. The pool's total credit opinion percentage is lower than the 2025 YTD and 2024 averages of 11.6% and 14.9%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 108.1% and 8.4%, respectively, compared with the 2024 conduit LTV and DY averages of 96.3% and 10.1%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 56.8% of the pool, lower than the 2025 YTD and 2024 averages of 60.7% and 61.0%, respectively. The pool's effective loan count of 23.2 is above the 2025 YTD and 2024 averages of 22.2 and 22.2, respectively. Limited Amortization: Based on the scheduled balances at maturity, the pool will pay down 0.1%, which is below the 2025 YTD and 2024 averages of 4.6% and 3.1%, respectively. The pool has 35 interest-only loans, or 98.1% of pool by balance, which is above the 2025 YTD and 2024 averages of 86.2% and 89.6%, respectively. Lower Concentration of Pari Passu Loans: Eight loans representing 37.3% of the pool are pari passu loans, which is lower than the 2025 YTD and 2024 averages of 38.0% and 45.5%, respectively. Lower Subordinate Secured Debt: The pool has less subordinate secured debt than recently rated Fitch transactions. One loan representing 1.4% of the pool has subordinate secured debt, which is lower than the 2025 YTD and 2024 averages of 7.2% and 5.2%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on 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. CBAMR 2017-4: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the CBAMR 2017-4, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- CBAMR 2017-4, Ltd. X-R LT AAAsf New Rating A-1 12481NAB8 LT PIFsf Paid In Full AAAsf A-1L LT AAAsf New Rating A-1R LT AAAsf New Rating A-2R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT A+sf New Rating D-1R LT BBB+sf New Rating D-2R LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT NRsf New Rating Transaction Summary CBAMR 2017-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CBAM CLO Management, LLC. The transaction originally closed in December 2017, and this is a first reset for the deal. The CLO's secured notes will be refinanced on June 27, 2025. Net proceeds from the issuance of the secured notes, existing subordinated notes and the additional subordinated notes will provide financing on a portfolio of approximately $1000 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 95.57% first lien senior secured loans and has a weighted average recovery assumption of 72.18%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40.25% of the portfolio balance in aggregate while the top five obligors can represent up to 10% 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 five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: 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-1R, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, class A-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'A+sf' for class D-2R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for CBAMR 2017-4, 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. CBAMR LTD 2017-4: Moody's Assigns Caa1 Rating to $250,000 F-R Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes issued and one class of loans incurred by CBAMR 2017-4, Ltd. (the Issuer): US$420,000,000 Class A-1R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$200,000,000 Class A-1L Loans maturing 2038, Assigned Aaa (sf) US$250,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2038, Assigned Caa1 (sf) The notes and loans listed are referred to herein, collectively, as the Refinancing Debt. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued debt is collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 93.0% of the portfolio must consist of first lien senior secured loans and up to 7.0% of the portfolio may consist of second lien loans, unsecured loans and permitted debt securities. CBAM CLO Management LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Debt, the seven other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement of the reinvestment period and non-call period; extensions of the stated maturity; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $1,000,000,000 Diversity Score: 90 Weighted Average Rating Factor (WARF): 3051 Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Debt is subject to uncertainty. The performance of the Refinancing Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Debt. CHASE AUTO 2025-1: Moody's Assigns B3 Rating to Class F Notes ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the Chase Auto Credit Linked Notes, Series 2025-1 (CACLN 2025-1) notes issued by JPMorgan Chase Bank, N.A. (JPMCB senior unsecured Aa2). CACLN 2025-1 is the first credit linked notes transaction issued by JPMCB in 2025 to transfer credit risk to noteholders through a hypothetical tranched credit default swap on a reference pool of auto loans. The complete rating actions are as follows: Issuer: Chase Auto Credit Linked Notes, Series 2025-1 Class B Notes, Definitive Rating Assigned Aa2 (sf) Class C Notes, Definitive Rating Assigned A3 (sf) Class D Notes, Definitive Rating Assigned Baa3 (sf) Class E Notes, Definitive Rating Assigned Ba3 (sf) Class F Notes, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The notes are fixed-rate and are unsecured obligations of JPMCB. Unlike principal payment, interest payment to the notes is not dependent on the performance of the reference pool. This deal is unique in that the source of payments for the notes will be JPMCB's own funds, and not the collections on the loans or note proceeds held in a segregated trust account. As a result, Moody's capped the ratings of the notes at JPMCB's senior unsecured rating (Aa2). The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure for US auto loan transactions. However, the subordinate bondholders will not receive any principal unless performance tests are satisfied. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of JPMorgan Chase Bank, N.A. as the servicer. Moody's median cumulative net loss expectation for the 2025-1 reference pool is 0.70% and the loss at a Aaa stress is 4.50%. Moody's based Moody's cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of JPMorgan Chase Bank, N.A. to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class B notes, Class C notes, Class D notes, Class E notes and Class F notes benefit 4.55%, 3.30%, 2.75%, 1.90%, and 1.40% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class C, Class D, Class E, and Class F notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Moody's could upgrade Class B if JPMCB's senior unsecured rating is upgraded. Down Moody's could downgrade the notes if JPMCB's senior unsecured rating is downgraded or if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. CHASE HOME 2025-7: Fitch Assigns B-sf Final Rating on Cl. B-5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2025-7 (Chase 2025-7). Entity/Debt Rating Prior ----------- ------ ----- Chase 2025-7 A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-A LT AAAsf New Rating AAA(EXP)sf A-4-X LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-A LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-A LT AAAsf New Rating AAA(EXP)sf A-6-X LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-A LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-A LT AAAsf New Rating AAA(EXP)sf A-8-X LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-A LT AAAsf New Rating AAA(EXP)sf A-9-B LT AAAsf New Rating AAA(EXP)sf A-9-X1 LT AAAsf New Rating AAA(EXP)sf A-9-X2 LT AAAsf New Rating AAA(EXP)sf A-9-X3 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-13-X LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-14-X LT AAAsf New Rating AAA(EXP)sf A-14-X2 LT AAAsf New Rating AAA(EXP)sf A-14-X3 LT AAAsf New Rating AAA(EXP)sf A-14-X4 LT AAAsf New Rating AAA(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1-A LT AA-sf New Rating AA-(EXP)sf B-1-X LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-2-A LT A-sf New Rating A-(EXP)sf B-2-X LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BB-sf New Rating BB-(EXP)sf B-5 LT B-sf New Rating B-(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf A-R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch assigns final ratings the residential mortgage-backed certificates issued by Chase Home Lending Mortgage Trust 2025-7 (Chase 2025-7) as indicated above. The certificates are supported by 412 loans with a scheduled balance of $528.11 million as of the cutoff date. The pool consists of prime-quality, fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations (reps) and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC, or they are floating rate or inverse floating rate based off the SOFR index and capped at the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.5% above a long-term sustainable level (compared to 11% on a national level as of 4Q24, down 0.1% since last quarter, based on Fitch's updated view on sustainable home prices). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices have increased 2.9% year-over-year (YoY) nationally as of February 2025, despite modest regional declines, but are still being supported by limited inventory. High-Quality Prime Mortgage Pool (Positive): The pool consists of 412 high-quality, fixed-rate, fully amortizing loans with maturities of 10 to 30 years and amounting to $528.11 million. In total, 100% of the loans qualify as SHQM. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of four months, according to Fitch. The pool has a weighted average (WA) FICO score of 769, as determined by Fitch, based on the original FICO for newly originated loans and the updated FICO for loans seasoned at 12 months or more. Based on the transaction documents, the updated current FICO is 769. These high FICO scores indicate very high credit-quality borrowers. A large percentage of the loans have a borrower with a Fitch-derived FICO score of 750 or above. Fitch determined that 76.5% of the loans have a borrower with a Fitch-determined FICO score of 750 or above. Based on Fitch's analysis of the pool, the original WA combined loan-to-value ratio (CLTV) is 74.1%, which translates to a sustainable LTV ratio (sLTV) of 83.1%. This represents moderate borrower equity in the property and reduced default risk, compared with a borrower with a CLTV over 80%. Of the pool, 100% of the loans are designated as SHQM APOR loans and 0.00% are rebuttable presumptions QM loans. Of the pool, the borrower for 100% of the loans maintains a primary or secondary residence (90.1% primary and 9.9% secondary). Single-family homes and planned unit developments (PUDs) constitute 90.9% of the pool and condominiums make up the rest at 9.1%. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (85.2%), cashout refinances (2.2%) and rate-term refinances (12.6%). Per the transaction documents, 85.2% are purchase loans, 12.4% are rate-term refinances, and 2.4% are cashout refinances. Fitch considers loans with a 3% cashout or more as cashouts and any loan with less than a 3% cashout amount as rate-term refinances which explains the discrepancy in the percentages. None of the loans are for investment properties, there are no multi-family properties, and a majority of the mortgages are purchases, which Fitch views favorably. Of the pool loans, 30.3% are concentrated in California, followed by Texas and Washington. The largest MSA concentration is in the Los Angeles MSA (11.7%), followed by the San Francisco MSA (8.9%) and the Chicago MSA (5.9%). The top three MSAs account for 26.5% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): Mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out of receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer, JPMCB, is obligated to advance delinquent principal and interest (P&I) until deemed nonrecoverable. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in fewer recoveries. There is no master servicer for this transaction. U.S. Bank Trust National Association as trustee will advance as needed until a replacement servicer can be found. The trustee is the ultimate advancing party. Losses on the non-retained portion of the loans will be allocated first to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata once class A-9-B is written off. Net interest shortfalls on the non-retained portion will be allocated first to class A-X-1 and the subordinated classes pro rata, based on the current interest accrued for each class until the amount of current interest is reduced to zero, and then to the senior classes (excluding class A-X-1) pro rata, based on the current interest accrued for each class until the amount of current interest is reduced to zero. Credit Enhancement Floor (Positive): A CE or senior subordination floor of 1.40% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 1.100% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.14% at the 'AAAsf' stress due to 60.2% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 57.1% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Please refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations Chase 2025-7 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk. Operational risk is well controlled in Chase 2025-6, including strong transaction due diligence. The entire pool is originated by an 'Above Average' originator, and all of the pool loans are serviced by a servicer rated 'RPS1-'. All of these attributes result in a reduction in expected losses and are relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CHASE HOME 2025-7: Moody's Assigns B3 Rating to Cl. B-5 Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 44 classes of residential mortgage-backed securities (RMBS) issued by Chase Home Lending Mortgage Trust 2025-7, and sponsored by JPMorgan Chase Bank, N.A. (JPMCB). The securities are backed by a pool of prime jumbo (99.96% by balance) and GSE-eligible (0.04% by balance) residential mortgages originated and serviced by JPMorgan Chase Bank, N.A. The complete rating actions are as follows: Issuer: Chase Home Lending Mortgage Trust 2025-7 Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-B, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X1, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X2, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X3, Definitive Rating Assigned Aa1 (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-14-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.30%, in a baseline scenario-median is 0.12% and reaches 4.57% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. CIFC FUNDING 2017-IV: Moody's Ups Rating on $34.29MM D Notes to Ba2 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by CIFC Funding 2017-IV, Ltd: US$44.57M Class B-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on May 9, 2024 Upgraded to Aa1 (sf) US$49.14M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on May 9, 2024 Upgraded to Baa2 (sf) US$34.29M Class D Junior Secured Deferrable Floating Rate Notes, Upgraded to Ba2 (sf); previously on Sep 19, 2017 Assigned Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$520M (Current outstanding amount US$160,168,951) Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 17, 2021 Assigned Aaa (sf) US$88M Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 9, 2024 Upgraded to Aaa (sf) CIFC Funding 2017-IV, Ltd, issued in September 2017 and refinanced in June 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by CIFC CLO Management LLC. The transaction's reinvestment period ended in October 2022. RATINGS RATIONALE The rating upgrades on the Class B-R, C-R and D notes are primarily a result of the significant deleveraging of the Class A-1-R notes following amortisation of the underlying portfolio since the last rating action in May 2024. The affirmations on the ratings on the Class A-1-R and A-2-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1-R notes have paid down by approximately USD169.4 million (51.4%) in the last 12 months and USD359.8 million (69.3%) 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 163.67%, 138.75%, 118.81% and 107.98% compared to May 2024[2] levels of 140.35%, 126.81%, 114.62% and 107.01%, 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 methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: EUR411,615,208 Defaulted Securities: EUR1,296,964 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2884 Weighted Average Life (WAL): 2.78 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.91% Weighted Average Recovery Rate (WARR): 47.32% Par haircut in OC tests and interest diversion test: none The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Moody's note that the June 2025 trustee report was published at the time Moody's were completing Moody's analysis of the May 2025 data. Key portfolio metrics such as WARF, diversity score, weighted average spread and life, and OC ratios exhibit little or no change between these dates. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. CITIGROUP 2017-P8: Fitch Lowers Rating on Four Tranches to 'B-sf' ----------------------------------------------------------------- Fitch Ratings has downgraded 17 classes and affirmed four classes of Citigroup Commercial Mortgage Trust 2017-P8 commercial mortgage pass-through certificates (CGCMT 2017-P8). Following their downgrades, Fitch has assigned Negative Rating Outlooks on 13 classes. Fitch has also affirmed 14 classes of Citigroup Commercial Mortgage Trust 2017-C4 commercial mortgage pass-through certificates (CGCMT 2017-C4). The Rating Outlooks for seven of the affirmed classes remain Negative. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2017-P8 A-2 17326DAB8 LT AAAsf Affirmed AAAsf A-3 17326DAC6 LT AAAsf Affirmed AAAsf A-4 17326DAD4 LT AAAsf Affirmed AAAsf A-AB 17326DAE2 LT AAAsf Affirmed AAAsf A-S 17326DAF9 LT AA-sf Downgrade AAAsf B 17326DAG7 LT BBBsf Downgrade Asf C 17326DAH5 LT BBsf Downgrade BBBsf D 17326DAM4 LT B-sf Downgrade BB-sf E 17326DAP7 LT CCCsf Downgrade B-sf F 17326DAR3 LT CCsf Downgrade CCCsf V-2A 17326DBF8 LT AA-sf Downgrade AAAsf V-2B 17326DBH4 LT BBBsf Downgrade Asf V-2C 17326DBK7 LT BBsf Downgrade BBBsf V-2D 17326DBM3 LT B-sf Downgrade BB-sf V-3AC 17326DBR2 LT BBsf Downgrade BBBsf V-3D 17326DBV3 LT B-sf Downgrade BB-sf X-A 17326DAJ1 LT AA-sf Downgrade AAAsf X-B 17326DAK8 LT BBBsf Downgrade Asf X-D 17326DAV4 LT B-sf Downgrade BB-sf X-E 17326DAX0 LT CCCsf Downgrade B-sf X-F 17326DAZ5 LT CCsf Downgrade CCCsf CGCMT 2017-C4 A-3 17326FAC1 LT AAAsf Affirmed AAAsf A-4 17326FAD9 LT AAAsf Affirmed AAAsf A-AB 17326FAE7 LT AAAsf Affirmed AAAsf A-S 17326FAH0 LT AAAsf Affirmed AAAsf B 17326FAJ6 LT AA-sf Affirmed AA-sf C 17326FAK3 LT A-sf Affirmed A-sf D 17326FAL1 LT BBBsf Affirmed BBBsf E-RR 17326FAN7 LT BBsf Affirmed BBsf F-RR 17326FAQ0 LT B+sf Affirmed B+sf G-RR 17326FAS6 LT B-sf Affirmed B-sf H-RR 17326FAU1 LT CCCsf Affirmed CCCsf X-A 17326FAF4 LT AAAsf Affirmed AAAsf X-B 17326FAG2 LT A-sf Affirmed A-sf X-D 17326FAY3 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss has increased in CGCMT 2017-P8 to 9.0% from 6.6% since Fitch's prior rating action and slightly decreased in CGCMT 2017-C4 to 7.0% from 7.8%. The CGCMT 2017-P8 transaction has 10 Fitch Loans of Concern (FLOCs; 35.4% of the pool), including four loans (17.7%) in special servicing. The CGCMT 2017-C4 transaction has nine FLOCs (28.2%), with no loans in special servicing. The downgrades in CGCMT 2017-P8 reflect increased pool loss expectations since the prior review, driven primarily by the specially serviced Starwood Capital Group Hotel Portfolio (4.1% of pool), along with two specially serviced office FLOCs Bank of America Plaza (4.1%) and Grant Building (3.5%) which received updated depressed appraisal values. Additionally, the downgrades reflect the continued elevated risks related to the specially serviced 225 & 233 Park Avenue South loan (5.9%). The Negative Outlooks in CGCMT 2017-P8 reflect the elevated concentration of office loans (42.9%) and possible further downgrades if performance of the aforementioned FLOCs further decline or if workouts are prolonged. The affirmations of CGCMT 2017-C4 generally reflect the stable performance of the pool since the prior review. The continued Negative Outlooks reflect the increased risks from FLOCs 50 Varick Street (4.5% of pool) and continued higher loss expectations for South Station (9.6%) and Capital Centers II & III (2.3%). The Negative Outlooks also reflect the high concentration of FLOCs, representing 28.2% of the pool, along with the office concentration in the pool of 25.0%. Largest Contributors to Loss: The largest increase in loss since the prior rating action in CGCMT 2017-P8 is the Starwood Capital Group Hotel Portfolio loan, secured by a portfolio comprised of 65 hotels totaling 6,370 keys and located across 21 states. The loan transferred to special servicing in March 2025 for imminent maturity default. The loan is paid through May 2025. The servicer is actively negotiating modification terms with the borrower, Starwood Capital Group. Portfolio performance continues to lag post-pandemic. The YE 2023 net operating income (NOI) is 37% below YE 2019 (pre-pandemic NOI) and 26% below the Fitch issuance NCF. The servicer-reported portfolio NOI debt service coverage ratio (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, average daily rate (ADR), and revenue per available room (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 27.3% (prior to concentration add-ons) reflects an 11.50% cap rate and the YE 2023 NOI. Fitch's 'Bsf' rating case loss for this loan at the prior rating action was 7.8%. The second-largest increase in loss since the prior rating action and largest contributor to overall loss expectations in CGCMT 2017-P8 is the Grant Building loan, which is secured by a 461,006-sf office property located in downtown Pittsburgh, PA. The loan transferred to special servicing in September 2023 for imminent monetary default and a receiver was appointed March 2024. As of the June 2025 reporting, the loan remains 90+ days delinquent. Major tenants at the property include Hillman Co. (5.7% of NRA through June 2028) and Rothman Gordon (4.5%; March 2027). Per the April 2025 rent roll, the property was 69.8% occupied. However, with the loss of Huntington National Bank (formerly 11.4%) vacating upon their April 2025 lease expiration, in-place occupancy is approximately 58.4%, down from 71% at YE 2024 and 85% at YE 2023. The servicer-reported NOI DSCR at YE 2024 was 1.08x, compared to 1.43x at YE 2023, 1.45x at YE 2022, and 2.02x at YE 2021. Fitch's 'Bsf' case loss of 53.2% (prior to concentration add-ons) reflects a 9.0% cap rate, and a 20% stress to the April 2024 appraisal value. The third-largest increase in loss since the prior rating action and second-largest contributor to overall loss expectations in CGCMT 2017-P8 is the Bank of America Plaza loan, which is secured by a 438,996-sf, suburban office property located in Troy, MI. The property's occupancy declined to 53.3% as of December 2024, down from 91% at YE 2022, unchanged from YE 2021, 88% at YE 2020, and 89% at YE 2019. Occupancy declined after the property's previous largest tenant, Bank of America (previously, 35.2% of NRA; 39.3% of base rental income) vacated upon lease expiry in January 2023. The property's largest tenants include Dickinson Wright (19.1% of NRA through August 2029), Horizon Global (5.5%; October 2027), and BDO Seidman (4.9%; April 2028). The loan failed to repay at its scheduled September 2024 maturity date. Per May 2025 special servicer commentary, a modification is being discussed, which would extend the loan by 12 months (with two one-year extensions), allow a $1.3 million discounted mezzanine payoff, require a new guarantor and $3.6 million of new capital, and apply the $8.08 million in reserves to paydown the principal balance and to fund an all-purpose reserve. According to CoStar, the property lies within the Troy South Office Submarket of the Detroit market area. As of 2Q25, average rental rates were $21.52 psf and $22.13 psf for the submarket and market, respectively. Vacancy for the submarket and market was 19.0% and 12.3%, respectively. As of the December 2024 rent roll, the property reported an average in-place rental rate of $28.08 psf, which is above the submarket rent. The loan reported $8.6 million ($19.5 psf) in total reserves as of the May 2025 loan reserve report. Fitch's 'Bsf' case loss of 38.0% (prior to concentration add-ons) reflects a 10.5% cap rate and no additional stress to the December 2024 appraisal value. The third-largest contributor to overall loss expectations in CGCMT 2017-P8 is the 225 & 233 Park Avenue South loan which is secured by two interconnected office buildings that operate as a single property located in the Gramercy Park submarket of Manhattan. The loan transferred to special servicing in March 2024 for imminent monetary default. The loan matures in June 2027 and has remained current since issuance. Since the prior rating action, Facebook (39.4% of NRA; March 2024) and STV Incorporated (19.7% of NRA; May 2024) vacated, driving occupancy to 39.5% as of June 2024 compared to 99% per the October 2023 rent roll. Per the October 2023 rent roll, Facebook and STV accounted for 44% and 13% of the total annual base rent, respectively. Facebook was required to pay a lease termination payment; per the May 2025 remittance, there was $57.6 million in reserves: $42.5 million in tenant reserves for leasing and re-tenanting costs, $5.9 million in replacement reserves and $9.2 million in other reserves. Per media reports, the largest tenant, Buzzfeed (28.7% of NRA; May 2026) which vacated in 2022, subleases all its space to software company Monday.com. According to Q2 2025 CoStar data, comparable properties had 15% vacancy and 15% availability rates and market asking rent of $59.66 compared to 16.3%, 18.6%, and $60.43 at Fitch's prior rating action. The total submarket had 15.3% vacancy and 14.9% availability rates and market asking rent of $72.77 compared to 15.8%, 17.5%, and $72.30 at Fitch's prior rating action. Fitch's 'Bsf' rating case loss of 21.1% (prior to concentration add-ons) reflects a 9% cap rate, 50% stress to the YE 2022 NOI and factors an elevated probability of default to account for the deteriorating office sector outlook, tenant departures, rollover concerns and potential special servicing fees/expenses. The special servicer, borrower and mezzanine lender are reportedly working to document a loan modification based on terms approved by senior lender. The largest contributor to overall loss expectations in CGCMT 2017-C4 is the South Station loan, which is secured by a 200,775-sf office/retail property located in downtown Boston, MA and accommodates the primary Boston Amtrak hub. The largest tenants include Amtrak (25.9% of the NRA, with 14.4% through September 2028 and the remaining 9.6% on a month-to-month lease), the Commonwealth of Massachusetts (19.9%; June 2033) and CVS (14.4%; July 2034). Occupancy declined to about 76% in 2021 after Aegis Media (17%) vacated at their January 2021 lease expiration. Although expenses have declined since the prior review, they had been volatile and increasing since 2020. NOI at YE 2023 declined by 40.7% YoY, driven by the 23% overall increase in expenses. Repairs and maintenance increased by 128%, G&A was up 20%, real estate taxes increased 14%, and professional fees increased 82%. NOI at YE 2024 increased by 157% YoY, as revenue grew by $1.85 million and expenses dropped by $1.64 million. Given the decline in expenses in 2024, the servicer-reported NOI DSCR was 1.67x at YE 2024, up from 0.65x at YE 2023, compared to 1.10x at YE 2022, 1.19x at YE 2021, and 1.91x at YE 2020. Fitch's 'Bsf' case loss of 18.1% (prior to concentration add-ons) reflects an 8.5% cap rate, no additional stress to the YE 2024 NOI, and factors an elevated probability of default given the volatility in expenses. The largest increase in loss since the prior rating action and second-largest contributor to overall loss expectations in CGCMT 2017-C4 is the 50 Varick Street loan, secured by a 155,434-sf office property in the Tribeca neighborhood of Manhattan. 50 Varick Street is the official host of TriBeCa Film Festival, New York Fashion Week, and Independent Art Fair. The subject tenant mix consists of two office tenants, Spring Studios New York LLC (NRA 53%) and Spring Place New York (NRA 47%). Both tenants' leases are scheduled to expire in December 2029, two years beyond the loan's maturity in September 2027. Both leases are structured, with rent bumps in 2020, 2023 and 2026. The loan was structured with a 10-year ICAP Tax Abatement that expires in 2025. The original abatement amount was $600,000 in 2015 and began to burn off in 2020, with only $240,000 tax abatement amount remaining for the 2022-2023 tax year. According to the June 2024 loan commentary, Spring Place NY received a notice of event of default for being delinquent on approximately $5.1 million in base rent and common area maintenance, plus $493, 000 in additional charges owed to the landlord. Although an updated amount of outstanding rent has not been provided for 2025, the loan remains current. Due to the decrease in rental income and expense reimbursement, the servicer-reported NOI DSCR dropped to 0.85x at YE 2024 from 1.62x at YE 2023, 1.63x at YE 2022, 1.57x at YE 2021, and 1.80x at YE 2020. Fitch's 'Bsf' case loss of 17.1% (prior to concentration add-ons) reflects an 9% cap rate, no additional stress to the YE 2023 NOI. The third-largest contributor to overall loss expectations in CGCMT 2017-C4 is the Capital Centers II & III loan, secured by 10 buildings within an office park totaling 530,365-sf in Rancho Cordova, CA. Capital Center II is comprised of six buildings and Capital Center III is comprised of four buildings. Occupancy previously fell to 64.5% from 90% at issuance after Wells Fargo (formerly 10.1% of NRA), MCI Worldcom Verizon (7.6%), and Corelogic (5.3%) vacated upon their lease expirations between 2018 and 2019. As of the November 2024 rent roll, the portfolio was 78.4% occupied, compared to 81.8% in October 2023 and 85% in September 2021. The largest tenants at the property include Prime Therapeutics (10.4%; May 2026) and Blue Cross of California (10.2%; March 2029). There is 2.5% of the NRA rolling in 2025 and 24.1% in 2026. Fitch's 'Bsf' rating loss of 23.7% (prior to concentration add-ons) reflects a 10% cap rate), 20% stress to the annualized Q3 2024 NOI, and factors a higher probability of default to account for the heightened maturity default risk as the loan approaches maturity in 2026. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. - Downgrades to classes rated in the 'AAsf' and 'Asf' categories, which have Negative Outlooks, may occur if the performance of the FLOCs, which include office FLOCs Starwood Capital Group Hotel Portfolio, 225 & 233 Park Avenue South, Bank of America Plaza, and Grant Building in CGCMT 2017-P8, and South Station, Capital Center II & III, and 50 Varick in CGCMT 2017-C4, deteriorate further or more loans than expected default at or prior to maturity. - Downgrades to 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 to 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' 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, which include office FLOCs Starwood Capital Group Hotel Portfolio, 225 & 233 Park Avenue South, Bank of America Plaza, and Grant Building in CGCMT 2017-P8, and South Station, Capital Center II & III, and 50 Varick in CGCMT 2017-C4. - Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. - Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. - Upgrades to distressed ratings are not expected, but 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. CITIGROUP 2019-C7: Moody's Lowers Rating on Cl. 805A Certs to B3 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on three loan-specific ("rake") CMBS securities, issued by Citigroup Commercial Mortgage Trust 2019-C7, Commercial Mortgage Pass-Through Certificates, Series 2019-C7 as follows: Cl. 805A, Downgraded to B3 (sf); previously on Oct 31, 2023 Downgraded to B1 (sf) Cl. 805B, Downgraded to Caa3 (sf); previously on Oct 31, 2023 Downgraded to Caa1 (sf) Cl. 805C, Downgraded to C (sf); previously on Oct 31, 2023 Downgraded to Caa3 (sf) RATINGS RATIONALE The ratings on the three loan-specific classes were downgraded due to an increase in Moody's LTV ratio because of the continued decline in property performance and uncertainty around the timing and the extent of the property's occupancy and cash flow recovery. The loan-specific ("rake") certificates are collateralized by a $125 million B-note, which is a junior component of a $275 million, fixed rate mortgage loan secured by an office property in the East Side submarket of midtown Manhattan. The property's revenue, net cash flow (NCF) and occupancy have declined significantly since securitization causing the debt service coverage ratio (DSCR) to be below 1.00X since 2022 for the total mortgage loan based on an interest rate of 4.04%. The loan remains current on its debt service payments, however, the rating action reflects the continued declines in cash flow and occupancy in recent years. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and asset quality, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values that could impact loan proceeds at each rating level. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. DEAL PERFORMANCE The rake certificates are backed by a $125 million, non-pooled B-note, which is a junior portion of a $275 million, fixed-rate, 10-year mortgage loan collateralized by the fee simple interest in an office property at 805 Third Avenue in New York, New York. As of the June 17, 2025 distribution date, the whole loan's balance remains unchanged at $275 million from securitization and the loan matures in December 2029. The whole loan has a term of 10-year interest only term at a fixed rate of 4.04%, which is allocated such that the A-note has an interest rate of 4.24% and the B-note has an interest rate of 3.80%. The collateral under the mortgage loan is a 29-story office building located on the east side of Third Avenue between 49th and 50th Streets. The Cohen Brothers developed 805 Third Avenue in 1982 and have owned the property since. The property contains approximately 596,100 SF of net rentable area (NRA) consisting of: (i) 564,329 SF of office space (94.7% of NRA); (ii) 30,659 SF of retail space (5.1% of NRA); and (iii) 1,112 SF of storage and other space (0.2% of NRA). The property is located in Midtown Manhattan, eight blocks north of Grand Central and two blocks from the Lexington Avenue/51st Street subway station. The property's occupancy rate has deteriorated significantly since securitization and the property was 57% leased as of September 2024, compared to 69% in September 2022 and 92% at securitization. Furthermore, the largest tenant Meredith Corporation (212,594 SF, 35.7% of NRA; lease expiration in December 2026) subleases the majority of its space to several tenants. The lower occupancy has caused the property's June 2024 annualized NCF to decline to $4.5 million, which is 59% lower than the NCF in 2021 and 73% lower than in 2020. The NCF decline has caused the total mortgage DSCR to be below 1.00X since 2022. The East Side Manhattan office submarket vacancies have also increased since securitization. According to CBRE, the property's East Side submarket in Manhattan had a vacancy rate of 15.8% in 2024, compared to a vacancy rate of 8.1% in 2019. The mortgage loan balance of $275.0 million represents a Moody's LTV of 205.0% based on Moody's Value compared to 189.4% at Moody's last review and an Adjusted Moody's LTV of 194.6% based on Moody's Value using a cap rate adjusted for the current interest rate environment, compared to 167.9% at Moody's last review. COLUMBIA CENT 35: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Columbia Cent CLO 35 Limited. Entity/Debt Rating ----------- ------ Columbia Cent CLO 35 Limited A-1 LT AAAsf New Rating A-J LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1A LT BBBsf New Rating D-1F LT BBBsf New Rating D-JA LT BBB-sf New Rating D-JF LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Columbia Cent CLO 35 Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Columbia Cent CLO Advisers, 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 22.8, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.25% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.82% and will be managed to a WARR 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 that of other recent CLOs. Portfolio Management: The transaction has a 3.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between '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 'BB-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 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 '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 Columbia Cent CLO 35 Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. COMM MORTGAGE 2010-C1: Moody's Lowers Rating on 2 Tranches to Ca ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on five classes in COMM 2010-C1 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2010-C1 as follows: Cl. D, Downgraded to B1 (sf); previously on Dec 5, 2023 Downgraded to Ba1 (sf) Cl. E, Downgraded to Caa2 (sf); previously on Dec 5, 2023 Downgraded to B2 (sf) Cl. F, Downgraded to Ca (sf); previously on Dec 5, 2023 Downgraded to Caa2 (sf) Cl. G, Downgraded to C (sf); previously on Dec 5, 2023 Downgraded to Caa3 (sf) Cl. XW-B*, Downgraded to Ca (sf); previously on Dec 5, 2023 Downgraded to Caa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the P&I classes were downgraded primarily due to an increase in Moody's loan-to-value (LTV) ratio as a result of a decline in performance, and increased refinance risk as the only remaining loan approaches its extended maturity date in October 2026. The sole remaining loan, Fashion Outlets of Niagara Falls (100% of the pool) remains current on its debt service payments, however, cash flow and occupancy has continued to decline since 2023 and the most recent reported DSCR as of March 2025 was below 1.00X. The loan previously failed to pay off at both its original maturity date and its first extended maturity date in October 2023. The loan has previously been in special servicing but most recently returned to the master servicer in March 2024 after being granted an additional extension to October 2026. Given the current interest rate environment and the property's cash flow trends, Moody's anticipates the loan may be at heightened risk of default and the outstanding classes may be at increased risk of interest shortfalls and potential for higher expected losses if the loan performance continues to decline, and the loan becomes delinquent. The rating on the IO class was downgraded based on a decline in the credit quality of its referenced classes. Cl. XW-B references all outstanding P&I classes, including Cl. H, which is not rated by us. The social risk for this transaction is higher (IPS S-4) and the transaction's Credit Impact Score is CIS-4. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking views of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the June 12, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 90.7% to $79.9 million from $856.6 million at securitization. The certificates are collateralized by one mortgage loan, the Fashion Outlets of Niagara Falls Loan ($79.9 million – 100% of the pool), which is secured by an enclosed fashion outlet center located in Niagara, New York, approximately five miles east of Niagara Falls and the Canadian border. The loan sponsor is Macerich, which purchased the property in 2011 for $200 million and assumed the loan. As of March 2025, the property was 65% leased, compared to 78% in June 2023, 81% in June 2021 and 92% in March 2020. Property performance has deteriorated, and net operating income has declined by 52% from 2018 to 2024, driven primarily by a significant decline in occupancy and revenue. However, the loan has amortized or paid down 34.7% from securitization. The center benefitted from its proximity to the Canadian border and Canadian visitors account for a significant portion of demand. The property was impacted significantly by the coronavirus pandemic and the resulting US-Canadian border closure to non-essential traffic. The loan transferred to special servicing in July 2020 for imminent maturity default, failed to pay off at its maturity date, and received a three-year loan extension through October 2023. Additional collateral was pledged by Macerich as part of the three-year loan extension. The loan failed to pay off at the extended maturity date in October 2023 and was extended again in March 2024 with a final maturity in October 2026 and returned to the master servicer in July 2024. Moody's LTV ratio on the mortgage balance is 213.6% compared to 143.1% at Moody's last review. Moody's stressed DSCR on the mortgage balance is 0.86X, compared to 1.13X at Moody's review. COOPR RESIDENTIAL 2025-CES2: Fitch Assigns 'Bsf' Rating on B-2 Debt ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to COOPR Residential Mortgage Trust 2025-CES2. Entity/Debt Rating Prior ----------- ------ ----- COOPR 2025-CES2 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-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf 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. CQS US 2025-4: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CQS US CLO 2025-4, Ltd. Entity/Debt Rating ----------- ------ CQS US CLO 2025-4, Ltd. A-1 Loan LT AAAsf New Rating A-1 Notes 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-2F LT BBB-sf New Rating D-2J LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary CQS US CLO 2025-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CQS (US), 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 22.93, versus a maximum covenant, in accordance with the initial expected matrix point of 23.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.98% versus a minimum covenant, in accordance with the initial expected matrix point of 66.65%. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 3.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. 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 'AA+sf' for class A-1, between 'A-sf' and 'AA+sf' for class A-J, between 'BBB-sf' and 'A+sf' for class B, between 'BBsf' and 'BBB+sf' for class C, between 'B-sf' and 'BBB-sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, and 'BBB+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. ESG Considerations Fitch does not provide ESG relevance scores for CQS US CLO 2025-4, 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. DAVIS SQUARE V: Moody's Ups Rating on $1.74MM A-1-a Notes to Caa3 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on notes issued by Davis Square Funding V, Ltd.: Up to US$1,740,000,000 Class A-1-a Floating Rate Notes due 2040 (current outstanding balance of $583,584,245.61), Upgraded to Caa3 (sf); previously on March 10, 2010 Downgraded to Ca (sf) Davis Square Funding V, Ltd., issued in September 2005, is a collateralized debt obligation backed primarily by a portfolio of structured finance assets. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating action reflects the current level of credit enhancement available to the notes, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation. The notes have either incurred a missed interest payment or is currently undercollateralized. Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original notes balance. No actions were taken on the other rated classes in the deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Structured Finance CDOs" published in June 2025. Factors that would lead to an upgrade or downgrade of the rating: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. Certain deal features and their characteristics, such as amortization profile assumptions, and waterfall features can also influence the rating outcomes. DRYDEN CLO 77: S&P Affirms B- (sf) Rating on Class F-R Notes ------------------------------------------------------------ S&P Global Ratings took various rating actions on 12 classes of notes from Dryden 75 CLO Ltd. and Dryden 77 CLO Ltd., both U.S. broadly syndicated CLO transactions managed by PGIM. Two of the junior ratings from the transactions were placed on CreditWatch with negative implications on May 1, 2025, due to a combination of a drop in the CLOs' overcollateralization (O/C) ratios and weakened cash flow results. In the rating action, S&P lowered both ratings and removed them from CreditWatch negative. In addition, S&P affirmed the remaining 10 ratings. S&P said, "Both CLOs are in their reinvestment period. The rating actions follow our review of each transaction's performance using data from the April 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 rating list highlights the key performance metrics behind the specific rating actions. "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 incorporates 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 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 actions 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." Rating List Rating Issuer Class To From Dryden 75 CLO Ltd. A-R2 AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. Dryden 75 CLO Ltd. B-R2 AA (sf) AA (sf) Main rationale: Passing cash flows. Although S&P's base-case analysis indicated a higher rating, its decision reflects its consideration that the CLO is still reinvesting and hence its portfolio is subject to changes and volatility. Dryden 75 CLO Ltd. C-R2 A (sf) A (sf) Main rationale: Passing cash flows. Although S&P's base-case analysis indicated a higher rating, its decision reflects its consideration that the CLO is still reinvesting and hence its portfolio is subject to changes and volatility. Dryden 75 CLO Ltd. D-R2 BBB- (sf) BBB- (sf) Main rationale: Cash flow passes at the current rating level. Dryden 75 CLO Ltd. E-R2 B (sf) BB- (sf)/Watch Neg Main rationale: Failing cash flows at previous rating. Though cash flows pointed to a lower rating, S&P's action considers the tranche's credit enhancement at the current rating category and the portfolio's low exposure to 'CCC'/'CCC-' rated assets. Dryden 77 CLO Ltd. X-R AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. Dryden 77 CLO Ltd. A-R AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. Dryden 77 CLO Ltd. B-R AA (sf) AA (sf) Main rationale: Passing cash flows. Although S&P's base-case analysis indicated a higher rating, its decision reflects its consideration that the CLO is still reinvesting and hence its portfolio is subject to changes and volatility. Dryden 77 CLO Ltd. C-R A (sf) A (sf) Main rationale: Passing cash flows. Although our base-case analysis indicated a higher rating, our decision reflects our consideration that the CLO is still reinvesting and hence its portfolio is subject to changes and volatility. Dryden 77 CLO Ltd. D-R BBB- (sf) BBB- (sf) Main rationale: Though cash flows indicate a one-notch downgrade, S&P's decision considered that its current credit enhancement is in line with the averages, passing coverage tests, and the portfolio's relatively low exposure to 'CCC'/'CCC-' assets. Dryden 77 CLO Ltd. E-R B+ (sf) BB- (sf)/Watch Neg Main rationale: Failing cash flows at previous rating. Though cash flows pointed to a lower rating, S&P's action considers the tranche's credit enhancement at the current rating category, and the portfolio's low exposure to 'CCC'/'CCC-' rated assets. Dryden 77 CLO Ltd. F-R B- (sf) B- (sf) Main rationale: Reflects S&P's consideration of its 'CCC' criteria/definitions. Though cash flows indicate a lower rating, based on the tranche's current credit support and the portfolio's relatively low exposure to 'CCC'/'CCC-' assets, S&P believes that the tranche does not currently require favorable conditions to repay and hence does not yet meet its 'CCC' category definition. DT AUTO 2023-2: S&P Affirms BB (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings raised its ratings on eighteen classes of notes and affirmed its ratings on nineteen classes of notes from eight DT Auto Owner Trust (DTAOT) and three Bridgecrest Lending Auto Securitization Trust (BLAST) transactions. These are ABS transactions backed by subprime retail auto loan receivables originated primarily by DriveTime Car Sales Co. LLC and serviced by Bridgecrest Acceptance Corp. The rating actions reflect: -- Each transaction's collateral performance to date and S&P's expectation regarding their future collateral performance; -- S&P's revised cumulative net loss (CNL) expectations for each transaction and each transaction's structure and credit enhancement levels; and -- Other credit factors such as credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including S&P's forward-looking view of the U.S. auto finance sector and its most recent macroeconomic outlook, which incorporates a baseline forecast for U.S. GDP and unemployment. Considering all these factors, S&P believes the creditworthiness of each class of notes is consistent with the raised and affirmed ratings. Since out last review in June 2024, losses for the DTAOT 2021-2, 2021-3, and 2021-4 series have remained elevated as the series' pools have aged. The DTAOT 2022-1, 2022-2, 2022-3, 2023-1, and 2023-2 series are performing worse than our previously revised CNL expectations. S&P said, "Similarly, performances of the BLAST 2024-1 and 2024-2 series, which were not included in the previous review, are trending worse than our initial expectation. Given these series' relative weaker performances and prevailing adverse economic headwinds, we revised and raised our expected CNLs for all series except BLAST 2024-3, for which our loss expectation is unchanged." Table 1 Collateral performance (%)(i) Pool 60+ day Current Current Current Series Mo. factor delinq. CGL CRR CNL DTAOT 2021-2 50 12.05 24.25 39.73 45.06 21.83 DTAOT 2021-3 46 16.35 19.90 36.84 41.05 21.72 DTAOT 2021-4 43 19.28 17.22 35.83 36.84 22.63 DTAOT 2022-1 39 21.25 17.09 41.32 34.41 27.10 DTAOT 2022-2 37 23.85 17.13 42.72 33.29 28.50 DTAOT 2022-3 31 32.18 13.42 36.01 30.25 25.12 DTAOT 2023-1 29 37.55 13.41 34.59 30.39 24.08 DTAOT 2023-2 26 43.02 13.92 33.11 33.82 21.91 BLAST 2024-1 17 62.04 11.91 20.87 33.26 13.93 BLAST 2024-2 14 70.13 9.07 15.40 34.89 10.03 BLAST 2024-3 11 74.76 6.67 10.48 32.06 7.12 (i)As of the June 2025 distribution date. Mo.--Month. Delinq.--Delinquencies. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. DTAOT--DT Auto Owner Trust. BLAST--Bridgecrest Lending Auto Securitization Trust. Table 2 CNL expectations (%) Original Previous Revised lifetime lifetime lifetime Series CNL exp. CNL exp.(i) CNL exp. DTAOT 2021-2 28.25 22.00 22.75 DTAOT 2021-3 26.50 23.00 23.75 DTAOT 2021-4 25.75 24.50 25.50 DTAOT 2022-1 24.75 28.00 31.00 DTAOT 2022-2 25.25 29.00 33.00 DTAOT 2022-3 24.75 28.00 32.50 DTAOT 2023-1 25.25 28.00 33.00 DTAOT 2023-2 25.50 28.00 33.00 BLAST 2024-1 25.50 N/A 28.00 BLAST 2024-2 25.50 N/A 27.50 BLAST 2024-3 25.50 N/A 25.50 (i)Revised in June 2024. CNL exp.--Cumulative net loss expectations. DTAOT--DT Auto Owner Trust. BLAST--Bridgecrest Lending Auto Securitization Trust. N/A–-Not applicable. 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 consisting of a non-amortizing reserve account, overcollateralization, subordination for the more senior classes, and excess spread. As of the June 2025 distribution date, all the transactions are at their specified target overcollateralization level except for DTAOT 2021-2, 2021-3, 2021-4, and 2022-1. Each transaction is at its reserve level. The affirmed and raised ratings reflect S&P's view that the total credit support as a percentage of the current pool balance, as of the collection period of May 2025, compared with its current 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) DTAOT 2021-2 D 21.20 93.60 DTAOT 2021-2 E 14.50 38.01 DTAOT 2021-3 D 14.00 45.08 DTAOT 2021-3 E 11.10 27.35 DTAOT 2021-4 D 13.80 44.60 DTAOT 2021-4 E 9.80 23.85 DTAOT 2022-1 D 15.90 53.43 DTAOT 2022-1 E 9.10 21.43 DTAOT 2022-2 C 32.14 96.91 DTAOT 2022-2 D 19.17 42.53 DTAOT 2022-2 E 15.18 25.79 DTAOT 2022-3 C 35.75 83.38 DTAOT 2022-3 D 22.00 40.65 DTAOT 2022-3 E 17.50 26.66 DTAOT 2023-1 C 35.00 73.43 DTAOT 2023-1 D 24.50 45.47 DTAOT 2023-1 E 17.75 27.49 DTAOT 2023-2 B 44.85 93.77 DTAOT 2023-2 C 33.80 68.08 DTAOT 2023-2 D 18.75 33.10 DTAOT 2023-2 E 14.10 22.29 BLAST 2024-1 A-3 58.00 89.31 BLAST 2024-1 B 48.70 74.32 BLAST 2024-1 C 35.90 53.68 BLAST 2024-1 D 22.50 32.08 BLAST 2024-1 E 17.00 23.22 BLAST 2024-2 A-3 55.85 77.75 BLAST 2024-2 B 47.90 66.42 BLAST 2024-2 C 35.00 48.02 BLAST 2024-2 D 22.10 29.62 BLAST 2024-2 E 16.50 21.64 BLAST 2024-3 A-2 59.50 79.53 BLAST 2024-3 A-3 59.50 79.53 BLAST 2024-3 B 51.50 68.83 BLAST 2024-3 C 39.00 52.10 BLAST 2024-3 D 23.50 31.37 BLAST 2024-3 E 16.50 22.01 (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. DTAOT--DT Auto Owner Trust. BLAST--Bridgecrest Lending Auto Securitization Trust. 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 the transaction's performance to date and our current economic outlook. "In addition to our break-even cash flow analysis, we also conducted sensitivity analyses for the series to determine the impact a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised base-case loss expectations. "In our view, the results, which are based on our analysis as of the collection period ended May 2025 (the June 2025 distribution date), demonstrated that all of the classes have adequate credit enhancement at their respective raised and affirmed rating levels. We will continue to monitor the performance of all outstanding ratings 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 DT Auto Owner Trust Rating Series Class To From 2021-2 E AAA (sf) BBB+ (sf) 2021-3 D AAA (sf) BBB+ (sf) 2021-3 E A (sf) BBB- (sf) 2021-4 D AA+ (sf) BBB+ (sf) 2021-4 E BBB+(sf) BB+ (sf) 2022-1 D AA+ (sf) A- (sf) 2022-1 E BB+ (sf) BB (sf) 2022-2 D A+ (sf) BBB+ (sf) 2022-3 C AAA (sf) AA+ (sf) 2022-3 D A (sf) BBB+ (sf) 2022-3 E BB+ (sf) BB (sf) 2023-1 C AAA (sf) AA- (sf) 2023-1 D A+ (sf) BBB+ (sf) 2023-2 C AAA (sf) AA- (sf) Bridgecrest Lending Auto Securitization Trust Rating Series Class To From 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 DT Auto Owner Trust Series Class Rating 2021-2 D AAA (sf) 2022-2 C AAA (sf) 2022-2 E BBB (sf) 2023-1 E BBB-(sf) 2023-2 B AAA (sf) 2023-2 D BBB (sf) 2023-2 E BB (sf) Bridgecrest Lending Auto Securitization Trust Series Class Rating 2024-1 A-3 AAA (sf) 2024-1 D BBB (sf) 2024-1 E BB (sf) 2024-2 A-3 AAA (sf) 2024-2 D BBB (sf) 2024-2 E BB (sf) 2024-3 A-2 AAA (sf) 2024-3 A-3 AAA (sf) 2024-3 B AA+ (sf) 2024-3 C A+ (sf) 2024-3 D BBB (sf) 2024-3 E BB (sf) FIGRE TRUST 2025-HE4: S&P Assigns Prelim B- (sf) Rating on F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to FIGRE Trust 2025-HE4's mortgage-backed notes. The transaction is an RMBS securitization backed by first- and subordinate-lien, simple interest, fixed-rate, fully amortizing residential mortgage loans that are open ended home equity lines of credit (HELOCs). The loans are secured by single-family residences, two- to four-family residential properties, condominiums, and townhouses. The pool is composed of 3,868 initial HELOCs plus 377 subsequent draws (4,245 HELOC mortgage loans), which are ability to repay-exempt. The preliminary ratings are based on information as of June 26, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage originator, Figure Lending LLC; -- Sample due diligence results consistent with represented loan characteristics; and -- S&P 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. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned FIGRE Trust 2025-HE4(i) Class A, $202,644,000: AAA (sf) Class B, $19,435,000: AA- (sf) Class C, $35,407,000: A- (sf) Class D, $16,121,000: BBB- (sf) Class E, $13,409,000: BB- (sf) Class F, $9,040,000: B- (sf) Class G, $5,273,483: Not rated Class XS, notional(ii): Not rated Class FR(iii): Not rated Class R, not applicable: Not rated (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The class XS notes will have a notional amount equal to the aggregate principal balance of the mortgage loans and any real estate owned properties as of the first day of the related collection period. (iii)The initial class FR certificate balance is zero. In certain circumstances, class FR is obligated to remit funds to the reserve account to reimburse the servicer for funding subsequent draws in the event there is insufficient available funds or amounts on deposit in the reserve account. Any amounts remitted by the class FR certificates will be added to and increase the balance of the class FR certificates. GARNET CLO 2025-1: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Garnet CLO 2025-1 Ltd./Garnet CLO 2025-1 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Garnet Credit Management LLC, an independent portfolio company focusing on credit solutions in the BSL CLO space that is majority owned by Elliott Investment Management L.P. The 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 Garnet CLO 2025-1 Ltd./Garnet CLO 2025-1 LLC Class A, $153.75 million: AAA (sf) Class A-L, $160.00 million: AAA (sf) Class B, $66.25 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $17.00 million: BB- (sf) Subordinated notes, $47.54 million: NR NR--Not rated. GFH 2025-IND: Fitch Assigns 'B-sf' Rating on Class HRR Certificates ------------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Ratings Outlooks to GFH 2025-IND Mortgage Trust commercial pass-through certificates, series 2025-IND: - $129,100,000 class A 'AAAsf'; Outlook Stable; - $15,200,000 class B 'AA-sf'; Outlook Stable; - $16,300,000 class C 'A-sf'; Outlook Stable; - $23,000,000 class D 'BBB-sf'; Outlook Stable; - $35,300,000 class E 'BB-sf'; Outlook Stable; - $18,600,000 class F 'Bsf'; Outlook Stable; - $12,500,000(a) class HRR 'B-sf'; Outlook Stable. (a) Class HRR represents a non-offered horizontal risk retention interest totaling approximately 5.0% of the fair value of the offered certificates. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $250 million, three-year, fixed-rate, interest-only (IO) mortgage loan. The mortgage is secured by a first mortgage lien against the borrower's fee simple interests in a portfolio of seven industrial properties comprising approximately 2.3 million sf located across seven states and seven distinct markets. The properties were acquired by affiliates of GFH Financial Group BSC and Scannell Properties between 2022 and 2023 for an estimated cost of approximately $372.6 million. Mortgage loan proceeds are being used to refinance approximately $234.3 million of existing debt, pay a total of $6.0 million in closing costs, and return approximately $9.7 million in equity to the sponsors. The loan is being originated by Barclays Capital Real Estate Inc., which will act as the mortgage loan seller. Berkadia Commercial Mortgage LLC will serve as the master servicer with Torchlight Loan Services, LLC as special servicer. Computershare Trust Company, National Association will act as both the trustee and certificate administrator. Park Bridge Lender Services LLC will act as operating advisor. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio is estimated at $16.7 million. This is 7.4% lower than the issuer's NCF and 8.5% lower than the YE24 NCF. Fitch applied a 7.50% cap rate to derive a Fitch value of $222.3 million. High Fitch Leverage: The $250.0 million trust loan equates to debt of $108.89 psf with a Fitch debt service coverage ratio (DSCR) of 0.79x, loan-to-value ratio (LTV) of 112.3% and debt yield of 6.7%. The loan represents about 70.8% of the appraiser concluded portfolio value of $353.0 million and 72.2% of the aggregate as-is appraised value of the individual properties of $346.5 million. The Fitch market LTV at 'B-sf' (the lowest Fitch-rated non-investment-grade tranche) is 93.6%. The Fitch market LTV is based on a blend of the Fitch cap rate and the market cap rate of 5.25%. Long-Term Creditworthy Tenancy: Of the portfolio, 100.0% of the net rentable area (NRA) is leased by creditworthy tenants and tenants with creditworthy parent entities. The two creditworthy tenants are FedEx Ground (85.9% of NRA) and General Mills (14.1% of NRA). The weighted average remaining lease term of the portfolio is 11.1 years, with no early termination or contraction options. Geographic Diversity: The portfolio exhibits geographic diversity with seven industrial logistics facilities (2.3 million sf) located across seven states and markets. The three largest MSAs in the portfolio by ALA are Cedar Rapids, IA (24.8% of ALA), Sioux Falls, SD (16.6% of ALA), and Columbia, SC (14.6% of ALA). The effective MSA count for the portfolio is 6.2. Institutional Sponsorship: The sponsorship for this transaction will be a joint venture between GFH Financial Group BSC (98.0% ownership interest) and Scannell Properties (2.0%). GFH Financial Group BSC is a diversified financial group that was founded in 1999 and is headquartered in Bahrain's Financial Harbor. According to its 2024 annual report, GFH Financial Group BSC has extensive experience and a significant portfolio within the commercial real estate industry, including approximately $6.5 billion worth of assets across the U.S., the Gulf Cooperation Council, and the U.K. Scannell Properties is a privately owned real estate development and investment company, focusing on build-to-suit and speculative projects throughout the U.S., Canada and Europe. Scannell Properties developed this portfolio in 2022. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf'/'B-sf'; - 10% NCF Decline: 'AA-sf'/'A-sf'/'BBB-f'/'BBsf'/'Bsf'/'CCC+sf'/'CCC-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'BBBsf'/'BBsf'/'BB-sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GOLDENTREE LOAN 26: Fitch Assigns 'B-(EXP)sf' Rating on Cl. F Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to GoldenTree Loan Management US CLO 26, Ltd. Entity/Debt Rating ----------- ------ GoldenTree Loan Management US CLO 26, Ltd. X LT NR(EXP)sf Expected Rating A LT AAA(EXP)sf Expected Rating A-J LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating D-J LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating F LT B-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary GoldenTree Loan Management US CLO 26, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLM III, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 24.17, 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 73.08% 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 that of other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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, between 'BBB+sf' and 'AA+sf' for class A-J, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, between less than 'B-sf' and 'BB+sf' for class D-J, and between less than 'B-sf' and 'BB-sf' for class E and between less than 'B-sf' and 'B+sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A 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, 'Asf' for class D, 'A-sf' for class D-J, and 'BBB+sf' for class E and 'BB+sf' for class F. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 GoldenTree Loan Management US CLO 26, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. GS MORTGAGE 2025-NQM2: Fitch Assigns 'Bsf' Rating on Cl. B-2 Certs ------------------------------------------------------------------ Fitch Ratings rates the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2025-NQM2 (GSMBS 2025-NQM2 Trust) as follows: Entity/Debt Rating Prior ----------- ------ ----- GS Mortgage-Backed Securities Trust 2025-NQM2 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf RISKRETEN LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 719 nonprime loans originated by various entities and have a total balance of approximately $401 million as of the cutoff date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch sees home price values for this pool as 9.8% above a long-term sustainable level (versus 11% on a national level as of 4Q24). Affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices had increased by 2.9% yoy nationally as of February 2025, notwithstanding modest regional declines, but are still being supported by limited inventory. Nonqualified Mortgage Credit Quality (Mixed): The collateral consists of 719 loans totaling approximately $401 million and seasoned at about 10 months in aggregate, as calculated by Fitch (seven months, per the transaction documents). The borrowers have a moderate credit profile with a 752 model FICO, a 39.5% debt-to-income ratio (DTI) accounting for Fitch's approach of mapping debt service coverage ratio (DSCR) loans to DTI, and moderate leverage with a 71.6% sustainable loan-to-value ratio (sLTV). Of the pool, 62.6% of the loans are backed by owner-occupied properties, while 27.3% are backed by investor properties or second homes, including loans to foreign nationals or loans with a non-confirmed residency status. In addition, 24.9% of the loans were originated through a retail channel. Of the loans, 71.9% are nonqualified mortgages (non-QMs), 27.9% are ATR/QM: Exempt, and 0.5% are safe-harbor QM (SHQM). Loan Documentation (Negative): Approximately 76.8% of the pool loans were underwritten to less than full documentation, as determined by Fitch, and 54.0% were underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) ability-to-repay (ATR) rule, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigors of the ATR mandates regarding underwriting and documentation of a borrower's ATR. In addition, 14.8% of the loans are a DSCR product, 6.7% is an Asset Depletion product, and 0.8% is a CPA or PnL product. Separately, 0.3% of the loans by principal balance were originated to foreign nationals. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. The servicers will advance delinquent monthly payments of principal and interest (P&I) for only the initial 90 days. As P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities are less for this transaction than for those where the servicer is obligated to advance P&I. The downside to this is the additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. The structure has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bp increase to the fixed coupon or the net weighted average coupon (WAC) rate. Fitch expects the senior classes to be capped by the net WAC. In addition, at issuance, the unrated class B-3 interest allocation goes toward the senior cap carryover amount for as long as the senior classes are outstanding. This increases the P&I allocation for the senior classes as long as the B-3 is not written down. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.4% at 'AAA'. The analysis indicates that there is some potential for rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by situsAMC, Consolidated Analytics, Opus, and Selene. The third-party due diligence described in Form 15E focused on a credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - A 5% probability of default credit was applied at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 36 bps as a result of the diligence review. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2025-NQM2: S&P Assigns 'BB' Rating on B-2 Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to GS Mortgage-Backed Securities Trust 2025-NQM2's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, co-operatives, and a condotel. The pool consists of 719 loans, which are QM safe harbor (APOR), QM rebuttable presumption (APOR), non-QM/ATR-compliant, and ATR-exempt loans. The 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 reviewed originators; and -- S&P's economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Subsequent to the assignment of preliminary ratings on June 16, 2025, the issuer updated the transaction documents to provide up to three months of principal and interest (P&I) advancing by the servicer on delinquent loans, with the securities administrator as back-up advance provider. In addition, the issuer updated the basis of the collateral balance to reflect scheduled balances instead of actual balances, as of a June 1, 2025 cutoff date. S&P said, "We reanalyzed the transaction, which resulted in higher loss coverage at each rating level. Although the transaction documents provide for up to three months of P&I advances, as we do for non-QM transactions with similar structures, we assumed that no P&I advances were being made in our cash flow projections for defaulted loans. This assumption results in no projected monthly cash flows on defaulted loans that have not yet been liquidated (we assume a 24-month lag between default and liquidation). Our cash flow projections consider this additional liquidity stress, the transaction's ability to make monthly interest payments, and, if necessary, deferred interest payments with interest thereon (interest carryforward amounts) by the final maturity date on the rated classes. This resulted in an assigned rating of 'AA (sf)' to class A-2, down from the assigned preliminary rating of 'AA+ (sf)'. The ratings on the remaining classes remained the same as their preliminary ratings." Loss estimates (%) Updated Previous 'AAA' loss coverage 14.25 13.75 'AAA' foreclosure frequency 27.05 27.07 'AAA' loss severity 52.68 50.79 'AA' loss coverage 10.95 10.50 'AA' foreclosure frequency 23.19 23.21 'AA' loss severity 47.17 45.24 'BBB' loss coverage 4.10 3.90 'BBB' foreclosure frequency 12.83 12.84 'BBB' loss severity 31.96 30.37 'B' loss coverage 0.90 0.85 'B' foreclosure frequency 3.98 3.98 'B' loss severity 22.61 21.36 Ratings Assigned GS Mortgage Backed Securities Trust 2025-NQM2 Class Balance ($) Rating A-1 304,818,000 AAA (sf) A-2 17,527,000 AA (sf) A-3 22,671,000 A+ (sf) M-1 11,621,000 BBB+ (sf) B-1 6,287,000 BBB (sf) B-2 6,286,000 BB (sf) B-3 11,812,639 NR X (i) NR SA 94,876(ii) NR R (iii) NR (i)The notional amount will equal the non-retained interest percentage of the aggregate stated principal balance of the mortgage loans as of the first day of the related due period (after giving effect to certain principal prepayments in the period ending in that due period), which initially is $381,022,639. (ii)Balance equal to the non-retained interest percentage of the amount of pre-existing servicing advances as of the closing date, which initially is $94,876. (iii)REMIC residual. NR--Not rated. GS MORTGAGE 2025-PJ6: Moody's Assigns B1 Rating to Cl. B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 60 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust 2025-PJ6, and sponsored by Goldman Sachs Mortgage Company (GSMC). The securities are backed by a pool of prime jumbo (88.3% by balance) and GSE-eligible (11.7% by balance) residential mortgages aggregated by GSMC, including loans aggregated by MAXEX Clearing LLC (MAXEX; 9.3% by loan balance) and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2025-PJ6 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aaa (sf) Cl. A-X-15*, Definitive Rating Assigned Aaa (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa2 (sf) Cl. B-1A, Definitive Rating Assigned Aa2 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa2 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2A, Definitive Rating Assigned A2 (sf) Cl. B-X-2*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) Cl. B-5, Definitive Rating Assigned B1 (sf) * Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1L Loans, Class A-2L Loans and Class A-3L Loans, assigned on June 13, 2025, because the issuer will not be issuing these classes. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.27%, in a baseline scenario-median is 0.11% and reaches 4.05% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. GS MORTGAGE 2025-RPL3: Fitch Gives 'Bsf' Rating on Class B-2 Certs ------------------------------------------------------------------ Fitch Ratings rates the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2025-RPL3 (GSMBS 2025-RPL3) as follows: Entity/Debt Rating Prior ----------- ------ ----- GS Mortgage-Backed Securities Trust 2025-RPL3 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT AAsf New Rating AA(EXP)sf A-4 LT Asf New Rating A(EXP)sf A-5 LT BBBsf New Rating BBB(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf 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 principal and interest (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. HALSEYPOINT CLO 7: Moody's Assigns B3 Rating to $250,000 F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes issued by HalseyPoint CLO 7, Ltd. (the Issuer): US$258,000,000 Class A-1R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$250,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. 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 91.5% of the portfolio must consist of first lien senior secured loans and up to 8.5% of the portfolio may consist of second lien loans, unsecured loans, and permitted non-loan assets. HalseyPoint Asset Management, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and the other six 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: $430,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3022 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. HERTZ VEHICLE III: Moody's Gives Ba2 Rating to 2025-3 Class D Debt ------------------------------------------------------------------ Moody's Ratings (has assigned definitive ratings to the series 2025-3 and series 2025-4 rental car asset-backed notes issued by Hertz Vehicle Financing III LLC (HVF III, or the issuer), which is Hertz's rental car ABS master trust facility. The series 2025-3 notes and the series 2025-4 notes have an expected final payment date in three and five years, respectively. HVF III is a Delaware limited liability company, a bankruptcy-remote special purpose entity, and a direct subsidiary of The Hertz Corporation (Hertz, B2 negative). The collateral backing the notes consists of a fleet of vehicles and a single operating lease of the fleet to Hertz for use in its rental car business, as well as certain manufacturer and incentive rebate receivables owed to the issuer by the original equipment manufacturers (OEMs). Moody's also announced that the issuance of the series 2025-3 and 2025-4 notes, in and of itself and at this time, will not result in a reduction, withdrawal, or placement under review for downgrade of any of the ratings currently assigned to the outstanding series of notes issued by the issuer. The complete rating actions are as follows: Issuer: Hertz Vehicle Financing III LLC Series 2025-3 Rental Car Asset Backed Notes, Class A, Definitive Rating Assigned Aaa (sf) Series 2025-3 Rental Car Asset Backed Notes, Class B, Definitive Rating Assigned A1 (sf) Series 2025-3 Rental Car Asset Backed Notes, Class C, Definitive Rating Assigned Baa3 (sf) Series 2025-3 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba2 (sf) Series 2025-4 Rental Car Asset Backed Notes, Class A, Definitive Rating Assigned Aaa (sf) Series 2025-4 Rental Car Asset Backed Notes, Class B, Definitive Rating Assigned A1 (sf) Series 2025-4 Rental Car Asset Backed Notes, Class C, Definitive Rating Assigned Baa3 (sf) Series 2025-4 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The definitive ratings of the notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which The Hertz Corporation (Hertz) uses to operate its rental car business, (2) the credit quality of Hertz, which has a corporate family rating of B2 with a negative outlook, as the primary lessee and guarantor under the single operating lease, (3) the experience and expertise of Hertz as sponsor and administrator, (4) consideration of the rental car market conditions, (5) the available credit enhancement, which consists of subordination and over-collateralization, (6) the required minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure, including standard bankruptcy remoteness and security interest provisions. In addition, the assumptions Moody's applied in the analysis of this transaction are the same as those applied in the analysis of the series 2025-1 and series 2025-2. The required credit enhancement for the series 2025-3 and series 2025-4 notes will be a blended rate, which is a function of Moody's ratings on the vehicle manufacturers and defined asset categories. The actual required amount of credit enhancement will fluctuate based on the mix of vehicles in the securitized fleet. Consistent with prior transactions, the series will be subject to a credit enhancement floor of 11.05% in the form of over-collateralization, regardless of fleet composition. The series 2025-3 and 2025-4 class A, B, and C notes will also benefit from subordination of 31.5%, 21.5%, and 8.0% of the outstanding balance of each series, respectively. The minimum liquidity enhancement amount will be around 3.75% of the outstanding note balance for the series 2025-3 notes and 4.00% for the series 2025-4 notes, sized to cover six months of interest plus 50 basis points. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2025-3 and 2025-4 subordinated notes if (1) the credit quality of the lessee improves, (2) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to improve, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers, or (3) the residual values of the non-program vehicles collateralizing the transaction were to increase materially relative to Moody's expectations. Down Moody's could downgrade the ratings of the series 2025-3 and 2025-4 notes if (1) the credit quality of the lessee deteriorates or a corporate liquidation of the lessee were to occur and introduce operational complexity in the liquidation of the fleet or other risks, (2) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers, or (3) reduced demand for used vehicles results in lower sales volumes and sharp declines in used vehicle prices above Moody's assumed depreciation. HILDENE TRUPS 3: Moody's Assigns Ba3 Rating to $24.7MM D-RR Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to six classes of CDO refinancing notes (the Refinancing Notes) issued by Hildene TruPS Securitization 3, Ltd. (the Issuer): US$176,425,000 Class A1-RR Senior Secured Floating Rate Notes due 2040, Definitive Rating Assigned Aaa (sf) US$30,000,000 Class A2-FR Senior Secured Fixed Rate Notes due 2040, Definitive Rating Assigned Aa1 (sf) US$51,350,000 Class A2-NR Senior Secured Floating Rate Notes due 2040, Definitive Rating Assigned Aa1 (sf) US$31,075,000 Class B-RR Mezzanine Secured Deferrable Floating Rate Notes due 2040, Definitive Rating Assigned A3 (sf) US$13,700,000 Class C-RR Mezzanine Secured Deferrable Floating Rate Notes due 2040, Definitive Rating Assigned Baa3 (sf) US$24,700,000 Class D-RR Mezzanine Secured Deferrable Floating Rate Notes due 2040, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CDO's portfolio and structure. Hildene TruPS Securitization 3, Ltd. is a static cash flow TruPS CDO. The issued notes will be collateralized primarily by (1) trust preferred securities ("TruPS") and subordinated debt issued by US community banks and their holding companies and (2) TruPS, surplus notes and subordinated debt issued by insurance companies and their holding companies. The portfolio is expected to be fully ramped as of the closing date. Hildene Structured Advisors, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities, deferring securities or credit risk securities. The transaction prohibits any asset purchases or substitutions at any time. In addition to the issuance of the Refinancing Notes, one class of subordinated notes will remain outstanding. The performing portfolio of this CDO consists of (1) TruPS and subordinated debt issued by 67 US community banks and (2) TruPS, surplus notes and subordinated debt issued by 7 insurance companies, the majority of which Moody's do not rate. Moody's assesses the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc™, an econometric model developed by Moody's Analytics. Moody's evaluations of the credit risk of the bank obligors in the pool relies on FDIC Q1-2025 financial data. Moody's assesses the default probability of insurance company obligors that do not have public ratings through credit assessments provided by Moody's insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par amount: $363,136,000 Defaulted/Deferring par:$2,500,000 Weighted Average Rating Factor (WARF): 737 Weighted Average Spread Assets (WAS): 2.74% Weighted Average Coupon Assets (WAC): 6.77% Weighted Average Coupon (WAC)/Weighted Average Spread(WAS) for fixed to float assets: 4.83%/3.35% Weighted Average Recovery Rate (WARR): 10.0% Weighted Average Life (WAL): 7.9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was " TruPS CDOs " published in June 2025. 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. HOMES 2025-AFC2: S&P Assigns B (sf) Rating on Class B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to HOMES 2025-AFC2 Trust's mortgage-backed notes. The note issuance is an RMBS securitization backed by a pool of first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are primarily secured by single-family residential properties, townhomes, planned unit developments, condominiums, and two- to four-family residential properties. The pool consists of 980 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability-to-replay (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 originator, AmWest Funding Corp.; and -- S&P's 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 HOMES 2025-AFC2 Trust(i) Class A-1A, $293,288,000: AAA (sf) Class A-1B, $42,910,000: AAA (sf) Class A-1, $336,198,000: AAA (sf) Class A-2, $19,524,000: AA (sf) Class A-3, $41,408,000: A (sf) Class M-1, $12,658,000: BBB (sf) Class B-1, $8,582,000: BB (sf) Class B-2, $6,437,000: B (sf) Class B-3, $4,291,011: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. (ii)The notional amount equals the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $429,098,011. N/A--Not available. NR--Not rated. HPS PRIVATE 2025-3: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to HPS Private Credit CLO 2025-3 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by HPS Investment Partners LLC. The 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 HPS Private Credit CLO 2025-3 LLC Class A-1, $207.00 million: AAA (sf) Class A-1 loans(i), $25.00 million: AAA (sf) Class A-2, $10.00 million: AAA (sf) Class B, $30.00 million: AA (sf) Class C (deferrable), $32.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $24.00 million: BB- (sf) Subordinated notes, $49.60 million: NR (i)All or a portion of outstanding principal amount of the class A-1 loans may be converted into class A-1 notes. NR--Not rated. ILPT COMMERCIAL 2025-LPF2: Fitch Assigns 'B-sf' Rating on HRR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the ILPT Commercial Mortgage Trust 2025-LPF2, Commercial Mortgage Pass-Through Certificates, Series 2025-LPF2: - $423,100,000 class A 'AAAsf'; Outlook Stable; - $47,800,000 class B 'AA-sf'; Outlook Stable; - $51,300,000 class C 'A-sf'; Outlook Stable; - $96,800,000 class D 'BBB-sf'; Outlook Stable; - $165,100,000 class E 'BB-sf'; Outlook Stable; - $104,150,000 class F 'Bsf'; Outlook Stable; - $46,750,000 class HRR 'B-sf'; Outlook Stable. Transaction Summary The certificates represent the beneficial ownership interest in a trust that hold an aggregate balance of $935 million of senior trust notes (which are pari passu with certain non-trust companion notes) and junior trust notes. The trust notes, along with $225 million of non-trust companion notes which are pari passu with the senior trust notes, comprise a $1.16 billion, five-year, fixed-rate interest-only commercial mortgage whole loan. The non-trust companion notes are expected to be contributed to one or more future securitizations. The mortgage loan is secured by the borrowers' fee simple, leased fee and/or leasehold interests in a portfolio of 102 primarily industrial facilities, comprising approximately 18.3 million sf located across 30 states. The borrower sponsor is Industrial Logistics Properties Trust ( ILPT). The mortgage loan is used to pay down the existing debt of $1.2 billion from the ILPT 2022-LPF2 transaction, pay closing costs of $23.5 million and fund an upfront reserve of approximately $2.5 million. The trust loan is co-originated by Citi Real Estate Funding Inc., Bank of America, N.A., Morgan Stanley Mortgage Capital Holdings LLC, Bank of Montreal, Royal Bank of Canada and UBS AG New York Branch. Midland Loan Services, a division of PNC Bank, N.A., is the servicer, with KeyBank National Association as the special servicer. Computershare Trust Company, N.A. acts as the trustee and certificate administrator. Park Bridge Lender Services LLC acts as operating advisor. KEY RATING DRIVERS Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the portfolio at $72.5 million. This is 9.2% lower than the issuer's NCF and 11.7% lower than the trailing 12 months (TTM) ended April 2025 NCF. Fitch applied a 7.25% cap rate to derive a Fitch value of approximately $1.0 billion. High Fitch Leverage: The $1.16 billion whole loan equates to debt of approximately $63 psf with a Fitch stressed loan-to-value (LTV) ratio and debt yield of 115.9% and 6.3%, respectively. The loan represents approximately 68.0% of the appraised value of $1.7 billion. Fitch increased the LTV hurdles by 2.5% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio exhibits strong geographic diversity, with 102 primarily industrial properties (18.3 million sf) located across 30 states and 53 MSAs. The three largest state concentrations are Hawaii (5.9 million sf; 35 properties), South Carolina (2.1 million sf; seven properties) and Florida (1.6 million sf; eight properties). The three largest MSAs are Honolulu, HI (32.3% of NRA; 17.9% of ALA), Charleston, SC (4.3% of NRA; 7.7% of ALA) and Charlotte, NC (6.3% of NRA; 6.7% of ALA). The portfolio also exhibits significant tenant diversity, as it features 77 distinct tenants, with no tenant accounting for more than 16.5% of NRA. Experienced Sponsorship and Management: ILPT is a publicly traded REIT specialized in industrial real estate. As of Dec. 31, 2024, ILPT has ownership interests comprising 59.9 million sf of industrial space across 411 properties with 300 distinct tenants. ILPT is managed by The RMR Group, a U.S. alternative asset management company with over $40 billion in AUM as of Dec. 31, 2024, and more than 35 years of experience in buying, selling, financing and operating commercial real estate. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating (MIR) sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf/'Bsf/'B-sf'; - 10% NCF Decrease: 'AAAsf'/'AAsf'/'Asf'/'BB+sf'/'Bsf/'CCCsf/'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the MIR sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf/'Bsf/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAAsf'/'Asf'/'BB+sf'/'BB-sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. INVESCO CLO 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Invesco CLO 2025-1, Ltd. Entity/Debt Rating ----------- ------ Invesco U.S. CLO 2025-1, Ltd. A LT NRsf New Rating A-1L LT NRsf New Rating A-2L 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 LT NRsf New Rating Transaction Summary Invesco CLO 2025-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Invesco CLO Equity Fund 5 L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.98, versus a maximum covenant, in accordance with the initial expected matrix point of 24. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.33% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.18% versus a minimum covenant, in accordance with the initial expected matrix point of 69.90%. Portfolio Composition (Positive): The largest three industries may comprise up to 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, and '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 Invesco U.S. CLO 2025-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. JP MORGAN 2025-1: Moody's Assigns B3 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 31 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Seasoned Mortgage Trust 2025-1, and sponsored by JPMorgan Chase Bank, N.A. The securities are backed by a pool of first-lien, fixed-rate mortgages (92.3% by balance as of the statistical calculation date) and hybrid ARM (7.7% by balance as of the statistical calculation date) residential mortgages, originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: J.P. Morgan Seasoned Mortgage Trust 2025-1 Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-2-A, Definitive Rating Assigned Aaa (sf) Cl. A-2-X*, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-A, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 1.19%, in a baseline scenario-median is 0.87% and reaches 8.10% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. JP MORGAN 2025-CCM3: Moody's Assigns B1 Rating to Cl. B-5 Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 46 classes of residential mortgage-backed securities (RMBS) to be issued by J.P. Morgan Mortgage Trust 2025-CCM3 (JPMMT 2025-CCM3), and sponsored by JPMorgan Chase Bank N.A. (JPMCB). The securities are backed by a pool of prime jumbo (83.5% by balance) and GSE-eligible (16.5% by balance) residential mortgages aggregated by JPMMAC, originated by CrossCountry Mortgage, LLC and serviced by JPMorgan Chase Bank, N.A. (JPMCB). The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2025-CCM3 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-14-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-5*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2-A, Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) Cl. B-5, Definitive Rating Assigned B1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.29%, in a baseline scenario-median is 0.11% and reaches 4.97% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. JP MORGAN 2025-INV1: Moody's Assigns B3 Rating to Cl. B-5 Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 31 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2025-INV1, and sponsored by JPMorgan Chase Bank, N.A (JPMCB). The securities are backed by a pool of prime jumbo (59.5% by balance) and GSE-eligible (40.5% by balance) residential mortgages aggregated by JPMCB, and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2025-INV1 Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.69%, in a baseline scenario-median is 0.39% and reaches 8.39% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. JP MORGAN 2025-VIS2: S&P Assigns B- (sf) Rating on B-2 Certs ------------------------------------------------------------ S&P Global Ratings assigned its 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 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's economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. 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 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. JPMCC MORTGAGE 2019-BROOK: Fitch Lowers Rating on E Certs to 'B-sf' ------------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed four classes of JPMCC Mortgage Securities Trust 2019-BROOK Commercial Mortgage Pass-Through Certificates (JPMCC 2019-BROOK). The Rating Outlooks on affirmed classes A, B and C have been revised to Negative from Stable. Following their downgrades, classes D, E and EXT were assigned Negative Outlooks. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2019-BROOK A 46591JAA4 LT AAAsf Affirmed AAAsf B 46591JAG1 LT AA-sf Affirmed AA-sf C 46591JAJ5 LT A-sf Affirmed A-sf D 46591JAL0 LT BB-sf Downgrade BBB-sf E 46591JAN6 LT B-sf Downgrade BB-sf F 46591JAQ9 LT CCCsf Affirmed CCCsf X-EXT 46591JAE6 LT BB-sf Downgrade BBB-sf KEY RATING DRIVERS Declining Performance; Specially Serviced Loan: The downgrades to classes D, E and X-EXT reflects a slowdown in pace of property releases and the potential for losses on the remaining assets if they continue to experience value declines during a lengthy workout. The special servicer is now pursuing a receivership. In addition, 3 of the 4 properties the servicer expected to be released since the prior rating action did not materialize. Fitch's downgrades are based on updated Fitch valuations of the remaining properties; however, Fitch also considered a sensitivity analysis which assumed the most recent appraised values for the remaining properties. The appraisal values overall are higher than the Fitch values due to higher property-level cash flow and generally lower cap rate assumptions. This analysis limited downgrades to classes B, C, D, E and X-EXT. The loan transferred to special servicing in September 2023 due to maturity default, however the loan remains current. The Negative Outlook on class A reflects the potential for interest shortfalls. Given the servicer's pursuit of receivership, if the loan becomes delinquent and the master servicer does not advance the full interest due, class A could experience a shortfall. Classes that experience an interest shortfall cannot be rated higher than 'AA+sf'. The Negative Outlooks on classes B, C, D, E and X-EXT reflect the potential for downgrades given the increasing portfolio concentration, adverse selection concerns, and potential further value declines prior to property sales if portfolio performance or submarket conditions deteriorate further and/or the loan's workout is prolonged. Future property releases are uncertain. Property Releases: The affirmation of classes A, B and C reflects their increased credit enhancement (CE) from property releases. Since issuance, eight assets, including six office and two industrial properties, have been released, resulting in paydowns to the transaction totaling $109.4 million (28.6% of the original loan balance). Portfolio Performance: The current portfolio occupancy for the remaining 20 properties has declined to 73.3% as of the March 2024 rent roll from 75.7% in June 2023. An updated rent roll for the 2025 reporting period was provided for 18 of the 20 properties; occupancy was a reported 68.4% as of April 1, 2025, for these properties. The portfolio's submarket conditions remain challenged, and according to Costar as of 2Q25, the average availability rate was approximately 20% for remaining portfolio. Fitch's sustainable net cash flow (NCF) of $19.8 million reflects leases in-place for the remaining 20 properties as of the March 2024 rent roll and incorporates a 20% stress to leases expiring in 2024, resulting in an all-in vacancy assumption of 28%. Approximately 8% of the portfolio NRA expired in 2024. Fitch relied upon servicer-provided YE 2023 reporting for other revenue items and expense reimbursement percentage. YE 2024 reporting was requested but remains outstanding. Using a cap rate of 9.50%, the appraiser's implied combined NCF for the 20 properties is approximately $23.7 million, reflecting higher NCF assumptions compared to Fitch's NCF on the same properties. The appraisal weighted average cap rate was 8.74% based on the loan's current balance. Operating expenses, except for insurance and management fees, were inflated by 3% from YE 2023 figures. Insurance expense was inflated by 10%. Fitch applied a management fee of 4% of EGI. Fitch also applied tenant improvement allowance assumptions of $20 psf for new leases and $10 psf for renewal leases, and leasing commissions of 5% for new tenants and 2.5% for renewal tenants. Increasing Concentration and Adverse Selection: The loan is currently secured by 20 class B suburban office properties totaling 2.9 million sf and located in five states, including Pennsylvania (11 properties; 44.6% of current total NRA), Texas (four properties; 27.6%), Florida (two properties; 13.6%), California (two properties; 8.6%) and Rhode Island (one property; 8.5%). The portfolio consists of approximately 400 unique tenants. The largest tenant is approximately 3.3% of the portfolio NRA. Fitch utilized a stressed capitalization rate of 9.5%, consistent with the last rating action and up from 8.5% at issuance, to reflect the lower asset quality, declining portfolio performance and deteriorating market conditions as well as the office sector outlook. Fitch Leverage: The $273.1 million mortgage loan has a Fitch-stressed DSCR and LTV of 0.57x and 157.5%, respectively, and trust debt of $94 psf. The capital stack also includes a $41.9 million mezzanine loan. The total debt Fitch-stressed DSCR and LTV are 0.51x and 177.6%, respectively, and total debt of $109 psf. Floating Rate Loan: The loan is a three-year, floating-rate, interest-only mortgage with two, one-year extension options. The loan initially matured on September 2022 and the borrower exercised its first extension option to September 2023. The loan defaulted in September 2023. The loan's current interest rate is uncapped at approximately 12%. Sponsorship: The sponsors, Brookwood, acquired the portfolio between 2007 and 2016 for a total purchase price of $430 million. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Interest shortfalls to the 'AAAsf' rated class; - Lengthy workout without additional property sales; - Continued decline in portfolio occupancy and/or submarket fundamentals; - Sustained deterioration in property cash flow; - Adverse selection alongside continued performance deterioration as properties are released. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Sustained increase in portfolio occupancy and cash flow; - Increased CE from additional property releases; - Greater clarity on the workout and resolution of the loan, including better recoveries than expected. 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. LCM 29: S&P Raises Class E-R Notes Rating to B (sf) --------------------------------------------------- S&P Global Ratings took various rating actions on 10 classes of notes from LCM 29 Ltd. and LCM 32 Ltd., both U.S. broadly syndicated CLO transactions managed by LCM Asset Management LLC. The junior-most rating from each CLO was placed on CreditWatch with negative implications on May 1, 2025, due to a combination of a drop in their overcollateralization (O/C) ratios, increased exposure to 'CCC' assets, and weakened cash flow results. S&P lowered these ratings on the two classes and removed them from CreditWatch negative. Additionally, it raised one rating and affirmed seven ratings. The ratings list below highlights the key performance metrics behind the specific rating actions. The rating actions follow S&P's review of each transaction's performance using data from the May 2025 trustee report. In its review, S&P analyzed each transaction's performance and cash flows and applied its global corporate CLO criteria in its rating decisions. While LCM 32 Ltd. is still in its reinvestment period, LCM 29 Ltd. exited its reinvestment period in April 2024 and is paying down the notes in the order specified in its documents. As a result of paydowns and support changes in the portfolio, 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. LCM 32 Ltd. will begin amortizing in July 2026. 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 incorporates 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 upgrade primarily reflects the increased credit support on the class due to the senior note paydowns, improved O/C levels, and passing cash flow results at a higher rating level. 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 Class CUSIP To From LCM 29 Ltd. A-R 50201MAQ6 AAA (sf) AAA (sf) Main rationale: Cash flow continues to pass at the current rating level. LCM 29 Ltd. B-R 50201MAS2 AA+ (sf) AA (sf) Main rationale: Senior note paydowns, passing OC test and passing cash flows. S&P's rating action considered the current credit enhancement level, which is commensurate with the raised rating. LCM 29 Ltd. C-R 50201MAU7 A (sf) A (sf) Main rationale: Passing cash flows. Although our base-case analysis indicated a higher rating, S&P's rating action considered higher than average 'CCC' and 'D' asset exposure; the current credit enhancement level and the sensitivity results, which is commensurate with the current rating. LCM 29 Ltd. D-R 50201MAW3 BBB- (sf) BBB- (sf) Main rationale: While our base-case cash flows indicated a lower rating, S&P opted to affirm this rating at the current rating of BBB-(sf) based on the current credit enhancement level and the passing OC test. LCM 29 Ltd. E-R 50201LAE5 B (sf) BB- (sf)/Watch Neg Main rationale: Failing cash flows at previous rating due to combination of par loss, decline in weighted average recovery, lower weighted average spread, and increased exposure to CCC rated assets (that in turn increased the portfolio's scenario default rates). Though cash flows point to a lower rating, S&P limited the downgrade based on its existing credit support and our opinion that this class is not dependent upon favorable business, financial, and economic considerations to meet its financial commitment. LCM 32 Ltd. A-1 50204AAA4 AAA (sf) AAA (sf) Main rationale: Cash flows continue to pass at the current rating level. LCM 32 Ltd. B 50204AAE6 AA (sf) AA (sf) Main rationale: Cash flow continues to pass at the current rating level. LCM 32 Ltd. C 50204AAG1 A (sf) A (sf) Main rationale: While S&P's base-case cash flow results indicated a lower rating, its decision to affirm this rating at A(sf) considered the margin of failure, its current credit enhancement -- which is in line with the averages, passing coverage tests, and the portfolio's relatively low exposure to CCC assets. LCM 32 Ltd. D 50204AAJ5 BBB- (sf) BBB- (sf) Main rationale: Although the cash flow results pointed to a one-notch lower rating, S&P's affirmation reflects its consideration of the margin of failure, passing OC tests, relatively low exposure to CCC rated assets and that the CLO will continue to reinvest for some time. LCM 32 Ltd. E 50202BAA4 B+ (sf) BB- (sf)/Watch Neg Main rationale: Failing cash flows at the previous rating level and deterioration in OC levels. Cash flows weakend primarily due to par loss and decline in recoveries and spread. LCM 41: S&P Assigns BB+ (sf) Rating on Class E Notes ---------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, and D-2-R debt from LCM 41 Ltd./LCM 41 LLC, a CLO managed by LCM Asset Management LLC that was originally issued in April 2024. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B, C, D-1, and D-2 debt following payment in full on the June 26, 2025, refinancing date. S&P also affirmed its rating on the class E debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 15, 2026. -- No additional assets were purchased on the June 26, 2025, refinancing date, and the target initial par amount remains the same. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 2025. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class D-1-R and D-2-R (which were refinanced) debt, as well as on the class E debt(which was not refinanced). However, we assigned our 'BBB+ (sf)' and 'BBB- (sf)' ratings on the class D-1-R and D-2-R, respectively. At the same time, we affirmed our 'BB+ (sf)' rating on the class E debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction. Based on the latter, we expect the credit support available to all the rated classes to increase as principal is collected and the senior debt is paid down. In addition, we believe the payment of principal or interest on the class D-1-R, D-2-R, and E debt when due does not depend on favorable business, financial, or economic conditions. Therefore, this class does not fit our definition of 'CCC' risk in accordance with "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012." Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $195.00 million: Three-month CME term SOFR + 1.20% -- Class A-2-R, $6.00 million: Three-month CME term SOFR + 1.55% -- Class B-R, $27.00 million: Three-month CME term SOFR + 1.70% -- Class C-R (deferrable), $18.00 million: Three-month CME term SOFR + 2.00% -- Class D-1-R (deferrable), $18.00 million: Three-month CME term SOFR + 3.60% -- Class D-2-R (deferrable), $4.50 million: Three-month CME term SOFR + 5.30% Original debt -- Class A-1, $195.00 million: Three-month CME term SOFR + 1.46% -- Class A-2, $6.00 million: Three-month CME term SOFR + 1.80% -- Class B, $27.00 million: Three-month CME term SOFR + 2.20% -- Class C (deferrable), $18.00 million: Three-month CME term SOFR + 2.70% -- Class D-1 (deferrable), $18.00 million: Three-month CME term SOFR + 4.55% -- Class D-2 (deferrable), $6.00 million: Three-month CME term SOFR + 5.56% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned LCM 41 Ltd./LCM 41 LLC Class A-1-R, $195.00 million: AAA (sf) Class A-2-R, $6.00 million: AAA (sf) Class B-R, $27.00 million: AA+ (sf) Class C-R (deferrable), $18.00 million: A+ (sf) Class D-1-R (deferrable), $18.00 million: BBB+ (sf) Class D-2-R (deferrable), $4.500 million: BBB- (sf) Ratings Withdrawn LCM 41 Ltd./LCM 41 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA+ (sf)' Class C to NR from 'A+ (sf)' Class D-1 to NR from 'BBB+ (sf)' Class D-2 to NR from 'BBB- (sf)' Rating Affirmed LCM 41 Ltd./LCM 41 LLC Class E: BB+ (sf) Other Debt LCM 41 Ltd./LCM 41 LLC Subordinated notes, $28.40 million: NR NR--Not rated. LEGACY BENEFITS 2004-1: Moody's Lowers Rating on Cl. B Certs to Ca ------------------------------------------------------------------ Moody's Ratings has downgraded the rating of the Class B notes issued by Legacy Benefits Life Insurance Settlements 2004-1 LLC ("transaction"). The underlying collateral consists of a small pool of universal life insurance policies and annuity contracts purchased on the lives of the insured individuals. Amounts received under the fixed payment annuity contracts are designated to cover the future premium payments on the corresponding insurance policies, and along with death benefits from the life insurance policies, the interest and principal on the notes. The complete rating action is as follows: Issuer: Legacy Benefits Life Insurance Settlements 2004-1 LLC Cl. B, Downgraded to Ca (sf); previously on May 29, 2019 Confirmed at Caa3 (sf) RATINGS RATIONALE The rating action is driven by the increased loss expectations on the Class B Notes as a result of the continued accumulation of interest shortfall on the Class B notes. The increase in shortfall is due to use of cash in the reserve account to pay for rising policy premiums instead of interest payments on the notes in order to keep the policies from lapsing as the insured individuals age. The notes are currently backed by three death benefits to be realized. If all death benefits were to be realized as of the current payment date, the expected recovery on the Class B Notes would be around 54%, consistent with a Ca (sf) rating. The rating on the notes is based on an expected recovery analysis as opposed to the lowest rating of the life insurance policy providers as prior policies in this transaction have lapsed and the transaction continues to be exposed to lapse risk. Policy lapse occurs when the account value for a policy is depleted completely, and there are no funds remaining to cover the cost of insurance. The cost of insurance for the policies have been rising with the aging of the insured. Consequently, cash flow from the annuities is being diverted more and more to pay for the premiums to keep the life insurance policies active, while the portion left for the notes' interest payments and the Interest Reserve Account is steadily decreasing. In addition, there is risk of policy lapse as the insured individuals age and approach their policies' corresponding maturity dates, if any. As of the current payment date, the Event of Default initially declared in 2017 is continuing and the transaction remains under the Notice of Acceleration. Because distributions have not been made to the Class B notes since the event of default, the class B notes continue to accrue interest shortfalls. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "US Life Insurance Securitizations Surveillance" published in June 2025. Factors that would lead to an upgrade or downgrade of the rating: Change in mortality or lapse risk as well as change in loss expectations for the notes. MIDOCEAN CREDIT VI: S&P Affirms B- (sf) Rating on Class F Notes --------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-RRR and C-RRR debt from MidOcean Credit CLO VI, a U.S. broadly syndicated CLO that is managed by MidOcean Credit Fund Management L.P. At the same time, S&P affirmed its ratings on the class A-RRR, D-1R, D-2AR, D-2BR, E-RR, and F debt from the transaction. S&P also removed its rating on the class E-RR debt from CreditWatch, where S&P placed it with negative implications on May 1, 2025. The rating actions follow its review of the transaction's performance using data from the May 2025 trustee report. The transaction has paid down $108.25 million to the class A-RRR debt since our July 2024 review. This paydown resulted in improved reported overcollateralization (O/C) ratios since the June 2024 trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 147.65% from 129.81%. -- The class C O/C ratio improved to 128.59% from 119.22%. -- The class D O/C ratio improved to 113.88% from 110.22%. -- The class E O/C ratio improved to 106.29% from 105.26%. -- All O/C ratios experienced a positive movement due to the lower balances of the senior debt and, as a result, the credit support increased. Collateral obligations with ratings in the 'CCC' category totaled $24.6 million as of the May 2025, trustee report, compared with $38.2 million reported as of the June 2024 data S&P used when the CLO was reset. Although the dollar value of the 'CCC' exposure has declined, the portfolio has amortized significantly since our last rating action, resulting in a slight increase in the percentage exposure of the 'CCC' balance. However, despite the slightly larger concentrations of 'CCC' category and defaulted collateral, the transaction has benefited from a drop in the collateral's weighted average life due to underlying collateral's seasoning. The reported weighted average life decreased to 4.07 years as of the May 2025 trustee report, compared with 4.50 years as of our July 2024 review. S&P said, "The upgrades reflect the improved credit support available to the debt at the prior rating levels. On a standalone basis, the results of our cash flow analysis indicated higher ratings on the class C-RRR and D-2AR debt. However, our rating actions reflect the credit enhancement available for these classes under additional sensitivity analyses that considered the exposure to both 'CCC' assets and assets trading at low market values." The affirmations reflect the classes' adequate credit support at the current rating levels, though any further deterioration in the credit support available to the debt could result in rating changes. S&P said, "Although our cash flow results indicated a lower rating for the class E-RR and F debt, we view the classes' overall credit seasoning as an improvement to the transaction and considered the relatively stable O/C ratios. Since classes E-RR and F are not currently dependent on favorable business, financial, or economic conditions to meets their contractual obligations of timely interest and ultimate repayment of principal by legal final maturity, they do not meet our definition of 'CCC' risk, based on our criteria. However, further increases in defaults or par losses could lead to negative rating actions. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Raised MidOcean Credit CLO VI Class B-RRR to 'AAA (sf)' from 'AA (sf)' Class C-RRR to 'AA- (sf)' from 'A (sf)' Rating Affirmed And Removed From CreditWatch Negative MidOcean Credit CLO VI Class E-RR to 'BB- (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed MidOcean Credit CLO VI Class A-RRR: AAA (sf) Class D-1R: BBB- (sf) Class D-2AR: BBB (sf) Class D-2BR: BBB- (sf) Class F: B- (sf) MIDOCEAN CREDIT X: S&P Lowers Class E-R Notes Rating to 'B+ (sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class D-2-RR and E-R debt from MidOcean Credit CLO X, a U.S. broadly syndicated CLO that is managed by MidOcean Credit Fund Management L.P. At the same time, S&P affirmed its ratings on the class A-1-RR, A-2-RR, B-RR, C-RR, and D-1-RR debt. S&P also removed its ratings on the class E-R and D-2-RR debt from CreditWatch, where S&P placed them with negative implications on May 1, 2025. The rating actions follow its review of the transaction's performance using data from the May 2025 trustee report. The negative CreditWatch placements on the class D-2-RR and E-R debt were based on the weakened cash flow results and the decline in the overcollateralization (O/C) ratios. Since then, the portfolio's weighted average recovery and weighed average spread have also declined. The changes in the O/C ratios since our June 2024 review include: -- The class A/B O/C ratio declined to 127.27% from 127.96%. -- The class C O/C ratio declined to 117.96% from 118.60%. -- The class D O/C ratio declined to 109.92% from 110.51%. -- The class E O/C ratio declined to 105.37% from 105.94%. These O/C declines are primarily due to trading losses that occurred over time. Collateral obligations with ratings in the 'CCC' rating category also decreased to $21.90 million as of the May 2025 trustee report from $40.91 million as of June 2022. While the decrease in 'CCC' exposure improved the portfolio's scenario default rates (SDRs), the drop in the weighted average spread and weighted average recovery rate affected the CLO's break-even default rates (BDRs). These factors led to the class E-R debt cash flows failing at the prior rating level. The downgrades on the class D-2-RR and E-R debt reflects the drop in the credit support and the failing cash flow results at the class's previous rating level. Although S&P's cash flows indicate a lower rating, it restricted the downgrade to one notch to a lower rating category after considering the low exposure to 'CCC' and 'CCC-' rated assets and the existing credit support, which is commensurate with the new (downgraded) rating. The affirmations reflect the adequate credit support at the current rating levels, though any further deterioration in the credit support available to the debt could results in further rating changes. S&P said, "On a standalone basis, the results of our cash flow analysis indicated a lower rating on the class A-2-RR, C-RR, D-1-RR, and D-2-RR. However, we affirmed the ratings after considering the margin of failure, the credit support commensurate with the current rating levels, the low exposure to 'CCC' and 'CCC-' rated collateral obligations, and that the transaction is still in its reinvestment period, which is not scheduled to end until October 2026. Once amortization begins, paydowns to the senior debt are imminent and may improve credit support available across the transaction. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Ratings Lowered And Removed From CreditWatch Negative MidOcean Credit CLO X Class D-2-RR to 'BB+ (sf)' from 'BBB- (sf)/Watch Neg' Class E-R to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed MidOcean Credit CLO X Class A-1-RR: AAA (sf) Class A-2-RR: AAA (sf) Class B-RR: AA (sf) Class C-RR: A (sf) Class D-1-RR: BBB+ (sf) MIDOCEAN CREDIT XIX: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to MidOcean Credit CLO XIX. Entity/Debt Rating ----------- ------ MidOcean Credit CLO XIX A-1 LT NRsf New Rating A-1 Loan LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB+sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary MidOcean Credit CLO XIX (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by MidOcean Credit RR Manager 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 23.01, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.19% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.35% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 3.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for MidOcean Credit CLO XIX. 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. MONROE CAPITAL X: S&P Assigns Prelim BB-(sf) Rating on E-R-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R2 loans, class A-R2, B-1-R2, B-2-R2, C-R2, D-R2, and E-R2 debt, and the new class X-R2 debt from Monroe Capital MML CLO X LLC, a CLO managed by Monroe Capital CLO Manager LLC that was originally issued in August 2020 and underwent a refinancing in May 2022. The previous transactions were not rated by S&P Global Ratings. The preliminary ratings are based on information as of June 26, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 27, 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 assign ratings to the replacement and proposed new debt. However, if the refinancing doesn't occur, we may 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 27, 2027. -- The reinvestment period will be extended to Aug. 20, 2029. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to Aug. 20, 2037. -- The target initial par amount was increased to $450.00 million from $400.00 million. -- The new class X-R2 debt will be issued on the refinancing date and is expected to be paid down using interest proceeds during the first payment dates in equal installments of $1.25 million, beginning on the Nov. 20, 2025, payment date. -- An additional $22.30 million in subordinated notes will be issued on the refinancing date. 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. S&P said, "Our review of this transaction included a cash flow and portfolio analysis, 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 Monroe Capital MML CLO X LLC Class X-R2, $10.00 million: AAA (sf) Class A-R2, $241.50 million: AAA (sf) Class A-R2 loans(i), $15.00 million: AAA (sf) Class B-1-R2, $44.50 million: AA (sf) Class B-2-R2, $5.00 million: AA (sf) Class C-R2 (deferrable), $36.00 million: A+ (sf) Class D-R2 (deferrable), $27.00 million: BBB- (sf) Class E-R2 (deferrable), $27.00 million: BB- (sf) Other Debt Monroe Capital MML CLO X LLC Subordinated notes, $100.57 million: NR (i)All or a portion of the class A-R2 loans may be converted into class A-R2 notes. No portion of the class A-R2 notes may be converted into class A-R2 loans. NR--Not rated. MORGAN STANLEY 2015-C23: Fitch Affirms 'B-sf' Rating on Cl. F Debt ------------------------------------------------------------------ Fitch Ratings has affirmed six classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Commercial Mortgage Pass-Through Certificates, series 2015-C23. The Rating Outlooks on classes C and PST have been revised to Negative from Stable. Classes A-4, A-S, X-A and X-B have paid in full. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2015-C23 A-4 61690QAE9 LT PIFsf Paid In Full AAAsf A-S 61690QAG4 LT PIFsf Paid In Full AAAsf B 61690QAH2 LT AA+sf Affirmed AA+sf C 61690QAK5 LT A+sf Affirmed A+sf D 61690QAS8 LT BBB-sf Affirmed BBB-sf E 61690QAU3 LT BB-sf Affirmed BB-sf F 61690QAW9 LT B-sf Affirmed B-sf PST 61690QAJ8 LT A+sf Affirmed A+sf X-A 61690QAF6 LT PIFsf Paid In Full AAAsf X-B 61690QAL3 LT PIFsf Paid In Full AAAsf KEY RATING DRIVERS 'B' Loss Expectations; Concentrated Transaction: Fitch's 'Bsf' rating case loss expectations are 17.9% which reflects relatively stable recovery expectation since the prior rating action. The transaction is concentrated with only 10 loans remaining, nine loans (89.4%) have been designated as Fitch Loans of Concern (FLOCs). These include three loans (52%) in special servicing, as well as five additional loans (37.4%) that defaulted at their recent maturity dates. Two loans (17%) are current and both mature in November 2025. The affirmations reflect the increased credit enhancement (CE) due to loan payoffs and sufficient CE relative to expected losses and recoveries for the remaining loans. Due to the near-term loan maturities, increasing pool concentration and adverse selection, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their CE. Higher probabilities of default were assigned to loans that recently transferred to special servicing or are past their respective maturity dates and expected to transfer to special servicing. The Negative Outlooks reflect these classes' reliance on proceeds from defaulted loans to repay and the potential for future downgrades should the expected losses increase due to further performance or appraisal value declines, lower than expected recoveries and/or prolonged workouts on specially serviced loans. Increased Credit Enhancement: As of the June 2025 distribution date, the pool's aggregate balance has been reduced by 82.4% to $189.2 million from $1.1 billion at issuance. Since Fitch's prior rating action 56 loans have repaid totaling $646 million (59% of original pool balance) in paydown. There have been approximately $9,400 in realized losses to date and interest shortfalls of approximately $69,000 are currently affecting the non-rated class H. Largest Loss Contributors: The largest contributor to loss is the Green Mountain Plaza (16.9%) loan, which is secured by a 224,686-sf anchored retail center located in Rutland, VT. The loan has been designated as a FLOC due to maturity default. The loan matured in June 2025 and was unable to secure financing. The servicer reported YE 2023 NOI DSCR was 1.32x compared with 1.42x at YE 2022 and 1.45x at YE 2021. As of September 2024, occupancy was 97%. Upcoming rollover at the property includes 16.7% NRA (16.5% GPR) in 2025, followed by 30% NRA (36% GPR) in 2026 and 6.1% (10.4% GPR) in 2027. Fitch's 'Bsf' rating case loss of 30.2% (prior to concentration add-ons) reflects a 10% cap rate, 15% stress to the YE 2023 NOI and factors an increased probability of default due maturity default. The next largest contributor to loss is the 599 Broadway loan (10.8%), which is secured by a 44,000-sf office portion of a property located in the SoHo neighborhood of Manhattan. The loan has been designated as a FLOC due to maturity default. The loan failed to refinance at its April 2025 maturity. As of YE 2024 occupancy was 100% with an NOI DSCR of 2.22x. Upcoming rollover at the property includes 10% NRA (8.2% GPR) in 2025, followed by 50% NRA (51% GPR) in 2026 and 0% in 2027. Fitch's 'Bsf' rating case loss of 35.5% (prior to concentration add-ons) reflects a 10% cap rate, 20% stress to the YE 2024 NOI due to rollover concerns and factors an increased probability of default due maturity default. The third largest contributor to loss is the Georgian Terrace loan (20%) which is secured by a 326-key full-service hotel located in downtown Atlanta, GA. The loan has been designated as a FLOC due to maturity default. The loan matured in June 2025 and was unable to secure financing. The servicer reported TTM March 2025 NOI DSCR was 1.77x compared with 1.64x at YE 2024 and 1.61x at YE 2023. Fitch's 'Bsf' rating case loss of 15.2% (prior to concentration add-ons) reflects a 11% cap rate, 15% stress to the TTM March 2025 and factors an increased probability of default due maturity default. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior class rated 'AA+sf' are not expected by Fitch 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. Downgrades to classes rated in the 'Asf' and 'BBBsf' categories could occur if deal-level losses increase significantly from larger than expected losses to the special serviced loans and/or prolonged workouts on the larger loans in special servicing, primarily Hilton Garden Inn 54th Street, Georgian Terrace, Green Mountain Plaza and 599 Broadway. Downgrades to classes rated in the 'BBsf' and 'Bsf' categories are possible with higher than expected losses from the special serviced loans and/or lack of resolution and increased exposures. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are not expected to any of the classes due to the near-term maturities, loan concentration and adverse selection; however, upgrades are possible to the 'AAsf', 'Asf' and 'BBBsf' categories with significantly increased CE from paydowns, coupled with higher than expected recoveries on the special serviced loans, such as Georgian Terrace, Green Mountain Plaza, 599 Broadway and Residence Inn - North Dartmouth, MA. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls, including the 'AA+sf' rated class B. Upgrades to the 'BBsf' and 'Bsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades could occur only if the recoveries on the special serviced loans are higher than expected. 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 2021-230P: S&P Lowers D Certs Rating to 'B- (sf)' ---------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2021-230P, a U.S. CMBS transaction. This is a U.S. stand-alone (single-borrower) CMBS transaction that is backed by an unhedged floating-rate (indexed to SOFR plus a 2.64% spread) interest-only (IO) mortgage loan totaling $670.0 million as of the June 16, 2025, trustee remittance report. The loan is secured by the borrower's fee-simple interest in 230 Park Avenue, a 1929-built, 34-story, 1.39 million sq. ft. class B+ office tower (the Helmsley Building), in the Grand Central office submarket of Midtown Manhattan. Rating Actions The downgrades on classes A, B, C, and D primarily reflect: -- S&P's net recovery value, which is 12.4% lower than the valuation it derived in its last review in July 2024, due to actual additional vacancies at the collateral property. Occupancy declined to the current 55.9% from 76.4% as of our July 2024 review, primarily due to three large tenants (20.5% of the net rentable area [NRA]) vacating the property in early 2025. -- The property's low leasing activity since early 2024. Despite stabilizing fundamentals in the property's office submarket, S&P believes the property's performance is not likely to improve to historical levels in the near term without significant capital investments from the sponsor. -- S&P said, "Our view that net recoveries to the bondholders may decline further due to increases in the advancing amount or a lower appraisal value (an updated appraisal value was reported at $770.0 million as of October 2024, which is 38.4% below the issuance appraised value of $1.2 billion). According to the June 2025 trustee remittance report, the servicer has advanced an additional $4.6 million since our July 2024 review, primarily for real estate taxes and insurance expenses (to date, $19.5 million has been advanced and accrued). The servicer reported sub-1.00x debt service coverage (DSC) when the property was about 80.0% occupied, which was 0.79x in 2023 and 0.50x in 2024. We expect DSC to decrease further due to lower occupancy at the property. In December 2024, the special servicer filed for foreclosure proceedings on the loan (which transferred to special servicing in October 2023), since no resolution strategy has been finalized yet." The downgrade on the class X-EXT IO certificates is based on our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X-EXT certificates references class A. The loan was transferred to special servicing on Oct. 19, 2023, due to imminent maturity default. The loan matured Dec. 8, 2023, and the borrower was not willing to purchase a replacement interest rate cap agreement to exercise one of its three extension options. The prior special servicer, Berkadia Commercial Mortgage LLC, granted the borrower a forbearance that expired on Oct. 3, 2024, to give it time to evaluate alternative use for the property and devise a resolution strategy. The current special servicer, Green Loan Services LLC, commenced foreclosure proceedings on Dec. 3, 2024, and is dual tracking other potential alternative workout strategies, including a potential loan modification with the sponsor and new senior mezzanine lender. The special servicer indicated an updated appraisal value has been ordered. As of the June 16, 2025, trustee remittance report, the loan exposure increased $4.6 million to $689.5 million from $684.9 million as of our July 2024 review. The $19.5 million total outstanding servicer advances and accruals included $18.1 million for real estate taxes and insurance expenses, $1.3 million for cumulative accrued unpaid advance interest, and $37,913 for other expenses. S&P said, "We will continue to monitor the performance of the property and loan, the foreclosure proceedings, and the ongoing workout negotiations between the borrower, new senior mezzanine lender, and special servicer. If we receive information that differs materially from our expectations (such as reported negative changes in the performance beyond those that we have already considered, further lower updated appraisal value, accelerated increases in the advance amount) or if the resolution strategy negatively affects the transaction's recovery and liquidity, we may revisit our analysis and take further rating actions as we determine necessary." Property-Level Analysis Update S&P said, "In our July 2024 review, we noted that the collateral property's occupancy and performance declined, and the loan exposure increased, largely due to servicer advances for real estate taxes, insurance, and loan debt service. At that time, we assumed a 76.4% occupancy rate, a $72.60 per sq. ft. S&P Global Ratings' gross rent, a 51.8% operating expense ratio, and higher tenant improvement costs, to arrive at an S&P Global Ratings' long-term sustainable net cash flow (NCF) of $33.1 million. Utilizing a 7.00% S&P Global Ratings' capitalization rate and deducting $14.9 million for net advances and accruals to date and adding $26.6 million for the Industrial and Commercial Abatement Program (ICAP) real estate tax savings and upfront tenant improvement and leasing commission reserves, we arrived at an S&P Global Ratings net recovery value of $484.7 million or $348 per sq. ft." The property was 80.1% occupied as of the Dec. 31, 2024, rent roll. However, the property's occupancy dropped to 55.9% after adjusting for known tenant movements, primarily resulting from the departure of three large tenants (20.5% of NRA) upon their lease expirations in March or April 2025: Voya Financial Inc. (10.3%), Clarion Partners LLC (5.1%), and RELX Inc. (5.1%). According to CoStar, two additional large tenants, Duane Morris LLP (3.7%) and Dentons US LLP (2.3%), have marketed their spaces for sublease. Further, Dentons US LLP has vacated the office property ahead of its June 2026 lease expiration. After considering recent vacancies following the tenants' lease expirations and no recent material leasing activity, the five largest tenants by NRA at the property are currently: -- StoneX Group Inc. (5.2% of NRA, 6.8% of S&P Global Ratings' gross rent, June 2036 lease expiration). -- Desmarais LLP (4.8%, 7.9%, September 2030). -- Helmsley Charitable Trust and Helmsley Enterprises (4.3%, 2.1%, January 2030 and July 2038). -- RGN-New York (Regus; 3.9%, 6.1%, September 2033). -- Duane Morris LLP (3.7%, 4.1%, March 2026). Like the overall New York City office market, the Grand Central office submarket, where the subject property is located, continues to improve with positive tenant demand and stronger leasing activity due to its desirable Midtown Manhattan location and proximity to major transportation hubs, according to CoStar. Vacancy and availability rates for 4- and 5-star office properties in the Grand Central office submarket have decreased to 15.0% and 11.6%, respectively, and asking rent was $89.66 per sq. ft. as of June 2025. This compares with a $79.75 per sq. ft. S&P Global Ratings' gross rent and 44.1% in place vacancy rate at the property. CoStar projects vacancy for 4- and 5-star office properties in the office submarket will continue to decrease slightly to 14.2% and asking rent to increase to $93.37 per sq. ft. in 2026. S&P said, "In our current analysis, since the property's occupancy recently dropped to about 55.9%, we considered the wider submarket vacancy rate of 14.9% and the historical occupancy trend of the property and stabilized it at an occupancy rate of 70.0%. We assumed a gross rent of $79.75 per sq. ft., a 52.5% operating expense ratio (in line with property operating history) and higher tenant improvements costs to arrive at an S&P Global Ratings' NCF of $29.9 million, which is 9.7% lower than that of our last review. Utilizing a 7.00% S&P Global Ratings' capitalization rate (unchanged from our last review) and adding $9.8 million for the ICAP real estate tax savings and deducting $12.4 million for net advances and accruals to date, we arrived at an S&P Global Ratings' net recovery value of $424.6 million, or $305 per sq. ft., which is 12.4% lower than our last review and 44.9% below the updated appraised value as of October 2024 of $770.0 million. Based on our revised value, S&P Global Ratings' loan-to-value ratio is 157.8%." Table 1 Servicer-reported collateral performance 2024(i) 2023(i) 2022(i) Occupancy rate (%) 80.0 83.0 83.0 Net cash flow (mil. $) 37.1 40.5 39.4 Debt service coverage (x) 0.50 0.79 1.38 Appraisal value (mil. $)(ii) 770.0 1,250.0 1,250.0 (i)Reporting period. (ii)As of October 2024 and September 2021, respectively. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (July 2025)(i) (July 2024)(i) (Dec 2021)(i) Occupancy rate (%) 70.0 76.4 80.1 Net cash flow (mil. $) 29.9 33.1 37.4 Capitalization rate (%) 7.00 7.00 6.75 Net add/deduct to value (2.5) 11.7 40.5 (mil. $)(ii) Value (mil. $) 424.6 484.7 595.0 Value per sq. ft. ($) 305 348 427 Loan-to-value ratio (%)(ii)157.8 138.2 112.6 (i)Review period. (ii)In the current review, comprised of adding Industrial and Commercial Abatement Program (ICAP) real estate tax savings of $9.8 million and deducting net advances and accruals of $12.4 million. In the last review, consisted of adding ICAP real estate tax savings of $14.1 million, upfront tenant improvement and leasing commission reserve credit of $12.6 million, less net advances and accruals of $14.9 million. At issuance, included adding ICAP real estate tax savings of $25.6 million and upfront TI/LC reserve credit of $15.0 million. Ratings Lowered Morgan Stanley Capital I Trust 2021-230P Class A to 'A- (sf)' from 'AA- (sf)' Class B to 'BB (sf)' from 'BBB (sf)' Class C to 'B+ (sf)' from 'BB (sf)' Class D to 'B- (sf)' from 'B+ (sf)' Class X-EXT to 'A- (sf)' from 'AA- (sf)' MORGAN STANLEY 2025-NQM4: S&P Assigns B (sf) Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-NQM4's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, including townhouses, planned unit developments, condominiums, two- to four-family residential properties, and one five- to 10-unit multifamily property. The pool consists of 925 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability-to-replay (ATR)-compliant, and ATR-exempt loans. Of the loans in the pool, 30 are cross-collateralized loans backed by 182 properties for a total property count of 1,077. After S&P assigned preliminary ratings on June 13, 2025, the class B-1 certificate rate was priced at a NetWac coupon rate. After analyzing the final coupons, S&P assigned ratings for all classes that are unchanged from the preliminary ratings we assigned. The ratings reflect S&P views of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A.; -- The mortgage originators, including reviewed originator HomeXpress Mortgage Corp.; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P 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, is updated if necessary, when these projections change materially. Please refer to "U.S. Economic Outlook Update: Higher Tariffs And Policy Uncertainty To Weaken Growth," May 1, 2025, for our economic outlook." Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2025-NQM4 Class A-1-A, $259,496,000: AAA (sf) Class A-1-B, $39,647,000: AAA (sf) Class A-1, $299,143,000: AAA (sf) Class A-2, $27,159,000: AA- (sf) Class A-3, $34,494,000: A- (sf) Class M-1, $14,273,000: BBB- (sf) Class B-1, $7,533,000: BB (sf) Class B-2, $8,525,000: B (sf) Class B-3, $5,352,760: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $19,825,910: NR Class PT, $376,653,850: NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount equals the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $396,479,760. N/A--Not available. NR--Not rated. NATIXIS 2017-75B: S&P Affirms 'CCC- (sf)' Rating on Cl. V-2 Certs ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on nine classes of commercial mortgage pass-through certificates, including six associated exchangeable and interest only certificates, from Natixis Commercial Mortgage Securities Trust 2017-75B, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on five classes from the transaction, including three associated exchangeable certificates. This U.S. stand-alone (single-borrower) transaction is backed by a portion ($143.0 million as of the June 11, 2025, trustee remittance report) of a 10-year, fixed-rate (4.08% per annum on the trust balance and 4.29% per annum on the whole loan balance), interest-only (IO) $230.0 million mortgage whole loan. The whole loan is secured by the borrower's fee-simple interest in a 35-story, 671,366-sq.-ft. class B+ office building with ground floor retail space located at 75 Broad Street in downtown Manhattan's Financial District submarket. The whole loan matures April 5, 2027. Rating Actions The downgrades on classes A, B, and C, and the affirmations on classes D and E primarily reflect: -- S&P's revised expected-case value, which is 14.5% lower than the valuation it derived in its last review in September 2024. This decline in value is largely due to a 6.7% decline in our gross rent per sq. ft. assumptions, to $57.73 from $61.85. The departure of certain tenants that were paying higher rents, in combination with lower than average rents in recently executed leases (which ranged from $44.12 per sq. ft. to $55.34 per sq. ft.), has driven down the weighted average in-place rent at the property. -- S&P said, "Our concern that the property's occupancy, which we expect to decrease further from our expectations in our last review, may not rebound immediately. Occupancy was 72.3% according to the Dec. 31, 2024, rent roll; however, we anticipate it to temporarily decline to approximately 60.6% due to known tenant movements." -- S&P said, "The Financial District office submarket where the property is located continues to experience high vacancy and availability rates, which we believe makes it more challenging for the sponsor to lease up the property's vacant space and improve net cash flow (NCF) in a timely manner. We do note that there have been several office to residential conversions in the neighboring areas, and if that trend continues, it could alleviate the supply-demand mismatch." -- The loan, which has a reported 30-day delinquent payment status, transferred to the special servicer on April 24, 2025, because the borrower indicated there will be insufficient cash flow to pay debt service going forward and requested a loan modification. The servicer reported debt service coverage (DSC) of 0.59x on the whole loan balance as of the trailing-12-months (TTM) ending March 31, 2025. S&P said, "Our affirmations on classes D and E at, 'CCC (sf)' and 'CCC- (sf)', respectively, continue to reflect our qualitative consideration that their repayments are dependent upon favorable business, financial, and economic conditions, and that these classes are vulnerable to default. "The downgrades on the class X-A and X-B IO certificates reflect our criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-A references class A, and class X-B references classes B and C. "The ratings on the class V1 and V2 exchangeable certificates (which can be exchanged for certain principal and interest and/or IO classes) reflect the lowest rating on the certificates for which they can be exchanged. As a result, we lowered our ratings on exchangeable classes V1-A (exchangeable for class A and X-A), V1-B (class B), V1-C (class C), and V1-XB (class X-B). Correspondingly, we affirmed our ratings on exchangeable classes V1-D (exchangeable for class D), V1-E (class E), and V2 (A through E, X-A, and X-B). "We will continue to monitor the tenancy and performance of the property and loan, as well as the workout negotiations between the borrower and special servicer. If we receive information that differs materially from our expectations, we may revisit our analysis and take further rating actions, as we determine necessary." Property-Level Analysis Updates S&P said, "In our September 2024 review, we noted that the property's reported occupancy has generally declined since 2019. At that time, we assumed a 70.9% occupancy rate after adjusting the June 30, 2024, rent roll for known tenant movements, a $61.85-per-sq.-ft. S&P Global Ratings' gross rent, and a 53.0% operating expense ratio to arrive at an S&P Global Ratings' long-term sustainable NCF of $12.4 million. Utilizing a 7.75% S&P Global Ratings' capitalization rate, we derived an S&P Global Ratings' expected-case value of $161.2 million ($240 per sq. ft.). "As of the Dec. 31, 2024, rent roll, the property was 72.3% leased to over 50 tenants ranging in size from 1,697 sq. ft. to 107,116 sq. ft. However, we expect occupancy to drop to 60.6%, after adjusting for known tenant movements. The reported NCF has lowered significantly resulting from the departure of three large tenants totaling 7.8% of the net rentable area (NRA) upon their lease expirations in 2024: PAETEC Communication (3.3% of NRA), Human Rights First (2.7%), and Stellaservice Inc. (1.8%). According to the servicer, another large tenant, Northsouth Production (4.0%), is not expected to renew its lease, which expires Sept. 30, 2025. Additionally, according to the servicer, four tenants, comprising 4.1% of NRA, are currently subleasing some of their spaces or are marketing their spaces for sublease." After adjusting the December 2024 rent roll for known tenant movements, the five largest tenants by NRA at the property are: -- New York City Board of Education/Millennium High School (15.9% of NRA; 26.6% of in-place base rent, as calculated by S&P Global Ratings; September 2033 and January 2035 lease expirations). The tenant has a no-cost termination option exercisable with 18 months' notice. Per the servicer, as of June 2025, the tenant has not indicated an intention to exercise its option. -- AT&T Inc. ('BBB/Positive/A-2'; 4.3%; 7.3%; February 2034). -- Haley Guiliano LLP (2.6%; 2.8%; February 2028). -- Inteliquent Inc. (2.2%; 3.1%; September 2034). -- Nike Communications (2.1%; 2.7%; March 2030). According to CoStar, the Financial District office submarket, like the overall New York City office market, continues to experience limited leasing activity as office utilization remains below pre-pandemic levels. Vacancy and availability rates in the submarket continue to climb, and asking rents remain generally stagnant. As of year-to-date June 2025, the 4- and 5-star office properties in the office submarket had a $54.55 per sq. ft. asking rent, 22.9% vacancy rate, and 21.4% availability rate. This compares with a $57.73 per sq. ft. S&P Global Ratings' gross rent and 39.5% in-place vacancy rate at the property. CoStar projects vacancy for 4- and 5-star office properties to continue to increase to 24.1% and asking rent to marginally increase to $57.17 per sq. ft. in 2027 (when the loan matures). S&P said, "In our current analysis, since the property's occupancy recently decreased to 60.6%, we considered the wider submarket vacancy rate of 22.9% and historical occupancy trend of the property and stabilized it at an occupancy rate of 70.0%. We assumed a gross rent of $57.73 per sq. ft., a 54.0% operating expense ratio, in line with property operating history, and higher tenant improvement costs to arrive at an S&P Global Ratings' NCF of $10.6 million, 14.1% lower than that of our last review. Utilizing a 7.75% S&P Global Ratings' capitalization rate (unchanged from our last review), we arrived at an S&P Global Ratings' expected-case value of $137.8 million, or $205 per sq. ft., 14.5% lower than our last review, and 65.8% below the issuance appraised value of $403.0 million. Based on our revised value, S&P Global Ratings' loan-to-value ratio on the trust balance is 127.7%, 166.9% on the whole loan balance (inclusive of the $54.0 million non-trust subordinate B note), and 181.4% on the total debt (inclusive of the $20.0 million mezzanine loan)." Table 1 Servicer-reported collateral performance Trailing-12-Months ended March 31, 2025 (i) 2024(i) 2023(i) Occupancy rate (%) 68.0 72.3 77.3 Net cash flow (mil. $) 6.7 11.8 11.8 Debt service coverage (x)(ii) 0.59 1.05 1.06 (i)Reporting period. (ii)On the whole loan balance of $230.0 million. Table 2 S&P Global Ratings' key assumptions Current Last review At issuance (June 2025)(i) (Sep 2024)(i) (May 2017)(i) Occupancy rate (%) 70.0 70.9 85.8 Net cash flow (mil. $) 10.6 12.4 14.9 Capitalization rate (%) 7.75 7.75 6.75 Add to value ($) (ii) 0.7 1.6 1.6 Value (mil. $) 137.8 161.2 222.4 Value per sq. ft. ($) 205 240 331 Loan-to-value ratio (%)(iii) 127.7 109.2 79.1 (i)Review period. (ii)Present value of rent steps for investment-grade rated tenants. (iii)Based on the senior note A and junior note A-B balance of $176.0 million. Including the subordinate non-trust B note (whole loan balance of $230.0 million), the loan-to-value ratio increases to 103.4%, 142.7%, and 166.9%, respectively. Ratings Lowered Natixis Commercial Mortgage Securities Trust 2017-75B Class A to 'BBB- (sf)' from 'A- (sf)' Class B to 'B+ (sf)' from 'BB+ (sf)' Class C to 'B- (sf)' from 'B+ (sf)' Class X-A to 'BBB- (sf)' from 'A- (sf)' Class X-B to 'B- (sf)' from 'B+ (sf)' Class V1-A to 'BBB- (sf)' from 'A- (sf)' Class V1-B to 'B+ (sf)' from 'BB+ (sf)' Class V1-C to 'B- (sf)' from 'B+ (sf)' Class V1-XB to 'B- (sf)' from 'B+ (sf)' Ratings Affirmed Natixis Commercial Mortgage Securities Trust 2017-75B Class D: 'CCC (sf)' Class E: 'CCC- (sf)' Class V1-D: 'CCC (sf)' Class V1-E: 'CCC- (sf)' Class V2: 'CCC- (sf)' OAKTREE CLO 2022-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A1-R, A2-R, B-R, C-R, D-R, and E-R replacement debt from Oaktree CLO 2022-1 Ltd./Oaktree CLO 2022-1 LLC, a CLO originally issued in April 2022 that is managed by Oaktree Capital Management L.P. The preliminary ratings are based on information as of July 2, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 8, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A1-R, C-R, D-R, and E-R debt is expected to be issued at a lower spread over three-month term SOFR than the original debt. -- The replacement class A2-R debt is expected to be issued at a floating spread, replacing the current fixed spread. -- The non-call period will be extended by approximately 3.7 years to July 15, 2027. -- The stated maturity and reinvestment period will be extended by approximately 5.2 years to July 15, 2030, and July 15, 2038, respectively. -- There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- Additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Oaktree CLO 2022-1 Ltd./Oaktree CLO 2022-1 LLC Class A1-R, $283.5 million: AAA (sf) Class A2-R, $13.5 million: AAA (sf) Class B-R, $45.0 million: AA (sf) Class C-R (deferrable), $27.0 million: A (sf) Class D-R (deferrable), $27.0 million: BBB- (sf) Class E-R (deferrable), $18.0 million: BB- (sf) Other Outstanding Debt Oaktree CLO 2022-1 Ltd./Oaktree CLO 2022-1 LLC Subordinated notes, $46.5 million: Not rated OAKTREE CLO 2025-32: S&P Assigns Prelim B- (sf) Rating on F Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Oaktree CLO 2025-32 Ltd./Oaktree CLO 2025-32 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 Oaktree CLO Management Co. LLC. The preliminary ratings are based on information as of June 27, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- S&P's view of the collateral pool's diversification; -- 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 Oaktree CLO 2025-32 Ltd./Oaktree CLO 2025-32 LLC Class A, $252.00 million: AAA (sf) Class B, $52.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $16.00 million: BBB+ (sf) Class D-2 (deferrable), $8.00 million: BBB- (sf) Class D-3 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Class F (deferrable), $4.00 million: B- (sf) Subordinated notes, $32.50 million: Not rated OBRA CLO 2: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to Obra CLO 2 Ltd./Obra CLO 2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Obra CLO Management LLC. The 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 Obra CLO 2 Ltd./Obra CLO 2 LLC Class A-1, $300.00 million: AAA (sf) Class A-2, $12.50 million: AAA (sf) Class B, $67.50 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $27.50 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $46.76 million: NR NR--Not rated. OCEANVIEW MORTGAGE 2025-INV3: Moody's Assigns '(P)B3' to B-5 Certs ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 97 classes of residential mortgage-backed securities (RMBS) to be issued by Oceanview Mortgage Trust 2025-INV3, and sponsored by Oceanview Asset Selector, LLC. The securities are backed by a pool of GSE-eligible (100% second homes by balance) residential mortgages aggregated by Oceanview Acquisitions I, LLC originated by multiple entities and serviced by Nationstar Mortgage LLC d/b/a Rushmore Servicing. The complete rating actions are as follows: Issuer: Oceanview Mortgage Trust 2025-INV3 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-F1, Assigned (P)Aaa (sf) Cl. A-X1, Assigned (P)Aaa (sf) Cl. A-F2, Assigned (P)Aaa (sf) Cl. A-X2, Assigned (P)Aaa (sf) Cl. A-F3, Assigned (P)Aa1 (sf) Cl. A-X3, Assigned (P)Aa1 (sf) Cl. A-F4, Assigned (P)Aaa (sf) Cl. A-X4, Assigned (P)Aaa (sf) Cl. A-F5, Assigned (P)Aaa (sf) Cl. A-X5, Assigned (P)Aaa (sf) Cl. A-F6, Assigned (P)Aaa (sf) Cl. A-X6, Assigned (P)Aaa (sf) Cl. A-F7, Assigned (P)Aaa (sf) Cl. A-X7, Assigned (P)Aaa (sf) Cl. A-F8, Assigned (P)Aaa (sf) Cl. A-X8, Assigned (P)Aaa (sf) Cl. A-F9, Assigned (P)Aaa (sf) Cl. A-X9, Assigned (P)Aaa (sf) Cl. A-F, Assigned (P)Aaa (sf) Cl. A-X, Assigned (P)Aaa (sf) Cl. A-WX1, Assigned (P)Aaa (sf) Cl. A-WX2, Assigned (P)Aaa (sf) Cl. A-WX3, Assigned (P)Aa1 (sf) Cl. A-WX5, Assigned (P)Aaa (sf) Cl. A-WX6, Assigned (P)Aaa (sf) Cl. A-WX7, Assigned (P)Aaa (sf) Cl. A-WX8, Assigned (P)Aaa (sf) Cl. A-WX9, Assigned (P)Aaa (sf) Cl. A-W1, Assigned (P)Aaa (sf) Cl. A-W2, Assigned (P)Aaa (sf) Cl. A-W3, Assigned (P)Aa1 (sf) Cl. A-W4, Assigned (P)Aaa (sf) Cl. A-W5, Assigned (P)Aaa (sf) Cl. A-W6, Assigned (P)Aaa (sf) Cl. A-W7, Assigned (P)Aaa (sf) Cl. A-W8, Assigned (P)Aaa (sf) Cl. A-W9, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-IO1*, Assigned (P)Aaa (sf) Cl. A-IO2*, Assigned (P)Aaa (sf) Cl. A-IO3*, Assigned (P)Aaa (sf) Cl. A-IO4*, Assigned (P)Aaa (sf) Cl. A-IO5*, Assigned (P)Aaa (sf) Cl. A-IO6*, Assigned (P)Aaa (sf) Cl. A-IO7*, Assigned (P)Aaa (sf) Cl. A-IO8*, Assigned (P)Aaa (sf) Cl. A-IO9*, Assigned (P)Aaa (sf) Cl. A-IO10*, Assigned (P)Aaa (sf) Cl. A-IO11*, Assigned (P)Aaa (sf) Cl. A-IO12*, Assigned (P)Aaa (sf) Cl. A-IO13*, Assigned (P)Aaa (sf) Cl. A-IO14*, Assigned (P)Aaa (sf) Cl. A-IO15*, Assigned (P)Aaa (sf) Cl. A-IO16*, Assigned (P)Aaa (sf) Cl. A-IO17*, Assigned (P)Aaa (sf) Cl. A-IO18*, Assigned (P)Aaa (sf) Cl. A-IO19*, Assigned (P)Aaa (sf) Cl. A-IO20*, Assigned (P)Aaa (sf) Cl. A-IO21*, Assigned (P)Aaa (sf) Cl. A-IO22*, Assigned (P)Aaa (sf) Cl. A-IO23*, Assigned (P)Aa1 (sf) Cl. A-IO24*, Assigned (P)Aa1 (sf) Cl. A-IO25*, Assigned (P)Aa1 (sf) Cl. A-IO26*, Assigned (P)Aa1 (sf) Cl. A-IO27*, Assigned (P)Aaa (sf) Cl. A-IO28*, Assigned (P)Aaa (sf) Cl. A-IO29*, Assigned (P)Aaa (sf) Cl. A-IO30*, Assigned (P)Aaa (sf) Cl. A-IO31*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.91%, in a baseline scenario-median is 0.53% and reaches 12.57% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. OCP CLO 2016-11: S&P Assigns Prelim BB- (sf) Rating on E-R3 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class X-R, A-R3, B-R3, C-R3, D-1R3, D-2R3, and E-R3 debt from OCP CLO 2016-11 Ltd./OCP CLO 2016-11 LLC, a CLO managed by Onex Credit Partners LLC that was originally issued May 2016 and underwent a second refinancing in March 2024. The preliminary ratings are based on information as of July 3, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 10, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to July 10, 2027. -- The reinvestment period will be extended to July 26, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to July 26, 2038. -- Additional assets will be purchased on and after the July 10, 2025, refinancing date, and the target initial par amount will be increased to $500.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 26, 2025. -- The class X-R debt will be issued on the July 10, 2025, refinancing date and is expected to be paid down using interest proceeds during the first 10 payment dates in equal installments of $250,000, beginning on the Oct. 26, 2025, payment date. -- The required minimum overcollateralization ratios will be amended. In addition, the reinvestment overcollateralization ratio will be amended, and the weighted average life test will be extended to nine years from the July 10, 2025, refinancing date. -- Additional subordinated notes will be issued on the refinancing date, bringing the total subordinated notes balance to $92.20 million. -- 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 identified portfolio and supplemented with the 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 OCP CLO 2016-11 Ltd./OCP CLO 2016-11 LLC Class X-R(i), $2.50 million: AAA (sf) Class A-R3, $310.00 million: AAA (sf) Class B-R3, $70.00 million: AA (sf) Class C-R3 (deferrable), $30.00 million: A (sf) Class D-1R3 (deferrable), $30.00 million: BBB- (sf) Class D-2R3 (deferrable), $5.00 million: BBB- (sf) Class E-R3 (deferrable), $15.00 million: BB- (sf) Other Debt OCP CLO 2016-11 Ltd./OCP CLO 2016-11 LLC Subordinated notes(ii), $92.20 million: NR (i)Class X-R notes will amortize evenly over 10 payments beginning on the first payment date. (ii)Balance includes additional subordinated notes expected to be issued on the refinancing date. NR--Not rated. OHA CREDIT 7: S&P Assigns Prelim. B-(sf) Rating on Cl. F-R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class X-R2, A-1-R2, A-2-R2, B-1-R2, B-2-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt and proposed new class F-R2 debt from OHA Credit Funding 7 Ltd./OHA Credit Funding 7 LLC , a CLO managed by Oak Hill Advisors, L.P. that was originally issued in November 2020 and underwent a refinancing in February 2022. The preliminary ratings are based on information as of June 26, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 2, 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 X-R, A-R, B-R, C-R, D-R, and E-R debt and assign ratings to the replacement class X-R2, A-1-R2, A-2-R2, B-1-R2. B-2-R2. C-R2, D-1-R2, D-2-R2, and E-R2 debt and proposed new class F-R2 debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to July 2, 2027. -- The reinvestment period will be extended to July 19, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to July 19, 2038. -- No additional assets will be purchased on the July 2, 2025, refinancing date. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 19, 2025. -- 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 7 Ltd./OHA Credit Funding 7 LLC Class X-R2, $2.75 million: AAA (sf) Class A-1-R2, $352.00 million: NR Class A-2-R2, $11.00 million: NR Class B-1-R2, $39.00 million: AA (sf) Class B-2-R2, $5.00 million: AA (sf) Class C-R2 (deferrable), $44.00 million: A (sf) Class D-1-R2 (deferrable), $33.00 million: BBB- (sf) Class D-2-R2 (deferrable), $3.50 million: NR Class E-R2 (deferrable), $18.50 million: NR Class F-R2 (deferrable), $0.25 million: B- (sf) Other Debt OHA Credit Funding 7 Ltd./OHA Credit Funding 7 LLC Subordinated notes, $43.80 million: NR NR--Not rated. ORION CLO 2025-5: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Orion CLO 2025-5 Ltd./Orion CLO 2025-5 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Antares Liquid Credit Strategies LLC, an affiliate of Antares Capital Advisers LLC. The 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 Orion CLO 2025-5 Ltd./Orion CLO 2025-5 LLC Class A, $254.00 million: AAA (sf) Class B, $50.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $22.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $14.00 million: BB- (sf) Subordinated notes, $41.35 million: NR NR--Not rated. PARALLEL 2023-1: S&P Assigns BB- (sf) Rating on Class D-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, and D-R debt from Parallel 2023-1 Ltd./Parallel 2023-1 LLC, a CLO managed by DoubleLine Capital LP that was originally issued in June 2023. At the same time, S&P withdrew its ratings on the original class A-2, B, C, and D debt following payment in full on the June 30, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to June 30,2026. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. -- Replacement class A-1-R has been rated 'AAA (sf)', though the original class A-1 was not rated previously. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $251.00 million: Three-month CME term SOFR + 1.39% -- Class A-2-R, $53.00 million: Three-month CME term SOFR + 1.80% -- Class B-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.05% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 3.60% -- Class D-R (deferrable), $13.00 million: Three-month CME term SOFR + 7.25% Original debt -- Class A-1, $240.00 million: Three-month CME term SOFR + 2.20% -- Class A-2, $64.00 million: Three-month CME term SOFR + 2.90% -- Class B (deferrable), $20.00 million: Three-month CME term SOFR + 3.50% -- Class C (deferrable), $22.40 million: Three-month CME term SOFR + 6.17% -- Class D (deferrable), $12.60 million: Three-month CME term SOFR + 9.25% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Parallel 2023-1 Ltd. / Parallel 2023-1 LLC Class A-1-R, $251.00 million: AAA (sf) Class A-2-R, $53.00 million: AA (sf) Class B-R (deferrable), $24.00 million: A (sf) Class C-R (deferrable), $24.00 million: BBB- (sf) Class D-R (deferrable), $13.00 million: BB- (sf) Ratings Withdrawn Parallel 2023-1 Ltd. / Parallel 2023-1 LLC Class A-2 to NR from 'AA (sf)' Class B to NR from 'A (sf)' Class C to NR from 'BBB- (sf)' Class D to NR from 'BB- (sf)' Other Debt Parallel 2023-1 Ltd. / Parallel 2023-1 LLC Subordinated notes, $39.45 million: NR NR--Not rated. PMT LOAN 2022-INV1: Moody's Raises Rating on Cl. B-5 Certs to Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of four bonds issued by PMT Loan Trust 2022-INV1. The collateral backing this deal consists of prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: PMT Loan Trust 2022-INV1 Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 28, 2024 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Aug 28, 2024 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 28, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Aug 28, 2024 Upgraded to B1 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, recent performance, and Moody's updated loss expectations on the underlying pool. This transaction Moody's reviewed continues to display strong collateral performance, with cumulative loss to date less than .04% and a small number of loans in delinquency. In addition, enhancement levels for the tranches have grown significantly as the pools amortized. The credit enhancement since closing has grown, on average, by 1.15x for the tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the remaining rated classes in this deal because their expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PMT LOAN 2025-J1: Moody's Assigns Ba2 Rating to Cl. B-5 Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 61 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2025-J1, and sponsored by PennyMac Corp. The securities are backed by a pool of prime jumbo (84.30% by balance) and GSE-eligible (15.70% by balance) residential mortgages originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2025-J1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aaa (sf) Cl. A-32, Definitive Rating Assigned Aaa (sf) Cl. A-33, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X7*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X11*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X25*, Definitive Rating Assigned Aaa (sf) Cl. A-X26*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X31*, Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Definitive Rating Assigned Aaa (sf) Cl. A-X33*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A1 (sf) Cl. B-3, Definitive Rating Assigned Baa1 (sf) Cl. B-4, Definitive Rating Assigned Baa3 (sf) Cl. B-5, Definitive Rating Assigned Ba2 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans assigned on June 13, 2025, because the issuer will not be issuing this class. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.30%, in a baseline scenario-median is 0.12% and reaches 4.81% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. RADIAN MORTGAGE 2025-J2: Fitch Assigns 'Bsf' Rating on B-5 Certs ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Radian Mortgage Capital Trust 2025-J2 (RMCT 2025-J2). Entity/Debt Rating Prior ----------- ------ ----- Radian Mortgage Capital Trust 2025-J2 A-1 LT AAAsf New Rating AAA(EXP)sf A-1-X LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-X LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-13-X LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-15-X LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-17-X LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-19 LT AAAsf New Rating AAA(EXP)sf A-19-X LT AAAsf New Rating AAA(EXP)sf A-20 LT AAAsf New Rating AAA(EXP)sf A-21 LT AAAsf New Rating AAA(EXP)sf A-21-X LT AAAsf New Rating AAA(EXP)sf A-22 LT AAAsf New Rating AAA(EXP)sf A-23 LT AAAsf New Rating AAA(EXP)sf A-23-X LT AAAsf New Rating AAA(EXP)sf A-24 LT AAAsf New Rating AAA(EXP)sf A-24-X LT AAAsf New Rating AAA(EXP)sf A-25 LT AAAsf New Rating AAA(EXP)sf A-25-X LT AAAsf New Rating AAA(EXP)sf A-26 LT AAAsf New Rating AAA(EXP)sf A-27 LT AAAsf New Rating AAA(EXP)sf A-27-X LT AAAsf New Rating AAA(EXP)sf A-28 LT AAAsf New Rating AAA(EXP)sf A-28-X LT AAAsf New Rating AAA(EXP)sf A-29 LT AAAsf New Rating AAA(EXP)sf A-30 LT AAAsf New Rating AAA(EXP)sf A-31 LT AAAsf New Rating AAA(EXP)sf A-32 LT AAAsf New Rating AAA(EXP)sf A-33 LT AAAsf New Rating AAA(EXP)sf A-34 LT AAAsf New Rating AAA(EXP)sf A-34-X LT AAAsf New Rating AAA(EXP)sf A-X LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-1-A LT AAsf New Rating AA(EXP)sf B-1-X LT AAsf New Rating AA(EXP)sf B-2 LT Asf New Rating A(EXP)sf B-2-A LT Asf New Rating A(EXP)sf B-2-X LT Asf New Rating A(EXP)sf B-3 LT BBBsf New Rating BBB(EXP)sf B-3-A LT BBBsf New Rating BBB(EXP)sf B-3-X LT BBBsf New Rating BBB(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf B LT BBBsf New Rating BBB(EXP)sf B-X LT BBBsf New Rating BBB(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch rates the residential mortgage-backed notes issued by Radian Mortgage Capital Trust 2025-J2, as indicated above. The notes are supported by 431 prime loans with a total balance of approximately $396.0 million as of the cutoff date. Following the publication of the presale and expected ratings, the issuer notified Fitch of an updated tape which consisted of four loan drops and updated cutoff balances. In addition, Radian provided Fitch with an updated structure to reflect the new balances. Fitch re-ran both its asset and cash flow analysis and there were no changes to expected losses, credit enhancement, coupons or expected ratings. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.8% above a long-term sustainable level (vs. 11.0% on a national level as of 4Q24, down 0.1% since last quarter, based on Fitch's updated view on sustainable home prices). Housing affordability is currently the worse it has been in decades, driven by both high interest rates and elevated home prices. Home prices had increased 2.9% yoy nationally as of February 2025, notwithstanding modest regional declines, but are still being supported by limited inventory. High Quality Mortgage Pool (Positive): The collateral consists of 30-year, fixed-rate mortgage (FRM) fully amortizing loans seasoned at approximately five months in aggregate, calculated by Fitch as the difference between the cutoff date and the origination date. The average loan balance is $918,836. The collateral primarily comprises 74.7% prime-jumbo loans, followed by 182 agency-conforming loans accounting for 25.3% of the unpaid principal balance (UPB). Borrowers in this pool have strong credit profiles (a 774 average model FICO as calculated by Fitch), in line with comparable prime-jumbo securitizations. The sustainable loan-to-value ratio (sLTV) is 83.2%, and the mark-to-market (MTM) combined loan-to-value ratio (CLTV) is 73.1%. Fitch treated approximately 100% of the loans as full documentation collateral, and 100% of the loans are qualified mortgages (QMs). Of the pool, 95.5% are loans for which the borrower maintains a primary residence, while 4.5% are for second homes. Additionally, 69.5% of the loans were originated through a retail channel. Expected losses in the 'AAAsf' stress amount to 7.00%, similar to those of other comparable prime-jumbo shelves. Shifting-Interest Structure (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. Due to the leakage to the subordinate bonds, the shifting-interest structure requires more CE. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults at a later stage compared with a sequential or modified-sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.95% of the original balance will be maintained for the senior notes and subordinate notes. 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 42.7% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Canopy, Incenter, Opus and Phoenix. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, made the following adjustment to its analysis: a 5% credit was given at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 31-bps reduction to the 'AAA' expected loss. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. RATE MORTGAGE 2025-J2: Moody's Assigns B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 60 classes of residential mortgage-backed securities (RMBS) issued by RATE Mortgage Trust 2025-J2, and sponsored by Guaranteed Rate, Inc. (GRI). The securities are backed by a pool of prime jumbo (100% by balance) residential mortgages originated by GRI and serviced by ServiceMac, LLC. The complete rating actions are as follows: Issuer: RATE Mortgage Trust 2025-J2 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aaa (sf) Cl. A-X-15*, Definitive Rating Assigned Aaa (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-21*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-22*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-X-2*, Definitive Rating Assigned A3 (sf) Cl. B-2A, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1L Loans, Class A-2L Loans, and Class A-3L Loans, assigned on June 11, 2025, because the Class A-1L Loans, Class A-2L Loans, and Class A-3L Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.29%, in a baseline scenario-median is 0.12% and reaches 4.34% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. REGATTA 32: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Regatta 32 Funding Ltd. Entity/Debt Rating ----------- ------ Regatta 32 Funding Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Regatta 32 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 $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.29 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.34% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 37.7% 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-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY 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 Regatta 32 Funding Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the Key Rating Drivers section of the relevant rating action commentary. SBNA AUTO 2025-SF1: Fitch Assigns 'Bsf' Rating on Class F Debt -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to SBNA Auto Receivables Trust (SBAT) 2025-SF1. Entity/Debt Rating Prior ----------- ------ ----- SBNA Auto Receivables Trust 2025-SF1 A LT NRsf New Rating NR(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 E LT BBsf New Rating BB(EXP)sf F LT Bsf New Rating B(EXP)sf KEY RATING DRIVERS Collateral Performance — Prime Credit Quality: 2025-SF1 is the second SBAT transaction from Santander Bank, NA, but the collateral is generally comparable to the SBCLN shelf. The credit quality is overall weaker than the 2021-2022 SBCLN transactions, but more like the 2023-2024 transactions with a weighted average (WA) FICO score of 762. FICO scores less than or equal to 700 total only 14.5% of the pool and 28.7% are above 800. The concentration of extended term loans (>60 months) totals 72.3% of the pool, with 84-month term loans at 12.0%. Seasoning for the pool is low, at approximately three months, though that is comparable to recent SBLCN transactions. Vehicle and model concentrations are in line with comparable prime transactions. The 2025-SF1 pool has a high concentration of approximately 34.6% Tesla vehicles, though the Tesla portion has generally higher credit quality than the overall pool. This is also lower compared to the SBCLN 2024-B and 2024-A transactions (50.4% and 44.7%, respectively). Forward-Looking Approach to Derive Rating Case Proxy — Delinquencies Up, Losses Contained: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series loss proxy. Fitch used the 2007-2009 and 2015-2018 vintage range to derive the loss proxy for 2025-SF1, representing through-the-cycle performance. While performance has deteriorated for 2022 and 2023 originations, increases in delinquencies have not fully rolled into losses. Fitch's rating case cumulative net loss (CNL) proxy for 2025-SF1 is 3.00%. Payment Structure — Adequate Credit Enhancement: Initial hard credit enhancement (CE) totals 12.95%, 10.20%, 7.10%, 3.50%, 2.35%, and 0.50% for classes A, B, C, D, E, and F, respectively. Excess spread is expected to be approximately 2.08% per annum. Loss coverage for each class of notes is sufficient to cover the respective multiples of Fitch's rating case cumulative net loss proxy of 3.00%. Operational and Servicing Risks — Consistent Origination/Underwriting/Servicing: Fitch's current Long-Term Issuer Default Rating for both SBNA and Santander Holdings USA, Inc., the parent of Santander Consumer, is 'A-'/Stable. Fitch views SBNA as an adequate originator, underwriter and servicer, evidenced by the historical performance of its managed portfolio and prior securitizations. Transaction documents also permit the appointment of a special servicer for 60+ day delinquent receivables. Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 2.00%, based on Fitch's "Global Economic Outlook — April 2025 Update" report and forecast projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. In addition, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Fitch therefore conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions, as well as by examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. Fitch also conducts 1.5x and 2.0x increases to the rating case CNL proxy, representing both moderate and severe stresses. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected ratings for the subordinate notes could be upgraded by up to one category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 150 loans from the statistical data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The concentration of battery electric and hybrid vehicles, at approximately 35.1% and 1.3% of the pool, respectively, did not have an impact on Fitch's ratings analysis or conclusions on this transaction and has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SCALELOGIX ABS 2025-1: S&P Assigns Prelim 'BB-' Rating on C Notes ----------------------------------------------------------------- S&P Global Ratings assigned preliminary ratings to Scalelogix ABS US Issuer LLC's series 2025-1 data center revenue term notes. The note issuance is an ABS transaction backed by primarily the asset entities' real property interests in one U.S. data center property, the personal property and fixtures located in the data center, tenant leases, reserves and escrows, certain transaction accounts, and the equity interest in each asset entity The preliminary ratings are based on information as of June 26, 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 lease portfolio's projected performance; -- The data centers' real estate value; -- The manager's and the servicer's experience; -- The manager-, indenture trustee-, and servicer-provided advances, if deemed recoverable by the applicable advancing party; -- The available cushion as measured by the estimated closing date class A DSCR of approximately 1.47x; -- The initial liquidity reserve deposit of approximately $6.6 million, sized to three months of class A senior note interest; and -- The transaction's structure. Preliminary Ratings Assigned Scalelogix ABS US Issuer LLC (series 2025-1) Class A-2, $466.00 million: A- (sf) Class B, $49.00 million: BBB- (sf) Class C, $25.00 million: BB- (sf) SCULPTOR CLO XXX: S&P Assigns BB- (sf) Rating on Cl. E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-1R, C-2R, D-1R, D-2R, and E-R debt and 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 in June 2022. At the same time, S&P withdrew its ratings on the original class B-1, B-2, C, D-1, and D-2 notes following payment in full on the June 30, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to June 30, 2027. -- The reinvestment period was extended to July 20, 2030. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended to July 20, 2038. -- No additional assets were purchased on the June 30, 2025, refinancing date, and the target initial par amount remains 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 new class X-R debt was 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 Jan. 20, 2026, and ending July 20, 2027. -- The required minimum overcollateralization ratios, reinvestment overcollateralization ratio, and minimum weighted average coupon were amended. -- No additional subordinated notes were 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." 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) Ratings Withdrawn Sculptor CLO XXX Ltd./Sculptor CLO XXX LLC Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D-1 (deferrable) to NR from 'BBB+ (sf)' Class D-2 (deferrable) to NR from 'BBB- (sf)' Other Debt Sculptor CLO XXX Ltd./Sculptor CLO XXX LLC Subordinated notes, $36.60 million: NR (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. SIERRA TIMESHARE 2024-2: Fitch Affirms BB-sf Rating on Cl. D Notes ------------------------------------------------------------------ Fitch Ratings has affirmed the ratings of Sierra Timeshare 2024-2 Receivables Funding LLC. The Rating Outlooks on all classes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Sierra Timeshare 2024-2 Receivables Funding LLC A 82650DAA0 LT AAAsf Affirmed AAAsf B 82650DAB8 LT Asf Affirmed Asf C 82650DAC6 LT BBBsf Affirmed BBBsf D 82650DAD4 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS The affirmation of the class A, B, C, and D notes reflects default coverage levels consistent with their current ratings. The Stable Outlooks for all classes of notes reflect Fitch's expectation that default coverage levels will remain supportive of these ratings. To date, the transaction has performed weaker than Fitch's initial expectations. As of the May 2025 collection period, the 61+ day delinquency rate is at 2.73% and cumulative gross defaults (CGDs) are currently at 10.28%. The transaction is currently tracking above the initial rating case proxy of 22.00%. To account for recent performance, the CGD proxy for 2024-2 was increased to 23.00%. Under Fitch's stressed cash flow assumptions, default coverages for the class A and B notes are able to support multiples in excess of 3.00x and 2.25x for 'AAAsf' and 'Asf', respectively. However, the current multiples for the class C and class D notes are short of the 1.50x for 'BBBsf' and 1.17x for 'BB-sf', respectively, but within the one category tolerance permitted by the criteria. The shortfalls are considered marginal and are still within the range of the multiples for their current ratings. In addition, Fitch accounted for the seller's optional repurchase activities on this transaction, resulting in zero net losses to date. The ratings also reflect the quality of Travel + Leisure Co. timeshare receivable originations, the sound financial and legal structure of the transactions, and the strength of the servicing provided by Wyndham Consumer Finance, Inc. Fitch will continue to monitor economic conditions and their impact as they relate to timeshare asset-backed securities and trust level performance variables, and will update the ratings accordingly. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected rating case default proxy, and impact available default coverage and multiples levels for the transaction; - Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Lower default coverage could impact ratings and Rating Outlooks, depending on the extent of the decline in coverage; - In Fitch's initial review of the transaction, the notes were found to have limited sensitivity to a 1.5x and 2.0x increase of Fitch's rating case default expectation. For this review, Fitch updated the analysis of the impact of a 2.0x increase of the rating case default expectation and the results suggest consistent ratings for the outstanding notes. In the event of such a stress, these notes could be downgraded by up to three rating categories. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. Fitch applied an up sensitivity by reducing the rating case proxy by 20%. The impact of reducing the proxies by 20% from the current proxies could result in upgrades up to one category or affirmations of ratings with stronger multiples. 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. SILVER POINT 10: Fitch Assigns 'BB+sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Silver Point 10, Ltd. Entity/Debt Rating ----------- ------ Silver Point CLO 10, Ltd. A-1 (Loans) LT NRsf New Rating A-1 (Notes) LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D1 LT BBB-sf New Rating D2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Silver Point CLO 10, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Silver Point Select C CLO Manager, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 98.35% first lien senior secured loans and has a weighted average recovery assumption of 73.52%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, 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 Authorityregistered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Silver Point CLO 10, 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. SOUND POINT XXXI: Moody's Cuts Rating on $24.75MM Cl. E Notes to B1 ------------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Sound Point CLO XXXI, Ltd. US$24,750,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034, Downgraded to B1 (sf); previously on September 16, 2021 Definitive Rating Assigned Ba3 (sf) Sound Point CLO XXXI, Ltd., originally issued in September 2021 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in October 2026. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and spread deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the transaction has incurred par loss of approximately 1.9% or $10.3 million compared to its Aggregate Ramp-Up Par Amount. Furthermore, the portfolio's weighted average spread (WAS) has been deteriorating and the current trustee reported WAS[1] is 3.35% compared to 3.73% in May 2024[2]. No actions were taken on the Class A, Class B, Class C, and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $539,480,357 Defaulted par: $2,656,795 Diversity Score: 84 Weighted Average Rating Factor (WARF): 2755 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.09% Weighted Average Recovery Rate (WARR): 45.91% Weighted Average Life (WAL): 5.5 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. SOUND POINT XXXIII: Moody's Cuts Rating on $20MM Cl. E Notes to B1 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following notes issued by Sound Point CLO XXXIII, Ltd. US$20,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2035, Downgraded to B1 (sf); previously on March 3, 2022 Definitive Rating Assigned Ba3 (sf) Sound Point CLO XXXIII, Ltd, originally issued in March 2022 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in April 2027. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and spread/coupon deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the transaction has incurred par loss of approximately 1.6% or $8.2 million compared to its Aggregate Ramp-Up Par Amount. Furthermore, the portfolio's weighted average spread (WAS) and weighted average coupon (WAC) have been deteriorating. Based on the May 2025 trustee report, the current portfolio WAS and WAC levels[1] are 3.26% and 2.80%, respectively, compared to 3.67% and 5.00%, respectively, in May 2024[2], failing their respective test levels of 3.38% and 5.00%, respectively. No actions were taken on the Class A, Class B, Class C, and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $491,583,689 Defaulted par: $1,890,424 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2740 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.25% Weighted Average Recovery Rate (WARR): 45.72% Weighted Average Life (WAL): 5.69 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. SYMPHONY CLO 49: Fitch Assigns 'BB-sf' Final Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to the Symphony CLO 49, Ltd.. Entity/Debt Rating Prior ----------- ------ ----- Symphony CLO 49, Ltd. X LT NRsf New Rating NR(EXP)sf A-1 LT AAAsf New Rating AAA(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 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 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 '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. Date of Relevant Committee 20 June 2025 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. TCW CLO 2023-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to TCW CLO 2023-1, Ltd. reset transaction. Entity/Debt Rating ----------- ------ TCW CLO 2023-1, Ltd X-R LT NRsf New Rating A-1R LT NRsf New Rating A-1-LR LT NRsf New Rating A-JR LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1R LT BBB-sf New Rating D-JR LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary TCW CLO 2023-1, Ltd. (the issuer) reset transaction is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by TCW Asset Management Company LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.91 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.29% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.34% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-J-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-J-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-J-R, and 'BBBsf' 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 TCW CLO 2023-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. TCW CLO 2023-1: S&P Withdraws 'BB- (sf)' Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1R and A-LR loans and new class X-R notes from TCW CLO 2023-1 Ltd./TCW CLO 2023-1 LLC, a CLO managed by TCW Asset Management Co. LLC that was originally issued in March 2023. At the same time, S&P withdrew its ratings on the original class A-1N and A-1L loans and class A-1F, A-2, B-1, B-F, C, D, and E notes following payment in full on the June 30, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The weighted average cost of debt for the replacement debt is lower than that for the original debt. -- The original class A-1N and A-1L loans and A-1F notes were replaced by class A-1R notes and A-LR loans. -- The original class B-1 and B-F notes were replaced by a single class B-R notes. The original class D notes were replaced by sequential class D-1R and D-JR notes. -- The non-call period is extended to July 24, 2027. -- The reinvestment period is extended to July 24, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes are extended to March 31, 2038. -- New class X-R notes were issued on the refinancing date and will be paid down using interest proceeds during the first 20 payment dates in equal installments of $200,000, beginning on the first payment date. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned TCW CLO 2023-1 Ltd./TCW CLO 2023-1 LLC Class X-R, $4.0 million: AAA (sf) Class A-LR loans(i), $45.0 million: AAA (sf) Class A-1R, $199.0 million: AAA (sf) Ratings Withdrawn TCW CLO 2023-1 Ltd./TCW CLO 2023-1 LLC Class A-1N to NR from 'AAA (sf)' Class A-1L loans to NR from 'AAA (sf)' Class A-1F to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-F to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt TCW CLO 2023-1 Ltd./TCW CLO 2023-1 LLC Class A-JR, $18.0 million: NR Class B-R, $42.0 million: NR Class C-R (deferrable), $24.0 million: NR Class D-1R (deferrable), $24.0 million: NR Class D-JR (deferrable), $3.0 million: NR Class E-R (deferrable), $13.0 million: NR Subordinated notes, $37.7 million: NR (i)No portion of the class A-LR loans may be converted into class A-1R notes. NR--Not rated. TEXAS DEBT 2023-I: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Texas Debt Capital CLO 2023-I, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Texas Debt Capital CLO 2023-I, Ltd. A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf 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 Subordinated Notes LT NRsf New Rating Transaction Summary Texas Debt Capital CLO 2023-I, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: 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 23.45, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.24% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.35% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-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, 'AAsf' for class C-R, 'Asf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Texas Debt Capital CLO 2023-I, 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. TIAA CLO I: S&P Lowers Class E-R Notes Rating to B- (sf) -------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-1-R, B-2-RR, and C-R debt from TIAA CLO I Ltd. At the same time, S&P lowered its rating on class E-R and affirmed its ratings on the class A-RR and D-R debt from the same transaction. S&P said, "The rating actions follow our review of the transaction's performance using data from the May 2024 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. This transaction is experiencing opposing rating movements because it experienced both principal paydowns (which increased the senior credit support) and faced principal losses, increased exposure in 'CCC' and defaulted assets, and a decline in credit quality (which decreased the junior credit support). The transaction has paid down approximately $156.88 million to the class A-RR debt since our April 2024 rating actions. Following are the changes in the reported overcollateralization (O/C) ratios since the May 2024 trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 154.55% from 130.16%. -- The class C O/C ratio improved to 125.09% from 116.61%. -- The class D O/C ratio improved to 111.77% from 109.48%. -- The class E O/C ratio declined to 102.99% from 104.38%. While the senior O/C ratios experienced a positive movement due to the lower balance of the senior notes, the junior O/C ratio declined due to a combination of par losses, increase in defaults, and an increase in the portfolio's exposure to 'CCC' assets. According to the May 2025 trustee report, the class E O/C ratio is below its threshold. Though paydowns have helped the senior classes, the collateral portfolio's credit quality has slightly deteriorated since S&P's last rating actions. Collateral obligations with ratings in the 'CCC' category have increased, with $40.06 million reported as of the May 2025 trustee report, compared with $36.81 million reported as of the May 2024 trustee report, and this bucket is now representing more than 16% of the portfolio. Over the same period, the par amount of defaulted collateral obligations has increased to $6.79 million from $2.52 million. However, despite the larger concentrations in 'CCC' category and defaulted collateral, the transaction has benefited some from a drop in the weighted average life due to underlying collateral's seasoning, with 3.14 years reported as of the May 2025 trustee report, compared with 3.76 years reported at the time of S&P's April 2024 rating actions. The upgraded ratings reflect the improved credit support available to the notes at the prior rating levels primarily from the delevering from the senior debt paydowns. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class C-R debt. However, because the transaction currently has elevated exposure to 'CCC' rated collateral obligations, defaulted assets, and assets with low market values, S&P limited the upgrade on this class to offset future potential credit migration in the underlying collateral. The affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could results in further ratings changes. While the senior O/C ratios have improved, the collateral portfolio credit quality has deteriorated, and the trustee reported weighted average spread (WAS) declined to 3.21% from 3.69% during the same period. This, combined with par losses, affected the cash flows of the junior tranches, which were lower in the capital structure and hence more sensitive to such changes as the portfolio amortizes. The lowered rating reflects deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class E-R debt. On a standalone basis, the cash flow results indicate a lower rating on the class E-R debt. S&P Said, "However, we expect that the continued paydowns of the class A-RR debt is likely to improve the credit support and ameliorate the cash flow failure of the class E-R debt. It is also our view that class E-R is not currently dependent upon favorable business, financial, or economic conditions to meets its contractual obligations of timely interest and ultimate repayment of principal by legal final maturity and thus does not meet our definition of 'CCC' risk." However, further increases in defaults or par losses could lead to negative rating actions on the notes. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Raised TIAA CLO I Ltd. Class B-1-R to AAA (sf) from AA (sf) Class B-2-RR to AAA (sf) from AA (sf) Class C-R to A (sf) from A+ (sf) Rating Lowered TIAA CLO I Ltd. Class E-R to B- (sf) from BB- (sf) Ratings Affirmed TIAA CLO I Ltd. Class A-R: AAA (sf) Class D-R: BBB- (sf) TIAA CLO III: Moody's Lowers Rating on $18MM Class E Notes to B2 ---------------------------------------------------------------- Moody's Ratings has downgrade the ratings on the following notes issued by TIAA CLO III LTD.: US$18,000,000 Class E Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B2 (sf); previously on September 2, 2020 Confirmed at Ba3 (sf) TIAA CLO III LTD., issued in December 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's June 2025 report[1], the OC ratio for the Class E notes is failing its trigger level and is reported at 102.20% versus the trustee's September 2024 [2]reported level of 105.08%. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and its current reported level June 2025 [3]is 3884, compared to 3394 in September 2024[4]. No actions were taken on the Class A, Class B, Class C and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $184,695,850 Defaulted par: $9,307,905 Diversity Score: 49 Weighted Average Rating Factor (WARF): 3520 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.18% Weighted Average Recovery Rate (WARR): 47.1% Weighted Average Life (WAL): 3.1 years Par haircut in OC tests and interest diversion test: 2.8% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. TOWD POINT 2025-1: Fitch Assigns B-sf Final Rating on Cl. B2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Towd Point Mortgage Trust 2025-1 (TPMT 2025-1). Entity/Debt Rating Prior ----------- ------ ----- TPMT 2025-1 A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf M1 LT A-sf New Rating A-(EXP)sf M2 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf B4 LT NRsf New Rating NR(EXP)sf B5 LT NRsf New Rating NR(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A1L LT NRsf New Rating NR(EXP)sf CVR LT NRsf New Rating NR(EXP)sf XS1 LT NRsf New Rating NR(EXP)sf XS2 LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary 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 OTS 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 at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices increased 2.9% yoy nationally as of February 2025, notwithstanding 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 days-59 days DQ. Over the past two years, 92.7% of loans have been clean current. This includes 11 loans with DQ due to servicing transfers, 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 interest-only 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, defaults were still increased by 62% to account for this risk. Limited Advancing (Mixed): The transaction is structured to six months of servicer advances for DQ P&I. The limited advancing reduces loss severities (LSs), 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. 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. 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 rep. 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 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 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. TRINITAS CLO VIII: Moody's Affirms B1 Rating on $26MM Cl. E Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Trinitas CLO VIII, Ltd.: US$26.5M Class C Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Nov 26, 2024 Upgraded to Aa1 (sf) US$32.5M Class D Deferrable Floating Rate Notes, Upgraded to Baa1 (sf); previously on Nov 26, 2024 Upgraded to Baa2 (sf) Moody's have also affirmed the ratings on the following notes: US$320M (Current outstanding amount US$50,411,526) Class A Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 26, 2024 Affirmed Aaa (sf) US$55M Class B Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 26, 2024 Upgraded to Aaa (sf) US$26M Class E Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Nov 26, 2024 Affirmed B1 (sf) Trinitas CLO VIII, Ltd., issued in July 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Trinitas Capital Management, LLC. The transaction's reinvestment period ended in July 2023. RATINGS RATIONALE The rating upgrades on the Class C and D notes are primarily a result of the deleveraging of the Class A notes following amortisation of the underlying portfolio since the last rating action in November 2024. The affirmations on the ratings on the Class A, B and E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately USD71.4 million (22.31% of the original balance) since the last rating action in November 2024 and USD269.6 million (84.25%) 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/B, Class C, Class D and Class E OC ratios are reported at 191.41%, 152.96%, 122.72% and 105.97% compared to November 2024[2] levels of 153.51%, 133.50%, 115.10% and 103.67%, respectively. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD206.8m Defaulted Securities: USD1.8m Diversity Score: 44 Weighted Average Rating Factor (WARF): 3678 Weighted Average Life (WAL): 3.32 years Weighted Average Spread (WAS): 3.51% Weighted Average Recovery Rate (WARR): 46.77% Par haircut in OC tests and interest diversion test: 2.80% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. UBS COMMERCIAL 2018-C9: Fitch Lowers Rating on C Certs to 'B-sf' ---------------------------------------------------------------- Fitch Ratings has downgraded eight and affirmed four classes of UBS Commercial Mortgage Trust 2018-C9 Commercial Mortgage Pass-Through Certificates (UBS 2018-C9). Following their downgrades, classes A-S, B, X-B and C were assigned Negative Rating Outlooks. Fitch has affirmed 12 classes of UBS Commercial Mortgage Trust 2018-C8 Commercial Mortgage Pass-Through Certificates (UBS 2018-C8). The Outlooks remain Negative on classes B, X-B, C, D, D-RR, E-RR and F-RR. Entity/Debt Rating Prior ----------- ------ ----- UBS Commercial Mortgage Trust 2018-C8 A-3 90276VAD1 LT AAAsf Affirmed AAAsf A-4 90276VAE9 LT AAAsf Affirmed AAAsf A-S 90276VAH2 LT AAAsf Affirmed AAAsf A-SB 90276VAC3 LT AAAsf Affirmed AAAsf B 90276VAJ8 LT AA-sf Affirmed AA-sf C 90276VAK5 LT A-sf Affirmed A-sf D 90276VAN9 LT BBBsf Affirmed BBBsf D-RR 90276VAQ2 LT BBB-sf Affirmed BBB-sf E-RR 90276VAS8 LT BBsf Affirmed BBsf F-RR 90276VAU3 LT B-sf Affirmed B-sf X-A 90276VAF6 LT AAAsf Affirmed AAAsf X-B 90276VAG4 LT AA-sf Affirmed AA-sf UBS 2018-C9 A3 90291JAV9 LT AAAsf Affirmed AAAsf A4 90291JAW7 LT AAAsf Affirmed AAAsf AS 90291JAZ0 LT AA-sf Downgrade AAAsf ASB 90291JAU1 LT AAAsf Affirmed AAAsf B 90291JBA4 LT BBB-sf Downgrade Asf C 90291JBB2 LT B-sf Downgrade BBB-sf D 90291JAC1 LT CCCsf Downgrade Bsf D-RR 90291JAE7 LT CCsf Downgrade CCCsf E-RR 90291JAG2 LT Csf Downgrade CCsf F-RR 90291JAJ6 LT Csf Downgrade CCsf XA 90291JAX5 LT AAAsf Affirmed AAAsf XB 90291JAY3 LT BBB-sf Downgrade Asf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 14.9% in UBS 2018-C9 an increase from 11.2% at Fitch's prior rating action. Deal-level 'Bsf' rating case losses in UBS 2018-C8 is 5.3%, in line with 5.2% at the last rating action. Fitch Loans of Concerns (FLOCs) comprise nine loans (39%) in UBS 2018-C9, including five specially serviced loans (25.1%), and nine loans (23.6% of the pool) in UBS 2018-C8, including one specially serviced loan (5.6%). The downgrades in UBS 2018-C9 reflect increased pool loss expectations since Fitch's last rating action. The increase was primarily driven by a significantly lower updated appraisal value on the specially serviced loans Radisson Oakland and further performance deterioration on the largest loan in pool, Aspen Lake Office Portfolio following its recent transfer to special servicing. Further valuation declines on the special serviced Midwest Hotel Portfolio and 22 West 38th Street loans were also contributing factors. The Negative Outlooks on classes AS, B, X-B, C and D in UBS 2018-C9 reflect possible downgrades without performance stabilization or with additional valuation declines of the aforementioned FLOCs. The Negative Outlooks on classes B, X-B, C and D in UBS 2018-C8 reflect their exposure to the high concentration of FLOCs in the pool. The Negative Outlooks also reflect possible downgrades should performance deteriorate further on the FLOCs, including Tryad Industrial & Business Center (5.7%), Park Place at Florham Park (5.1%) and City Square and Clay Street (5.1%). The Negative Outlooks on classes D-RR, E-RR and F-RR in UBS 2018-C8 reflect possible downgrades should performance deteriorate further with respect the newly specially serviced Tryad Industrial & Business Center. FLOCs; Largest Loss Contributors: The largest increase in loss since the prior rating action and third largest contributor to loss in UBS 2018-C9 is Radisson Oakland (3.7%). The loan transferred to special servicing in September 2023 due to imminent monetary default and a receiver was appointed in February 2025. The loan is secured by a 266-key full-service hotel located in Oakland, CA. Fitch's 'Bsf' rating case loss of approximately 69% reflects a discount to the most recent appraisal which reflects a Fitch value of approximately $42,000 per key. The second largest increase in loss since the prior rating action and largest contributor to loss in UBS 2018-C9 is the Aspen Lake Office Portfolio loan (8.7%). The loan transferred to special servicing in February 2025 due to imminent monetary default and is 90+ days delinquent as of the May 2025 remittance. The loan is secured by a portfolio of three adjacent suburban office properties totaling 381,588 sf and located in northwest Austin, TX. LDR Spine USA, Inc. (23.4% of NRA and 31.3% rent) vacated as expected upon its Dec. 2024 lease expiration. The current largest tenant, Transunion (9.4% of NRA and 21.3% rent) lease expired in February 2025. A leasing status update was requested. Upcoming rollover is as follows: 15.1% (2025; 36.3% rent); 5% (2026; 10.9% rent); 8.9% (2027; 14.7% rent). As of the latest available February 2025 rent roll, the portfolio is 47.2% occupied down from 78.6% in Sept 2023 following the loss of the largest tenant. The servicer-reported NOI DSCR was 1.50x at September 2024, in line with 1.53x at YE 2023. Fitch's 'Bsf' rating case loss of 34.9% (prior to concentration adjustments) is based on a 10% cap rate, a 30% stress to the YE 2023 NOI due to loss of the largest tenant and upcoming rollover risk and the loan's default status. The third largest increase in loss since the prior rating action in UBS 2018-C9 is the Midwest Hotel Portfolio (6%). The loan transferred to special servicing in March 2020 for imminent payment default due to the coronavirus pandemic. The loan is secured by a portfolio of eight limited-service hotel properties totaling 658-keys and located in secondary/tertiary markets in three states (MO, IL and IN). Discussions are ongoing with the borrower and all 8 properties have a receiver appointed. Fitch's 'Bsf' rating case loss of approximately 18% reflects a discount to the most recent appraisal which reflects a Fitch value of approximately $58,000 per key. The largest contributor to loss in UBS 2018-C8 is the City Square and Clay Street loan (5.1%). The loan transferred to special servicing in April 2023 due to imminent monetary default and returned back to the master servicer in July 2024 following load modification which included a portion of the default interest being paid. The loan is secured by a 246,136- sf mixed use property consisting of 151,304-sf of office space, 94,832-sf of retail space and a 1,154-stall parking garage. Occupancy declined to 64% in 2022 from 78% in 2021 after Chevron (14%) vacated at its June 2022 lease expiration. Occupancy declined further to 58% as of September 2024. Major tenants include The Club at City Center (23.1% of NRA; expires in October 2036), Kaiser Foundation Health Plan (6.9%; expires in May 2028) and ENGIE Services U.S. (5.7%; expires in March 2029). Upcoming rollover consists of 7.2 in 2025, 0.8% in 2026 and 8.7% in 2027. The servicer-reported NOI DSCR was 0.89x as of September 2024 compared to 1.0x as of YE 2023. Fitch's 'Bsf' rating case loss of 27.3% (prior to a concentration adjustment) is based on a 10% cap rate and September 2024 NOI. The second largest contributor to loss in UBS 2018- C8 is Tryad Industrial & Business Center (5.6%), which is secured by a 3.3 million-sf, 11-building industrial flex property located in Rochester, NY. The largest tenants include Hammer Packaging Corp. (7.9%; expires in December 2028), Harris Corporation (7.5%; multiple leases expire between August 2025 and August 2028) and Kodak Alaris (6.4%; expires in December 2028). Fitch designated the loan a FLOC due to low occupancy, fluctuating DSCR and upcoming rollover concerns. Occupancy has remained in the low to mid 60s since YE 2020. The property was 62% occupied as of YE 2024. The servicer-reported NOI DSCR was1.18x at YE 2024 compared to 1.16x at YE 2023 and 1.11x at YE 2022. Upcoming rollover consists of 11.2% (11.1% rent) in 2025, 9% (24.1% rent) in 2026 and 7.2% (11.3% rent) % in 2027.The loan is current but has been < 1 month delinquent four times within the past 12 months. Fitch's 'Bsf' case loss of 16.1% (prior to a concentration adjustment) is based on a 9.5% cap rate, 20% stress to YE 2024 NOI due to upcoming rollover risk and delinquency history. The third largest contributor to loss in UBS 2018- C8 is Park Place at Florham Park (5.1%), which is secured by a four-building suburban office park totaling 360,265-sf and located in Florham Park, NJ. Fitch designated the loan a FLOC due to declining performance. Occupancy declined to 75.5% as of the March 2024 rent roll from 84.7% as of June 2022, after three tenants (9.9% NRA and 11.6% rent) vacated at or prior to their lease expiration. These tenants were McCusker Anselmi Rosen Carvell (vacated ahead of scheduled May 31,2026 lease expiration), Normandy FundSub Mgmt Co., LLC (lease expired May 31, 2022) and Phoenix Power Group, Inc. (lease expired April 22, 2023). Occupancy remained unchanged at 75.5% as of the March 2025 rent roll. The top three tenants are Fairleigh Dickinson University (21.4%; expires June 2028), RBC Capital Markets (14.6%; expires July 2028) and Schenk Price Smith & King LLP (10.7%; expires December 2027). The servicer-reported NOI DSCR was 1.24x at YE 2023 compared to 1.44x the prior year. Upcoming rollover consists of 11.5% of the NRA in 2025, 0% in 2026 and 16.3% in 2027. The loan has been current for the past 12 months. Fitch's 'Bsf' rating case loss of 13.2% (prior to a concentration adjustment) is based on a 10% cap rate and 10% stress to September 2024 NOI. Change in Credit Enhancement (CE): As of the May 2025 remittance report, the aggregate pool balances of the UBS 2018-C9 and UBS 2018-C8 transactions have been reduced by 10.9% and 15.7%, respectively, since issuance. The UBS 2018-C9 transaction includes nine loans (15.7% of the pool) that have fully defeased and UBS 2018-C8 has nine defeased loans (11.3%). Interest shortfalls of about $7.4 million are affecting classes D-RR through the non-rated NR-RR class in UBS 2018-C9 and $239,000 are affecting the non-rated class NR-RR in UBS 2018-C8. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to '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. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs. Downgrades to classes rated in the 'BBBsf' category are possible with higher than expected losses from continued underperformance of the FLOCs and/or with greater certainty of losses on the specially serviced loans and/or FLOCs. Elevated risk loans include Aspen Lake Office Portfolio, Midwest Hotel Portfolio and Radisson Oakland in UBS 2018-C9 and Tryad Industrial & Business Center and City Square and Clay Street in UBS 2018-C8. Downgrades to classes rated in the 'BBsf' and 'Bsf' categories would occur with greater certainty of losses on the specially serviced loans or FLOCs and/or additional loans transfer to special servicing. Downgrades to the distressed 'CCCsf','CCsf' and 'Csf' rated classes would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs, including Aspen Lake Office Portfolio, Midwest Hotel Portfolio and Radisson Oakland in UBS 2018-C9 and Tryad Industrial & Business Center and City Square and Clay Street in UBS 2018-C8. Upgrades to 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 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs and specially serviced loans are better than expected and there is sufficient CE to the classes. Upgrades to the distressed 'CCCsf','CCsf' and 'Csf' rated classes are not expected, but possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. VOYA CLO 2020-1: S&P Raises Class E-R Notes Rating to B+ (sf) ------------------------------------------------------------- S&P Global Ratings lowered and removed from CreditWatch its ratings on the class E-R debt from Voya CLO 2019-4 Ltd. and Voya CLO 2020-1 Ltd., both U.S. broadly syndicated CLO transactions managed by Voya Alternative Asset Management LLC. The two ratings were placed on CreditWatch with negative implications on May 1, 2025, due to a combination of a drop in the CLOs' overcollateralization (O/C) ratios and weakened cash flow results. In addition, S&P affirmed eight ratings on the two transactions. S&P said, "Both CLOs are in their reinvestment period. The rating actions follow our review of each transaction's performance using data from the April 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 rating list highlights the key performance metrics behind the specific rating actions. "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, we also incorporate other considerations into our decision to raise, lower, affirm, or limit rating movements." These considerations typically include: -- Whether the CLO is reinvesting or paying down its notes; -- Existing subordination or 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 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. The affirmations reflect S&P's view that the available credit enhancement for each respective class is still commensurate with the assigned ratings. S&P said, "Although our cash flow analysis indicated a different rating for some classes of notes, we took the rating actions 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 Class CUSIP To From Voya CLO 2019-4 Ltd. A-1R 92918BAN3 AAA (sf) AAA (sf) Main rationale: Cash flows continue to pass at the current rating. Voya CLO 2019-4 Ltd. B-R 92918BAS2 AA (sf) AA (sf) Main rationale: Passing cash flows. Although our base-case analysis indicated a higher rating, our decision reflects our consideration that the CLO is still reinvesting and hence its portfolio is subject to changes and volatility. Voya CLO 2019-4 Ltd. C-R 92918BAU7 A (sf) A (sf) Main rationale: Passing cash flows. Although our base-case analysis indicated a higher rating, our decision reflects our consideration that the CLO is still reinvesting and hence its portfolio is subject to changes and volatility. Voya CLO 2019-4 Ltd. D-R 92918BAW3 BBB- (sf) BBB- (sf) Main rationale: Though cash flows indicate a one-notch downgrade, our decision considered that its current credit enhancement is in line with the averages, passing coverage tests, and the portfolio's relatively low exposure to CCC assets Voya CLO 2019-4 Ltd. E-R 92917UAE2 B+ (sf) BB- (sf)/ Watch Neg Main rationale: Failing cash flows at previous rating. Though cash flows pointed to a lower rating, our action considers the tranche's credit enhancement at the current rating category, and the portfolio's low exposure to CCC rated assets. Voya CLO 2020-1 Ltd. A-R 92918EAL1 AAA (sf) AAA (sf) Main rationale: Cash flows continue to pass at the current rating. Voya CLO 2020-1 Ltd. B-R 92918EAN7 AA (sf) AA (sf) Main rationale: Passing cash flows. Although our base-case analysis indicated a higher rating, our decision reflects our consideration that the CLO is still reinvesting and hence its portfolio is subject to changes and volatility. Voya CLO 2020-1 Ltd. C-R 92918EAQ0 A (sf) A (sf) Main rationale: Cash flows continue to pass at the current rating. Voya CLO 2020-1 Ltd. D-R 92918EAS6 BBB- (sf) BBB- (sf) Main rationale: Though cash flows indicate a one-notch downgrade, our decision considered that its current credit enhancement is in line with the averages, passing coverage tests, and the portfolio's relatively low exposure to CCC assets Voya CLO 2020-1 Ltd. E-R 92918GAE2 B+ (sf) BB- (sf)/ Watch Neg Main rationale: Failing cash flows at previous rating. Though cash flows pointed to a lower rating, our action considers the tranche's credit enhancement at the current rating category, and the portfolio's low exposure to CCC rated assets. VOYA CLO 2025-2: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Voya CLO 2025-2, Ltd. Entity/Debt Rating ----------- ------ Voya CLO 2025-2, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB+sf New Rating D-2 LT BBB-sf New Rating D-3 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Voya CLO 2025-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.44 versus a maximum covenant, in accordance with the initial expected matrix point of 24.84. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.4% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.97% versus a minimum covenant, in accordance with the initial expected matrix point of 72.9%. Portfolio Composition (Positive): The largest three industries may comprise up to 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, between less than 'B-sf' and 'BB+sf' for class D-3, and between less than 'B-sf' and 'BBsf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A+sf' for class D-2, 'A-sf' for class D-3, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. WARWICK CAPITAL 6: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Warwick Capital CLO 6 Ltd. Entity/Debt Rating ----------- ------ Warwick Capital CLO 6 Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Warwick Capital CLO 6 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Warwick Capital CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Neutral): 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 22.87, versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Neutral): The indicative portfolio consists of 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.65% versus a minimum covenant, in accordance with the initial expected matrix point of 69.25%. Portfolio Composition (Neutral): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Neutral): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' 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. ESG Considerations Fitch does not provide ESG relevance scores for Warwick Capital CLO 6 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. WELLS FARGO 2015-C31: Fitch Lowers Rating on Two Tranches to 'BBsf' ------------------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed 10 classes of Wells Fargo Commercial Mortgage Trust 2015-C31 commercial mortgage pass-through certificates (WFCM 2015-C31). Following the downgrades, Fitch assigned Negative Rating Outlooks to classes D and X-D. The Rating Outlooks remain Negative on classes C and PEX. Fitch has also affirmed 12 classes of Wells Fargo Commercial Mortgage Trust 2015-P2 (WFCM 2015-P2). The Rating Outlooks remain Negative on classes C, D, X-D and E. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2015-P2 A-3 95000AAT4 LT AAAsf Affirmed AAAsf A-4 95000AAU1 LT AAAsf Affirmed AAAsf A-S 95000AAW7 LT AAAsf Affirmed AAAsf A-SB 95000AAV9 LT AAAsf Affirmed AAAsf B 95000AAZ0 LT AA+sf Affirmed AA+sf C 95000ABA4 LT Asf Affirmed Asf D 95000AAC1 LT BBB-sf Affirmed BBB-sf E 95000AAE7 LT Bsf Affirmed Bsf F 95000AAG2 LT CCCsf Affirmed CCCsf X-A 95000AAX5 LT AAAsf Affirmed AAAsf X-B 95000AAY3 LT AA+sf Affirmed AA+sf X-D 95000AAA5 LT BBB-sf Affirmed BBB-sf WFCM 2015-C31 A-3 94989WAR8 LT AAAsf Affirmed AAAsf A-4 94989WAS6 LT AAAsf Affirmed AAAsf A-S 94989WAU1 LT AAAsf Affirmed AAAsf A-SB 94989WAT4 LT AAAsf Affirmed AAAsf B 94989WAY3 LT AAsf Affirmed AAsf C 94989WAZ0 LT A+sf Affirmed A+sf D 94989WBB2 LT BBsf Downgrade BBB-sf E 94989WAD9 LT CCCsf Downgrade B-sf F 94989WAF4 LT CCCsf Affirmed CCCsf PEX 94989WBA4 LT A+sf Affirmed A+sf X-A 94989WAV9 LT AAAsf Affirmed AAAsf X-B 94989WAW7 LT AAsf Affirmed AAsf X-D 94989WAX5 LT BBsf Downgrade BBB-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Fitch's downgrades for WFCM 2015-C31 incorporate a 'Bsf' rating case loss of 9.8%, an increase from 7.4% at Fitch's prior rating action. Eighteen loans (35.9% of the pool) have been designated as Fitch Loans of Concern (FLOCs), including four loans (19%) in special servicing. The affirmations for WFCM 2015-P2 reflect relatively stable performance of the remaining pool. Fitch's current 'Bsf' rating case loss is 8.4%, a slight decline from 8.7% at Fitch's prior rating action. Twelve loans are designated as FLOCs (35% of pool), including one specially serviced loan (2.6%). Due to the near-term loan maturities, increasing pool concentration, upcoming maturities 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. FLOCs; Regional Mall Exposure; Upcoming Loan Maturities: The Negative Outlooks for WFCM 2015-C31 and WFCM 2015-P2 reflect each transaction's pool concentrations and refinancing concerns. This includes an elevated level of FLOCs, regional mall exposure, specifically the specially serviced Patrick Henry Mall (3.1% in WFCM 2015-C31) and Empire Mall (11% in WFCM 2015-P2) and significant upcoming loan maturities. For WFCM 2015-C31, 99.6% of the pool is scheduled to mature by YE 2025. All the remaining loans in WFCM 2015-P2 mature or have an anticipated repayment date (ARD, 1.3% of the pool) by YE 2025. Largest Contributors to Expected Loss: The largest contributor to pool loss expectations in WFCM 2015-C31 is the specially serviced Sheraton Lincoln Harbor Hotel loan (8.5%), which is secured by a 358-key full-service hotel in Weehawken, NJ about 1/2 mile south of the Lincoln Tunnel. The loan transferred to special servicing in January 2021 for imminent default. The sponsor cooperated with a consensual foreclosure action in March 2021, and a receiver was appointed in April 2021. Recent servicer commentary indicated the property is expected to be sold later in 2025 via the receiver. Per the servicer reported YE 2024 OSAR, the NOI DSCR was 1.27x, occupancy was 89.9%, ADR $200 and RevPAR $179. A recent STR report has not been provided. Per the March 2024 STR report, the property occupancy, ADR and RevPAR were 90%, $190 and $171, respectively, compared with 74%, $225 and $167 for its competitive set. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 45% reflects a discount to the most recent reported appraisal value, equating to a stressed value per key of approximately $161,500, and factors the increasing total loan exposure. The second largest contributor to expected losses in WFCM 2015-C31 is the specially serviced CityPlace I loan (6.5%), secured by an 884,366-sf office building in Hartford, CT. The property has experienced a decline in occupancy to 47% as of April 2024 following the previously largest tenant, United Healthcare, significantly reducing its space to 6.6% of the NRA from 45.2%. Bank of America and PwC also reduced their footprints to 5.7% and 2.7% of the NRA, respectively. As of July 2024, per Costar, the Hartford office submarket has a vacancy of 11.3% and an average annual market rent of $20.76 psf for similar class properties. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of approximately 44% reflects a 65% stress to the YE 2022 NOI and incorporates a higher probability of default to account for the specially serviced status, occupancy declines and challenge in re-leasing the large vacant spaces at the property. Additionally, Fitch considered a sensitivity scenario on this loan with an outsized loss of 75% given the possibility of a prolonged workout given the deteriorating office sector outlook and submarket leasing challenges; this contributed to the Negative Outlooks on classes C and PEX in WFCM 2015-C31. The third largest contributor to expected losses in WFCM 2015-C31 is the specially serviced Patrick Henry Mall loan (2.7%), which is secured by a 432,401-sf portion of a 716,558-sf regional mall located in Newport News, VA. The loan returned to special servicing in March 2025, after previously entering special servicing in January 2024 due to the bankruptcy of the guarantor, Pennsylvania Real Estate Investment Trust (PREIT). The largest tenant is JCPenney (19.7% total collateral, expiration May 2025); the tenant renewed in 2020 for five years and there are four renewal options remaining. Per the property website, JC Penney is listed as a current tenant. Other major tenants include Dick's Sporting Goods (11.6% NRA, January 2027) and Forever 21 (4.9% NRA, January 2025). Macy's and Dillard's are non-collateral anchors. The mall's occupancy has remained steady and was reported at 96% occupancy as of YE 2023. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of approximately 36% reflects an increased cap rate of 20% to the YE 2023 NOI and incorporates a higher probability of default on this loan to account for the specially serviced status, sponsorship and refinancing concerns at its upcoming July 2025 maturity. The largest contributor to loss expectations in the WFCM 2015-P2 transaction is Empire Mall (11%), which is secured by an approximately 1.1 million-sf super-regional mall in Sioux Falls, SD. The loan, which is sponsored by Simon, was designated a FLOC given the tertiary location and refinancing concerns. The largest collateral tenants include JCPenney, which leases 13% of the NRA through April 2026, and Hy-Vee food stores, which leases 8.5% NRA through December 2026. Sears and Yonkers closed in 2018. Macy's ground lease has been extended to 2034. Dillard's backfilled and expanded into the former Yonkers box with the store opening in late 2024. The Sears box remains vacant. The servicer-reported occupancy and NOI DSCR were 85% and 1.63x, respectively, at YE 2024 compared with 68% and 1.49x at YE 2022. The most recent in-line sales for tenants less than 10,000 sf were approximately $456 psf as of March 2024 compared with $441 psf as of YE 2021, a rebound from trough sales of $327 psf in 2020. Fitch requested updated tenant sales but they have not been provided. Fitch's 'Bsf' ratings case loss (prior to concentration adjustments) of approximately 37% reflects a 20% cap rate and a 7.5% stress to the reported YE 2024 NOI. Fitch increased the probability of default to reflect increasing maturity default risk due to the lower-tier regional mall asset quality, tertiary location and cash flow that remains below issuance. This higher probability of default assumption considers the likelihood the sponsor may have difficulty refinancing the outstanding total debt ($167.5 million as of June 2025) at the loan's scheduled maturity in December 2025. The partial interest-only loan has amortized 11.8% through June 2025. The second largest contributor to loss expectations is the specially serviced Columbine Place loan (2.6%), which is secured by a leasehold interest in a 149,694-sf office building in downtown Denver, Colorado. The loan transferred to special servicing in September 2022 as performance has deteriorated over the past several years. The reported YE 2024 occupancy was 41%, compared with 53% at YE 2023, 62% at YE 2021 and 80% in 2020. The reported cash flow has been negative since YE 2021 due to the increased vacancy. The prior two largest tenants vacated at the end of 2021. The ground lease expires in 2079. Fitch's 'Bsf' ratings case loss prior to concentration add-on of 99% reflects a discount to the most recent appraisal due to the leasehold interest, and reflects a stressed value of $7 psf. Increased Credit Enhancement (CE): As of the June 2025 remittance report, the aggregate pool balances of the WFCM 2015-C31 and WFCM 2015-P2 transactions have been reduced by approximately 30.2% and 39.9%, respectively, since issuance. The WFCM 2015-C31 transaction includes 22 loans (16.6% of the pool) that are defeased, and WFCM 2015-P2 has eight (8.9%) defeased loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to '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. Downgrades to classes rated in the 'AAsf' category could occur if deal-level losses increase significantly from outsized losses on larger FLOCs, more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to classes rated in the 'Asf' and 'BBBsf' category, which have Negative Outlooks, are possible with higher than expected losses from continued underperformance of the FLOCs, more loans than expected are unable to refinance at maturity and/or with greater certainty of losses on the specially serviced loans and/or FLOCs. Elevated risk loans include Sheraton Lincoln Harbor Hotel, CityPlace I and Patrick Henry Mall in WFCM 2015-C31, and Empire Mall, Columbine Place and 2700 Blankenbaker in WFCM 2015-P2. Downgrades to classes rated in the 'Bsf' category would occur with greater certainty of losses on the specially serviced loans or FLOCs, should additional loans transfer to special servicing or default at or before loan maturity. Downgrades to distressed ratings would occur as losses are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf', 'Asf' and 'BBBsf' category may be possible with significantly increased CE due to loan payoffs, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs, including Sheraton Lincoln Harbor Hotel, CityPlace I and Patrick Henry Mall in WFCM 2015-C31 and Empire Mall in WFCM 2015-P2. Upgrades to classes rated in the 'Asf' and 'BBBsf' category could be limited based on sensitivity to concentrations. Classes would not be upgraded above 'AA+sf' if there is a likelihood of interest shortfalls. Upgrades to the 'Bsf' category rated class are not likely until the later years in a transaction and only if there is significant paydown due to loans paying off at maturity, recoveries on the FLOCs and specially serviced loans are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but possible with better than expected recoveries on specially serviced loans and FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WFRBS COMMERCIAL 2013-C14: Moody's Cuts Rating on 2 Tranches to B1 ------------------------------------------------------------------ Moody's Ratings has affirmed the ratings on two classes and downgraded the ratings on four classes in WFRBS Commercial Mortgage Trust 2013-C14, Commercial Mortgage Pass-Through Certificates, Series 2013-C14 as follows: Cl. A-S, Affirmed Aa2 (sf); previously on Dec 5, 2023 Affirmed Aa2 (sf) Cl. B, Downgraded to B1 (sf); previously on Dec 5, 2023 Downgraded to Ba2 (sf) Cl. C, Downgraded to Caa2 (sf); previously on Dec 5, 2023 Downgraded to B3 (sf) Cl. X-A*, Affirmed Aa2 (sf); previously on Dec 5, 2023 Downgraded to Aa2 (sf) Cl. X-B*, Downgraded to B1 (sf); previously on Dec 5, 2023 Downgraded to Ba2 (sf) Cl. PEX, Downgraded to B3 (sf); previously on Dec 5, 2023 Downgraded to Ba3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on one P&I class, Cl. A-S, was affirmed because of its significant credit support and the expected principal paydowns from the remaining loans in the pool. Cl. A-S has already paid down 86% since securitization and will benefit from priority of principal payments from liquidations or payoffs from the remaining loans in the pool. The ratings on two P&I classes, Cl. B and Cl. C, were downgraded primarily due to higher anticipated losses and increased interest shortfall risk driven by exposure to specially serviced and troubled loans that were unable to payoff at their original maturity or anticipated repayment dates (ARD). Three specially serviced loans represent 34% of the pool and have all experienced significant declines in cash flow and occupancy since securitization. The largest specially serviced loan is the 301 South College Street loan (24% of the pool), whose main tenant previously downsized and vacated a significant portion of their original space. The two other specially serviced loans (a combined 9.5%) have already been deemed non-recoverable by the master servicer. Furthermore, the two non-specially serviced loans include the White Marsh Mall Loan (33% of the pool), which is secured by a poorly performing regional mall that recently returned from special servicing in April 2025 after the loan assumption and extension and the Midtown I & II Loan (33% of the pool), which also had a significant tenant downsize at the property and was reported at 37% leased. Given the higher interest rate environment and loan performance, Moody's do not anticipate significant near-term loan paydowns and the outstanding classes will face increased risk of interest shortfalls and higher potential losses if the outstanding loans remain or become further delinquent. As of the June 2025 remittance statements interest shortfalls have impacted up to Cl. B. The rating on one interest-only (IO) class, Cl. X-A, was affirmed based on the credit quality of its current referenced class. The rating on one IO class, Cl. X-B, was downgraded based on a decline in the credit quality of its referenced class. The rating on the exchangeable class, Cl. PEX, was downgraded due to the decline in credit quality of its referenced exchangeable classes and from principal paydowns of higher quality referenced exchangeable class. Cl. PEX references classes A-S, B and C and class A-S has previously paid down 86% from its original balance. Social risk for this transaction is higher (IPS S-4) and the transaction's Credit Impact Score is CIS-4. Moody's regards e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 46.5% of the current pooled balance, compared to 40.3% at Moody's last reviews. Moody's base expected loss plus realized losses is now 11.9% of the original pooled balance, compared to 10.2% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 34% of the pool is in special servicing and 66% has been recognized as troubled loans. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking views of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced or troubled loans or interest shortfalls. DEAL PERFORMANCE As of the June 2025 distribution date, the transaction's aggregate certificate balance has decreased by 78% to $322.9 million from $1.47 billion at securitization. The certificates are backed by five remaining mortgage loans, all of which have passed their original maturity dates or ARDs. All five loans have shown a decline in performance. Three of the remaining loans (33.5% of the pool) are currently in special servicing, two of which (9.5% of the pool) have been deemed non-recoverable by the master servicer. Three loans have been liquidated from the pool, resulting in an aggregate realized loss of $24.8 million (for an average loss severity of 51%). As of the June 2025 remittance statement cumulative interest shortfalls were $9.3 million and impacted up to class B. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), non-recoverable determinations, loan modifications and extraordinary trust expenses. Given the exposure to specially serviced and poorly performing loans Moody's expects interest shortfalls to continue and may increase if loans become further delinquent. The largest specially serviced loan is the 301 South College Street Loan ($77.6 million – 24.0% of the pool), which represents a pari passu portion of $150.8 million mortgage loan. The loan is secured by a 988,646 SF Class A office tower in downtown Charlotte, North Carolina. The property was only 48% leased as of December 2024, down from 51% in December 2023 and 100% in December 2022. Wells Fargo, the largest tenant, significantly reduced its space from 687,000 SF (69% of the NRA) at securitization to 202,000 SF (20% of the NRA) when renewing through 2032 and later announced plans to fully vacate the property. The loan's actual reported NOI DSCR was well below 1.00X in 2022 and 2023 and was approximately 1.00X based on the reported 2024 NOI. The loan has amortized approximately 14% since securitization and an excess cash reserve of $10.3 million is in place as of June 2025 for terminated or upcoming vacant spaces. The loan has been in special servicing since January 2023 and servicer commentary indicates a court-appointed receiver is in place and the servicer plans to market the asset for a potential loan assumption while also pursuing foreclosure. The second largest specially serviced loan is the Mobile Festival Centre Loan ($18.1 million – 5.6% of the pool), which is secured by a 380,619 SF retail power center in Mobile, Alabama, six miles west of the CBD. The property was 64% leased as of December 2024, compared to 67% in December 2022 and 80% at securitization. The loan transferred to special servicing in September 2020 due to imminent monetary default and is currently in foreclosure, with a receiver working to re-stabilize the property. An April 2025 appraisal valued the property 37% below its securitization value, though marginally higher than the outstanding loan balance and the loan has been deemed non-recoverable by the master servicer. The remaining specially serviced loan is the 808 Broadway Loan ($12.5 million -- 3.9% of the pool), which is secured by a 24,548 SF retail space located on Broadway and East 11 Street in New York, New York. It is the ground floor retail condo space of a six-story building constructed in 1888. The loan was transferred to special servicing in November 2020 and was last paid in September 2021. The original single retail tenant filed for chapter 11 bankruptcy and stopped paying rent, causing the property to struggle with generating sufficient cash flow. A receiver was appointed in August 2022, and the asset is REO. An April 2025 appraisal valued the property 55% below its securitization value, and the master servicer as deemed this loan non-recoverable as of the June 2025 remittance date. The largest non-specially serviced performing loan is the White Marsh Mall Loan ($108.2 million – 33.5% of the pool), representing a pari passu portion of a $186.8 million mortgage loan. This loan is secured by a 700,000 SF component of a 1.2 million SF super-regional mall in Baltimore, Maryland. The mall is anchored by Macy's, JC Penney, Boscov's, and Macy's Home Store, though Macy's and JC Penney are not part of the loan collateral, and Sears, a former non-collateral anchor, closed in April 2020. As of September 2024, total mall occupancy was 87%, down from 93% in December 2023 and 97% at securitization. Property performance has declined due to lower rental revenues. The full year 2023 NOI was approximately 38% lower than at securitization and the annualized September 2024 NOI indicates a further decline and was 48% lower than at securitization. The property still generates enough cash flow to cover debt service, with a NOI DSCR of 1.39X as of September 2024, compared to 2.27X in December 2020 and 2.77X at securitization. The loan previously transferred to special servicing in August 2020 and failed to pay off at its May 2021 maturity date. However, the loan recently returned to the master servicer after a loan assumption and modification, extending its maturity to May 2027. An April 2024 appraisal valued the property 73% below its securitization value and 57% below its outstanding mortgage loan balance as of the June 2025 remittance statement. The other non-specially serviced performing loan is the Midtown I & II Loan ($106.6 million – 33.0% of the pool), secured by two Class A office buildings totaling 794,110 SF and an adjacent parking deck in Atlanta, Georgia. Built in 2001, the properties were originally 100% leased to AT&T Corporation through April 2024, but AT&T has downsized to occupy only 37% of the NRA. The loan, which was interest-only for its entire term, has now passed its ARD of May 2023 and has a final maturity in May 2043. The loan began to hyper-amortize after its ARD and has now amortized close to 14% since securitization. An excess cash reserve of $10.7 million is in place as of June 2025 for terminated or upcoming vacant spaces. The loan is on the servicer's watchlist due to a low DSCR and a cash sweep triggered by the ARD. WHARF COMMERCIAL 2025-DC: Fitch Assigns 'Bsf' Rating on HRR Certs ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Ratings Outlooks to Wharf Commercial Mortgage Trust 2025-DC, Commercial Mortgage Pass-Through Certificates, Series 2025-DC as follows: - $444,600,000 class A 'AAAsf'; Outlook Stable; - $78,200,000 class B 'AA-sf'; Outlook Stable; - $62,800,000 class C 'A-sf'; Outlook Stable; - $105,400,000 class D 'BBB-sf'; Outlook Stable; - $140,250,000 class E 'BB-sf'; Outlook Stable; - $43,750,000a class HRR 'Bsf'; Outlook Stable. (a) Horizonal credit risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in an $875.0 million portion of a $1.025 billion, five-year, fixed-rate, interest-only (IO) whole mortgage loan. The mortgage will be secured by the borrower's leasehold interest in an approximately 2.2 million-sf portion of The Wharf, a mixed-use development located along the Washington Channel in Washington, D.C. Collateral for the loan comprises 928,154 sf of office space, 446,764 sf of retail space, 904 multifamily units 2,575 parking spaces, 412 hotel keys and a marina with 218 boat slips. The loan sponsor is the Public Sector Pension Investment Board who acquired the property in April 2025. Whole mortgage loan proceeds, combined with $125.0 million of mezzanine debt and $59.8 million of sponsor equity, are being used to repay approximately $1.15 billion of existing debt, fund a $27.0 million free rent/gap rent reserve, fund a $18.7 million tenant improvement/leasing commission (TI/LC) reserve and pay $14.8 million in closing costs. The whole mortgage loan will be componentized into $718.6 million of pari passu senior notes plus $306.4 million of pari passu junior notes. The trust will include $568.8 million of the senior notes, along with all the junior notes. The remaining $150.0 million of senior companion notes are expected to be contributed to future securitizations. Wells Fargo Bank, National Association, Goldman Sachs Bank USA and Morgan Stanley Bank, N.A. are co-originating the whole mortgage loan, and they or affiliates thereof will also act as the mortgage loan sellers. Midland Loan Services, a Division of PNC Bank, National Association is expected to serve as the master servicer, with KeyBank National Association as special servicer. Computershare Trust Company, National Association will act as both the trustee and certificate administrator. Park Bridge Lender Services LLC will act as operating advisor. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portion is estimated at $86.6 million. This is 16.4% lower than the issuer's NCF and 2.6% higher than the YE2 204 NCF. Fitch applied an 8.50% cap rate to derive a Fitch value of $1.02 billion. High Fitch Leverage: The $1.025 billion whole loan equates to debt of $457.22 psf, with a Fitch debt service coverage ratio (DSCR) of 0.89x, loan-to-value ratio (LTV) of 100.6% and debt yield of 8.5%. The Fitch market LTV at 'Bsf' (the lowest Fitch-rated non-investment-grade tranche) is 87.6%. The Fitch market LTV is based on a blend of the Fitch cap rate and an implied market cap rate of 6.3%. The loan represents about 59.2% of the appraiser-concluded value of $1.73 billion. Asset Quality and Strong Location: The Wharf is an urban waterfront revival project located along the Washington Channel in Southwest D.C. The Wharf project entailed over two decades of design, planning and execution to create a unified waterfront area with a multifamily community, retail offerings, office tenancy and hotel accommodations. It has received national recognition with the Urban Land Institute's Global Award for Excellence. The Wharf can be accessed by various modes of transportation and provides access to customers from the District, Virginia and Maryland, as well as international tourists. The property is located near major transportation options, including the Waterfront Metro station, Waterfront Metro Green Line and L'Enfant Plaza Metro, which serves the Green, Yellow, Blue, Orange, Silver lines and VRE. Additionally, The Wharf offers easy access from major roads such as Maine Ave. SW, 7th and 9th Streets SW, as well as I-395/I-695. It is a nine-minute drive from Reagan National Airport and 8.9 miles from Union Station. The Wharf attracts eight million of the over 22 million visitors that visit Washington, D.C. each year. Diversity of Revenue Streams: Revenue at the property is derived from six distinct sources, with none representing the majority of Fitch NCF. The office component, which was 93.4% occupied as of February 2025, is the largest concentration, contributing approximately 45.8% of the total Fitch NCF. The retail, multifamily, parking, hotel, and marina components contribute 21.0%, 12.6%, 11.7%, 8.7%, and 0.3% of Fitch NCF, respectively. The Wharf was developed in two phases, with Phase I completed in October 2017 and Phase II in October 2022. The property's net operating income (NOI) grew by 5.3% between 2023 and the TTM ended March 2025. Institutional Sponsorship: The sponsor for this transaction will be Public Sector Pension Investment Board (PSP), a pension investment manager based out of Canada. According to its annual reports, PSP manages $67.2 billion in gross asset value of commercial real estate (CRE) assets in major international markets. The company invests globally across asset classes, with major exposure in residential (30.9%), industrial (24.7%) and office properties (22.0%). PSP's largest geographic concentration is in the U.S. at 47.4%, with additional significant exposure in Europe and Canada at 21.8% and 17.0%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'Bsf'; - 10% NCF Decline: 'AAsf' / 'A-sf' / 'BBB-sf' / 'BBsf' / 'Bsf' / 'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'Bsf'; - 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'A+sf' / 'BBBsf' / 'BBsf' / 'BBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte and Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] Moody's Raises Rating of 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 Alt-A and subprime mortgages issued by Bear Stearns. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bear Stearns ALT-A Trust 2005-7 Cl. I-M-1, Upgraded to Caa1 (sf); previously on Jul 19, 2018 Upgraded to Caa3 (sf) Issuer: Bear Stearns ARM Trust 2005-9 Cl. A-2, Upgraded to Caa2 (sf); previously on Jun 7, 2010 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2004-AC7 Cl. M-1, Upgraded to Caa1 (sf); previously on Mar 24, 2011 Downgraded to Ca (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2004-HE11 Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 5, 2013 Affirmed Ca (sf) Cl. M-4, Upgraded to Caa3 (sf); previously on Apr 8, 2016 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC1 Cl. M-1, Upgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to Ca (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC2 Cl. II-M-1, Upgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to Ca (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC4 Cl. A, Upgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to Caa2 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC5 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to Caa2 (sf) Cl. I-A-2, Upgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to Caa2 (sf) Cl. I-A-3, Upgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to Caa2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. I-A-4, Upgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to Caa2 (sf) Cl. I-A-5*, Upgraded to Caa1 (sf); previously on Oct 27, 2017 Confirmed at Caa2 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2005-FR1 Cl. M-2, Upgraded to Caa1 (sf); previously on Jan 30, 2014 Upgraded to Caa3 (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on Mar 24, 2009 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2006-AC1 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Oct 20, 2010 Downgraded to Caa3 (sf) Cl. I-A-2, Upgraded to Caa1 (sf); previously on Oct 20, 2010 Downgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Oct 20, 2010 Downgraded to Caa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: Bear Stearns Asset Backed Securities I Trust 2007-AC5 Cl. PO, Upgraded to Caa3 (sf); previously on Oct 20, 2010 Downgraded to Ca (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 34 Bonds from 12 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings, on June 24, 2025, upgraded the ratings of 34 bonds from 12 US residential mortgage-backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Carrington Mortgage Loan Trust Series 2006-FRE2 Cl. A-2, Upgraded to Caa1 (sf); previously on Nov 8, 2013 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Apr 29, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Apr 29, 2010 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa1 (sf); previously on Nov 8, 2013 Downgraded to Ca (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB8 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Caa3 (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Aug 30, 2016 Upgraded to Ca (sf) Issuer: ChaseFlex Trust Series 2007-M1 Cl. 1-A1, Upgraded to Caa1 (sf); previously on Oct 20, 2010 Downgraded to Ca (sf) Cl. 1-A2, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Ca (sf) Cl. 1-A3, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Ca (sf) Cl. 2-AV2, Upgraded to Caa1 (sf); previously on Nov 27, 2013 Downgraded to Ca (sf) Cl. 2-AV3, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Ca (sf) Cl. 2-F4, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Ca (sf) Cl. 2-F5, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Ca (sf) Cl. 2-F6, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Ca (sf) Issuer: Citigroup Mortgage Loan Trust 2006-AR3 Cl. 1-A1A, Upgraded to Caa1 (sf); previously on Jan 9, 2017 Upgraded to Caa2 (sf) Cl. 1-A2A, Upgraded to Caa1 (sf); previously on Nov 19, 2010 Downgraded to Caa2 (sf) Issuer: CitiMortgage Alternative Loan Trust 2006-A2 Cl. A-1, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Cl. A-6*, Upgraded to Caa2 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Cl. A-PO, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Issuer: CSFB Adjustable Rate Mortgage Trust 2007-1 Cl. 5-A-1, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Cl. 5-A-2-2, Upgraded to Ca (sf); previously on Sep 16, 2010 Downgraded to C (sf) Cl. 5-A-3-1, Upgraded to Caa2 (sf); previously on Jan 27, 2015 Downgraded to Ca (sf) Issuer: CSFB Adjustable Rate Mortgage Trust 2007-2 Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Jan 19, 2016 Upgraded to Caa2 (sf) Issuer: CSFB Home Equity Asset Trust 2006-7 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. 2-A-3, Upgraded to Caa1 (sf); previously on May 5, 2010 Downgraded to C (sf) Issuer: CSMC Mortgage-Backed Trust Series 2006-3 Cl. 1-A-4A, Upgraded to Caa1 (sf); previously on Oct 12, 2010 Downgraded to Caa3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-24 Cl. 1-A, Upgraded to Caa1 (sf); previously on Oct 17, 2016 Confirmed at Caa3 (sf) Cl. 2-A-4, Upgraded to Caa1 (sf); previously on Oct 17, 2016 Confirmed at Ca (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-5 Cl. 1-A, Upgraded to Caa1 (sf); previously on Oct 17, 2016 Upgraded to Caa3 (sf) Cl. 2-A-3, Upgraded to Caa1 (sf); previously on Oct 17, 2016 Upgraded to Caa3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-BC3 Cl. 1-A, Upgraded to Caa1 (sf); previously on Oct 17, 2016 Confirmed at Ca (sf) Cl. 2-A-3, Upgraded to Caa1 (sf); previously on Oct 17, 2016 Upgraded to Caa3 (sf) Cl. 2-A-4, Upgraded to Caa3 (sf); previously on Apr 14, 2010 Downgraded to C (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 8 Bonds from 2 US RMBS Deals -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of six bonds and downgraded the rating of one bond from two US residential mortgage-backed transactions (RMBS), backed by option arm mortgages issued by HarborView Mortgage Loan Trust. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: HarborView Mortgage Loan Trust 2005-2 Cl. 1-A, Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to Caa3 (sf) Cl. 2-A-1B, Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to C (sf) Cl. 2-A-1C, Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to C (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: HarborView Mortgage Loan Trust 2005-3 Cl. 1-A, Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to Ca (sf) Cl. 2-A1A, Downgraded to Caa1 (sf); previously on Apr 13, 2017 Upgraded to B2 (sf) Cl. 2-A1B, Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to Ca (sf) Cl. PO-2, Upgraded to Ca (sf); previously on Dec 5, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 9 Bonds from 5 US RMBS Deals -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of seven bonds and downgraded the ratings of two bonds from five US residential mortgage-backed transactions (RMBS), backed by scratch and dent mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Countrywide Home Loan Trust 2004-SD1 Cl. B-1, Upgraded to Caa1 (sf); previously on May 19, 2011 Downgraded to Ca (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on May 19, 2011 Downgraded to Caa3 (sf) Issuer: Countrywide Home Loan Trust 2004-SD2 Cl. B-1, Upgraded to Caa1 (sf); previously on Oct 19, 2016 Confirmed at Ca (sf) Cl. B-2, Upgraded to Caa3 (sf); previously on Apr 24, 2009 Downgraded to C (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Nov 1, 2019 Upgraded to B1 (sf) Issuer: CSFB Mortgage Pass-Through Certificates, Series 2004-CF1 Cl. B, Upgraded to Caa1 (sf); previously on Nov 21, 2012 Downgraded to C (sf) Issuer: GSRPM Mortgage Loan Trust 2003-1 Cl. B-2, Upgraded to Caa1 (sf); previously on Dec 6, 2018 Downgraded to Caa3 (sf) Issuer: Truman Capital Mortgage Loan Trust 2004-1 Cl. M-2, Downgraded to Caa1 (sf); previously on Feb 26, 2018 Downgraded to B1 (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on Oct 20, 2014 Upgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools, and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or are currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating downgrades are the result of outstanding credit interest shortfalls that are unlikely to be recouped. Each of the downgraded bonds have a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Actions on 27 Bonds from 10 US RMBS Deals ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 26 bonds and downgraded the rating of one bond from 10 US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM, and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: BCAP LLC Trust 2006-AA2 Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Issuer: BCAP LLC Trust 2007-AA1 Cl. I-A-3, Upgraded to Caa2 (sf); previously on Mar 19, 2013 Affirmed Ca (sf) Cl. II-A-1, Upgraded to Caa1 (sf); previously on Mar 19, 2013 Affirmed Caa3 (sf) Issuer: DSLA Mortgage Loan Trust 2006-AR1 Cl. 1A-1A, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to Caa2 (sf) Cl. 2A-1A, Downgraded to Caa1 (sf); previously on May 11, 2015 Upgraded to B2 (sf) Cl. 2A-1B, Upgraded to Caa3 (sf); previously on Dec 3, 2010 Downgraded to C (sf) Issuer: Lehman XS Trust 2006-17 Cl. 1-A3, Upgraded to Caa3 (sf); previously on Dec 17, 2018 Upgraded to Ca (sf) Cl. 1-A4A, Upgraded to Caa1 (sf); previously on Dec 17, 2018 Upgraded to Caa2 (sf) Cl. WF-4-1, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Cl. WF-4-2, Upgraded to Caa3 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Cl. WF-6-1, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Sep 16, 2010 Downgraded to Caa3 (sf) Cl. WF-6-2, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Downgraded to Caa3 (sf) Issuer: Lehman XS Trust Series 2006-12N Cl. 1-A3A1A, Upgraded to Caa2 (sf); previously on Oct 22, 2010 Downgraded to Ca (sf) Cl. 1-A3A2A, Upgraded to Ba2 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 1-A4A, Upgraded to Caa3 (sf); previously on Oct 22, 2010 Downgraded to Ca (sf) Cl. 2-A1A, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Issuer: Lehman XS Trust Series 2007-14H Cl. A2-2, Upgraded to Ca (sf); previously on Sep 16, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Ca (sf); previously on Sep 16, 2010 Downgraded to C (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2007-MLN1 Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 19, 2010 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Feb 24, 2016 Upgraded to Ca (sf) Cl. A-2D, Upgraded to Caa1 (sf); previously on Feb 24, 2016 Upgraded to Ca (sf) Issuer: RALI Series 2006-QO4 Trust Cl. I-A-1, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Ca (sf) Cl. II-A-1, Upgraded to Ba3 (sf); previously on Sep 13, 2013 Confirmed at Caa3 (sf) Cl. II-A-2, Upgraded to Caa3 (sf); previously on Dec 14, 2010 Downgraded to C (sf) Issuer: RALI Series 2007-QH3 Trust Cl. A-1, Upgraded to B2 (sf); previously on Aug 16, 2013 Confirmed at Caa3 (sf) Cl. A-2, Upgraded to Ca (sf); previously on Dec 1, 2010 Downgraded to C (sf) Issuer: RASC Series 2006-EMX8 Trust Cl. A-I-3, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-II, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. 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. The rating downgrade of Class 2A-1A from DSLA Mortgage Loan Trust 2006-AR1 is due to outstanding interest shortfalls and the uncertainty of whether those shortfalls will be reimbursed. 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 12 Bonds from 3 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 12 bonds from three US residential mortgage-backed transactions (RMBS), backed by subprime, Option ARM, and Alt-A mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: HSI Asset Securitization Corporation Trust 2007-OPT1 Cl. I-A, Upgraded to Ba1 (sf); previously on Dec 11, 2018 Upgraded to Caa2 (sf) Cl. II-A-3, Upgraded to B1 (sf); previously on Dec 11, 2018 Upgraded to Caa2 (sf) Cl. II-A-4, Upgraded to B1 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Issuer: MortgageIT Trust 2005-AR1, Mortgage Pass-Through Certificates, Series 2005-AR1 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Dec 9, 2010 Downgraded to Caa2 (sf) Cl. I-A-2, Upgraded to Caa2 (sf); previously on Dec 9, 2010 Downgraded to C (sf) Issuer: RALI Series 2006-QS2 Trust Cl. I-A-1, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-2, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-3*, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-8, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-9, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-P, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-V*, Upgraded to Caa2 (sf); previously on Oct 27, 2017 Confirmed at Caa3 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. . 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 13 Bonds from 3 US RMBS Deals ------------------------------------------------------------ Moody's Ratings, on June 24, 2025, upgraded the ratings of 13 bonds from three US residential mortgage-backed transactions (RMBS), backed by Alt-A, Option ARM and Scratch and Dent mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-72 Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to Caa3 (sf) Issuer: GSRPM Mortgage Loan Trust 2003-2 Cl. B-1, Upgraded to Caa2 (sf); previously on May 4, 2009 Downgraded to C (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Jul 3, 2012 Confirmed at Caa3 (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2007-6XS Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Dec 18, 2019 Downgraded to Ca (sf) Cl. 1-A-2-M, Upgraded to Ca (sf); previously on Aug 12, 2010 Downgraded to C (sf) Cl. 1-A-3-SS, Upgraded to Caa1 (sf); previously on Dec 18, 2019 Downgraded to Ca (sf) Cl. 2-A-2-SS, Upgraded to Caa2 (sf); previously on Dec 18, 2019 Downgraded to Ca (sf) Cl. 2-A-3-SS, Upgraded to Caa2 (sf); previously on Dec 18, 2019 Downgraded to Ca (sf) Cl. 2-A-4-SS, Upgraded to Caa2 (sf); previously on Dec 18, 2019 Downgraded to Ca (sf) Cl. 2-A-5-SS, Upgraded to Caa2 (sf); previously on Dec 18, 2019 Downgraded to Ca (sf) Cl. 2-A-6-SS, Upgraded to Caa2 (sf); previously on Dec 18, 2019 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in 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 14 Bonds from 2 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 14 bonds from two US residential mortgage-backed transactions (RMBS), backed by subprime and Alt-A mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. Issuer: BCAP LLC Trust 2007-AA2 Cl. I-2-A-1, Upgraded to Caa1 (sf); previously on Nov 22, 2019 Upgraded to Caa2 (sf) Cl. II-1-A-1, Upgraded to Caa2 (sf); previously on Nov 22, 2019 Downgraded to Ca (sf) Cl. II-1-A-2, Upgraded to Caa3 (sf); previously on Nov 22, 2019 Downgraded to Ca (sf) Cl. II-1-A-3, Upgraded to Caa3 (sf); previously on Nov 22, 2019 Downgraded to Ca (sf) Cl. II-1-A-5, Upgraded to Caa2 (sf); previously on Nov 22, 2019 Downgraded to Ca (sf) Cl. II-1-A-7, Upgraded to Caa3 (sf); previously on Nov 22, 2019 Downgraded to Ca (sf) Cl. II-1-A-8, Upgraded to Caa2 (sf); previously on Nov 22, 2019 Downgraded to Ca (sf) Cl. II-1-A-11, Upgraded to Caa2 (sf); previously on Nov 22, 2019 Downgraded to Ca (sf) Cl. II-1-A-12, Upgraded to Caa2 (sf); previously on Nov 22, 2019 Downgraded to Ca (sf) Cl. II-1-A-14*, Upgraded to Caa3 (sf); previously on Dec 20, 2017 Confirmed at Ca (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE3 Cl. I-A-3, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to Ca (sf) Cl. I-A-4, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to C (sf) Cl. II-A, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to Caa3 (sf) Cl. III-A, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to Caa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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 14 Bonds from 6 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 14 bonds from six US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bear Stearns ALT-A Trust 2004-12 Cl. I-B-1, Upgraded to Caa3 (sf); previously on Mar 14, 2011 Downgraded to C (sf) Cl. I-M-2, Upgraded to Caa1 (sf); previously on Feb 3, 2023 Upgraded to Caa2 (sf) Issuer: RALI Series 2007-QH9 Trust Cl. A-1, Upgraded to Caa3 (sf); previously on Dec 14, 2010 Downgraded to Ca (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-19XS Cl. 1-A2A, Upgraded to Caa1 (sf); previously on Jul 15, 2019 Upgraded to Ca (sf) Cl. 1-A2B, Upgraded to Caa1 (sf); previously on Jul 15, 2019 Upgraded to Ca (sf) Cl. 1-A3, Upgraded to Caa1 (sf); previously on Jul 15, 2019 Upgraded to Ca (sf) Issuer: Structured Asset Investment Loan Trust 2005-HE1 Cl. M2, Upgraded to Aa1 (sf); previously on Jul 12, 2022 Upgraded to A3 (sf) Cl. M3, Upgraded to Ca (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR19 Trust Cl. 1A, Upgraded to Caa1 (sf); previously on May 13, 2014 Affirmed Caa3 (sf) Cl. 1A-1B, Upgraded to Caa2 (sf); previously on May 13, 2014 Affirmed Ca (sf) Cl. 2A-1B, Upgraded to Caa2 (sf); previously on May 13, 2014 Affirmed Ca (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR5 Cl. A-1A, Upgraded to Caa1 (sf); previously on Dec 15, 2010 Downgraded to Caa2 (sf) Cl. A-1A2B, Upgraded to Caa1 (sf); previously on Dec 15, 2010 Downgraded to Ca (sf) Cl. A-1B2, Upgraded to Caa2 (sf); previously on Dec 15, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. The rating upgrades on Class M-2 of Structured Asset Investment Loan Trust 2005-HE1 is a result of an increase in credit enhancement available to this bond. Moody's analysis also considered the existence of historical interest shortfalls for this bond. The rest of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 20 Bonds from 8 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 20 bonds from eight US residential mortgage-backed transactions (RMBS), backed by subprime, Alt-A and option arm mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: American Home Mortgage Assets Trust 2006-2 Cl. 1A1, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 2A1, Upgraded to Caa1 (sf); previously on Dec 22, 2010 Downgraded to Caa2 (sf) Issuer: Fremont Home Loan Trust 2006-3 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Apr 29, 2010 Downgraded to Caa3 (sf) Issuer: HarborView Mortgage Loan Trust 2006-12 Cl. 1A-1A, Upgraded to Caa2 (sf); previously on Dec 5, 2010 Downgraded to Ca (sf) Cl. 2A-1A3, Upgraded to Caa2 (sf); previously on Dec 5, 2010 Downgraded to Ca (sf) Cl. 2A-2B, Upgraded to Caa3 (sf); previously on Dec 5, 2010 Downgraded to C (sf) Issuer: Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2007-B Cl. 1A-1, Upgraded to Caa2 (sf); previously on Sep 15, 2010 Downgraded to Ca (sf) Cl. 1A-2, Upgraded to Caa2 (sf); previously on Sep 15, 2010 Downgraded to Ca (sf) Cl. 2A-2, Upgraded to Caa2 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. 2A-3, Upgraded to Caa3 (sf); previously on Sep 15, 2010 Downgraded to Ca (sf) Cl. 2A-4, Upgraded to Caa3 (sf); previously on Sep 15, 2010 Downgraded to Ca (sf) Issuer: Home Loan Mortgage Loan Trust 2006-1 Cl. A-3, Upgraded to Caa1 (sf); previously on Nov 22, 2016 Upgraded to Ca (sf) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2007-3 Cl. A1-A, Upgraded to Caa1 (sf); previously on Aug 30, 2012 Upgraded to Caa2 (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2006-AR3 Cl. A-1A, Upgraded to Caa1 (sf); previously on Sep 2, 2010 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Apr 18, 2013 Upgraded to Caa3 (sf) Cl. A-3A, Upgraded to Caa2 (sf); previously on Sep 2, 2010 Downgraded to Caa3 (sf) Cl. A-4A, Upgraded to Caa2 (sf); previously on Sep 2, 2010 Downgraded to Caa3 (sf) Issuer: Soundview Home Loan Trust 2006-EQ2 Cl. A-2, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Jul 18, 2011 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Jul 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. All of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 25 Bonds from 2 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 25 bonds from two US residential mortgage-backed transactions (RMBS), backed by Jumbo mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Chase Mortgage Finance Trust Series 2007-S1 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 7, 2015 Downgraded to Caa3 (sf) Cl. A-2*, Upgraded to Caa1 (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Apr 7, 2015 Downgraded to Caa3 (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Apr 7, 2015 Downgraded to Caa3 (sf) Cl. A-10, Upgraded to Caa1 (sf); previously on Apr 7, 2015 Downgraded to Caa3 (sf) Cl. A-13, Upgraded to Caa1 (sf); previously on Apr 7, 2015 Downgraded to Caa3 (sf) Cl. A-P, Upgraded to Caa2 (sf); previously on Apr 7, 2015 Downgraded to Ca (sf) Cl. A-X*, Upgraded to Caa1 (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Issuer: Chase Mortgage Finance Trust Series 2007-S4 Cl. A-1, Upgraded to Caa2 (sf); previously on Nov 1, 2021 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Nov 1, 2021 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Nov 1, 2021 Downgraded to Ca (sf) Cl. A-5*, Upgraded to Caa1 (sf); previously on Nov 1, 2021 Downgraded to Ca (sf) Cl. A-8, Upgraded to Caa3 (sf); previously on Nov 1, 2021 Downgraded to Ca (sf) Cl. A-10, Upgraded to Caa2 (sf); previously on Nov 1, 2021 Downgraded to Ca (sf) Cl. A-11*, Upgraded to Caa2 (sf); previously on Nov 1, 2021 Downgraded to Ca (sf) Cl. A-12, Upgraded to Caa3 (sf); previously on Nov 1, 2021 Downgraded to Ca (sf) Cl. A-13, Upgraded to Caa2 (sf); previously on Nov 1, 2021 Downgraded to Ca (sf) Cl. A-14, Upgraded to Caa2 (sf); previously on Nov 1, 2021 Downgraded to Ca (sf) Cl. A-15, Upgraded to Caa2 (sf); previously on Nov 1, 2021 Downgraded to Ca (sf) Cl. A-16, Upgraded to Caa2 (sf); previously on Nov 1, 2021 Downgraded to Ca (sf) Cl. A-17, Upgraded to Caa3 (sf); previously on Nov 1, 2021 Downgraded to Ca (sf) Cl. A-18, Upgraded to Caa2 (sf); previously on Nov 1, 2021 Downgraded to Ca (sf) Cl. A-19, Upgraded to Caa3 (sf); previously on Nov 1, 2021 Downgraded to Ca (sf) Cl. A-P, Upgraded to Caa2 (sf); previously on Nov 1, 2021 Downgraded to Ca (sf) Cl. A-X*, Upgraded to Caa1 (sf); previously on Nov 1, 2021 Downgraded to Ca (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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 31 Bonds from 4 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 31 bonds from four US residential mortgage-backed transactions (RMBS), backed by ARM, Alt-A and Resec mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-62 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 27, 2016 Confirmed at Caa3 (sf) Cl. 1-A-2, Upgraded to Ca (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. 1-X-1*, Upgraded to Caa2 (sf); previously on Feb 7, 2018 Upgraded to Ca (sf) Cl. 1-X-2*, Upgraded to Ca (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. 1-X-3*, Upgraded to Ca (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Sep 27, 2016 Upgraded to Caa2 (sf) Cl. 2-A-2, Upgraded to Caa1 (sf); previously on Sep 27, 2016 Upgraded to Caa2 (sf) Cl. 2-A-3, Upgraded to Caa2 (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. 2-X-1*, Upgraded to Caa2 (sf); previously on Oct 21, 2020 Downgraded to C (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-33CB Cl. 1-A-1, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-X*, Upgraded to Caa3 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Cl. 2-A-1, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-X*, Upgraded to Caa3 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Issuer: J.P. Morgan Alternative Loan Trust, Series 2008-R2 Cl. A-1, Upgraded to Caa2 (sf); previously on Jun 4, 2019 Affirmed Ca (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2007-10XS Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 12, 2010 Downgraded to Caa2 (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Sep 28, 2018 Downgraded to Caa3 (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Sep 28, 2018 Downgraded to Caa3 (sf) Cl. A-5, Upgraded to Caa1 (sf); previously on Sep 28, 2018 Downgraded to Caa3 (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on Sep 28, 2018 Downgraded to Caa3 (sf) Cl. A-7, Upgraded to Caa1 (sf); previously on Sep 28, 2018 Downgraded to Caa3 (sf) Cl. A-8, Upgraded to Caa1 (sf); previously on Sep 28, 2018 Downgraded to Caa3 (sf) Cl. A-10, Upgraded to Caa1 (sf); previously on Aug 12, 2010 Downgraded to Caa2 (sf) Cl. A-12, Upgraded to Caa1 (sf); previously on Aug 12, 2010 Downgraded to Caa2 (sf) Cl. A-14, Upgraded to Caa2 (sf); previously on Sep 28, 2018 Downgraded to Caa3 (sf) Cl. A-16, Upgraded to Caa2 (sf); previously on Sep 28, 2018 Downgraded to Caa3 (sf) Cl. A-19, Upgraded to Ca (sf); previously on Aug 12, 2010 Downgraded to C (sf) Cl. A-20, Upgraded to Caa1 (sf); previously on Aug 12, 2010 Downgraded to Caa2 (sf) Cl. A-21, Upgraded to Caa1 (sf); previously on Aug 12, 2010 Downgraded to Caa2 (sf) Cl. A-22, Upgraded to Caa1 (sf); previously on Aug 12, 2010 Downgraded to Caa2 (sf) Cl. A-23, Upgraded to Caa1 (sf); previously on Aug 12, 2010 Downgraded to Caa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. In addition, the rating action on Cl. A-1 from the resecuritization transaction, J.P. Morgan Alternative Loan Trust, Series 2008-R2, reflects the rating action on the underlying bond, Cl. 2-A-1 of CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-33CB, along with the principal write-down to date. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all deals except J.P. Morgan Alternative Loan Trust, Series 2008-R2 and interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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 37 Bonds from 11 US RMBS Deals ------------------------------------------------------------- Moody's Ratings, on June 24, 205, upgraded the ratings of 32 bonds from 11 US residential mortgage-backed transactions (RMBS), backed by subprime, option ARM and Alt-A mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2006-HE4 Cl. M1, Upgraded to Caa1 (sf); previously on Mar 13, 2009 Downgraded to C (sf) Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2007-AR3 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Sep 8, 2010 Downgraded to Ca (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Negative on October 3, 2024) Cl. I-A-2, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Sep 8, 2010 Downgraded to Ca (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Negative on October 3, 2024) Cl. I-A-4, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Sep 8, 2010 Downgraded to C (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Negative on October 3, 2024) Cl. II-A-4, Upgraded to Ca (sf); previously on Sep 8, 2010 Downgraded to C (sf) Cl. II-A-5, Upgraded to Caa1 (sf); previously on Sep 8, 2010 Downgraded to Caa3 (sf) Issuer: Deutsche Alt-A Securities, Mortgage Loan Trust Series 2006-OA1 Cl. A-1, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to Caa3 (sf); previously on Dec 3, 2010 Downgraded to C (sf) Issuer: First Horizon Alternative Mortgage Securities Trust 2006-AA7 Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Issuer: First NLC Trust Mortgage-Backed Certificates, Series 2007-1 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Issuer: Option One Mortgage Loan Trust 2007-CP1 Cl. I-A-1, Upgraded to Ba3 (sf); previously on Aug 6, 2010 Downgraded to Caa1 (sf) Cl. II-A-2, Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to Caa2 (sf) Cl. II-A-3, Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Issuer: Ownit Mortgage Loan Trust 2006-5 Cl. A-2B, Upgraded to Caa1 (sf); previously on Sep 11, 2012 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Confirmed at Ca (sf) Issuer: RAMP Series 2005-EFC7 Trust Cl. A-I-4, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-II, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: Securitized Asset Backed Receivables LLC Trust 2006-WM2 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 8, 2020 Upgraded to Caa2 (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Jul 8, 2010 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa1 (sf); previously on Jul 8, 2010 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Jul 8, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa1 (sf); previously on Jul 8, 2010 Confirmed at Ca (sf) Issuer: WaMu Asset-Backed Certificates, WaMu Series 2007-HE1 Trust Cl. I-A, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Confirmed at Caa2 (sf) Cl. II-A2, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Cl. II-A3, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Cl. II-A4, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMABS Series 2006-HE2 Trust Cl. A-3, Upgraded to Caa1 (sf); previously on Jul 16, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Jul 16, 2010 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. 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 rating upgrade of Cl. I-A-1 from Option One Mortgage Loan Trust 2007-CP1 is a result of the improving performance of the related pool, and an increase in credit enhancement available to the bond. Credit enhancement grew by 10.9% for this bond over the past 12 months. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 37 Bonds from 5 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 36 bonds from five US residential mortgage-backed transactions (RMBS), backed by Jumbo, Option ARM, and Alt-A mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: HarborView Mortgage Loan Trust 2005-12 Cl. 1-A-1A, Upgraded to Caa2 (sf); previously on Dec 5, 2010 Downgraded to Ca (sf) Cl. 2-A1A1, Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to Caa3 (sf) Cl. 2-A1A2, Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to Caa3 (sf) Cl. 2-A1B, Upgraded to Caa2 (sf); previously on Dec 5, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Dec 5, 2010 Downgraded to C (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. X-2B*, Upgraded to Caa2 (sf); previously on Feb 13, 2019 Upgraded to Caa3 (sf) Issuer: HarborView Mortgage Loan Trust 2006-1 Cl. 1-A1A, Upgraded to Caa2 (sf); previously on Dec 5, 2010 Downgraded to Ca (sf) Cl. 2-A1A, Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to Caa3 (sf) Issuer: J.P. Morgan Mortgage Trust 2006-S4 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 19, 2012 Downgraded to Caa2 (sf) Cl. A-2*, Upgraded to Caa1 (sf); previously on Sep 19, 2012 Downgraded to Caa2 (sf) Cl. A-4, Upgraded to Ca (sf); previously on Sep 19, 2012 Downgraded to C (sf) Cl. A-7, Upgraded to Caa2 (sf); previously on Sep 19, 2012 Downgraded to Caa3 (sf) Cl. A-8, Upgraded to Caa2 (sf); previously on Sep 19, 2012 Downgraded to Caa3 (sf) Cl. A-9*, Upgraded to Caa2 (sf); previously on Sep 19, 2012 Downgraded to Caa3 (sf) Cl. A-11, Upgraded to Caa1 (sf); previously on Sep 19, 2012 Downgraded to Caa2 (sf) Cl. A-13, Upgraded to Caa1 (sf); previously on Sep 19, 2012 Downgraded to Caa2 (sf) Cl. A-P, Upgraded to Caa1 (sf); previously on Sep 19, 2012 Downgraded to Caa2 (sf) Issuer: Lehman XS Trust Series 2006-16N Cl. 1-A31, Upgraded to Caa3 (sf); previously on Oct 22, 2010 Downgraded to Ca (sf) Cl. 1-A31U, Upgraded to Caa3 (sf); previously on Oct 22, 2010 Downgraded to Ca (sf) Cl. 1-A32A1, Upgraded to Caa3 (sf); previously on Oct 22, 2010 Downgraded to Ca (sf) Cl. 1-A32A1U, Upgraded to Caa3 (sf); previously on Oct 22, 2010 Downgraded to Ca (sf) Cl. 1-A32A2, Upgraded to Caa3 (sf); previously on Oct 22, 2010 Downgraded to C (sf) Cl. 1-A4A, Upgraded to B2 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 1-A4B, Upgraded to Ca (sf); previously on Oct 22, 2010 Downgraded to C (sf) Cl. 2-A, Upgraded to Caa2 (sf); previously on Oct 22, 2010 Downgraded to Ca (sf) Issuer: RALI Series 2006-QS10 Trust Cl. A-1, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. A-6*, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. A-7, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. A-9, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. A-11, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. A-12*, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. A-13, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. A-14*, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. A-19, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. A-P, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. 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 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 47 Bonds from 8 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 47 bonds from eight US residential mortgage-backed transactions (RMBS). Bayview MSR Opportunity Master Fund Trust 2021-INV2, Bayview MSR Opportunity Master Fund Trust 2022-INV5, Citigroup Mortgage Loan Trust 2022-INV2, Provident Funding Mortgage Trust 2021-INV1, and UWM Mortgage Trust 2021-INV1 are backed by almost entirely agency eligible investor (INV) mortgage loans. Citigroup Mortgage Loan Trust 2021-J2, Provident Funding Mortgage Trust 2021-2, and RATE Mortgage Trust 2024-J2 are backed by prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bayview MSR Opportunity Master Fund Trust 2021-INV2 Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 26, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 26, 2024 Upgraded to A1 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Aug 26, 2024 Upgraded to Baa1 (sf) Issuer: Bayview MSR Opportunity Master Fund Trust 2022-INV5 Cl. A-19, Upgraded to Aaa (sf); previously on Apr 12, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-20, Upgraded to Aaa (sf); previously on Apr 12, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-21, Upgraded to Aaa (sf); previously on Apr 12, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO20*, Upgraded to Aaa (sf); previously on Apr 12, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO21*, Upgraded to Aaa (sf); previously on Apr 12, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO22*, Upgraded to Aaa (sf); previously on Apr 12, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO23*, Upgraded to Aaa (sf); previously on Apr 12, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO24*, Upgraded to Aaa (sf); previously on Apr 12, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 26, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 26, 2024 Upgraded to A1 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Aug 26, 2024 Upgraded to Baa2 (sf) Issuer: Citigroup Mortgage Loan Trust 2021-J2 Cl. B-1, Upgraded to Aaa (sf); previously on Aug 26, 2024 Upgraded to Aa1 (sf) Cl. B-1-IO*, Upgraded to Aaa (sf); previously on Aug 26, 2024 Upgraded to Aa1 (sf) Cl. B-1-IOW*, Upgraded to Aaa (sf); previously on Aug 26, 2024 Upgraded to Aa1 (sf) Cl. B-1-IOX*, Upgraded to Aaa (sf); previously on Aug 26, 2024 Upgraded to Aa1 (sf) Cl. B-1W, Upgraded to Aaa (sf); previously on Aug 26, 2024 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 26, 2024 Upgraded to A1 (sf) Cl. B-2-IO*, Upgraded to Aa3 (sf); previously on Aug 26, 2024 Upgraded to A1 (sf) Cl. B-2-IOW*, Upgraded to Aa3 (sf); previously on Aug 26, 2024 Upgraded to A1 (sf) Cl. B-2-IOX*, Upgraded to Aa3 (sf); previously on Aug 26, 2024 Upgraded to A1 (sf) Cl. B-2W, Upgraded to Aa3 (sf); previously on Aug 26, 2024 Upgraded to A1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Aug 26, 2024 Upgraded to Ba3 (sf) Issuer: Citigroup Mortgage Loan Trust 2022-INV2 Cl. B-2, Upgraded to A1 (sf); previously on Aug 26, 2024 Upgraded to A2 (sf) Cl. B-2-IO*, Upgraded to A1 (sf); previously on Aug 26, 2024 Upgraded to A2 (sf) Cl. B-2-IOW*, Upgraded to A1 (sf); previously on Aug 26, 2024 Upgraded to A2 (sf) Cl. B-2-IOX*, Upgraded to A1 (sf); previously on Aug 26, 2024 Upgraded to A2 (sf) Cl. B-2W, Upgraded to A1 (sf); previously on Aug 26, 2024 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Aug 26, 2024 Upgraded to Baa2 (sf) Cl. B-3-IO*, Upgraded to Baa1 (sf); previously on Aug 26, 2024 Upgraded to Baa2 (sf) Cl. B-3-IOW*, Upgraded to Baa1 (sf); previously on Aug 26, 2024 Upgraded to Baa2 (sf) Cl. B-3-IOX*, Upgraded to Baa1 (sf); previously on Aug 26, 2024 Upgraded to Baa2 (sf) Cl. B-3W, Upgraded to Baa1 (sf); previously on Aug 26, 2024 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 26, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Aug 26, 2024 Upgraded to B1 (sf) Issuer: Provident Funding Mortgage Trust 2021-2 Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 26, 2024 Upgraded to Aa2 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Aug 26, 2024 Upgraded to Baa3 (sf) Issuer: Provident Funding Mortgage Trust 2021-INV1 Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 26, 2024 Upgraded to Aa2 (sf) Issuer: RATE Mortgage Trust 2024-J2 Cl. B-2, Upgraded to A2 (sf); previously on Aug 14, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2A, Upgraded to A2 (sf); previously on Aug 14, 2024 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Aug 14, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-X-2*, Upgraded to A2 (sf); previously on Aug 14, 2024 Definitive Rating Assigned A3 (sf) Issuer: UWM Mortgage Trust 2021-INV1 Cl. B-2, Upgraded to A1 (sf); previously on Aug 12, 2024 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Aug 12, 2024 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Aug 12, 2024 Upgraded to B1 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative losses for each transaction under .02% and a small percentage of loans in delinquencies. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.2x for the tranches upgraded. No actions were taken on the other rated classes in these deals because the expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement, and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* 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. 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Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The single-user TCR subscription rate is $1,400 for six months or $2,350 for twelve months, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each per half-year or $50 annually. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***