250713.mbx

250713.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 13, 2025, Vol. 29, No. 193 Headlines ACRES 2025-FL3: Fitch Assigns 'B-sf' Final Rating on Class H Notes AFFIRM MASTER 2025-2: DBRS Finalizes BB Rating on Class E Notes APIDOS CLO XLV: Fitch Assigns 'BB+sf' Rating on Class E-R Notes APIDOS CLO XLV: Moody's Assigns B3 Rating to $500,000 F-R Notes ARBOR REALTY 2021-FL3: DBRS Confirms B Rating on Class G Notes ARES LIV: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes AUXILIOR TERM 2023-1: DBRS Confirms BB(high) Rating on E Notes AXMF RE-REMIC 2025-SBRR1: DBRS Finalizes B(low) Rating on 3 Classes BAIN CAPITAL 2022-2: Moody's Assigns Ba3 Rating to $21MM E-R Notes BALBOA BAY 2023-1: S&P Assigns BB- (sf) Rating on Cl. E-RR Notes BALLYROCK CLO 29: S&P Assigns Prelim BB-(sf) Rating on Cl. D Notes BANK 2019-BNK24: DBRS Confirms BB Rating on Class X-G Certs BANK 2022-BNK39: DBRS Confirms BB Rating on Class XG Certs BARINGS CLO 2025-II: Fitch Assigns 'BB-sf' Rating on Class E Notes BBCMS 2025-C35: Fitch Assigns 'B-(EXP)sf' Rating on Cl. J-RR Certs BENCHMARK 2020-B18: Fitch Lowers Rating on Two Tranches to 'BB-sf' BENCHMARK 2020-B19: Fitch Affirms 'Bsf' Rating on Two Tranches BENEFIT STREET XL: S&P Assigns BB- (sf) Rating on Class E Notes BIRCH GROVE 6: Fitch Assigns 'BBsf' Rating on Class E-R Notes BIRCH GROVE 6: Moody's Assigns B3 Rating to $200,000 Cl. F-R Notes BX TRUST 2021-SDMF: DBRS Confirms B(low) Rating on Class G Certs BX TRUST 2025-GW: Moody's Assigns B1 Rating to Cl. F Certs CALI COMMERCIAL 2024-SUN: DBRS Confirms BB(low) Rating on E Certs CARLYLE US 2022-1: Moody's Cuts Rating on $16MM Cl. E Notes to B1 CARLYLE US 2023-1: Fitch Assigns 'BB-sf' Final Rating on E-R Notes CARLYLE US 2025-3: Fitch Assigns 'BB-sf' Rating on Class E Notes CBAM LTD 2017-2: Moody's Lowers Rating on $76.5MM E-R Notes to B1 CD 2016-CD2: Fitch Lowers Rating on Three Tranches to 'BBsf' CIFC FUNDING 2019-IV: Fitch Assigns BB-sf Rating on Cl. D-R2 Notes CITIGROUP 2016-P3: Fitch Lowers Rating on Two Tranches to 'Bsf' COLLEGE LOAN II: Fitch Lowers Rating on 2007-1 Cl. B-3 Notes to BB COLLEGIATE FUNDING 2005-B: Fitch Lowers Rating on A-4 Notes to BB CSAIL 2016-C7: DBRS Confirms B Rating on Class X-F Certs DAILYPAY SECURITIZATION 2025-1: DBRS Finalizes BB Rating on D Notes ELMWOOD CLO X: Fitch Assigns 'B-(EXP)sf' Rating on Class F-R2 Notes ELMWOOD CLO X: Fitch Assigns 'B-sf' Final Rating on Cl. F-R2 Notes GREENSKY HOME 2025-2: Fitch Assigns BB(EXP) Rating on Cl. E Notes GS MORTGAGE 2018-GS10: DBRS Confirms C Rating on Class G-RR Certs GS MORTGAGE 2021-PJ10: Moody's Ups Rating on Cl. B-5 Certs to Ba1 GS MORTGAGE 2025-RPL3: DBRS Gives Prov. B(high) Rating on B2 Notes GSAT TRUST 2025-BMF: DBRS Gives Prov. B(low) Rating on Cl. F Certs GSF 2023-1: Fitch Affirms 'BB-sf' Rating on Class E Debt HALSEYPOINT CLO 7: Fitch Assigns 'BB+sf' Rating on Class E-R Notes HARBOURVIEW CLO VII-R: Moody's Affirms B2 Rating on Class E Notes HARRIMAN PARK: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes HARRIMAN PARK: Moody's Assigns B3 Rating to $250,000 F-RR Notes HPS LOAN 11-2017: Moody's Affirms B1 Rating on $21.5MM Cl. E Notes JPMDB COMMERCIAL 2017-C7: Fitch Lowers Rating on 2 Tranches to B- KKR CLO 11: Moody's Affirms B1 Rating on $27.5MM Class E-R Notes KKR CLO 52: Moody's Assigns B3 Rating to $250,000 Class F-R Notes KRR CLO 52: Fitch Assigns 'BBsf' Rating on Class E-R Notes KRR CLO 57: Fitch Assigns 'BBsf' Rating on Class E Notes LOANCORE 2022-CRE7: DBRS Confirms B(low) Rating on Class G Notes MADISON PARK LXXII: Fitch Assigns 'BB+sf' Rating on Class E Notes MADISON PARK LXXII: Moody's Assigns B3 Rating to $250,000 F Notes MARANON LOAN 2023-1: S&P Assigns Prelim 'BB-' Rating on E-R Notes MISSION LANE 2025-B: Fitch Assigns 'Bsf' Rating on Class F Notes MONROE CAPITAL X: S&P Assigns BB- (sf) Rating on Class E-R2 Notes MORGAN STANLEY 2016-BNK2: Fitch Cuts Rating on 2 Tranches to 'Bsf' MORGAN STANLEY 2016-C29: DBRS Confirms C Rating on Class G Certs MORGAN STANLEY 2025-NQM4: DBRS Finalizes BB Rating on B1 Certs NASSAU LTD 2019-II: Moody's Cuts Rating on $20MM E Notes to Caa1 NATIONAL COLLEGIATE 2006-1: Moody's Ups Cl. A-5 Certs Rating to B2 NATIXIS COMMERCIAL 2020-2PAC: Moody's Cuts Rating on D Certs to Ba1 OCEANVIEW MORTGAGE 2025-INV3: Moody's Gives B3 Rating to B-5 Certs OHA CREDIT 7: Fitch Assigns 'BB+sf' Rating on Class E-R2 Notes OHA CREDIT 7: S&P Assigns B- (sf) Rating on Class F-R2 Notes OWN EQUIPMENT II: DBRS Finalizes BB(low) Rating on Class C Notes OZLM FUNDING II: S&P Assigns Prelim B- (sf) Rating on F-R4 Notes PALMER SQUARE 2021-4: Fitch Assigns 'B-sf' Rating on Cl. F-R Notes PALMER SQUARE 2022-1: Moody's Ups Rating on $26.25MM D Notes to Ba1 PARLIAMENT FUNDING IV: DBRS Confirms Provisional BB(low) on C Notes PRMI SECURITIZATION 2024-CMG1: DBRS Confirms B Rating on B2 Notes PRPM 2025-RCF3: DBRS Gives Prov. BB(low) Rating on Class M2 Notes RAD CLO 15: Fitch Assigns 'BB-sf' Rating on Class D-R Notes RADIAN MORTGAGE 2025-J2: DBRS Finalizes B(high) Rating on B5 Certs RATE MORTGAGE 2025-J2: DBRS Finalizes B(low) Rating on B5 Notes RIN VI LLC: Moody's Assigns (P)Ba3 Rating to $4.5MM Cl. E-R Notes ROCKFORD TOWER 2018-2: Moody's Cuts $27.5MM E Notes Rating to B1 SARANAC CLO VI: Moody's Lowers Rating on $17MM Class E Notes to B2 SEQUOIA MORTGAGE 2025-7: Fitch Assigns B(EXP) Rating on B-5 Certs SG COMMERCIAL 2016-C5: Fitch Lowers Rating on Cl. D Certs to 'B-sf' SIERRA TIMESHARE 2025-2: Fitch Assigns BB(EXP)sf Rating on D Notes SIERRA TIMESHARE 2025-2: S&P Assigns Prelim 'BB-' Rating on D Notes SIXTH STREET XX: Fitch Assigns 'BB-sf' Rating on Class E-R Notes SPEIRS ABS 2025-1: Fitch Assigns 'B-sf' Final Rating on Cl. F Notes STUDENT LOAN 2007-2: Moody's Lowers Rating on Cl. IO Certs to Ca TMCL VII 2025-1H: DBRS Gives Prov. BB Rating on Class B Notes TOWD POINT 2025-CES2: DBRS Gives Prov. B(low) Rating on B2 Notes TOWD POINT 2025-CES2: Fitch Assigns 'B-sf' Final Rating on B2 Notes VDCM COMMERCIAL 2025-AZ: DBRS Gives Prov. B Rating on HRR Certs VERUS SECURITIZATION 2025-6: Moody's Gives (P)B1 Rating to B-2 Debt VERUS SECURITIZATION 2025-6: S&P Assigns Prelim B+(sf) on B-2 Notes WELLS FARGO 2016-C37: DBRS Confirms B(high) Rating on H Certs WELLS FARGO 2018-C48: Fitch Affirms 'B-sf' Rating on Cl. G-RR Debt WELLS FARGO 2025-5C5: Fitch Assigns 'B-(EXP)' Rating on F-RR Certs WELLS FARGO 2025-AGLN: Fitch Assigns BB-(EXP)sf Rating on HRR Certs WELLS FARGO 2025-NYCH: DBRS Finalizes BB Rating on Class E Certs WESTLAKE 2025-2: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes WHARF COMMERCIAL 2025-DC: DBRS Finalizes BB(low) Rating on E Certs WMRK COMMERCIAL 2022-WMRK: S&P Cuts F Certs Rating to 'CCC (sf)' [] Moody's Takes Rating Action on 24 Bonds from 3 US RMBS Deals [] Moody's Upgrades Ratings on 17 Bonds from 10 US RMBS Deals ********* ACRES 2025-FL3: Fitch Assigns 'B-sf' Final Rating on Class H Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to the ACRES 2025-FL3 LLC as follows: Entity/Debt Rating Prior ----------- ------ ----- ACRES 2025-FL3 A LT AAAsf New Rating AAA(EXP)sf A-S LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBB-sf New Rating BBB-(EXP)sf F LT BB+sf New Rating BB+(EXP)sf G LT BB-sf New Rating BB-(EXP)sf H LT B-sf New Rating B-(EXP)sf Income LT NRsf New Rating NR(EXP)sf - $552,000,000a class A 'AAAsf'; Outlook Stable; - $86,400,000a class A-S 'AAAsf'; Outlook Stable; - $70,800,000a class B 'AA-sf'; Outlook Stable; - $57,600,000a class C 'A-sf'; Outlook Stable; - $34,800,000a class D 'BBBsf'; Outlook Stable; - $18,000,000a class E 'BBB-sf'; Outlook Stable; - $13,200,000ab class F 'BB+sf'; Outlook Stable; - $20,400,000ab class G 'BB-sf'; Outlook Stable; - $24,000,000ab class H 'B-sf'; Outlook Stable. The following class is not 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 ratings are based on information provided by the issuer as of July 9, 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 performed cash flow analyses on nine 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 higher 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'. 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. AFFIRM MASTER 2025-2: DBRS Finalizes BB Rating on Class E Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following notes issued by Affirm Master Trust Series 2025-2 (AFRMT 2025-2): -- $559,500,000 Class A Notes at AAA (sf) -- $48,600,000 Class B Notes at AA (high) (sf) -- $49,400,000 Class C Notes at A (high) (sf) -- $38,500,000 Class D Notes at BBB (high) (sf) -- $54,000,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION (1) The transaction's form and sufficiency of available credit enhancement. -- Subordination, overcollateralization, amounts held in the Reserve Account, and excess spread create credit enhancement levels that are commensurate with the proposed credit ratings. -- Transaction cash flows are sufficient to repay investors under all AAA (sf), AA (high) (sf), A (high) (sf), BBB (high) (sf), and BB (sf) stress scenarios in accordance with the terms of the AFRMT 2025-2 transaction documents. (2) Inclusion of structural elements featured in the transaction such as the following: -- Eligibility criteria for Group 1 Receivables (Series 2025-2 Eligible Receivables) that are permissible in the transaction. -- Concentration limits for AFRMT 2025-2 designed to maintain a consistent profile of the receivables in the pool. -- Performance-based Amortization Events that, when breached, will end the Revolving Period and begin amortization. (3) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns March 2025 Update, published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (4) The experience, sourcing, and servicing capabilities of Affirm, Inc. (5) The experience, underwriting, and origination capabilities of Affirm Loan Services LLC (ALS), Cross River Bank (CRB), Celtic Bank, and Lead Bank. (6) The ability of Nelnet Servicing, LLC to perform duties as a Backup Servicer. (7) The annual percentage rate charged on the loans and CRB, Celtic Bank, and Lead Bank's status as the true lenders. -- All loans in the initial pool included in AFRMT 2025-2 are originated by Affirm through its subsidiary ALS or by originating banks, CRB, Celtic Bank, and Lead Bank, New Jersey, Utah, and Missouri, respectively, state-chartered FDIC-insured banks. -- Loans originated by ALS utilize state licenses and registrations and interest rates are within each state's respective usury cap. -- Loans originated by CRB are all within the New Jersey state usury limit of 30.00%. -- Loans originated by Celtic Bank are all within the Utah state usury limit of 36.00%. -- Loans originated by Lead Bank are originated below 36.00%. -- Loans may be in excess of individual state usury laws; however, CRB, Celtic Bank, and Lead Bank as the true lenders are able to export rates that preempt state usury rate caps. -- The Series 2025-2 Eligible Receivables includes loans made to borrowers in New York that have Contract Rates below the usury threshold. -- The Series 2025-2 Eligible Receivables includes loans made to borrowers in Maine that have Contract Rates below the usury threshold. -- Affirm has obtained a supervised lending license from Colorado, permitting ALS to facilitate supervised loans in excess of the Colorado annual rate cap, complying with Assurance of Discontinuance's (AOD's) safe harbor. If the loan was originated in Colorado, the loan has a Contract Rate less than or equal to 12% if the loan was originated by CRB, Celtic Bank, or Lead Bank. -- Loans originated to borrowers in Connecticut with a Contract Rate above 12% will be ineligible to be included in the Series 2025-2 Eligible Receivables to be transferred to the Trust. Inclusion of these Receivables will be subject to Rating Agency Condition. -- Under the loan sale agreement, Affirm is obligated to repurchase any loan if there is a breach of representation and warranty that materially and adversely affects the interests of the purchaser. (8) The legal structure and expected legal opinions that will address the true sale of the unsecured consumer loans, the nonconsolidation of the Trust, and that the Trust has a valid perfected security interest in the assets and consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Distribution Amount and the related Note Balance. Notes: All figures are in US dollars unless otherwise noted. APIDOS CLO XLV: Fitch Assigns 'BB+sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO XLV Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Apidos CLO XLV Ltd. A-1R LT NRsf New Rating NR(EXP)sf A-2R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-1R LT BBB-sf New Rating BBB-(EXP)sf D-2R 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 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. Date of Relevant Committee 26 June 2025 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 B3 Rating to $500,000 F-R Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Apidos CLO XLV Ltd (the Issuer): US$315,000,000 Class A-1R Senior Secured Floating Rate Notes due 2038, 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 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. ARBOR REALTY 2021-FL3: DBRS Confirms B Rating on Class G Notes -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of notes issued by Arbor Realty Commercial Real Estate Notes 2021-FL3, Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (sf) -- Class D at A (high) (sf) -- Class E at BBB (high) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. The credit rating confirmations reflect the transaction's favorable collateral composition, as the trust continues to be solely secured by multifamily collateral, and the increased credit support provided to the bonds as a result of collateral reduction. Morningstar DBRS previously reviewed the transaction in May 2025, which resulted in upgrades across the Class B through G Notes, stemming from increased collateral reduction totaling 37.0% since issuance. Since then, three additional loans totaling $124.8 million have repaid in full, resulting in an overall collateral reduction of 45.3% as of the June 2025 reporting. In addition, the majority of individual borrowers are progressing with the stated business plans to increase property cash flow asset value. While select loans have exhibited performance concerns, Morningstar DBRS expects the lender and the borrowers of these loans to negotiate loan modifications to maturity extensions, if necessary. Any loan modifications would likely require additional equity infusions from borrowers in the form of principal curtailments, the purchase of new interest rate-cap agreements, or deposits into existing reserve accounts. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-dbrs@morningstar.com. As of the June 2025 remittance, the transaction had an outstanding balance of $820.0 million with 29 loans secured by 38 properties remaining in the trust. Of the original 36 loans from the transaction closing in October 2021, nine loans, representing 30.9% of the current pool balance, remain in the trust. Leverage across the pool has decreased since issuance as the current weighted-average (WA) as-is appraised, loan-to-value (LTV) ratio is 70.6%, with a current WA stabilized LTV ratio of 56.9%. In comparison, these figures were 84.4% and 72.2%, respectively, since issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2022 and may not reflect the current rising interest rate or widening capitalization (cap) rate environments. In the analysis for this review, Morningstar DBRS applied LTV adjustments to 14 loans, representing 61.8% of the current pool balance, generally reflective of higher cap rate assumptions compared with the implied cap rates based on the appraisals. As of June 2025 reporting, three loans, representing 14.1% of the current trust balance, are in special servicing. The largest loan is special servicing, South Pointe Apartments (Prospectus ID#70; 7.1% of the current trust balance), is secured by a 252-unit multifamily property in Naranja, Florida. The loan transferred to special servicing in April 2025 for maturity default. According to the Q1 2025 collateral manager report, the borrower is looking to exercise its 12-month extension option; however, the loan will require a modification as the extension option requires the loan to have a minimum debt service coverage ratio (DSCR) of 1.25 times (x). It appears a modification is likely as the collateral manager is working with the borrower to resolve the past due maturity date. As of the trailing 12-month period ended February 28, 2025, the property generated a net cash flow (NCF) of $3.3 million, equating to a 0.65x DSCR and a 5.7% a debt yield. According to the February 2025 rent roll, the property was 92.1% occupied at an average rental rate of $2,035 per unit. In its analysis, Morningstar DBRS applied an increased LTV ratio and applied a probability of default adjustments to the loan, resulting in an expected loss in excess of the WA loss figure for the pool. The second-largest loan in special servicing, The Landings at Brittany Acres (Prospectus ID#64; 3.9% of the current trust balance), is secured by is secured by a multifamily property in Bridgeton, Missouri. According to the collateral manager's Q1 2025 update, the loan was modified In December 2024, which extended loan maturity through December 2027 and reduced the interest rate spread from 3.60% to 2.75%. The modification also required a principal payment of $0.5 million and the purchase of a rate cap with a 3.0% strike rate for a three-year term. According to the January 2025 rent roll the property 91.8% occupied and 95.4% pre-leased. As of the trailing 12-month period ended January 31, 2025, the property generated a NCF of $2.1 million, equating to a 0.95x DSCR and a 6.7% debt yield. In its analysis, Morningstar DBRS applied an increased LTV ratio and a probability of default adjustments to the loan, resulting in an expected loss in excess of the WA loss figure for the pool. The third-largest loan in special servicing, Casa Blanca & Casa Valencia (Prospectus ID#28; 3.1% of the current pool balance), is secured by a multifamily property in Dallas. The loan transferred to special servicing in October 2024 for imminent default. The loan was modified in February 2025, whereby the borrower made a $1.0 million deposit to be used to pay past-due debt service, fund the renovation reserve, and fund the interest rate cap reserve. The borrower is also required to make two additional $0.4 million deposits to the renovation reserve by March 2025 and June 2025, respectively. As part of the modification, the loan was extended from March 2026 to August 2027 and the borrower purchased a new 12-month interest rate cap agreement with a 5.00% strike rate through the current maturity date. The Casa Blanca property was 32.0% occupied as of February 2025, while the Casa Valencia property remains closed after sustaining significant crime. According to the collateral manager the borrower is in the process of obtaining bids for the renovation of the property. An updated appraisal completed in March 2025 valued the collateral at $21.6 million, down from $24.6 million at June 2024. The current LTV is elevated at 118.1%, suggesting the credit risk of the loan has increased materially from closing. The projected as-stabilized value of $27.7 million implies an elevated LTV of 92.1%. In its analysis, Morningstar DBRS applied an increased LTV and probability of default adjustments to the loan, resulting in an expected loss in excess of the WA loss figure for the pool. While the servicer did not report any loans on the servicer's watchlist as of the June 2025 reporting, the transaction had an elevated amount of loan modifications. Through June 2025, 24 of the outstanding loans, representing 87.6% of the current trust balance, have been modified. The terms of the individual loan modifications vary and have included the waiver of performance-based tests to exercise maturity extensions, the requirement to purchase new interest rate cap agreements, changes to interest rate structures and reallocations of loan future funding dollars. Loan modifications have often required additional equity commitments from borrowers in the form of upfront principal curtailments, deposits into reserve accounts, and/or increased loan payments guarantees. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. ARES LIV: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Ares LIV CLO Ltd. reset transaction. Entity/Debt Rating ----------- ------ Ares LIV CLO Ltd. _Reset 2025 X-R2 LT AAAsf New Rating A-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D1-R2 LT BBB-sf New Rating D2-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Ares LIV CLO Ltd. (Reset) (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.91 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 95.6% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.5% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with 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 'AAAsf' for class X-R2, between 'BBB+sf' and 'AA+sf' for class A-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D1-R2, and between less than 'B-sf' and 'BB+sf' for class D2-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 X-R2 and class A-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf' for class D1-R2, and 'A-sf' for class D2-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 Ares LIV CLO Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. AUXILIOR TERM 2023-1: DBRS Confirms BB(high) Rating on E Notes -------------------------------------------------------------- DBRS, Inc. upgraded five and confirmed seven credit ratings across two Auxilior Term Funding Transactions. Auxilior Term Funding 2023-1, LLC -- Class A-2 Notes AAA (sf) Confirmed -- Class A-3 Notes AAA (sf) Confirmed -- Class B Notes AAA (sf) Confirmed -- Class C Notes AA (sf) Upgraded -- Class D Notes A (low)(sf) Upgraded -- Class E Notes BB (high)(sf) Confirmed Auxilior Term Funding 2024-1, LLC -- Class A-2 Notes AAA (sf) Confirmed -- Class A-3 Notes AAA (sf) Confirmed -- Class B Notes AAA (sf) Upgraded -- Class C Notes AA (low)(sf) Upgraded -- Class D Notes BBB (high)(sf) Upgraded -- Class E Notes BB (sf) Confirmed The credit rating actions are based on the following analytical considerations: -- Auxilior Term Funding 2023-1, LLC has amortized to a pool factor of 61.32% and has a current cumulative net loss (CNL) to date of 1.69%. Losses have been coming in at a faster rate than initially expected, however, available hard credit enhancement (CE) has grown substantially across all tranches, sufficient to support a revised projected remaining CNL assumption. As such, Morningstar DBRS has confirmed and upgraded credit ratings for this transaction. -- Auxilior Term Funding 2024-1, LLC has amortized to a pool factor of 80.00% and has a current cumulative net loss (CNL) to date of 0.22%. The collateral performance of the transaction and metrics are within initial expectations. Additionally, available hard CE has grown across all tranches. As such, Morningstar DBRS has confirmed and upgraded credit ratings for this transaction. -- The transaction parties' capabilities with respect to origination, underwriting, and servicing. -- The Transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, " Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in US dollars unless otherwise noted. AXMF RE-REMIC 2025-SBRR1: DBRS Finalizes B(low) Rating on 3 Classes ------------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Multifamily Mortgage Certificate-Backed Certificates, Series 2025-SBRR1 (the Certificates) to be issued by AXMF Re-REMIC Trust 2025-SBRR1 (the Trust): -- Class A at A (low) (sf) -- Class B at BBB (low) (sf) -- Class C at BB (low) (sf) -- Class D at B (low) (sf) -- Class CA at BB (low) (sf) -- Class CB at BB (low) (sf) -- Class DA at B (low) (sf) -- Class DB at B (low) (sf) All trends are Stable. This transaction is a re-securitization collateralized by a portion of the beneficial interests in the Class B multifamily mortgage-backed pass-through certificates from 18 underlying small balance multifamily mortgage loan securitizations issued by the Federal Home Loan Mortgage Corporation (Freddie Mac). The principal balances of the underlying Class B certificates total approximately $560.2 million, of which approximately $459.3 million is being contributed to the Trust. Morningstar DBRS' credit ratings on this transaction depend on the performance of the underlying securitizations. The Class B underlying certificates are the most subordinate principal-and-interest classes in the underlying securitizations. The collateral of the underlying securitizations currently comprises 1,986 loans secured by 1,986 multifamily properties, including 1,847 garden-style multifamily properties, 73 mid-rise/high-rise apartment complexes, 55 unclassified multifamily properties, seven independent senior living properties, and four townhome properties. An additional 292 loans were securitized as part of the underlying securitizations but paid off prior to June 2025. Of the total current pool, 892 loans, comprising 43.9% of the current total principal balance, have 20-year loan terms; 618 loans, comprising 29.0% of the current total principal balance, have 10-year loan terms; 265 loans, comprising 15.4% of the current total principal balance, have approximately five-year loan terms; and 211 loans, comprising 11.6% of the current total principal balance, have seven-year loan terms. Approximately 56.1% of the pool by total current principal balance are fixed-rate loans and approximately 43.9% are hybrid ARM loans. For the hybrid ARM loans, Morningstar DBRS used the greater of the interest rate floor and the stressed rate (the lesser of the various rates by index timing and the contractual capped rate) based on the remaining term when determining the interest rate to calculate a stressed term debt service. Morningstar DBRS analyzed each underlying securitization to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and the liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS net cash flow and their respective constants, the resulting initial Morningstar DBRS weighted-average (WA) debt service coverage ratio (DSCR) of the total current pool was 1.00 times (x). There are 1,714 loans, representing 87.0% of the total initial principal balance of the current pool, that exhibit an initial Morningstar DBRS WA DSCR lower than 1.25x, a threshold indicative of a higher likelihood of midterm default. The WA Morningstar DBRS Issuance Loan-to-Value Ratio (LTV) of the current pool was 66.4% and the total pool is scheduled to amortize to a WA Morningstar DBRS Balloon LTV of 53.6%, based on the A note balances at maturity. There are 966 loans, comprising approximately 49.2% of the total initial principal balance of the current pool, that exhibit a Morningstar DBRS Issuance LTV higher than 67.6%, a threshold generally indicative of above-average default frequency. Additionally, 52 loans, representing approximately 2.3% of the current total principal balance, were delinquent, matured performing, matured non-performing, in foreclosure, or real estate owned as of the May 2025 underlying monthly reports. Morningstar DBRS applied an additional stress to the default rate of these loans to mitigate the risk of near-term default. The transaction has a pro rata pass-through structure until the occurrence of a waterfall trigger event, which will occur if (1) the aggregate outstanding principal balance of the underlying transactions is less than or equal to 40% of the aggregate outstanding principal balance at closing; (2) the aggregate principal balances of the underlying mortgage loans that are at least 60 days delinquent exceeds 4% of the total aggregate principal balance of the underlying transactions; (3) the cumulative portfolio net loss rate exceeds 1.5%; or (4) eight or more of the underlying transactions are subject to an underlying waterfall trigger event. In addition, the depositor has the option to repurchase any of the underlying Class B certificates that are subject to an underlying waterfall trigger event at a repurchase price equal to the outstanding principal balance of the underlying certificates. The amount of this repurchase price will be applied pro rata to the Certificates regardless of whether a waterfall trigger event is in effect. Morningstar DBRS applied a penalty to the losses for the transaction to account for the pro rata structure. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts, Interest Distribution Amounts, and Additional Interest Payments for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. BAIN CAPITAL 2022-2: Moody's Assigns Ba3 Rating to $21MM E-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (collectively, the "Refinancing Debt") issued by Bain Capital Credit CLO 2022-2, Limited (the "Issuer"). Moody's rating action is as follows: US$378,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$21,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2035, Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Bain Capital Credit US CLO Manager II, LP (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued six other classes of secured notes and one class of subordinated notes, which will remain outstanding. Of those, five classes of secured notes are also refinanced and the other notes will remain. In addition to the issuance of the Refinancing Debt, a variety of other changes to transaction features will occur in connection with the refinancing including reinstatement and extension of the stated non-call period. 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: $581,709,899 Defaulted par: $2,283,758 Diversity Score: 86 Weighted Average Rating Factor (WARF): 2774 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.19% Weighted Average Coupon (WAC): 5.75% Weighted Average Recovery Rate (WARR): 46.17% Weighted Average Life (WAL): 5.48 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. BALBOA BAY 2023-1: S&P Assigns BB- (sf) Rating on Cl. E-RR Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR debt from Balboa Bay Loan Funding 2023-1 Ltd./Balboa Bay Loan Funding 2023-1 LLC, a CLO managed by Pacific Investment Management Company LLC that was originally issued in March 2023 and underwent a refinancing in April 2024. At the same time, S&P withdrew its ratings on the outstanding class A-R, B-R, C-R, D-R-1, D-R-2, and E-R debt following payment in full on the July 7, 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 July 7, 2026. -- No additional assets were purchased on the July 7, 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 20, 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-RR, D-2-RR, and E-RR debt. However, we affirmed our 'BBB+ (sf)', 'BBB (sf)', and 'BB- (sf)' ratings, respectively, on the class D-1-RR, D-2-RR, and E-RR debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction. In addition, we believe the payment of principal or interest on the class D-1-RR, D-2-RR, and E-RR 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 our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," criteria Oct. 1, 2012." Replacement And Outstanding Debt Issuances Replacement debt -- Class A-RR, $256.00 million: Three-month CME term SOFR + 1.16% -- Class B-RR, $48.00 million: Three-month CME term SOFR + 1.65% -- Class C-RR (deferrable), $24.00 million: Three-month CME term SOFR + 1.85% -- Class D-1-RR (deferrable), $24.00 million: Three-month CME term SOFR + 2.90% -- Class D-2-RR (deferrable), $4.00 million: Three-month CME term SOFR + 4.25% -- Class E-RR (deferrable), $12.00 million: Three-month CME term SOFR + 5.40% Outstanding debt -- Class A-R, $256.00 million: Three-month CME term SOFR + 1.42% -- Class B-R, $48.00 million: Three-month CME term SOFR + 2.05% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.55% -- Class D-1-R (deferrable), $24.00 million: Three-month CME term SOFR + 3.80% -- Class D-2-R (deferrable), $4.00 million: Three-month CME term SOFR + 5.15% -- Class E-R (deferrable), $12.00 million: Three-month CME term SOFR + 6.90% 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 Balboa Bay Loan Funding 2023-1 Ltd./ Balboa Bay Loan Funding 2023-1 LLC Class A-RR, $256.00 million: AAA (sf) Class B-RR, $48.00 million: AA (sf) Class C-RR (deferrable), $24.00 million: A (sf) Class D-1-RR (deferrable), $24.00 million: BBB+ (sf) Class D-2-RR (deferrable), $4.00 million: BBB (sf) Class E-RR (deferrable), $12.00 million: BB- (sf) Ratings Withdrawn Balboa Bay Loan Funding 2023-1 Ltd./ Balboa Bay Loan Funding 2023-1 LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-1-R to NR from 'BBB+ (sf)' Class D-2-R to NR from 'BBB (sf)' Class E-R to NR from 'BB- (sf)' Other Debt Balboa Bay Loan Funding 2023-1 Ltd./ Balboa Bay Loan Funding 2023-1 LLC Subordinated notes, $38.40 million: NR NR--Not rated. BALLYROCK CLO 29: S&P Assigns Prelim BB-(sf) Rating on Cl. D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Ballyrock CLO 29 Ltd./ Ballyrock CLO 29 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The preliminary ratings are based on information as of July 7, 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 Ballyrock CLO 29 Ltd./ Ballyrock CLO 29 LLC Class A-1a, $320.00 million: AAA (sf) Class A-1b, $10.00 million: AAA (sf) Class A-2, $50.00 million: AA (sf) Class B (deferrable), $30.00 million: A (sf) Class C-1 (deferrable), $30.00 million: BBB- (sf) Class C-2 (deferrable), $5.00 million: BBB- (sf) Class D (deferrable), $15.00 million: BB- (sf) Subordinated notes, $46.05 million: Not rated NR--Not rated. BANK 2019-BNK24: DBRS Confirms BB Rating on Class X-G Certs ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-BNK24 issued by BANK 2019-BNK24 (the Issuer) as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class C at AA (low) (sf) -- Class D at A (low) (sf) -- Class X-D at A (low) (sf) -- Class E at BBB (high) (sf) -- Class X-F at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class X-G at BB (sf) -- Class G at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction since the previous Morningstar DBRS credit rating action in July 2024. As of the June 2025 remittance, 70 of the 71 original loans remain in the pool, with a trust balance of $1.2 billion, reflecting a collateral reduction of 1.85% since issuance. There are currently no loans in special servicing and 16 loans, representing 16.4% of the pool, on the servicer's watchlist. Two loans, representing 1.3% of the pool, are defeased. Although the transaction includes a significant concentration of loans secured by office properties (33.1% of the pool), the performance of the underlying office collateral remains stable with only one large loan, Galleria 57 (Prospectus ID #8, 4.3% of the pool), currently on the servicer's watchlist. Additionally, of the nine office properties in the pool, two of the loans, 55 Hudson Yards (Prospectus ID#1, 8.3% of the pool) and Park Tower at Transbay (Prospectus ID#9, 4.2% of the pool), are shadow-rated investment grade by Morningstar DBRS. For the purposes of this credit rating action, Morningstar DBRS made adjustments to five office loans in the pool, including 1412 Broadway (Prospectus ID#3, 8.3% of the pool) and Galleria 57, which demonstrated an improvement in performance over the past year. The largest loan on the servicer's watchlist, Galleria 57, is secured by a 180,000-square-foot (sf) office property in Midtown Manhattan. The loan has been monitored on the servicer's watchlist since November 2023 after the property's former largest tenant, Spa Castle (previously 22.4 % of net rentable area (NRA)), vacated ahead of its original October 2034 lease expiry. According to the December 2024 rent roll, the property's occupancy rate was reported at 57%, a slight decline from 58% as of YE2023. Tenant rollover risk is elevated over the next 12 months, as tenants occupying 31.0% of NRA have scheduled lease expirations. This includes the collateral's largest tenant, East 58 Parking (12.5% of NRA), with an upcoming lease expiry in September 2025. Morningstar DBRS does not expect occupancy to drop significantly in the near future, however, as the departure of the East 58 Parking tenant is unlikely, given it has been at the property since 1995. In addition, the remainder of the subject's rent roll is quite granular with no individual tenant with an upcoming lease expiration occupying greater than 3.0% of NRA. According to the YE2024 financial reporting, the collateral generated net cash flow (NCF) of $4.1 million, corresponding to a debt service coverage ratio (DSCR) of 2.23 times (x), a significant increase over the YE2023 figure of $2.75 million (DSCR of 1.50x), but below the Morningstar DBRS issuance figure of $3.51 million (DSCR of 2.44x). The improvement in NCF is mainly driven by a decrease in vacancy loss, most likely resulting from the termination of rent abatement and concession periods for certain tenants. To account for the improvement in the loan's financial performance, Morningstar DBRS analyzed this loan with reduced loan-to-value ratio (LTV) and probability of default (POD) penalties in its current analysis. The resulting loan expected loss (EL) remains elevated, at more than 3.5x the EL for the pool. One of three largest loans in the pool, 1412 Broadway (Prospectus ID#3, 8.3% of the pool) is secured by a 24-story, Class B office building in Manhattan's Fashion District. The loan was previously monitored on the servicer's watchlist for a low DSCR and was removed in September 2024. According to YE2024 financials, the collateral reported NCF of $12.7 million (reflecting a DSCR of 1.64x), a 38.0% increase compared with the YE2023 figure of $9.2 million (reflecting a DSCR of 1.19x) and above the Morningstar DBRS figure of $12.6 million (DSCR of 1.92x). As per the April 2025 rent roll, the subject's occupancy improved to 96.1% from 85.0% at YE2023. Tenant rollover risk includes 4.1% of NRA with scheduled lease expirations in the next 12 months and 23.4% of NRA rolling prior to YE2026. This includes the property's largest tenant, Kasper Group LLC (16.9% of NRA), with a lease expiration in August 2026. The loan is sponsored by the Chetrit family, which operates Chetrit Group, a privately held New York City real estate investment firm that is reported to be involved in a mortgage fraud scandal, as per the Reuters news article posted on March 10, 2025. In its current analysis, Morningstar DBRS applied updated LTV and POD penalties to reflect the current risk profile of the loan, which resulted in an EL greater than 3.5x the EL of the pool. At issuance, Morningstar DBRS shadow-rated four loans, representing 22.9% of the current trust balance, as investment grade, which included 55 Hudson Yards, Jackson Park (Prospectus ID#2, 8.3% of the pool), Park Tower at Transbay, and ILPT Industrial Portfolio (Prospectus ID#15, 2.1% of the pool). With this review, Morningstar DBRS confirms that the performance of all four loans remains in line with the shadow ratings assigned at issuance. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2022-BNK39: DBRS Confirms BB Rating on Class XG Certs ---------------------------------------------------------- DBRS Limited confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2022-BNK39 issued by BANK 2022-BNK39 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-3-1 at AAA (sf) -- Class A-3-2 at AAA (sf) -- Class A-3-X1 at AAA (sf) -- Class A-3-X2 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-4-1 at AAA (sf) -- Class A-4-2 at AAA (sf) -- Class A-4-X1 at AAA (sf) -- Class A-4-X2 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-S-1 at AAA (sf) -- Class A-S-2 at AAA (sf) -- Class A-S-X1 at AAA (sf) -- Class A-S-X2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class B at AA (high) (sf) -- Class B-1 at AA (high) (sf) -- Class B-2 at AA (high) (sf) -- Class B-X1 at AA (high) (sf) -- Class B-X2 at AA (high) (sf) -- Class C at AA (low) (sf) -- Class C-1 at AA (low) (sf) -- Class C-2 at AA (low) (sf) -- Class C-X1 at AA (low) (sf) -- Class C-X2 at AA (low) (sf) -- Class D at A (sf) -- Class X-D at BBB (high) (sf) -- Class E at BBB (sf) -- Class X-F at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class X-G at BB (sf) -- Class G at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the pool since issuance, with only a moderate concentration of loans on the servicer's watchlist and no special serviced or delinquent loans as of the June 2025 reporting. Cash flows overall are stable, with the 15 largest loans, representing 66.3% of the pool, generally reporting stable to improved cash flows over issuance figures. The transaction consists of 66 loans secured by 95 properties with a current trust balance of $1.2 billion, representing a minimal collateral reduction of 0.6% since issuance. Amortization is limited through the life of the deal as 43 loans, representing 79.9% of the pool balance, are interest only (IO) for their full term. An additional 10 loans, representing 13.2% of the pool balance, have partial IO periods that remain in place. The lack of amortization is partially offset by the pool's favorable leverage metrics with Morningstar DBRS weighted-average issuance and balloon loan-to-value ratios (LTVs) of 53.7% and 52.0%, respectively, primarily driven by very low LTVs from the shadow-rated loans and co-operative loans. By property type, the pool is most concentrated by loans backed by multifamily, office, and retail properties, which represent 27.1%, 21.1%, and 20.1% of the pool, respectively. One loan, representing 0.2% of the pool, is secured by collateral that has been fully defeased. The office loans in this pool are generally performing in line with Morningstar DBRS' expectations. While there has been cash flow disruption to Park Avenue Plaza (Prospectus ID #11; 2.9% of the pool) as a result of the tenant expansions and rental abatements that were contemplated at issuance, occupancy rates remain strong, based on the most recent reporting. The 5 Crosby Street loan (Prospectus ID#9; 3.7% of the pool) is secured by a 70,074 square foot (sf) office building in New York City's Soho neighborhood. The property is currently 98.0% occupied, but the largest tenant, Lemonade (80.3% of the net rentable area), has an initial lease expiration in November 2025. However, the tenant has expanded several times since taking occupancy in December 2017 and the servicer has indicated that Lemonade has agreed to a three-year lease extension for two of its five floors with an option on a third floor. Initial rates are expected to begin around $70 per square foot (psf) compared with the current rental rate of $68.30 psf. In addition, tenants currently subletting two of Lemonade's floors have previously invested significantly into their spaces and the borrower anticipates direct leases will be negotiated. According to Reis, the South Broadway submarket reported an average vacancy rate of 14.1% and asking rent of $73.38 psf as of Q1 2025 compared with the property's average rental rate of $78.75 psf. The loan benefits from structural features to protect against rollover, including an upfront tenant improvement/leasing commission reserve of $1.25 million as well as a cash flow sweep that was triggered 12 months prior to Lemonade's lease expiration. As of June 2025 reporting, the loan had $3.1 million in reserves. Four loans, 601 Lexington Avenue (Prospectus ID#1; 9.2% of the pool), 333 River Street (Prospectus ID#3; 6.3% of the pool), CX - 350 & 450 Water Street (Prospectus ID#7; 4.4% of the pool), and Park Avenue Plaza, were assigned investment-grade shadow ratings by Morningstar DBRS at issuance. These loans benefit from low going-in and balloon A-note LTVs ranging between 31.9% and 50.5%, based on the Morningstar DBRS values derived at issuance and debt service coverage ratios of more than 3.00 times. Following this review, Morningstar DBRS maintained the shadow ratings as loan performance trends remained consistent with investment-grade loan characteristics. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. BARINGS CLO 2025-II: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings assigns ratings and Rating Outlooks to Barings CLO Ltd. 2025-II. Entity/Debt Rating Prior ----------- ------ ----- Barings CLO Ltd. 2025-II A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary 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 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. Date of Relevant Committee June 27, 2025 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. BBCMS 2025-C35: Fitch Assigns 'B-(EXP)sf' Rating on Cl. J-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to BBCMS 2025-C35, Commercial Mortgage Pass-Through Certificates, Series 2025-C35 as follows: - $9,224,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $200,000,000a class A-4 'AAA(EXP)sf'; Outlook Stable; - $316,956,000a class A-5 'AAA(EXP)sf'; Outlook Stable; - $11,907,000 class A-SB 'AAA(EXP)sf'; Outlook Stable; - $538,087,000b class X-A 'AAA(EXP)sf'; Outlook Stable; - $82,635,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $41,317,000 class B 'AA-(EXP)sf'; Outlook Stable; - $29,787,000 class C 'A-(EXP)sf'; Outlook Stable; - $153,739,000bc class X-B 'A-(EXP)sf'; Outlook Stable; - $24,022,000bc class X-D 'BBB-(EXP)sf'; Outlook Stable; - $17,295,000bc class X-E 'BB-(EXP)sf'; Outlook Stable; - $24,022,000c class D 'BBB-(EXP)sf'; Outlook Stable; - $17,295,000c class E 'BB-(EXP)sf'; Outlook Stable; - $11,531,000cd class J-RR 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $24,022,173cd class K-RR; - $26,643,893ce class VRR. a) The exact initial certificate balances of class A-4 and A-5 certificates are unknown but are expected to be $516,956,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of these classes of certificates. The expected class A-4 balance range is $0 to $200,000,000, and the expected class A-5 balance range is $316,956,000 to $516,956,000. The balance for class A-4 reflects the top point of its range, and the balance for class A-5 reflects the bottom point of its range. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention interest. (e) Vertical-risk retention interest. Entity/Debt Rating ----------- ------ BBCMS 2025-C35 A-1 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-S LT AAA(EXP)sf Expected Rating A-SB LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating J-RR LT B-(EXP)sf Expected Rating K-RR LT NR(EXP)sf Expected Rating VRR LT NR(EXP)sf Expected Rating X-A LT AAA(EXP)sf Expected Rating X-B LT A-(EXP)sf Expected Rating X-D LT BBB-(EXP)sf Expected Rating X-E LT BB-(EXP)sf Expected Rating Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 33 loans secured by 80 commercial properties with an aggregate principal balance of $795,340,067 as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., UBS AG, German American Capital Corporation, JPMorgan Chase Bank, National Association, Starwood Mortgage Capital LLC, Societe Generale Financial Corporation, Goldman Sachs Mortgage Company, Bank of America, National Association and LMF Commercial, LLC. The master servicer to expected to be Midland Loan Services, a Division of PNC Bank, National Association, the special servicer is expected to be CWCapital Asset Management LLC, and the operating advisor is expected to be BellOak, LLC. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 22 loans totaling 89.7% of the pool by balance, including the largest 20 loans and all the pari passu loans. Fitch's resulting net cash flow (NCF) of approximately $82.4 million represents a 13.5% decline from the issuer's underwritten NCF of approximately $95.1 million. The NCF decline is higher than the 2025 YTD and 2024 10-year averages of 12.6% and 13.2%, respectively. Higher Fitch Leverage: The pool has higher leverage compared to recent 10-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 89.0% is slightly worse than the YTD 2025 and 2024 averages of 88.2% and 84.5%, respectively. The Fitch NCF debt yield (DY) of 10.4% is weaker than the YTD 2025 and 2024 averages of 12.3% and 12.3%, respectively. Investment-Grade Credit Opinion Loans: Five loans representing 37.7% of the pool balance received an investment-grade credit opinion on a standalone basis. Rentar Plaza (9.9% of the pool) received a credit opinion of 'BBB+*', BioMed MIT Portfolio (9.4%) a 'A-*', Marriott World Headquarters (9.4%) a 'BBB-*', Washington Square (8.8%) a 'BBB-*' and Adini Portfolio (0.1%) a 'AA-*'. The pool's total credit opinion percentage of 37.7% is significantly higher than the YTD 2025 and 2024 10-year averages of 13.1% and 21.4%, respectively. Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top-10 loans make up 68.2%, higher than the 2025 YTD and 2024 10-year averages of 62.4% and 63.0%, respectively. The pool's effective loan count of 17.6 is below the 2025 YTD and 2024 10-year averages of 21.0 and 20.8, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BBsf' / 'Bsf' / ' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'BBBsf' / 'BBsf' / 'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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. BENCHMARK 2020-B18: Fitch Lowers Rating on Two Tranches to 'BB-sf' ------------------------------------------------------------------ Fitch Ratings has downgraded five and affirmed 15 classes of Benchmark 2020-B18 Mortgage Trust (BMARK 2020-B18). Fitch assigned Negative Outlooks to five classes following their downgrades. The Rating Outlook was revised to Negative from Stable for one affirmed class and the Outlooks are Negative for two affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- BMARK 2020-B18 A-2 08163AAK9 LT AAAsf Affirmed AAAsf A-3 08163AAB9 LT AAAsf Affirmed AAAsf A-4 08163AAD5 LT AAAsf Affirmed AAAsf A-5 08163AAE3 LT AAAsf Affirmed AAAsf A-M 08163AAG8 LT AAAsf Affirmed AAAsf A-SB 08163AAC7 LT AAAsf Affirmed AAAsf AGN-D 08163ABM4 LT BBB-sf Affirmed BBB-sf AGN-E 08163ABP7 LT BB-sf Affirmed BB-sf AGN-F 08163ABR3 LT B-sf Affirmed B-sf AGN-X 08163ABK8 LT B-sf Affirmed B-sf B 08163AAH6 LT AA-sf Affirmed AA-sf C 08163AAJ2 LT BBBsf Downgrade A-sf D 08163AAT0 LT BB+sf Downgrade BBBsf E 08163AAV5 LT BB-sf Downgrade BBB-sf F 08163AAX1 LT B-sf Affirmed B-sf G-RR 08163AAZ6 LT CCCsf Affirmed CCCsf X-A 08163AAF0 LT AAAsf Affirmed AAAsf X-B 08163AAM5 LT BBBsf Downgrade A-sf X-D 08163AAP8 LT BB-sf Downgrade BBB-sf X-F 08163AAR4 LT B-sf Affirmed B-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss increased to 5.5% from 5.1% at Fitch's prior rating action. The BMARK 2020-B18 transaction has a concentration of Fitch Loans of Concern (FLOCs), totaling eight loans (28.0% of the pool), including three loans (10.5%) in special servicing. The downgrades reflect higher pool loss expectations driven primarily by underperforming specially serviced office FLOCs, resulting in sustained higher expected losses compared to issuance, particularly for the specially serviced Brass Professional Center (3.6%). Loans with increased expected losses compared to the prior rating action include the specially serviced loans 3000 Post Oak (4.0%) and Apollo Education Group HQ Campus (2.9%). The Negative Outlooks also reflect possible downgrades if loss expectations on the specially serviced loans increase further due to prolonged workouts and updated lower valuations, and further FLOC performance deterioration. Additionally, the Negative Outlooks reflect the pool's concentration in office loans, comprising 32.0% of the pool. Of this, 18.1% are office FLOCs. Largest Increases in Loss Expectations/Largest Loss Contributors: The largest contributor to overall pool loss expectations is the specially serviced Brass Professional Center, an 11-building, 575,771-sf, multi-tenant office park built in various phases between 1968 and 1998, and located in northwest San Antonio, TX. The asset transferred to special servicing in May 2023 for payment default after the borrower stopped paying debt service in March 2023 and became real estate owned in October 2023. Property performance has declined since issuance, with occupancy declining to 61% in March 2025 from 85% at issuance. The most recently reported net operating income (NOI) as of YE 2024 reflected a 70% decline from YE 2020 NOI and 66% decline from the originator's underwritten NOI at issuance. Fitch's 'Bsf' rating case loss, (prior to concentration adjustments), is 49.2%. This reflects a discount to the most recent appraisal value and equates to a stressed value of $64 psf. The largest increase in loss since the prior rating action and the second-largest contributor to the overall pool loss expectations is the 3000 Post Oak loan, secured by a 19-story, 441,523-sf office building in Houston, TX. The loan transferred to the special servicer in August 2024 for imminent default related to the single tenant, Bechtel (98.9% of the NRA), vacating at the lease expiration in October 2024. Bechtel relocated 8.6 miles west to the Westchase area, occupying an office that is approximately half the size of 3000 Post Oak. The Galleria/Uptown submarket of Houston reported an elevated vacancy rate of 35.5% according to Costar as of 1Q25. The loan's maturity was in March 2025 and is categorized as a performing matured loan. Fitch's 'Bsf' rating case loss of 34.4% (prior to concentration adjustments) reflects a 10.25% cap rate, 50% stress to the YE 2023 NOI and factors a higher probability of default to account for the departure of the single tenant, high submarket vacancy, and specially serviced status as the loan is past maturity. The second-largest increase in loss since the prior rating action and the fifth-largest contributor to overall pool loss expectations is the Apollo Education Group HQ Campus loan, secured by a single-tenant office building located in Phoenix, AZ. The loan transferred to special servicing in December 2024 due to imminent maturity default. According to the servicer, the borrower noted that it would be unable to pay off the loan at maturity and requested an extension. A 12-month extension was executed in May 2025, with a new maturity date in June 2026. The subject is 100% leased to Apollo Education Group, Inc. (commonly known as the University of Phoenix) through March 2031, six years after loan maturity. The property has served as the firm's corporate headquarters since 2007. According to CoStar, the tenant only occupies 12.8% of the NRA and the remaining space is vacant and available for sublease. The tenant is continuing to make rental payments and the loan remains current. This loan is a FLOC due to dark space at the subject property and specially serviced status. Fitch's 'Bsf' rating case loss of 7.0% (prior to concentration adjustments) reflects a 10.25% cap rate, 20% stress to the June 2024 NOI and factors a higher probability of default to account for the departure of the single tenant and anticipated maturity default concerns at the extended maturity date, as well as the specially serviced status. Credit Opinion Loans: Eight loans (45.3%) were designated as credit opinion loans at issuance, which include Agellan Portfolio (8.7%), Moffett Towers Buildings A, B & C (8.7%), MGM Grand & Mandalay Bay (7.5%), 1633 Broadway (473%), BX Industrial Portfolio (6.8%), Bellagio Hotel and Casino (2.5%), Southcenter Mall (2.3%), and Kings Plaza (1.6%). Performance for these loans remains stable. Changes in Credit Enhancement (CE): As of the June 2025 distribution date, the pool's aggregate balance has been reduced by 6.3% to $1.0 billion from $1.1 billion at issuance. One loan (0.6% of pool) has been defeased. Agellan Portfolio Non-Pooled Rake Bonds: The AGN classes associated with the BMARK 2020-B18 transaction are related to a non-pooled B-Note secured by the Agellan Portfolio loan, secured by a 46-property portfolio of industrial and office properties totaling 6.1 million sf across nine states. Portfolio performance has improved since issuance, with the TTM September 2024 NOI rising to $42.1 million, 2% higher than YE 2023 NOI and 16% above the originator's underwritten NOI at issuance. However, several of the largest properties by allocated loan balance have elevated availability or impending lease expirations. High availability was noted at Beltway III and IV and Sarasota Distribution Hub and near-term expirations include 100% of space expiring for Supervalu in September 2025. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'AAAsf' rated classes are not expected due to the high CE and senior position in the capital structure and expected continued paydowns from amortization and loan repayments, but may happen if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to the 'AAsf' category rated class could occur should performance of the FLOCs, most notably 3000 Post Oak, Brass Professional Center, and Apollo Education Group HQ Campus, deteriorate further, higher than expected losses on the specially serviced loans and/or more loans than expected default at or prior to maturity. - Downgrades to the 'BBBsf', 'BBsf', and 'Bsf' category rated classes are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance, and with greater certainty of losses on the specially serviced loan or other FLOCs. - Downgrades to the 'CCCsf' rated class would occur if additional loans transfer to special servicing or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to 'AAsf' category rated class is not expected, but possible with increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of the FLOCs, 3000 Post Oak, Brass Professional Center, and Apollo Education Group HQ Campus. - 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 class is not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to the 'CCCsf' rated class is not likely, but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2020-B19: Fitch Affirms 'Bsf' Rating on Two Tranches -------------------------------------------------------------- Fitch Ratings has affirmed 17 classes of Benchmark 2020-B19 Mortgage Trust (BMARK 2020-B19). Additionally, Fitch has revised the Rating Outlooks for classes A-S, X-A, B, C and X-B to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- BMARK 2020-B19 A-2 08162WAZ9 LT AAAsf Affirmed AAAsf A-3 08162WBA3 LT AAAsf Affirmed AAAsf A-4 08162WBB1 LT AAAsf Affirmed AAAsf A-5 08162WBC9 LT AAAsf Affirmed AAAsf A-AB 08162WBD7 LT AAAsf Affirmed AAAsf A-S 08162WBE5 LT AAAsf Affirmed AAAsf B 08162WBG0 LT AA-sf Affirmed AA-sf C 08162WBH8 LT A-sf Affirmed A-sf D 08162WBJ4 LT BBBsf Affirmed BBBsf E 08162WAA4 LT BBB-sf Affirmed BBB-sf F 08162WAC0 LT Bsf Affirmed Bsf G 08162WAE6 LT CCCsf Affirmed CCCsf X-A 08162WBF2 LT AAAsf Affirmed AAAsf X-B 08162WAJ5 LT A-sf Affirmed A-sf X-D 08162WAL0 LT BBB-sf Affirmed BBB-sf X-F 08162WAN6 LT Bsf Affirmed Bsf X-G 08162WAQ9 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 4.5%, compared to 4.3% at the prior rating action. Fitch Loans of Concerns (FLOCs) include eight loans (20.8% of the pool), including three specially serviced loans (6.2%). The Negative Outlooks for classes A-S, X-A, B, C, X-B, D, E, X-D, F and X-F reflect the high office concentration at 56.2% and potential for further downgrades if recoveries for specially serviced loans, Bridgewater Place (3.5%), Peninsula Town Center (1.6%) and Brass Professional Center (1.1%) are lower than expected and/or performance of the office FLOCs, including 675 Creekside Way (2.4%) continue to deteriorate beyond current expectations. Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action and the largest contributor to expected losses is the specially serviced Bridgewater Place loan (3.5%), secured by a 353,356-sf office located in Grand Rapids, MI. The loan transferred to special servicing in September 2024. Property occupancy has continued to decline, falling to 71% at YE 2024, down from 91% at YE 2023. The decline is primarily due to the departure of major tenant, Spectrum Health (19.8% of the NRA) at lease expiration in February 2024 and downsize of New York Life (3.3%), which downsized by 7,782 sf (2.2%) and extended its lease to October 2034. CoStar reports an availability rate of 38.0% (134,315 sf) at the property. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 27.5% reflects a 10% cap rate and 15% stress to the YE 2024 NOI to account for the departure of the major tenant. The rating also reflects a higher probability of default to account for the specially serviced status, high availability at the property and imminent refinance risk with loan maturity in September 2025. The second-largest increase in loss expectations since the prior rating action and the second-largest contributor to expected losses is the specially serviced Peninsula Town Center loan (1.6%), secured by two office condominiums totaling 130,573-sf located in Hampton, VA. The loan transferred to special servicing in March 2025 for imminent monetary default, however, the loan remains current. The March 2025 occupancy improved to 93.6% due to the execution of three new leases for 14,142 sf, 10.8% of the NRA. However, the largest tenant, Faneuil (25.8%) with lease expiration in June 2026, has listed their entire space as available for sublease according to CoStar. The second largest tenant, Bryant & Stratton College has downsized by 10,502 sf (8.0%) from 42,558 sf (32.6%) since issuance and extended its lease to August 2032. In addition, Costar reflects an availability rate of 43.1% for the entire property. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 35.0% reflects 20% stress to the TTM March 2025 NOI and factors a higher probability of default to account for the specially serviced status and heightened risk of payment default due to anticipated occupancy and cashflow declines. The third-largest contributor to expected losses is the specially serviced Brass Professional Center (1.1%), an 11-building, 575,771-sf, multi-tenant office park built in various phases between 1968 and 1998, and located in NW San Antonio, TX. The asset transferred to special servicing in May 2023 for payment default after the borrower stopped paying debt service in March 2023 and became REO in October 2023. Property performance has declined since issuance, with March 2025 occupancy declining to 61% from 85% at issuance. The most recently reported NOI as of YE 2024 reflected a 70% decline from YE 2020 NOI and 66% decline from the originator's underwritten NOI at issuance. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 45.4% reflects a discount to the most recent appraisal value reflecting a stressed value of $64.1 psf. The fourth largest contributor to loss expectations is the FLOC, 675 Creekside Way (2.4%), which is collateralized by an office building in Campbell, CA. The property is leased to a single tenant, 8x8 Inc., with lease expiration in December 2030. The entire property is dark. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 14.3% reflects a 10.5% cap rate and 30% stress to the YE 2023 NOI to reflect the dark property. Credit Opinion Loans: Six loans (34.8%) were designated as credit opinion loans at issuance, which include MGM Grand & Mandalay Bay (7.6%), BX Industrial Portfolio (6.8%), Agellan Portfolio (5.7%), Moffett Place - Building 6 (5.5%), Moffett Towers Buildings A, B & C (5.0%) and 1633 Broadway (4.3%). Performance for these loans remains stable Changes in Credit Enhancement (CE): As of the June 2025 distribution date, the transaction has been paid down by 5.1% since issuance. There are 24 (82.8%) full-term, interest-only (IO) loans and 15 loans (17.2%) have a partial, IO period. Cumulative interest shortfalls of $559,073 are affecting the non-rated class H. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Further downgrades to the sub-senior classes currently on Rating Outlook Negative are possible with lower-than-expected recoveries for the specially serviced loans and/or continued performance declines of the FLOCs. These FLOCs include Bridgewater Place, 675 Creekside Way, Brass Professional Center and Peninsula Town Center. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if performance and/or valuation of the FLOCs/specially serviced loans, deteriorate further or fail to stabilize. Downgrades for the 'BBBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the loans with deteriorating performance and/or with greater certainty of losses on the specially serviced loans, or with prolonged workouts of the loans in special servicing. Downgrades to distressed ratings would occur if additional loans are transferred to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with improved pool-level loss expectations and improved performance and/or valuations on the FLOCs/specially serviced loans. This includes Bridgewater Place, 675 Creekside Way, Brass Professional Center and Peninsula Town Center. Classes would not be upgraded above 'AA+sf' if there were likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected and would only occur with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET XL: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Benefit Street Partners CLO XL Ltd./Benefit Street Partners CLO XL LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by BSP CLO Management LLC, a subsidiary of Franklin Templeton. The 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 Benefit Street Partners CLO XL Ltd./ Benefit Street Partners CLO XL LLC Class A, $256.0 million: AAA (sf) Class B, $48.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $12.0 million: BB- (sf) Subordinated notes, $36.8 million: NR NR--Not rated. BIRCH GROVE 6: Fitch Assigns 'BBsf' Rating on Class E-R Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Birch Grove CLO 6 Ltd., reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Birch Grove CLO 6 Ltd. A-1-R Loan LT NRsf New Rating A-1-R Notes LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C 09077FAG0 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 09077FAJ4 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 09077GAA1 LT PIFsf Paid In Full BB-sf E-R LT BBsf New Rating F-R LT NRsf New Rating Transaction Summary Birch Grove CLO 6 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Birch Grove Capital LP. The transaction originally closed in July 2023. The CLO's secured notes will be refinanced on July 7, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $565 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 94.57% first-lien senior secured loans and has a weighted average recovery assumption of 73.98%. 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 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 weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'Asf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Birch Grove CLO 6 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. BIRCH GROVE 6: Moody's Assigns B3 Rating to $200,000 Cl. F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of refinancing notes issued and one class of refinancing loan incurred issued by Birch Grove CLO 6 Ltd. (the Issuer). US$180,000,000 Class A-1 Loans due 2037, Assigned Aaa (sf) US$170,300,000 Class A-1-R Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$200,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) On the closing date, the Class A-1 Loans and the Class A-1-R Notes have a principal balance of $180,000,000 and $170,300,000, respectively. At any time, the Class A-1 Loans may be converted in whole or in part to Class A-1-R Notes, thereby decreasing the principal balance of the Class A-1 Loans and increasing, by the corresponding amount, the principal balance of the Class A-1-R Notes. The aggregate principal balance of the Class A-1 Loans and Class A-1-R Notes will not exceed $350,300,000 less the amount of any principal repayments. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, and bonds. Birch Grove Capital LP (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 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, 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: $565,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3055 Weighted Average Spread (WAS): 3.20% 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 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. BX TRUST 2021-SDMF: DBRS Confirms B(low) Rating on Class G Certs ---------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-SDMF issued by BX Trust 2021-SDMF as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (high) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the subject portfolio, which remains in line with Morningstar DBRS' expectations, as exhibited by the strong collateral occupancy rate and annual rental rate growth. The underlying loan was originally secured by the borrower's fee-simple interest in 32 Class B and Class C multifamily properties in submarkets across San Diego. All but one of the properties are traditional, garden-style apartment complexes and one is an age-restricted property that consists of 130 units and accounted for 2.2% of the allocated loan amount (ALA) at issuance. Two of the original properties have been released, as further described below. The loan has experienced sponsorship in Blackstone Real Estate Partners IX L.P. and TruAmerica Multifamily LLC. The two-year, floating rate, interest-only (IO) loan had an initial maturity date in September 2023, and three one-year extensions with a final extended maturity of September 2026. The borrower is required to purchase an interest rate cap agreement with each extension. According to the servicer, the borrower has yet to indicate plans to exercise their remaining extension. The transaction has a partial pro rata structure allowing for pro rata paydowns for the first 30% of the principal balance. Individual property releases are subject to a release price of 105% of the ALA for the first $240 million principal balance, with the release price increasing to 110% thereafter. Two properties have been released since issuance in Vista Lane Apartments (3.0% of the ALA at issuance), and Mesa Ridge Apartments (1.7% of the ALA at issuance), resulting in a total pro rata paydown of $46.5 million and includes the release premium and spread maintenance premium amounts. According to the servicer provided financial reporting, the YE2024 consolidated occupancy rate at the subject portfolio was 91.5%, compared to the issuance figure of 98.6%. Despite the slight decline in occupancy rate, the portfolio generated a net cash flow (NCF) of $46.0 million, which is a 23.8% increase from the Morningstar DBRS NCF at issuance after removing the released properties. The loan reported a below break-even debt service coverage ratio (DSCR) of 0.71 times (x) at YE2024 based on the floating interest rate debt service; however, there is an interest rate cap agreement in place, which results in a DSCR of 1.10x. When removing the cash flows for the two released properties, the Morningstar DBRS NCF is $37.1 million. Based on the issuance capitalization rate of 6.0%, the updated Morningstar DBRS Value for the portfolio is $618.8 million, resulting in an implied loan-to-value (LTV) ratio of 121.8%. Morningstar DBRS utilized the updated value in the LTV Sizing for this review, maintaining the issuance qualitative adjustments totaling 7.5%, with the resulting LTV sizing benchmarks supporting the credit rating confirmations. The qualitative adjustments reflect the portfolio's location in the San Diego multifamily market, which benefits from relatively limited supply that has resulted in historically low vacancy rates. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. BX TRUST 2025-GW: Moody's Assigns B1 Rating to Cl. F Certs ---------------------------------------------------------- Moody's Ratings has assigned definitive ratings to seven classes of CMBS securities, issued by BX Trust 2025-GW, Commercial Mortgage Pass-Through Certificates, Series 2025-GW: 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. F, Definitive Rating Assigned B1 (sf) Cl. HRR, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien commercial mortgage collateralized by the Grand Wailea (the "Property"), a luxury hotel located within the Wailea master-planned community of Maui, HI. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The Grand Wailea is a full-service beachfront hotel located within the Wailea master-planned community of Maui, HI. The Property opened in 1991, features 795 hotel rooms located across five distinct guestroom wings, and sits adjacent to the Shops at Wailea (over 150,000 SF), approximately 17 miles south of the Kahului Airport (airport code "OGG"). In addition, the Property operates a rental management program for the adjacent 120-unit luxury condominium development. The third party owned villas are two story, three bedroom and 4 to 5 bath private residences, of which 51 currently participate in the Property's rental program, bringing the total room count to 846 keys. The Property features approximately 100,000 SF of flexible indoor and outdoor meeting and event space, nine F&B outlets, the 50,000 SF Kilolani Spa, 30,000 SF of pool space across 11 pools, 16 retail outlets, among other amenities. Since acquiring the Property in April 2018, the sponsor, Blackstone, has invested approximately $353.7 million (444,925 per hotel key) for renovations. GW Manager LLC, an affiliate of Hilton Worldwide, manages the hotel under a management agreement that expires on December 31, 2034. As of the trailing twelve month ("TTM") period ending March 31, 2025, the Property was 68.0% occupied and commanded an average daily rate ("ADR") of $811.09, reflecting a revenue per available room ("RevPAR") of $551.18. According to the appraisal, the Property's segmentation is similar to that of its primary competitors, with transient and meeting/group segmentation at 71% and 29%, respectively. 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 assessment 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 1.40X, compared to 1.39X in place at Moody's provisional ratings, and Moody's first mortgage actual stressed DSCR is 1.03X. Moody's DSCR is based on Moody's stabilized net cash flow. The whole loan first mortgage balance of $1,000,000,000 represents a Moody's LTV ratio of 110.5% based on Moody's value. Moody's did not adjust Moody's value to reflect the current interest rate environment as part of Moody's analysis for this transaction. Moody's also grades properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The property's overall quality grade is 1.75. Notable strengths of the transaction include: the asset's irreplaceable location, trophy quality, significant recent renovations, high barriers to entry, strong operating performance, brand affiliation, and sponsorship. Notable concerns of the transaction include: challenges associated with being an island destination, having a floating rate/interest-only mortgage loan profile, lack of asset diversification, property type, cash out, and credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking 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. CALI COMMERCIAL 2024-SUN: DBRS Confirms BB(low) Rating on E Certs ----------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2024-SUN issued by CALI Commercial Mortgage Trust 2024-SUN as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class HRR at B (high) (sf) All trends are Stable The credit rating confirmations reflect the overall stable performance of the transaction, which is early in its life cycle, having closed in July 2024. The transaction is secured by the borrower's fee-simple interest in two full-service luxury hotels located in Santa Monica, California - Shutters on the Beach (Shutters) and Hotel Casa del Mar (Casa). Morningstar DBRS continues to hold a positive view of the portfolio considering the excellent quality and prime beachfront location (on Ocean Avenue) of the collateral, in addition to the commitment and experience of the sponsor, Edward and Thomas Slatkin. In addition, the portfolio benefits from its strong base in tourism, high barriers to entry due to strict zoning laws and severe supply constraints and close proximity to major demand drivers including the Santa Monica Pier, Third Street Promenade and Santa Monica Place. The $280 million interest-only, floating rate trust loan has a two-year initial term with three one-year extension options resulting in a fully extended maturity date in July 2029. The property is encumbered by a $120.0 million mezzanine loan that is co-terminus with the mortgage loan. The loan proceeds, along with a sponsor equity contribution of $47.5 million, were used to refinance the existing debt of $430.0 million and cover $17.5 million in closing costs. The borrower entered into an interest rate cap agreement with a strike rate of 3.25% to hedge against interest rate volatility throughout the initial term of the loan. A replacement interest rate cap agreement is required, according to the loan documents, with each subsequent extension of the loan term. In order to exercise the second and third extension options, the borrower will be required to maintain a debt yield equal to or greater than 8.5% and 9.5%, respectively, on the whole loan. Each of the iconic hotels has its own distinct personality, which allows them to complement, rather than compete, with each other. Both Shutters and Casa have received considerable investment and have historically displayed strong performance, when compared with the luxury segment of the Los Angeles hotel market. The sponsor has reportedly spent $12.5 million ($62,890 per room) at Shutters and $9.8 million at Casa ($75,584 per room) on renovations since 2018. Shutters offers 198 guest rooms (including 12 suites), two award-winning restaurants with outdoor dining patios and more than 17,800 sf of event space, a spa, a heated outdoor pool, and on-site surface parking. More than 41% of the rooms at Shutters have direct or partial ocean views. Casa offers 129 guest rooms (including 17 suites), more than 15,200 sf of event space, an expansive beachfront pool deck, a bar area known as the Terrazza Lounge, and Patio del Mar, a seafood restaurant. More than 57% of the rooms at Casa have direct or partial ocean views. According to the financial reporting for the trailing 12 (T-12) months ended March 31, 2025, the collateral generated NCF of $18.2 million (a debt service coverage ratio (DSCR) of 0.82 times (x)), 26.9% lower than the Morningstar DBRS NCF figure of $24.9 million (a DSCR of 1.39x). The decline in NCF was driven by a reduction in room, and food & beverage revenue with expenses relatively in line with Morningstar DBRS' expectations. The properties were 68.1% occupied as of March 2025 and reported average daily rate and RevPar figures of $753.6, and $512.8, respectively, below the Morningstar DBRS figures derived at issuance of $808.0 and $551.0, respectively. Although both properties were not directly affected by the January 2025 wildfires in Los Angeles County, Morningstar DBRS notes that operating performance may have temporarily been disrupted as a result of reduced foot traffic and limited end-user demand. The properties' restaurants and bar/lounge areas draw significant demand from the Los Angeles area, and the sponsor estimates that 80% of patrons are not guests of the hotels. A number of online sources indicate that both properties were part of group of hotels sheltering fire evacuees. At issuance, Morningstar DBRS derived a value of $321.6 million based on a capitalization rate of 7.75% and the Morningstar DBRS NCF figure noted above. The Morningstar DBRS value implies loan-to-value ratios (LTV) of 87.1% and 124.4% on the $280.0 million senior mortgage loan and $400.0 million total debt stack, respectively. The Morningstar DBRS value is -46.9% below the portfolio's appraised value of $605.4 million, which implies LTVs of 46.3% and 66.1% on the senior mortgage loan and whole loan, respectively. In addition, Morningstar DBRS maintained positive qualitative adjustments totaling 8.0% to reflect the portfolio's strong market fundamentals, premium property quality, and generally low cash flow volatility. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. CARLYLE US 2022-1: Moody's Cuts Rating on $16MM Cl. E Notes to B1 ----------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Carlyle US CLO 2022-1, Ltd.: US$16,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2035, Downgraded to B1 (sf); previously on April 26, 2022 Definitive Rating Assigned Ba3 (sf) Carlyle US CLO 2022-1, Ltd., originally issued in April 2022 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in April 2027. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and spread deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the total collateral par balance, including recoveries from defaulted securities, is $392.7 million, or $7.3 million less than the $400 million initial par amount targeted during the deal's ramp-up. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level[1] is 3.15%, compared to 3.54% in June 2024[2]. No actions were taken on the Class A-1, Class A-F, Class B, Class C and Class D notes or the Class A-L loans 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: $391,981,864 Defaulted par: $2,500,248 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2628 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.15% Weighted Average Recovery Rate (WARR): 45.70% Weighted Average Life (WAL): 5.94 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. CARLYLE US 2023-1: Fitch Assigns 'BB-sf' Final Rating on E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to the Carlyle US CLO 2023-1, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2023-1, Ltd. A-1 14318RAA6 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating AAA(EXP)sf A-2 14318RAC2 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating AAA(EXP)sf B 14318RAE8 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating AA(EXP)sf C 14318RAG3 LT PIFsf Paid In Full Asf C-R LT Asf New Rating A(EXP)sf D 14318RAJ7 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E 14318YAA1 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary Carlyle US CLO 2023-1 (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Carlyle CLO Management L.L.C. The CLO originally closed in June 2023, and its secured notes will be refinanced on July 7, 2025. Net proceeds from the issuance of the secured and existing subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.03 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.77% 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-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B-sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US 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. CARLYLE US 2025-3: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2025-3, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2025-3, Ltd. 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 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 Carlyle US CLO 2025-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C.. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.88 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.18% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.55% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, and between less than 'B-sf' and 'BB+sf' for class D and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, and 'Asf' for class D and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2025-3, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, 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. CBAM LTD 2017-2: Moody's Lowers Rating on $76.5MM E-R Notes to B1 ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings on the following notes issued by CBAM 2017-2, Ltd.: US$76,500,000 Class E-R Deferrable Floating Rate Notes due 2034, Downgraded to B1 (sf); previously on Jun 24, 2021 Assigned Ba3 (sf) CBAM 2017-2, Ltd., originally issued in August 2017 and refinanced in June 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 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-R 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 total collateral par balance, including recoveries from defaulted securities, is $1.52 billion, or $35 million less than the $1.56 billion initial par amount targeted during the deal's ramp-up. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level[1] is 3.20%, compared to 3.59% in May 2024[2]. No actions were taken on the Class A-R, Class B-R, Class C-R and Class D-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $1,520,822,383 Defaulted par: $11,307,770 Diversity Score: 86 Weighted Average Rating Factor (WARF): 2779 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.96% Weighted Average Recovery Rate (WARR): 45.7% Weighted Average Life (WAL): 5.19 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. CD 2016-CD2: Fitch Lowers Rating on Three Tranches to 'BBsf' ------------------------------------------------------------ Fitch Ratings has downgraded 11 classes and affirmed seven classes of German American Capital Corp.'s CD 2016-CD2 Mortgage Trust, commercial mortgage pass-through certificates, series 2016-CD2 (2016-CD2). Fitch has also assigned a Negative Rating Outlook on classes A-M, X-A, V1-A, B, X-B, and V1-B following their downgrade. Entity/Debt Rating Prior ----------- ------ ----- CD 2016-CD2 A-3 12515ABD1 LT AAAsf Affirmed AAAsf A-4 12515ABE9 LT AAAsf Affirmed AAAsf A-M 12515ABG4 LT AA-sf Downgrade AAAsf A-SB 12515ABC3 LT AAAsf Affirmed AAAsf B 12515ABH2 LT BBsf Downgrade A-sf C 12515ABJ8 LT CCCsf Downgrade BBsf D 12515AAN0 LT Csf Downgrade CCCsf E 12515AAQ3 LT Csf Affirmed Csf F 12515AAS9 LT Csf Affirmed Csf V1-A 12515ABK5 LT AA-sf Downgrade AAAsf V1-B 12515ABL3 LT BBsf Downgrade A-sf V1-C 12515ABW9 LT CCCsf Downgrade BBsf V1-D 12515ABQ2 LT Csf Downgrade CCCsf X-A 12515ABF6 LT AA-sf Downgrade AAAsf X-B 12515AAA8 LT BBsf Downgrade A-sf X-D 12515AAE0 LT Csf Downgrade CCCsf X-E 12515AAG5 LT Csf Affirmed Csf X-F 12515AAJ9 LT Csf Affirmed Csf KEY RATING DRIVERS Increased Loss Expectations; Valuation Declines: The downgrades reflect higher expected losses since the prior rating action, primarily driven by increased losses and declining valuations of the two specially serviced loans (13.4% of the pool), most notably on the real estate owned (REO) 229 West 43rd Street Retail Condo, which comprises 8.8% of the pool and is the third largest. Fitch's pool-level 'Bsf' rating case loss of 17.3% is an increase from 13% at the last rating action. Fitch identified 12 loans (62.4% of the pool) as Fitch Loans of Concern (FLOCs), which includes the two loans in special servicing. The downgrades to distressed classes D, X-D, and V-1D reflect the greater certainty of loss on specially serviced REO 229 West 43rd Street Retail Condo (8.8%), and Park Square Portland (4.6%). Given the high percentage of FLOCs and large concentration of loan maturities through late 2026 (91.2% of the pool matures through November 2026), Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their current status and collateral quality, and ranked them by their perceived likelihood of repayment or loss expectation. This analysis contributed to the downgrades and the Negative Outlooks, including for the affirmed class A-4. Further downgrades are possible with additional value declines, or if loans currently expected to refinance at maturity default on or before their maturity dates. Downgrades are also possible to class A-4, currently rated 'AAAsf', if interest shortfalls occur or are expected. Largest Contributors to Expected Loss: The largest increase in loss expectations since the prior rating action and overall largest contributor to expected loss is the REO 229 West 43rd Street Retail Condo, which represents approximately 58% of Fitch's total expected loss for the pool. The loan transferred to special servicing in December 2019 for imminent monetary default. The property experienced tenancy issues even before the pandemic. With tenants in the entertainment and tourism industries, the property sustained further declines when the pandemic began. As of February 2025, the property was 32.3% occupied by two tenants: Bowlmor (31.6% of the NRA; July 2034 lease expiration) and Los Tacos No.1 (0.7%; December 2028). A receiver was appointed in March 2021 and then a foreclosure action was filed. The loan became REO in late May 2024. Fitch's 'Bsf' rating case loss increased to approximately 114% (before concentration add-ons) due to the large loan exposure, reflects a discount on the latest appraisal reported by the servicer and represents a 90% value decline from the appraised value at issuance. The second-largest contributor to expected loss is the specially serviced Park Square Portland (4.6% of the pool) loan, which transferred to special servicing in April 2024 for imminent monetary default and is now 90+ days delinquent. The loan, secured by a 295,768-sf office property in Portland, OR lost its largest tenant, Regence BlueCross BlueShield (63% of NRA), at lease expiration in December 2023. After the departure, occupancy has declined to approximately 29.5% from 93% at YE 2023. A foreclosure complaint was filed in May 2024 by the special servicer and a receiver was appointed in June 2024 per servicer reporting. Fitch's 'Bsf' rating case loss of approximately 57% (prior to concentration adjustments) reflects a discount to the latest reported appraisal value and represents a 73% value decline from the appraised value at issuance. The third-largest contributor to expected loss (and second largest increase in loss expectations since the prior rating action) which is secured by 80 Park Plaza, a 960,689-sf office building located in Newark, NJ. The property was developed as a build-to-suit in 1979 to serve as the headquarters for the sole tenant Public Service Enterprise Group (PSEG) (85.8% of NRA, expiring September 2030). At issuance, Fitch noted that PSEG had downsized by 14.3% of the NRA, a portion of that space (1.9% of NRA) was leased to Scholastic, Inc. through June 30, 2031, and the remainder is vacant. This FLOC was flagged due to anticipated refinancing concerns, as a significant portion of PSEG's space is listed as available for sublease. The loan matures in October 2026. The property was 88% leased as of YE 2024, which is relatively unchanged since issuance. According to CoStar, approximately 30% of PSEG's space on the 12th through 25th floors is marketed for sublease as of June 2025. The servicer-reported net operating income (NOI) debt service coverage ratio (DSCR) for this loan was 1.61x at YE 2024, compared with 1.81x at YE 2019 and 1.56x at issuance. Fitch's 'Bsf' rating case loss of approximately 27% (prior to concentration add-ons) reflects a 10.25% cap rate, a 10% stress to the YE 2023 NOI, and a higher probability of default to account for refinancing concerns. The fourth-largest contributor to expected loss is the 60 Madison Avenue loan (6.5% of the pool), which is secured by a 217,534-sf office building located in Manhattan near Madison Square Park. The property has experienced a decline in occupancy due to tenant departures during the pandemic and was 65.5% occupied as of YE 2024 reporting, with YE NOI DSCR of 1.61x. Fitch's 'Bsf' rating case loss of approximately 15% (prior to concentration add-ons) incorporates a 9.5% cap rate and the depressed YE 2024 NOI, given the property's below-market performance. Investment-Grade Credit Opinion Loans: One loan, 10 Hudson Yards (7.9% of the pool), maintains its high standalone investment-grade credit opinion due to cash flow growth, high occupancy rate, and strong property quality. 667 Madison Avenue (4.7%) is no longer has an investment-grade credit opinion due to its prior decline in occupancy and lower sustainable cash flow compared to the issuance level. However, the sponsor is working to re-tenant the office and retail components and has recently exhibited successful leasing momentum. The property benefits from its location at Madison Avenue and 61st Street in midtown Manhattan. Increased Credit Enhancement: As of the June 2025 remittance report, the pool's aggregate balance has been reduced by 12.6% to $852.4 million from $975.4 million at issuance. Four loans (7.5%) are defeased. Twelve loans, representing 71.5% of the pool, are full-term interest only. All other loans are currently amortizing. Other than the modified Prudential Plaza loan, all the loans, including a defeased ARD loan, are scheduled to mature in 2026 (91.8%). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the senior 'AAAsf' rated classes are not likely due to the high CE, expected paydown from loan repayments and continued amortization, but may occur should interest shortfalls occur or are expected. Downgrades to the class A-4 and 'AA-sf' rated classes with Negative Outlooks are possible if FLOC performance continues to deteriorate, larger loans (including 8 Times Square & 1460 Broadway, Prudential Plaza, 60 Madison Avenue, and 80 Park Plaza) are unable to refinance at loan maturity, expected losses increase, and there is limited to no improvement in class CE. Downgrades to A-4 are possible if interest shortfalls occur or are expected. Downgrades to the classes rated in the 'BBsf' categories, which have Negative Outlooks, may occur should performance of the FLOCs, including 8 Times Square & 1460 Broadway, Prudential Plaza, 60 Madison Avenue, and 80 Park Plaza, among others, deteriorate, or more loans than expected default at or prior to maturity. 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' category may be possible with significantly increased CE due to loan payoffs, coupled with stable to improved pool-level loss expectations, and sustained improvement in FLOC performance, including 8 Times Square & 1460 Broadway, Prudential Plaza, 60 Madison Avenue, and 80 Park Plaza. Upgrades to 'BBsf' rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool improves, recoveries on the FLOCs (including the aforementioned loans) are better than expected, and there is sufficient CE to the classes. Additionally, upgrades could be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is a likelihood for interest shortfalls. Upgrades to distressed ratings are not expected, but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CIFC FUNDING 2019-IV: Fitch Assigns BB-sf Rating on Cl. D-R2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the CIFC Funding 2019-IV, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2019-IV, Ltd. A-1J 17182XAN1 LT PIFsf Paid In Full AAAsf A-1R 17182XAL5 LT PIFsf Paid In Full AAAsf A-1R2 LT AAAsf New Rating A-2R2 LT AAsf New Rating A-JR2 LT AAAsf New Rating B-R2 LT Asf New Rating C-1R2 LT BBB-sf New Rating C-2R2 LT BBB-sf New Rating D-R2 LT BB-sf New Rating Transaction Summary CIFC Funding 2019-IV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CIFC Asset Management LLC, that originally closed in July 2019, and had the first reset in October 2021. 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 23.58 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.01% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.18% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 46.5% 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 5.0-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-1R2, between 'BBB+sf' and 'AA+sf' for class A-JR2, between 'BB+sf' and 'A+sf' for class A-2R2, between 'B+sf' and 'BBB+sf' for class B-R2, between less than 'B-sf' and 'BB+sf' for class C-1R2, and between less than 'B-sf' and 'BB+sf' for class C-2R2 and between less than 'B-sf' and 'B+sf' for class D-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1R2 and class A-JR2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2R2, 'AAsf' for class B-R2, 'Asf' for class C-1R2, and 'A-sf' for class C-2R2 and 'BBB+sf' for class D-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or othernationally recognized statistical rating organizations and/or European Securities and Markets Authority-registeredrating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies toassess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicablerating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2019-IV, 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. CITIGROUP 2016-P3: Fitch Lowers Rating on Two Tranches to 'Bsf' --------------------------------------------------------------- Fitch Ratings has downgraded 10 and affirmed three classes of Citigroup Commercial Mortgage Trust 2016-P3 (CGCMT 2016-P3). The Rating Outlooks were revised to Negative from Stable for one affirmed class. Fitch has also assigned a Negative Outlook to six classes following their downgrades. In addition, Fitch has downgraded five and affirmed eight classes of Citigroup Commercial Mortgage Trust 2016-P4 (CGCMT 2016-P4). Fitch has also assigned a Negative Outlook to one class following its downgrade. The Rating Outlook is Negative for four affirmed classes. Fitch has also affirmed 13 classes of GS Mortgage Securities Trust 2016-GS2 (GSMS 2016-GS2). The Rating Outlook was revised to Negative from Stable for four affirmed classes. The Rating Outlook is Negative for two affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2016-P3 A-3 29429CAC9 LT AAAsf Affirmed AAAsf A-4 29429CAD7 LT AAAsf Affirmed AAAsf A-AB 29429CAE5 LT AAAsf Affirmed AAAsf A-S 29429CAF2 LT AAsf Downgrade AAAsf B 29429CAG0 LT BBBsf Downgrade Asf C 29429CAH8 LT Bsf Downgrade BBsf D 29429CAM7 LT CCCsf Downgrade B-sf E 29429CAP0 LT CCsf Downgrade CCCsf EC 29429CAL9 LT Bsf Downgrade BBsf F 29429CAR6 LT Csf Downgrade CCsf X-A 29429CAJ4 LT AAsf Downgrade AAAsf X-B 29429CAK1 LT BBBsf Downgrade Asf X-D 29429CAV7 LT CCCsf Downgrade B-sf CGCMT 2016-P4 A-2 29429EAB7 LT AAAsf Affirmed AAAsf A-3 29429EAC5 LT AAAsf Affirmed AAAsf A-4 29429EAD3 LT AAAsf Affirmed AAAsf A-AB 29429EAE1 LT AAAsf Affirmed AAAsf A-S 29429EAH4 LT AAAsf Affirmed AAAsf B 29429EAJ0 LT AA-sf Affirmed AA-sf C 29429EAK7 LT BBB-sf Downgrade A-sf D 29429EAL5 LT CCCsf Downgrade B-sf E 29429EAN1 LT CCsf Downgrade CCCsf F 29429EAQ4 LT Csf Downgrade CCsf X-A 29429EAF8 LT AAAsf Affirmed AAAsf X-B 29429EAG6 LT AA-sf Affirmed AA-sf X-C 29429EAW1 LT CCCsf Downgrade B-sf GSMS 2016-GS2 A-3 36252TAQ8 LT AAAsf Affirmed AAAsf A-4 36252TAR6 LT AAAsf Affirmed AAAsf A-AB 36252TAS4 LT AAAsf Affirmed AAAsf A-S 36252TAV7 LT AAAsf Affirmed AAAsf B 36252TAW5 LT AAsf Affirmed AAsf C 36252TAY1 LT Asf Affirmed Asf D 36252TAA3 LT BBB-sf Affirmed BBB-sf E 36252TAE5 LT BB-sf Affirmed BB-sf F 36252TAG0 LT Bsf Affirmed Bsf PEZ 36252TAX3 LT Asf Affirmed Asf X-A 36252TAT2 LT AAAsf Affirmed AAAsf X-B 36252TAU9 LT AAsf Affirmed AAsf X-D 36252TAC9 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS 'Bsf' Loss Expectations; Upcoming Maturities: Deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 16.4% in CGCMT 2016-P3 and 4.1% in GSMS 2016-GS2 and slightly decreased to 9.4% in CGCMT 2016-P4, from 14.1%, 3.7%, and 9.9%, respectively, at the prior rating action. The CGCMT 2016-P3 transaction has nine Fitch Loans of Concern (FLOCs; 49.9% of the pool), including three loans (24.7%) in special servicing. The CGCMT 2016-P4 transaction has nine FLOCs (24.3%), including four loans (16.1%) in special servicing. The GSMS 2016-GS2 transaction has five FLOCs (22.9%), including one loan (1.6%) in special servicing. These pools have significant upcoming maturities as the majority of the loans are scheduled to mature in 2026. Fitch also performed a liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and perceived likelihood of repayment and/or loss expectation; the rating actions also incorporate this analysis. CGCMT 2016-P3: The downgrades reflect higher pool loss expectations since Fitch's prior rating action driven by the two specially serviced office FLOCs (combined, 15.4% of pool) due to further performance declines for 5 Penn Plaza (7.1%) and increased exposure for Nyack College NYC (8.3%). The downgrades also incorporate continued performance deterioration on 79 Madison (office FLOC; 7.6%), which is expected to default at maturity due to declining occupancy and WeWork exposure. The Negative Outlooks reflect that further downgrades are possible, if expected losses increase for 5 Penn Plaza, Nyack College NYC, and 79 Madison including lack of performance stabilization, updated lower valuations and/or with extended resolution times for the specially serviced 5 Penn Plaza and Nyack College NYC loans. The Negative Outlooks also reflect exposure to loans with upcoming maturities and the pool's concentration of office loans, comprising 31.1% of the pool, with 24.3% of office loans being FLOCs. CGCMT 2016-P4: The downgrades reflect high losses from the prolonged workout and exposure on the specially serviced REO 401 South State Street asset (4.6%), the recent transfer to special servicing for the Esplanade I (5.6%) and further performance deterioration on Park Place (office FLOC; 1.6%). The Negative Outlooks reflect that further downgrades are possible if expected losses increase for 401 South State Street, Esplanade I, and Park Place including lack of performance stabilization, updated lower valuations, increased exposure, and/or with extended resolution times. The Negative Outlooks also reflect upcoming maturities and the pool's exposure to office loans, comprising 14.4% of the pool, with 12.9% of office loans being FLOCs. GSMS 2016-GS2: The affirmations reflect generally stable pool performance and loss expectations since the prior rating action; however, there are refinance concerns with two FLOCs, Panorama Corporate Center (12.9%) and 86th Street (3.1%), both of which have upcoming lease rollover risk near their respective loan maturities. The Negative Outlooks reflect that downgrades are possible if expected losses increase for Panorama Corporate Center and 86th Street FLOCs due to continued occupancy and/or cashflow deterioration and lack of leasing momentum on these loans, and/or if more loans than expected default at maturity. Largest Increases in Loss Expectations/Largest Loss Contributors: The largest increase in loss expectations since the prior rating action and the fifth largest contributor to overall pool loss expectations in CGCMT 2016-P3 is the 5 Penn Plaza loan, secured by a 650,329-sf office property located in Midtown Manhattan. The loan transferred to special servicing in November 2024 due to imminent default, as the borrower requested a loan modification due to declining occupancy. The loan has an upcoming maturity date in January 2026. The two largest tenants, Thomas Publishing Company (14.3% of NRA through December 2025) and Sirius XM Radio (13.2%; November 2029), utilize the property as their corporate headquarters. The ground retail portion of the property is 100% occupied by CVS, TD Bank, CityMD, and Cafe Cinq. As of YE 2024, the property was 85% occupied, compared to 78% at YE 2023, 84% at YE 2022, and 93% at YE 2021. By YE 2025, 18.4% of the NRA, including the largest tenant, are scheduled to expire. The servicer-reported NOI DSCR was 0.86x as of YE 2023, compared to 1.52x at YE 2022, 1.81x at YE 2021, and 1.70x at YE 2020. Fitch's 'Bsf' rating case loss of 20.7% (prior to concentration add-ons) reflects a 9% cap rate and a 20% stress to the YE 2023 NOI to reflect concerns with upcoming rollover. The loan has remained current and there is no updated appraisal value reported. The second largest increase in loss expectations since the prior rating action and the largest contributor to overall pool loss expectations in CGCMT 2016-P3 is the Nyack College NYC loan, which is secured by the fee simple interest in a 166,385-sf office and retail condominium in New York, NY. The collateral includes the basement, a portion of the ground floor retail space and floors 17 to 22. The collateral was 100% leased by Nyack College, which was operating under a master lease scheduled to expire in January 2036. Nyack College lost accreditation due to financial insufficiency and was forced to discontinue operations at the property as of December 2023. The loan transferred to special servicing in September 2023 due to payment default. Foreclosure complaint was filed in January 2024 and the most recent servicer commentary indicated that the special servicer is continuing to purse noteholder's rights and remedies. As most of the non-collateral portions of the building were previously converted into residential apartments between 2019 and 2020, a possible residential conversion may be contemplated for the collateral. Fitch's 'Bsf' rating case loss of 57.2% (prior to concentration add-ons) reflects a stressed value of $179 psf and represents a significant decline of 73% from the issuance appraisal value. The third largest increase in loss expectations since the prior rating action and the third largest contributor to overall pool loss expectations in CGCMT 2016-P3 is the 79 Madison Avenue loan, secured by a 17-story, 274,084-sf office building with ground floor retail located on Madison Avenue in Manhattan. The property was flagged as a FLOC due to the large exposure to WeWork, along with the declining occupancy since issuance. As of December 2024, the property was 42.0% occupied, compared to 68% at YE 2023, which had remained unchanged since WeWork reduced their space by 72,000 SF or 26% of the NRA in 2021. The further decline in occupancy in 2024 was attributed to Ted Moudis Associates Inc. (13% NRA) vacating upon its July 2024 expiration and WeWork further reducing its space by another 14% of the NRA in 1H24. Major tenants at the property include WeWork (35.2% of the NRA through April 2029) and Blu Dot Design & Manufacturer (6.5% NRA; September 2031). The servicer-reported NOI DSCR was 0.41x at YE 2024, compared to 1.26x at YE 2023, 2.91x at YE 2022, 2.71x at YE 2021, 2.75x at YE 2020, and 2.64x at YE 2019. Fitch's 'Bsf' rating case loss of 33.8% (prior to concentration add-ons) reflects an 9% cap rate and a 40% stress to the YE 2023 NOI to account for the significant decline in occupancy since 2023. It also factors an increased probability of default due to low occupancy, continued WeWork exposure and expected refinance challenges. The largest increase in loss expectations since the prior rating action and the fourth largest contributor to overall pool loss expectations in CGCMT 2016-P4 is the Park Place loan, secured by a 523,673-sf office building built in 2009. The property is in the area known as the Silicon Desert, which contains 3,200 acres and 9.7 million sf of office and industrial space in the western part of Chandler, AZ. The loan has an upcoming maturity date in January 2026. At issuance, the tenant, Keap, represented 50.4% of the NRA. Keap reduced its total footprint at the property to 36.8% in September 2021 upon lease expiration. Keap subsequently reduced its footprint to 17.6% after vacating part of its space in December 2024. The remainder of Keap's space expires in December 2026. Other major tenants at the property include Aetna Life Insurance Company (19.1% of NRA leased through June 2027), Keap (17.6%; December 2026), and LoanDepot.com LLC (10.4%; January 2028). The property was 78.2% occupied as of the October 2024 rent roll. However, implied occupancy will drop to 59% with the loss of Keap (19.2%, expired in December 2024). The October 2024 occupancy level at the property is a slight drop from the 81% occupancy as of YE 2023, 86% at September 2022, 83% at YE 2021, 91% at YE 2020, and 81% at YE 2019. The servicer-reported NOI DSCR was 1.43x as of YE 2024, 1.59x at YE 2023, 1.17x at YE 2022, 1.54x at YE 2021, and 1.14x at YE 2020. With Keap downsizing and the loss of Tivity Health Inc. (8.8% of the NRA, expired in September 2024), the NOI DSCR is expected to drop below 1.00x. Fitch's 'Bsf' rating case loss of 24.4% (prior to concentration add-ons) reflects a 9% cap rate and 30% stress to the YE 2023 NOI. It also factors a higher probability of default due to the recent drop in occupancy and expected refinancing concerns. The largest contributor to overall pool loss expectations in CGCMT 2016-P4 is the REO 401 South State Street (2.4% of pool) asset, which is a 487,000-sf office space located in the central business district of Chicago, IL. The collateral consists of the 401 South State Street building (479,522 sf) and the 418 South Wabash Avenue building (7,500 sf). The 401 South State Street loan transferred to the special servicer in June 2020 for payment default and the exposure is in excess of the outstanding loan balance. The properties are 100% vacant after the former single tenant, Robert Morris College (previously 75% of the NRA), vacated prior to its June 2024 lease expiration and stopped paying rent in April 2020. The loan transferred to the special servicer in June 2020 for payment default. A receiver was appointed in September 2020 and a foreclosure sale occurred in March 2023. The most recent servicer commentary indicated that a disposition strategy is to be determined. Fitch's 'Bsf' rating case loss of approximately 100% (prior to concentration add-ons) is due to the total loan exposure, and reflects the most recent appraisal value from May 2024, which represents a significant decline of 88% from the issuance appraisal value. The second largest contributor to overall pool loss expectations in CGCMT 2016-P4 is the Esplanade I loan, which is secured by a 609,251-sf suburban, office property located in Downers Grove, IL, approximately 20 miles west of Chicago. Major tenants include IRS (12.3% NRA; lease expiry in July 2026), DG Hotels LLC - Esplanade Conference Centre (5.1%; month to month), Esplanade Fitness Center (4.4%, expired June 2024) and Syngenta Corporation (3.8%; October 2024). Tenants representing 25.6% of the NRA (24.8% of base rents) are month to month or have lease expirations in 2024. Fitch requested a leasing update but was not provided a response. Property-level YE 2024 NOI was down 21% from YE 2023. As a result, the servicer-reported YE 2024 NOI DSCR fell to 0.74x from 0.93x at YE 2023, 1.24x at YE 2022. The YE 2024 occupancy has declined slightly to 68% from 70% at YE 2023. Fitch's 'Bsf' rating case loss of 34% (prior to concentration add-ons) reflects a 10% cap rate, 10% stress to the YE 2024 NOI and a higher probability of default to reflect the rollover risk and anticipated refinance concerns. The largest increase in loss expectations since the prior rating action and the largest contributor to overall pool loss expectations in GSMS 2016-GS2 is the Panorama Corporate Center, which is secured by a 780,648-sf suburban office complex located in Centennial, CO. The loan is interest only for the full loan term. While property occupancy has remained at approximately 98% since issuance, this full-term, interest-only loan is designated as a FLOC due to upcoming rollover risk in 2025, prior to the loan's February 2026 maturity. Largest tenants include United Launch Alliance (59.2% NRA; through February 2027), Comcast (combined, 48.1% NRA and consisting of 36.9% expiring in February 2029 and 11.3% in December 2025) and Travelport (15.5% NRA; through November 2025). The expiring 2025 leases for Comcast and Travelport collectively represent approximately 27% of the NRA. Fitch requested a leasing update, and a response is pending. Fitch's 'Bsf' rating case loss of 9.3% (prior to concentration add-ons) reflects a 9% cap rate and a 10% stress to the YE 2023 NOI and a higher probability of default to reflect the upcoming rollover risk and anticipated refinance concerns. The second largest increase in loss expectations since the prior rating action and the third largest contributor to overall pool loss expectations in GSMS 2016-GS2 is the 86th Street loan, which is secured by a 11,800-sf retail property located in Brooklyn, NY. As of December 2024, the property occupancy was 100%. However, the loan is designated as a FLOC due to upcoming rollover risk in June 2026, following the loan's February 2026 maturity. Tenants include Walgreens (75% NRA; through July 2049) and Northfield Bank (25% NRA through June 2026). The servicer-reported YE 2024 NOI DSCR was 1.58x compared to 1.48x at YE 2023, 1.47x at YE 2022, and 1.46x at YE 2021. Fitch's 'Bsf' rating case loss of 13.8% (prior to concentration add-ons) reflects a 9% cap rate and a 7.5% stress to the YE 2023 NOI and a higher probability of default to reflect the upcoming rollover risk and anticipated refinance concerns. Change in Credit Enhancement (CE): As of the June 2025 distribution date, the pool's aggregate balance for CGCMT 2016-P3 has been reduced by 23.4% to $590.3 million from $771.0 million at issuance. Nine loans (10.8% of pool) are defeased. As of the June 2025 distribution date, the pool's aggregate balance for CGCMT 2016-P4 has been reduced by 14.2% to $618.6 million from $721.1 million at issuance. Seven loans (11.5% of pool) are defeased. As of the June 2025 distribution date, the pool's aggregate balance for GSMS 2016-GS2 has been reduced by 23.2% to $576.3 million from $750.6 million at issuance. Six loans (12.6% of pool) are defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to junior 'AAAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur; - Downgrades to 'AAsf' and 'Asf' category rated classes could occur should performance of the FLOCs — most notably Nyack College NYC, 5 Penn Plaza and 79 Madison Avenue in CGCMT 2016-P3, Esplanade I, 401 South State Street and Park Place in CGCMT 2016-P4, and Panorama Corporate Center and 86th Street in GSMS 2016-GS2 — deteriorate further or if more loans than expected default at or prior to maturity; - Downgrades to the 'BBBsf', 'BBsf', 'Bsf' category rated classes are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs;. - Downgrades to 'CCCsf', '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 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of FLOCs, including Nyack College NYC, 5 Penn Plaza and 79 Madison Avenue in CGCMT 2016-P3, Esplanade I, 401 South State Street and Park Place in CGCMT 2016-P4, and Panorama Corporate Center and 86th Street in GSMS 2016-GS2; - Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes are not likely, but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COLLEGE LOAN II: Fitch Lowers Rating on 2007-1 Cl. B-3 Notes to BB ------------------------------------------------------------------ Fitch Ratings has affirmed the ratings on class A-14 notes of College Loan Corporation Trust II 2007-1 (CLC II) at 'AA+sf'. The Rating Outlook on these notes remains Stable. Fitch has also downgraded the class B-3 notes to 'BBsf' from 'BBBsf' on account of the notes failing maturity stresses in Fitch's cash flow modeling results. The Rating Outlook for these notes remains Negative. Entity/Debt Rating Prior ----------- ------ ----- College Loan Corporation Trust II 2007-1 A-14 194267AQ3 LT AA+sf Affirmed AA+sf B-3 194267AN0 LT BBsf Downgrade BBBsf Transaction Summary The current performance for CLC II reflects higher maturity risks for the class B-3 notes as they fail maturity stresses in Fitch's cash flow modeling. The Model Implied Rating (MIR) for these notes is 'Bsf' and the one-category rating difference is permissible under Fitch Criteria. The Rating Outlook remains Negative, reflecting its view that maturity risks continue to weigh on the current ratings. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AA+'/Outlook Stable. Collateral Performance: Based on transaction specific performance to date, Fitch revised its sustainable constant default rate assumption (sCDR) to 5.0% from 4.5% and maintain the sustainable constant prepayment rate (sCPR) at 11.0%. The 'AAsf' and base case default rate is 75.63% and 27.5%, respectively. After applying the default timing curve per criteria, the 'AA' and base case effective default rate are unchanged. The TTM levels of deferment, forbearance, and income-based repayment (IBR prior to adjustment) are 3.65% (3.9%), 5.53% (6.0%), and 38.68% (24.6%) respectively. These levels are used as the starting point in cash flow modeling and subsequent declines and increases are modeled as per criteria. The claim reject rate is assumed to be 0.25% in the base case and 1.65% in the 'AA' case. As of the latest distribution date, the 31- 60 days past due (DPD) improved to 2.29% from 3.26% a year earlier, and the 91-120 DPD stayed stable at 1.46% compared with 1.49% a year earlier. Borrower benefits are 0.07% based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for the transactions arise from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the most recent collection period, all of the trust student loans are indexed to the 30-day SOFR, and the notes for CLC II are reset rate and auction rate notes currently indexed to the 30-day SOFR and 91-day T-bill rate, respectively. Payment Structure: Credit enhancement (CE) is provided by overcollateralization, excess spread, and for the class A notes, subordination of the class B notes. As of the most recent distribution date, the reported total parity/asset percentage was 99.23%. Liquidity support is provided by a reserve account maintained at the greater of 0.5% of the note balance and $2,000,000. The transaction is not releasing cash as reported total and senior parity ratios are below the 100.5% and 105%, respectively, needed for cash release, and the reported overcollateralization amount is not at least $2,000,000. Operational Capabilities: Day-to-day servicing is provided by Nelnet Inc. Fitch considers Nelnet as an acceptable servicer, due to its extensive track record as one of the largest servicers of FFELP loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transactions face when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage, and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transactions are exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. Credit Stress Rating Sensitivity - Default increase 25%: class A 'AAsf'; class B 'CCCsf'; - Default increase 50%: class A 'AAsf'; class B 'CCCsf'; - Basis Spread increase 0.25%: class A 'AAAsf'; class B 'CCCsf'; - Basis Spread increase 0.5%: class A 'AAAsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AAAsf'; class B 'Asf'; - CPR decrease 50%: class A 'AAAsf'; class B 'AAsf'; - IBR Usage increase 25%: class A 'AAAsf'; class B 'BBBsf'; - IBR Usage increase 50%: class A 'AAAsf'; class B 'Asf'. - Remaining Term increase 25%: class A 'AAAsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'AAAsf'; class B 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Class A is rated 'AA+sf' and is at its highest attainable rating. The results below are for class B. Credit Stress Rating Sensitivity - Default decrease 25%: class A 'AAAsf'; class B 'Bsf'; - Default decrease 50%: class A 'AAAsf'; class B 'BBsf'; - Basis Spread decrease 0.25%: class A 'AAAsf'; class B 'BBsf'; - Basis Spread decrease 0.5%: class A 'AAAsf'; class B 'BBBsf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class A 'AAAsf'; class B 'Asf'; - CPR increase 50%: class A 'AAAsf'; class B 'AAsf'; - IBR Usage decrease 25%: class A 'AAAsf'; class B 'CCCsf'; - IBR Usage decrease 50%: class A 'AAAsf'; class B 'CCCsf'. - Remaining Term decrease 25%: class A 'AAAsf'; class B 'BBBsf'; - Remaining Term decrease 50%: class A 'AAAsf'; class B 'BBBsf'. 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. COLLEGIATE FUNDING 2005-B: Fitch Lowers Rating on A-4 Notes to BB ----------------------------------------------------------------- Fitch Ratings has downgraded class A-4 notes on Collegiate Funding Services Education Loan Trust 2005-B (CFS 2005-B) to 'BBsf' from 'BBBsf'. The ratings were downgraded due to the notes failing all credit and maturity stresses under Fitch's cash flow modeling. The Rating Outlook is Negative. Fitch has also affirmed the class B notes at 'Bsf' with a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Collegiate Funding Services Education Loan Trust 2005-B A-4 19458LBH2 LT BBsf Downgrade BBBsf B 19458LBJ8 LT Bsf Affirmed Bsf Transaction Summary For the current review, CFS 2005-B class B notes continue to fail all credit and maturity stresses under Fitch's cash flow modeling. The resulting model-implied rating for class B is 'CCCsf' and the one-category rating difference is permissible under Fitch Criteria. The Stable Outlook on these notes reflect its view that the legal final maturity is nearly ten years away and performance remains in line with the prior review. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AA+'/Stable. Collateral Performance: Based on transaction-specific performance to date, Fitch is maintaining its sCDR of 2.5% and the sCPR at 7.0%. The 'AAsf' and base case default rate is 41.25% and 15.00%, respectively. After applying the default timing curve per criteria, the 'AA' and base case effective default rate are unchanged. The TTM levels of deferment, forbearance, and IBR are 2.15% (2.21%), 9.53% (10.0%) and 20.39% (21.16%), respectively. These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The claim reject rate is assumed to be 0.25% in the base case and 1.65% in the 'AA' case. As of the latest distribution date, the 31-60 DPD spiked to 3.56% from 1.81% a year earlier, and the 91-120 DPD also increased to 1.66% from 0.92%. Borrower benefits are 0.26%, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for the transactions arise from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the most recent collection period, all of the trust student loans are indexed to the 30-day SOFR and all notes are indexed to 90-day average SOFR. Fitch applies its standard basis and interest rate stresses to the transactions as per criteria. Payment Structure: Credit Enhancement (CE) is provided by overcollateralization, excess spread, and for the class A notes, subordination of the class B notes. As of the most recent distribution date, the reported total parity/asset percentage was 105.28%. Liquidity support is provided by a reserve account currently sized at $1,915,862. The transaction is not releasing cash. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as one of the largest servicers of FFELP loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transactions face when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage, and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transactions are exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. Credit Stress Rating Sensitivity - Default increase 25%: class A 'AAAsf'; class B 'CCCsf'; - Default increase 50%: class A 'AAAsf'; class B 'CCCsf'; - Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; - Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 50%: class A 'CCCsf'; class B 'CCCsf'. - Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Credit Stress Rating Sensitivity - Default decrease 25%: class A 'AAAsf'; class B 'CCCsf'; - Default decrease 50%: class A 'AAAsf'; class B 'CCCsf'; - Basis Spread decrease 0.25%: class A 'AAAsf'; class B 'CCCsf'; - Basis Spread decrease 0.5%: class A 'AAAsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR increase 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage decrease 25%: class A 'BBsf'; class B 'CCCsf'; - IBR Usage decrease 50%: class A 'BBBsf'; class B 'CCCsf'. - Remaining Term decrease 25%: class A 'AAAsf'; class B 'AAAsf'; - Remaining Term decrease 50%: class A 'AAAsf'; class B 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CSAIL 2016-C7: DBRS Confirms B Rating on Class X-F Certs -------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C7 issued by CSAIL 2016-C7 Commercial Mortgage Trust as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class B at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class C at A (high) (sf) -- Class D at BBB (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the transaction's stable performance, which remains in line with Morningstar DBRS' expectations. Overall, the pool continues to exhibit healthy credit metrics, as evidenced by the weighted-average (WA) debt service coverage ratio (DSCR) of 1.82 times (x), based on the most recent financial reporting available. Although the majority of loans in the pool continue to exhibit healthy credit metrics, there is a moderate to high concentration of loans collateralized by retail and office properties (or mixed-use properties with a significant office component), which represent 41.1 % and 24.9% of the current pool balance, respectively. Those loans include Gurnee Mills (Prospectus ID#2; 11.5% of the pool) and Peachtree Mall (Prospectus ID#7; 3.1% of the pool), which are secured by regional malls that have experienced contractions in cash flow since issuance. The underlying collateral for the majority of the pool's office loans continues to demonstrate stable to improving operating performance over the last few reporting periods, with a WA debt yield and DSCR of 11.13% and 2.12x, respectively. The transaction also continues to benefit from increased credit support to the bonds because of scheduled amortization and loan repayments, further supporting the credit rating confirmations. In addition, one loan, representing 8.2% of the pool balance, is shadow-rated investment grade by Morningstar DBRS. The pool has not reported any realized losses to date and, including the $32.6 million unrated first-loss Class NR certificate, there is $65.2 million in debt to cushion against losses on the investment grade-rated certificates. According to the June 2025 remittance, 47 of the original 53 loans remain in the transaction with a trust balance of $611.8 million, reflecting a collateral reduction of 20.2% since issuance. Thirteen loans, representing 30.4% of the pool balance, are on the servicer's watchlist; however, only four of those loans, representing 4.3% of the pool balance, are being monitored for performance-related reasons. Only one loan, representing 1.3% of the pool balance, is in special servicing and 12 loans, representing 17.4% of the pool balance, are fully defeased. The specially serviced loan, 350-360 Fairfield Avenue (Prospectus ID#32) is secured by a two-building 130,431-square foot (sf) office complex in Bridgeport, Connecticut. The loan transferred to the special servicer in December 2021 and the property was ultimately sold in January 2025, with the buyer assuming the trust loan. As part of the assumption, a loan modification was executed, the terms of which included a five-year extension of the maturity date to November 2031. The loan is expected to return to the master servicer in the near term. According to the December 2024, rent roll, the property was 58.5% occupied with an average rental rate of $21.08 per square foot (psf). The loan has been reporting a DSCR below breakeven since 2021 and tenant leases, representing approximately 50.0% of the net rentable area (NRA), have expired or are set to roll within the next 12 months. According to Reis, Fairfield County's East submarket reported a Q1 2025 vacancy rate of 4.4% and asking rental rates of $25.70 psf. The property was most recently appraised in October 2024 at a value of $7.5 million (slightly below the current loan balance of $7.7 million), down from the May 2023 appraised value of $8.5 million and considerably below the issuance appraised value of $12.3 million. Morningstar DBRS increased the probability of default (POD) for this loan and applied a stressed loan-to-value (LTV) ratio in its analysis for this review, resulting in an expected loss (EL) that was 3.5x higher than the pool's average EL. The second-largest loan in the pool, Gurnee Mills, is secured by a 1.68 million-sf portion of a larger 1.9 million-sf regional mall in the northwestern Chicago suburb of Gurnee, Illinois. Simon Property Group, Inc. (Simon) owns and manages the property. The property was 91.8% occupied as of December 2024, an increase from the prior year and in line with the issuance figure of 91.1%. The largest collateral tenants are Bass Pro Shops, Kohl's, and Macy's while noncollateral tenants include Marcus Cinema, Burlington Coat Factory, and Value City Furniture. Morningstar DBRS reached out to the servicer to confirm if the largest collateral tenant, Bass Pro Shops (8.2% of the NRA with a lease through December 2025 ), has provided notice of renewal, but had not received a response as of the date of this press release. According to the YE2024 financial reporting, the property generated $18.1 million of net cash flow (NCF), reflecting a DSCR of 1.7x, which is lower than the Morningstar DBRS issuance figure of $21.7 million. Morningstar DBRS analyzed the loan with an elevated POD penalty and stressed LTV ratio, resulting in an EL that was 2.5x higher than the pool's average EL. The Peachtree Mall loan is secured by a 536,202-sf portion of a larger 821,687-sf regional mall in Columbus, Georgia. The loan is sponsored by Brookfield Property Group LLC and is being monitored on the servicer's watchlist for an upcoming maturity date in December 2025. The property was 86.1% occupied as of December 2024, down from 94.5% the prior year. Morningstar DBRS notes that the NCF has remained below issuance expectations for years, with the YE2024 figure of $7.4 million approximately 20.0% lower than the underwritten figure, suggesting that average rental rates at the property have likely declined. The two largest tenants are Macy's (26.0% of NRA with a lease through September 2027) and JCPenney (15.0% of the NRA with a lease through November 2029). Dillard's is also an anchor tenant but does not serve as collateral. Rollover risk is concentrated with leases representing about 20% of NRA scheduled to roll in the next 12 months to 18 months. According to a tenant sales report dated December 2024, total in-line tenant sales were $310.0 psf compared with $318.0 psf at YE2023. Given the increased risk associated with the upcoming tenant rollover (including the upcoming lease expiration for an anchor tenant), declining performance, and dated property condition, Morningstar DBRS analyzed this loan with a POD penalty, resulting in an EL that was more than 2.5x higher than the pool's average EL. At issuance, Morningstar DBRS shadow-rated the 9 West 57th Street loan (Prospectus ID#3; 8.2% of the pool) investment grade supported by the loan's strong credit metrics, strong sponsorship strength, and desirable location in Manhattan's Plaza District submarket. With this review, Morningstar DBRS confirmed that the characteristics of this loan remain consistent with the investment-grade shadow rating. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. DAILYPAY SECURITIZATION 2025-1: DBRS Finalizes BB Rating on D Notes ------------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following notes to be issued by DailyPay Securitization Trust 2025-1: -- $179,450,000 Class A Notes at AA (sf) -- $5,120,000 Class B Notes at A (sf) -- $6,810,000 Class C Notes at BBB (sf) -- $8,620,000 Class D Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION (1) The Transaction's capital structure and available credit enhancement. Subordination, overcollateralization (OC), cash held in the Reserve Account and available Excess Fee Revenue, as well as other structural provisions create credit enhancement levels which are sufficient to support Morningstar DBRS' stressed cumulative gross loss (CGL) hurdle rate assumptions of 19.85%, 16.94%, 12.95% and 9.03%, respectively, for each of the AA (sf), A (sf), BBB (sf) and BB (sf) rating categories. The respective stressed cumulative net loss (CNL) hurdle rates for the Class A, Class B, Class C and Class D Notes are 16.05%, 13.65%, 10.37% and 6.94%. -- The required OC during the revolving period is equal to approximately 6.10% of the Initial Adjusted Pool Balance. The Notes will amortize sequentially, on a "full turbo" basis during the Amortization Period. -- A non-amortizing, replenishable cash reserve account is equal to 0.75% of the initial Note Balance and may be used to pay interest and senior expenses (but not to make Priority Principal Payments). -- Despite the expected paydown of the Notes within a month during amortization, cash flow scenarios by Morningstar DBRS incorporate the full annual capped amount of senior expenses ($250,000) as well as a one-time senior expense amount of $250,000. (2) Morningstar DBRS used its CLO Insight Model to generate the stressed CGL at each rating level based on the "worst case" proxy collateral pool based on the applicable transaction terms. Given limitations on collateral quality migration during the revolving period imposed by concentration limits, eligibility criteria and performance triggers, as well as the fact that Morningstar DBRS used the "worst case" collateral proxy pool in the CLO Insight Model, the Collateral Modeling Tenor input in the CLO Insight Model was adjusted to be shorter than the revolving period and to be more reflective of the expected tenor of collateral. (3) A review by Morningstar DBRS of the historical weekly Receivables performance of DailyPay going back to October 2021. Historically, the first day default rate stemming both (a) from very limited cases of corporate default and (b) from administrative defaults (e.g., failure by employer to include child support deductions in the file submitted to DailyPay, which resulted in lower-than-expected remittance on payday) averaged 0.28%, with the average recovery rate of 71.08%. (4) The collateral is expected to generate a substantial aggregate amount of fees (the Excess Revenue). The Excess Revenue is generated by a flat fee of approximately $3.49 that DailyPay charges on instant cash transfers (other than transfers on its credit card). Historically, most customers (91.8% of all On-Demand Pay disbursements on average over 12-month period ending in November 2024) consistently opted for instant transfer. -- Morningstar DBRS assigned only a limited credit to excess fee revenue in its cash flow scenarios based on the Early Amortization Event trigger of 10% and incorporating loss of revenue because of stressed defaults in each respective rating's cash flow scenario. Morningstar DBRS cash flow scenarios also gave no credit to an average historically experienced 2.6x (times) turn of receivables within a month in assessment of the available Excess Revenue at the start of Amortization Period. (5) Collateral eligibility requirements and concentration limits that ensure the consistent credit quality and diversity of the collateral pool backing the Notes during the revolving period. The proxy collateral pool assumed by Morningstar DBRS in its assessment of the stressed CGL based on such concentration limits is more conservative relative to the actual and expected obligor and industry mix in the DailyPay's portfolio. The collateral concentration limits and eligibility criteria cover the maximum term of the receivables, the minimum number of obligors, obligor industry concentrations, individual largest obligor concentrations for investment-grade, non-investment grade and unrated obligors, as well as the aggregate obligor exposure within specific credit rating categories (e.g., credit rating equivalent BBB (low) and better). -- Morningstar DBRS assumed the minimum possible credit rating equivalent (for instance, for "BBB (low) and above" category, only BBB (low) credit rating assumption was used). -- All unrated obligors were assumed to have credit quality commensurate with a CCC credit rating. (6) Amortization Event triggers which are designed to protect Noteholders in the event of weaker-than-expected collateral performance including, among others, a breach of several collateral performance triggers: -- As of any Measurement Date, the Non-Collection Ratio for the most recently ended Measurement Period exceeds 2.00%. -- As of any Measurement Date, the Delinquency Ratio for the most recently ended Measurement Period exceeds 4.50%, -- As of any Measurement Date, the Annualized Excess Revenue Ratio for the most recently ended Measurement Period is less than 10.00%. (7) The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- Morningstar DBRS performed an operational review of DailyPay and considers it to be an acceptable originator and servicer of On-Demand Pay Receivables with a backup servicer that is acceptable to Morningstar DBRS. -- Vervent is an experienced backup servicer in the commercial receivables space and is acceptable to Morningstar DBRS as a back-up servicer in a transaction backed by On-Demand Pay Receivables. (8) The average Statistical Pool during the month March 2025 included 901,898 Receivables, with the average outstanding Receivable balance of $422.95. The weighted average remaining Receivable term was seven days, and on average during the month, 92.28% of Receivables were expected to be repaid within 13 days or less. The largest, top five and top ten corporate obligors accounted for 7.64%, 16.30% and 29.09% of the aggregate Receivables balance, respectively. The investment grade obligors accounted for 28.25% of the aggregate Receivables balance, and non-investment grade obligors accounted for 19.37%, with the remainder being represented by unrated obligors. Top five employer industries accounted for 82.41% of the aggregate Receivables balance and comprised retail (27.33%), healthcare services (16.37%), hospitals and physicians' clinics (14.74%), business services (13.74%) and hospitality (10.22%). Furthermore, 87.28% of Receivables on average were represented by the employers onboarded by DailyPay as customers during 2023 or earlier. (9) On January 22, 2025, DailyPay received a letter from the New York Attorney General's Office setting forth its intent to sue DailyPay in connection with its On-Demand Pay product and to seek restitution and other monetary and other relief for DailyPay's alleged violations of New York's laws on wage assignments, civil and criminal usury, and advertising, among others. Receivables with respect to which the related User has an address in the state of New York are not included in the Pooled Receivables on the Closing Date and will not be added to the Pooled Receivables until a "NYAG Resolution" (as defined in the definition of Eligible Receivables) has occurred with respect to such Receivables. (10) The legal structure and legal opinions that address the true sale of the receivables, the nonconsolidation of the assets of the Issuer, that the Indenture Trustee has a valid first-priority security interest in the assets, and consistency with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance". (11) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, Baseline Macroeconomic Scenarios For Rated Sovereigns: March 2025 Update published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Interest and accrued interest, and the Initial Note Balance for each of the rated notes. Notes: All figures are in US dollars unless otherwise noted. ELMWOOD CLO X: Fitch Assigns 'B-(EXP)sf' Rating on Class F-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned Elmwood CLO X, Ltd. expected ratings. The assignment of final ratings is contingent on the receipt of final documents conforming to information already reviewed. Entity/Debt Rating ----------- ------ Elmwood CLO X, Ltd. A-R2 LT AAA(EXP)sf Expected Rating B-R2 LT AA(EXP)sf Expected Rating C-R2 LT A(EXP)sf Expected Rating D-R2 LT BBB-(EXP)sf Expected Rating E-R2 LT BB-(EXP)sf Expected Rating F-R2 LT B-(EXP)sf Expected Rating X LT AAA(EXP)sf Expected Rating Transaction Summary Elmwood CLO X, Ltd. (the issuer) is an arbitrage cash flow CLO managed by Elmwood Asset Management LLC. The transaction originally closed in 2021 and was first refinanced in 2024. On July 8, 2025, all of the existing secured notes will be paid in full. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $497 million of primarily first-lien senior secured leveraged loans (other than the defaulted assets). 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 of the indicative portfolio is 22.59, and will be managed to a weighted average recovery rate (WARR) covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.08% first-lien senior secured loans. The WARR of the indicative portfolio is 74.56% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 these metrics. The results under these sensitivity scenarios are as severe as 'AAAsf' for the class X notes, between 'BBB+sf' and 'AA+sf' for the class A-R2 notes, between 'BB+sf' and 'A+sf' for the class B-R2 notes, between 'B-sf' and 'BBB+sf' for the class C-R2 notes, between less than 'B-sf' and 'BB+sf' for the class D-R2 notes, between less than 'B-sf' and 'B+sf' for the class E-R2 notes and less than 'B-sf' for the class F-R2 notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X and A-R2 notes as they are already rated at the highest level on Fitch's scale and cannot be upgraded. 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 these metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for the class B-R2 notes, 'AAsf' for the class C-R2 notes, 'Asf' for the class D-R2 notes, 'BBB+sf' for the class E-R2 notes and 'BB+sf' for the class F-R2 notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Elmwood CLO X, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ELMWOOD CLO X: Fitch Assigns 'B-sf' Final Rating on Cl. F-R2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Elmwood CLO X, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Elmwood CLO X, Ltd. X LT AAAsf New Rating AAA(EXP)sf A-R2 LT AAAsf New Rating AAA(EXP)sf B-R2 LT AAsf New Rating AA(EXP)sf C-R2 LT Asf New Rating A(EXP)sf D-R2 LT BBB-sf New Rating BBB-(EXP)sf E-R2 LT BB-sf New Rating BB-(EXP)sf F-R2 LT B-sf New Rating B-(EXP)sf Transaction Summary Elmwood CLO X, Ltd. (the issuer) is an arbitrage cash flow CLO managed by Elmwood Asset Management LLC. The transaction originally closed in 2021 and was first refinanced in 2024. On July 8, 2025, all the existing secured notes will be paid in full. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $497 million of primarily first lien senior secured leveraged loans (other than the defaulted assets). 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 of the indicative portfolio is 22.59 and will be managed to a weighted average recovery rate (WARR) covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.08% first lien senior secured loans. The WARR of the indicative portfolio is 74.56% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 these metrics. The results under these sensitivity scenarios are as severe as 'AAAsf' for the class X notes, between 'BBB+sf' and 'AA+sf' for the class A-R2 notes, between 'BB+sf' and 'A+sf' for the class B-R2 notes, between 'B-sf' and 'BBB+sf' for the class C-R2 notes, between less than 'B-sf' and 'BB+sf' for the class D-R2 notes, between less than 'B-sf' and 'B+sf' for the class E-R2 notes, and less than 'B-sf' for the class F-R2 notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X and A-R2 notes as they are already rated at the highest level on Fitch's scale and cannot be upgraded. 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 these metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for the class B-R2 notes, 'AAsf' for the class C-R2 notes, 'Asf' for the class D-R2 notes, 'BBB+sf' for the class E-R2 notes, and 'BB+sf' for the class F-R2 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 03 July 2025 ESG Considerations Fitch does not provide ESG relevance scores for Elmwood CLO X, 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. GREENSKY HOME 2025-2: Fitch Assigns BB(EXP) Rating on Cl. E Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to GreenSky Home Improvement Issuer Trust 2025-2 (GSKY 2025-2). Entity/Debt Rating ----------- ------ GreenSky Home Improvement Issuer Trust 2025-2 A1 ST F1+(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Consistent Receivable Quality: GSKY 2025-2 is backed by economic participations in an asset pool of unsecured HI loans made mainly to prime obligors (FICO scores lower than 700 account for 4.7% of IPB) in the U.S. originated by Goldman Sachs Bank USA and Synovus Bank through the GreenSky Program. The GreenSky Program offers three core loan products: reduced rate loans, zero interest loans and deferred interest loans. Deferred interest loans have a promotional period of typically up to 24 months during which the full principal balance can be paid off with no interest due (and interest billed during such promotional period will be reversed if the principal is paid in full during the promotional period). Certain deferred interest loans require no payments during the promotional period, while other deferred interest loans require payments during the promotional period. Loan proceeds are earmarked for heating, ventilation and air conditioning (HVAC) systems; kitchens and bathrooms; basement projects; and windows, solar/energy efficiency products and other HI products and services. The characteristics of the initial asset pool are generally in line with those of prior GreenSky transactions as well as peer HI lenders. The weighted average (WA) FICO score of the asset pool is 781. The WA original term of the asset pool is 110 months and the WA loan seasoning is 7.3 months. Asset Pool Assumptions: Fitch's WA lifetime base case lifetime default rate assumption is 5.97%, based on the mix of product type and FICO scores for the asset pool. Fitch assumed a rating case default multiple of 5.2x at the 'AAAsf' rating level, assessed at the median-high end of the range of Fitch's applicable rating criteria. It primarily reflects the limited origination-specific performance data history. As a consequence, the assumed lifetime default rate for the asset pool is 31.1% at the 'AAAsf' rating level. Fitch applied an 18% base case recovery rate on defaulted loans, based on historical recoveries and forward-looking expectations. Fitch applies a rating-dependent recovery haircut at the higher end of the range provided by Fitch's consumer ABS rating criteria, equal to 60% at 'AAAsf', hence resulting in an assumed recovery rate at 'AAAsf' of 10.8%. In its analysis, Fitch differentiated prepayment rates according to product type, as the deferred products feature a promotional period during which either no principal and interest is due, or just no interest, depending on the type of product. The assumed base case WA prepayment rate is 20.4% per annum (pa) during the promotional period and 16.2% pa thereafter, also based on the mix of FICO score in the asset pool. All other asset pool and cash flow modeling assumptions are as described within Fitch's applicable rating criteria and throughout this report. Transaction Structure: GSKY 2025-2 financed the purchase of the asset pool via eight classes of rated notes (class A-1, A-2, A-3, A-4, B, C, D and E notes; together, the notes). The notes pay a monthly fixed interest rate set at closing, with the first payment date in August 2025. Credit enhancement (CE) to the notes is provided by overcollateralization (OC; initially equal to 4.42% of 95% of the asset balance as of June 3, 2025 cutoff date), OC via the subordination of more junior notes, a fully funded non-amortizing reserve fund sized at 0.50% of the initial notes balance over 95%, as well as excess spread to the extent generated by the asset pool (initially estimated at 6.4% pa). The structure envisages an OC build-up to a target of 5.75% of 95% of the outstanding asset pool, with a floor of 0.50% of 95% of the initial asset pool. Additionally, the target OC for class A notes is 36.5%. Total hard CE at closing (as a percentage of 95% of the initial asset pool, including reserve fund and excluding excess spread) is 27.3%, 19.0%, 13.7%, 8.3% and 4.9% for class A, B, C, D and E notes, respectively. Adequate Servicing Capabilities: Under the transaction structure, Synovus Bank will hold the legal title and servicing rights to the underlying HI loans. GreenSky, together with its subsidiary GreenSky Servicing, LLC and other affiliates, and Systems & Services Technologies, Inc. (SST) will act as servicer and backup servicer, respectively, for the transaction upon closing and on on behalf of and as agent for the origination partner (Synovus Bank). See Servicing Framework below for additional details. The servicer causes collections from the asset pool to be transferred to an origination partner designated account within two business days of receipt, and then to the payment account held with Wilmington Trust, National Association (classified as a transaction account bank under Fitch's counterparty criteria) on the following business day. Fitch reviewed the potential commingling exposure of three days of collections, sized at about 20bps of the initial asset pool, and considered the exposure immaterial in light of the credit protection available to the rated notes. Minimum counterparty ratings as well as replacement and other counterparty-related provisions in the transaction documents are in line with Fitch's counterparty criteria. Fitch views backup servicing arrangements and mitigants to servicer disruption risk as in line with ratings up to 'AAAsf'. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade For its sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting expected cash flows and loss coverage levels over the life of investments under default assumptions that are higher and recovery assumptions that are lower than the initial base case. An increase in base case defaults by 50% may lead to downgrades up to -2 notches. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by reduced delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. A decrease in base case defaults by 50% may lead to upgrades up to 3 categories. CRITERIA VARIATION In its analysis of the transaction, Fitch applied a criteria variation to its "Consumer ABS Rating Criteria". Fitch's "Consumer ABS Rating Criteria" stipulates a maximum of one notch deviation between the model implied rating (MIR) derived under Fitch's cash flow modeling (via Fitch's Solar Loans ABS Cash Flow Model) and assigned ratings, when assigning ratings to a new ABS issuance. For class C, D and E notes, Fitch assigned ratings below the MIR in excess of one notch (ranging between two and three notches), given the subordinate position of these tranches and resulting reliance on excess spread generated by the structure, as well as the increased sensitivity of the default trigger to its default assumptions and default timing. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and recalculation of certain characteristics with respect to 155 randomly selected statistical receivables. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2018-GS10: DBRS Confirms C Rating on Class G-RR Certs ----------------------------------------------------------------- DBRS Limited downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2018-GS10 issued by GS Mortgage Securities Trust 2018-GS10 as follows: -- Class B to A (sf) from AA (low) (sf) -- Class C to BBB (sf) from A (low) (sf) -- Class D to BB (high) (sf) from BBB (sf) -- Class E to B (low) (sf) from B (high) (sf) -- Class X-B to A (high) (sf) from AA (sf) -- Class X-D to B (sf) from BB (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class F at CCC (sf) -- Class G-RR at C (sf) -- Class X-A at AAA (sf) Morningstar DBRS changed the trends on Classes C, D, E, and X-D to Stable from Negative. Classes F and G-RR are at a credit rating level that does not typically carry a trend in commercial mortgage-backed securities (CMBS) ratings. All other classes have a Stable trend. The credit rating downgrades on Classes E and X-D are supported by the increased loss projections for two of the three loans in special servicing, GSK North American HQ (Prospectus ID#1, 9.5% of the pool) and Capital Complex (Prospectus ID#25, 1.1% of the pool), stemming from updated appraisals. Both of these loans were in special servicing at the time of the last rating action in July 2024 and had obtained updated appraisals exhibiting significant declines in value from issuance. Both loans received updated appraisals since July 2024, cumulatively showing an overall decline from the previous values. Morningstar DBRS is now projecting approximately $35 million in losses as compared to the $28 million at the last rating action in July 2024. The updated liquidation analysis suggests losses would erode the entirety of the unrated Class H-RR and nearly all of Class G-RR, diminishing the credit support available to Class E and X-D, supporting those credit rating downgrades. The credit rating downgrades on Classes B, C, D, and X-B are supported by the continued erosion of credit support available to those classes from the liquidation analysis described above as well as Morningstar DBRS' view that the overall credit risk for this transaction is expected to remain elevated through to maturity in 2028. Morningstar DBRS had previously placed Negative trends on Classes C, D, E, and X-D due to potential for future value declines for the assets in special servicing, which has occurred. The pool is also most concentrated by loans that are secured by office properties, representing 39.5% of the pool balance. Although most of the office properties in the pool continue to perform as expected, there are some loans that continue to exhibit credit deterioration, specifically the 1000 Wilshire - Pooled (Prospectus ID#2, 8.3% of the pool), which is currently in special servicing but was not analyzed under a liquidation scenario at this time. Morningstar DBRS does acknowledge increased credit risk from issuance remains present, especially in the loans secured by office properties. Morningstar DBRS has sufficiently accounted for that elevated risk through the liquidation analyses and, where applicable, elevated probability of default (POD) and loan-to-value (LTV) stresses used for loans of concern, supporting both the credit rating downgrades and change in trends back to Stable. As of the June 2025 remittance, all 33 of the original loans remain in the pool with an aggregate principal balance of $787.1 million, representing a nominal collateral reduction of 2.9% since issuance. There are five loans, representing 13.5% of the pool, on the servicer's watchlist being monitored for low debt service coverage ratios (DSCRs), occupancy concerns, and servicing trigger events. There are three loans, representing approximately 19.0% of the pool, that are in special servicing, all of which are secured by office property. The largest specially serviced loan, GSK North American HQ (GSK), is secured by a Class A office complex in Philadelphia's Navy Yard submarket. The property's single tenant, GSK, decided to vacate its space in Q1 2022, ahead of its 2028 lease expiry, and the loan subsequently transferred to special servicing for imminent maturity default in November 2022. As of July 2024, a foreclosure sale has been completed and a receiver is in place. Although the space is dark, GSK is expected to make its monthly rental payments until September 2028; however, the June 2025 remittance notes the loan to be 60-days delinquent, last paid in March 2025. GSK's departure triggered a cash flow sweep and approximately $10.3 million was being held across all accounts as of the June 2025 reporting. Per the January 2025 appraisal obtained by the special servicer, the property was valued at $72.5 million, which remains relatively in line with the April 2024 valuation of $76.7 million, and slightly below the trust exposure of just over $79.0 million. Morningstar DBRS analyzed the loan with a liquidation scenario based on a 20% haircut to the January 2025 value, inclusive of the outstanding advances and expected servicer expenses; the resulting loan loss severity was approaching 40% or approximately $29.0 million. The second-largest loan in special servicing, 1000 Wilshire, is secured by a 477,774 square foot Class A office building in Los Angeles. The loan transferred to the special servicer in March 2025 due to the borrower's inability to pay off the loan at its March 2025 maturity date. Morningstar DBRS previously noted the subject has experienced occupancy declines over the last several years and was most recently 66.9% occupied as of December 2024, as compared to the December 2023 figure of 74.5%. Over the next 12 months, there is an approximate rollover risk of 24% of the property's net rentable area (NRA), concentrated primarily with the largest tenant, Wedbush Securities (Wedbush; 21% of the NRA, lease expiry in December 2025). An October 2024 article from the Los Angeles Times indicated Wedbush will vacate at lease expiry. According to the most recent financials, the subject reported a YE2024 DSCR of 3.57 times (x) and net cash flow (NCF) of $8.0 million; the high coverage is down from the issuer's underwritten DSCR of 4.55x and cash flows are expected to continue to fall given the previous and upcoming vacancy spikes. According to a Reis report from Q1 2025, Los Angeles' downtown submarket reported a vacancy rate of 19.0%, up from the Q1 2024 figure of 17.1%. At the last review, Morningstar DBRS removed its shadow rating on the loan due to its sustained occupancy and cash flow declines relative to issuance expectations, an approach that has been further supported by the more recent maturity default. For this review, Morningstar DBRS analyzed this loan with an elevated POD and stressed LTV, which resulted in an expected loss (EL) approximately triple the weighted-average (WA) pool EL. Two loans, Aliso Creek Apartments (Prospectus ID#3, 8.0% of the pool balance) and Marina Heights State Farm (Prospectus ID#11, 3.5% of the pool balance), were shadow-rated investment grade by Morningstar DBRS at issuance. With this review, Morningstar DBRS confirms that the performance of these two loans remains consistent with investment-grade loan characteristics. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2021-PJ10: Moody's Ups Rating on Cl. B-5 Certs to Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 38 bonds from eight US residential mortgage-backed transactions (RMBS). The collateral backing these deals consists of prime jumbo and agency eligible mortgage loans issued by GS Mortgage-Backed Securities Trust. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2021-PJ10 Cl. B-2, Upgraded to Aa3 (sf); previously on Sep 5, 2024 Upgraded to A1 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Sep 5, 2024 Upgraded to Ba2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2021-PJ9 Cl. B-2, Upgraded to Aa3 (sf); previously on Sep 5, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Sep 5, 2024 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Sep 5, 2024 Upgraded to Ba2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-GR2 Cl. B-1, Upgraded to Aa1 (sf); previously on Sep 5, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Sep 5, 2024 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Sep 5, 2024 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Sep 5, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Sep 5, 2024 Upgraded to B1 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-PJ3 Cl. B-2, Upgraded to Aa2 (sf); previously on Nov 16, 2023 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Sep 5, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Nov 16, 2023 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Nov 16, 2023 Upgraded to B2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-PJ4 Cl. B-3, Upgraded to A3 (sf); previously on Sep 5, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Nov 16, 2023 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Sep 5, 2024 Upgraded to Ba3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-PJ5 Cl. B-2, Upgraded to Aa3 (sf); previously on Sep 5, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Sep 5, 2024 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Sep 5, 2024 Upgraded to Ba3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2023-PJ1 Cl. A-1-X*, Upgraded to Aaa (sf); previously on Jan 31, 2023 Definitive Rating Assigned Aa1 (sf) Cl. A-23, Upgraded to Aaa (sf); previously on Jan 31, 2023 Definitive Rating Assigned Aa1 (sf) Cl. A-23-X*, Upgraded to Aaa (sf); previously on Jan 31, 2023 Definitive Rating Assigned Aa1 (sf) Cl. A-24, Upgraded to Aaa (sf); previously on Jan 31, 2023 Definitive Rating Assigned Aa1 (sf) Cl. A-X*, Upgraded to Aaa (sf); previously on Jan 31, 2023 Definitive Rating Assigned Aa1 (sf) Issuer: GS Mortgage-Backed Securities Trust 2024-PJ7 Cl. B, Upgraded to Aa3 (sf); previously on Aug 30, 2024 Definitive Rating Assigned A1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Aug 30, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Aug 30, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Aug 30, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Aug 30, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A2 (sf); previously on Aug 30, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A2 (sf); previously on Aug 30, 2024 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Aug 30, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-3-A, Upgraded to Baa1 (sf); previously on Aug 30, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-3-X*, Upgraded to Baa1 (sf); previously on Aug 30, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 30, 2024 Definitive Rating Assigned Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Aug 30, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B-X*, Upgraded to A1 (sf); previously on Aug 30, 2024 Definitive Rating Assigned A2 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structure, and Moody's updated loss expectations on the underlying pools. The transactions Moody's reviewed continue to display strong collateral performance, with no or under .01% cumulative loss and a small number of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortized. The credit enhancement for each tranche upgraded has grown by, on average, 1.2x since closing. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal 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. GS MORTGAGE 2025-RPL3: DBRS Gives Prov. B(high) Rating on B2 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Securities, Series 2025-RPL3 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2025-RPL3 (the Trust) as follows: -- $328.5 million Class A-1 at (P) AAA (sf) -- $22.8 million Class A-2 at (P) AA (high) (sf) -- $351.3 million Class A-3 at (P) AA (high) (sf) -- $374.1 million Class A-4 at (P) A (high) (sf) -- $392.2 million Class A-5 at (P) BBB (high) (sf) -- $22.8 million Class M-1 at (P) A (high) (sf) -- $18.2 million Class M-2 at (P) BBB (high) (sf) -- $11.7 million Class B-1 at (P) BB (high) (sf) -- $8.2 million Class B-2 at (P) B (high) (sf) The Class A-3, A-4, and A-5 Notes are exchangeable. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The (P) AAA (sf) credit rating on the Notes reflects 25.80% of credit enhancement provided by subordinated notes. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BB (high) (sf), and (P) B (high) (sf) credit ratings reflect 20.65%, 15.50%, 11.40%, 8.75%, and 6.90% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This Trust is a securitization of a portfolio of seasoned performing and reperforming, first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 2,670 loans with a total principal balance of $465,997,284 as of the Cut-Off Date (May 31, 2025). The portfolio is approximately 219 months seasoned and contains 88.0% modified loans. The modifications happened more than two years ago for 98.6% of the modified loans. Within the pool, 1,499 mortgages have noninterest-bearing deferred amounts, which equate to approximately 63.4% of the total principal balance. There are no Government-Sponsored Enterprise Home Affordable Modification Program and proprietary principal forgiveness amounts included in the deferred amounts. As of the Cut-Off Date, 84.0% of the loans in the pool are current. Approximately 0.5% of the loans are in bankruptcy (all bankruptcy loans are performing) and 15.5% is 30 days delinquent. Approximately 47.7% of the mortgage loans have been zero times 30 days delinquent (0x30) for at least the past 24 months under the Mortgage Bankers Association (MBA) delinquency method and 59.7% have been 0x30 for at least the past 12 months under the MBA delinquency method. Approximately 96.6% of the pool is exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the loans were originated as investor property loans or were originated prior to January 10, 2014, the date on which the rules became applicable. The loans subject to the ATR rules are designated as non-QM (3.4%). The CFPB issued a final rule (the QM Rule), effective with respect to mortgage loans for which the origination process commenced on or after January 10, 2014 (the QM Rule Effective Date), that specifies the characteristics of a qualified mortgage for this purpose. The Mortgage Loan Sellers, Goldman Sachs Mortgage Company (GSMC) and MCLP Asset Company, Inc. acquired the mortgage loans in various transactions prior to the Closing Date from various mortgage loan sellers or from an affiliate. GS Mortgage Securities Corp. (the Depositor) will contribute the loans to the Trust. These loans were originated and previously serviced by various entities through purchases in the secondary market. The Sponsor, GSMC, or a majority-owned affiliate, will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing the right to receive at least 5.0% of the amounts collected on the mortgage loans, net of the Trust's fees, expenses, and reimbursements and paid on the Notes (other than the Class R Notes) and the Retained Interest to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. All mortgage loans will be serviced by Nationstar Mortgage LLC (doing business as (dba) Rushmore Servicing). All of the mortgage loans being serviced by interim servicers Select Portfolio Servicing, Inc. and Newrez LLC (dba Shellpoint Mortgage Servicing) will be transferred to Rushmore on July 7, 2025, and July 1, 2025, respectively. There will not be any advancing of delinquent principal or interest on any mortgages by the related Servicer or any other party to the transaction; however, the related Servicer is obligated to make advances in respect to the preservation, inspection, restoration, protection, and repair of a mortgaged property, which includes delinquent tax and insurance payments, the enforcement of judicial proceedings associated with a mortgage loan, and the management and liquidation of properties (to the extent that the related Servicer deems such advances recoverable). On or after the Early Repayment Date occurring in June 2027, the Controlling Holder will have the option to purchase all remaining loans and other property of the Issuer at the Redemption Price (Early Redemption Date). The Controlling Holder will be the beneficial owner of more than 50% the Class B-3 Notes (if no longer outstanding, the next most subordinate Class of Notes, other than Class X). The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on the Class A-2 Notes and more subordinate bonds will not be paid from principal proceeds until the more senior classes are retired. Excess interest can be used to amortize the principal of the Notes after paying transaction parties fees, Net Weighted-Average Coupon shortfalls, and making deposits on to the breach reserve account. Notes: All figures are in U.S. dollars unless otherwise noted. GSAT TRUST 2025-BMF: DBRS Gives Prov. B(low) Rating on Cl. F Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-BMF (the Certificates) to be issued by GSAT Trust 2025-BMF (the Trust): -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (low) (sf) -- Class F at (P) B (low) (sf) All trends are Stable. The Trust is secured by the borrower's fee-simple interest in a portfolio of seven Class A and B garden-style multifamily properties totaling 2,381 market-rate units located across the Louisville, Kentucky, Atlanta, Nashville, Carmel, Indiana, and Cincinnati markets. Transaction proceeds of $330.0 million will go toward refinancing $237.1 million of debt across the portfolio, cashing out $85.4 million to the borrower, covering an anticipated prepayment penalty of $941,401, and covering closing costs. The sponsor developed four of the assets between 1999 and 2020 and acquired the remaining assets in several transactions between August 2018 and January 2020 for a total cost basis of $386.7 million. The portfolio assets are generally stabilized and in good condition. All seven properties have many amenities, with all properties offering clubhouses and fitness centers, and four of the seven offering swimming pools. The WA year built of the portfolio is 1997, with no property built before 1982. Five of the seven properties, totaling 1,754 units, were constructed prior to 2002. Since 2018, the borrower has successfully completed unit renovations on the majority of units and common areas at the more dated properties in the portfolio. Excluding the Nashville assets, Whetstone Flats I & II, which were built in 2016 and 2020, respectively, the borrower has renovated 79.6% of units, inclusive of 45 units renovated by prior ownership. Cost per renovated unit averaged $16,506, and total capex spend per unit across the entire portfolio averages $19,362, including both unit renovations and other capex. Across the five properties that have undergone unit renovations, average rent premiums of $165 or 13.7% per unit have been achieved thus far. The borrower's considerable investment in improving properties in the portfolio evidences its commitment to the portfolio. As of the May 2025 rent roll, the portfolio was 93.5 % occupied with an average rent of $1,499 per unit. The properties are in suburban areas of their respective markets, generally about 15 to 20 minutes outside of downtown central business districts (CBDs). The portfolio has exhibited consistent rent growth year over year since 2019, bolstered by the borrower's renovations across the portfolio. Despite a track record of rent growth, Morningstar DBRS notes the portfolio net operating income (NOI) dipped in 2024 and T-12 ended March 2025 periods because of elevated concessions and expenses on the portfolio level. The concessions, which are concentrated at the Nashville assets, are serving as a means to preserve occupancy and maintain the properties' competitive positions in the market as new supply in the immediate areas reaches stable occupancy and allows concession to burn off. The generally favorable market conditions are evidenced by relatively tight submarket vacancy rates, which, by vintage, averaged 5.4% across the portfolio in Q1 2025, per Reis. All of the properties have a Morningstar DBRS Market Rank of 3 or 5, designations assigned to more suburban locations. These suburban markets are quite popular as shown by CBRE's local demographics data. The three-mile radius surrounding each property demonstrated strong population growth between 2020 and 2024, averaging annual growth of 1.7% across the portfolio, which is 2.8x higher than the U.S. average per census data. Further, the three-mile radius average median income is $88,912, more than 10% higher than the U.S. median household income. The portfolio is generally in statistically desirable markets across the U.S., positioning it well to continue to attract renters in the near term. The Morningstar DBRS Loan-To-Value (LTV) on the full debt load of $330.0 million is high at 103.2%. To account for the high leverage, Morningstar DBRS programmatically reduced its LTV benchmark targets for the transaction by 1.50% across the capital structure. The high leverage point combined with a lack of scheduled amortization pose potentially elevated refinance risk at loan maturity in the event that the appraised values do not remain stable. Furthermore, the Morningstar DBRS Net Cash Flow (NCF) of $22.8 million results in a Morningstar DBRS Debt Service Coverage Ratio (DSCR) of 1.03 times (x), indicating any cash flow decline or disruption of operations within the portfolio puts the overall portfolio at risk of not being able to service its debt service payments as they come due. Morningstar DBRS took a conservative approach in its cash flow analysis, which includes no rental rate appreciation over the course of the loan term, elevated economic vacancy conclusions, and elevated operating expenses when compared against the Issuer's cash flow figure. The sponsor for the mortgage loan is Buckingham Multifamily Fund I, LP, Buckingham Companies' (Buckingham) flagship value-add fund. Buckingham is a full-service, vertically integrated real estate company founded more than 40 years ago. Buckingham currently manages a portfolio valued at more than $3.0 billion. Buckingham has other experience in the same submarkets as the portfolio and developed four of the seven subject assets, representing 47.3% of the collateral portfolio unit count. In the subject financing, the sponsor will cash out approximately $85.4 million, 25.9% of the total loan amount. Based on the appraised value of $482,450,000, the sponsor will still have approximately $157.0 million of implied equity remaining. Notes: All figures are in U.S. dollars unless otherwise noted. GSF 2023-1: Fitch Affirms 'BB-sf' Rating on Class E Debt -------------------------------------------------------- Fitch Ratings has affirmed the ratings for GSF 2023-1 LLC classes A-1, A-2, A-S, B, C, D, E, and X. Entity/Debt Rating Prior ----------- ------ ----- GSF 2023-1 A-1 362945AA5 LT AAAsf Affirmed AAAsf A-2 362945AC1 LT AAAsf Affirmed AAAsf A-S 362945AE7 LT AAAsf Affirmed AAAsf B 362945AG2 LT AA-sf Affirmed AA-sf C 362945AJ6 LT A-sf Affirmed A-sf D 362945AL1 LT BBB-sf Affirmed BBB-sf E 362945AQ0 LT BB-sf Affirmed BB-sf X 362945AN7 LT A-sf Affirmed A-sf Transaction Summary This is the transaction's fourth ramp and comprises the addition of three loans totaling $86.4 million. Following this addition, the pool will consist of 24 closed loans for a total of $583.6 million. The No. 17 loan, Midway Central, released part of its collateral resulting in a $3.6 million reduction to the loan balance. Proceeds will remain in the trust as collateral until the pool is fully funded and the deal is static; then, the principal will be released to class A1. All the loans are fixed rate, and none have future funding facilities. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 17 loans totaling 83.9% of the pool by balance. Fitch's resulting aggregate trust net cash flow (NCF) of $52.9 million represents a 15.4% decline from the issuer's underwritten NCF of $62.60 million. Aggregate cash flows include only the prorated trust portion of any pari passu loan. Lower Leverage Compared to Recent CLO Transactions: The pool's Fitch LTV is 105.7%, lower than FLS RIALTO 2025-FL10 Fitch LTV of 131.4%, lower than LNCR 2025-CRE8 Fitch LTV of 131.4%, higher than WFCM 2025-5C3 Fitch LTV of 103.9%, lower than 2025 YTD CRE CLO Fitch LTV of 140.3%, and lower than the 2024 CRE CLO Fitch LTV of 140.7%. In addition, the pool's Fitch DY is 9.1%, higher than FS RIALTO 2025-LF10 Fitch DY of 7.4%, higher than the LNCR 2025-CRE8 Fitch DY of 6.8%, higher than WFCM 2025-5C3 Fitch DY of 9.5%, higher than 2025 YTD CRE CLO Fitch DY of 6.4%, and lower than 2024 CRE CLO Fitch DY of 6.5% . Lower Interest Rates Compared to Recent CLO Transactions: The pool's weighed average note rate is 7.0%, lower than FS RIALTO 2025-FL10 note rate of 7.3%, lower than LNCR 2025-CRE8 note rate of 7.3%, higher than WFCM 2025-5C3 note rate of 6.9%, lower than 2025 YTD CRE CLO note rate of 7.6%, and lower than 2024 CRE CLO average of 7.9%. In addition, the pool's Fitch Term DSCR is 1.14x, which is higher than FS RIALTO 2025-FL10 Fitch Term DSCR of 0.88x, higher than LNCR 2025-CRE8 Fitch Term DSCR of 0.82x, lower than WFCM 2025-5C3 Fitch Term DSCR of 1.18x, higher than 2025 YTD CRE CLO Fitch Term DSCR of 0.76x, and higher than the 2024 CRE CLO Fitch Term DSCR of 0.75x. Concentrated by Loan Size: The pool carries 24 loans with effective loan count of 19.2, and translates to a higher pool concentration compared to recent CLO transactions. The pool's effective loan count of 19.2 is lower than FS RIALTO 2025-FL effective loan count of 21.3, lower than the 20.2 reported for LNCR 2025-CRE8, lower than the 18.6 reported for WFCM 2025-5C3, lower than the 20.8 average for 2025 YTD CRE CLO's, and higher than the 16.9 average for 2024 CRE CLOs. The top 10 loans account for 61.9% of the pool, which is higher than FS RIALTO 2025-FL10 at 58.7%, LNCR 2025-CRE8 at 5.9%, WFCM 2025-5C3 at 68.1%, higher than 2025 YTD CRE CLO average of 60.0%, and lower than 70.5% average for 2024 CRE CLO's. Property Type Concentration: GSF 2023-1 has an effective property count of 4.3, which is higher than FS RIALTO 2025-FL10 at 3.2, LNCR 2025-CRE8 at 3.0, WCM 2025-5C3 at 4.1, 2025 YTD CRE CLO average of 1.9, and higher than the 2024 CRE CLO average of 1.7. Loans secured by retail properties represent 35.6%, which differentiates from the comp set that has little to no retail percentage and driven by multifamily concentration. The 2025 YTD and 2024 CRE CLO average retail exposures of 2.8% and 1.2%, respectively. Geographic Concentration: GSF 2023-1 has an effective geographic count of 11.5, which is lower than FS RIALTO 2025-FL10 at 11.6, higher than LNCR 2023-CRE8 at 11.9, higher than WFCM 2025-5C3 at 9.0, lower than 2025 YTD CRE CLO average of 12.1, and higher than 9.0 for 2024 CRE CLO's. Loans located in the Boston MSA account for 17.7% of the pool. In the comp set, FL9 is the most geographically concentrated with 19.6% of the pool located in NYC MSA. Amortization Compared to Recent CLO Transactions: The pool will feature 0.2% paydown from securitization to maturity. This is higher than FS RIALTO 2025-FL10 at 0.1%, higher than LNCR 2025-CRE8 at 0.0%, lower than WFCM 2025-5C3 at 1.0%, lower than 2025 YTD CRE CLO average of 0.4%, and lower than the 2024 CRE CLO average of 0.6%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'; - 10% Decline to Fitch NCF: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'; - 10% Increase to Fitch NCF: 'AAAsf'/'AAAsf'/'AAs+f'/'A+sf'/'BBBsf'/'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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 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. HALSEYPOINT CLO 7: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to HalseyPoint CLO 7, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- HalseyPoint CLO 7, Ltd. A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B 40638LAE9 LT PIFsf Paid In Full AAsf B-R LT AA+sf New Rating C 40638LAG4 LT PIFsf Paid In Full Asf C-R LT A+sf New Rating D 40638LAJ8 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB+sf New Rating D-2-R LT BBB-sf New Rating E 40638MAA5 LT PIFsf Paid In Full BB-sf E-R LT BB+sf New Rating F-R LT NRsf New Rating Transaction Summary HalseyPoint CLO 7, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by HalseyPoint Asset Management LLC and originally closed in June 2023. This is the first refinancing that will finance the existing secured notes in whole on June 30, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $430 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.07% first lien senior secured loans and has a weighted average recovery assumption of 75.45%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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-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 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 HalseyPoint CLO 7, 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. HARBOURVIEW CLO VII-R: Moody's Affirms B2 Rating on Class E Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by HarbourView CLO VII-R, Ltd.: US$21.92M Class C Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Apr 10, 2024 Upgraded to Aa2 (sf) US$24.02M Class D Secured Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on Apr 10, 2024 Upgraded to Baa2 (sf) Moody's have also affirmed the ratings on the following notes: US$259.61M (Current outstanding amount US$14,348,421) Class A-1 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 21, 2018 Affirmed Aaa (sf) US$43.94M Class B Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 10, 2024 Upgraded to Aaa (sf) US$17.91M Class E Secured Deferrable Floating Rate Notes, Affirmed B2 (sf); previously on Apr 10, 2024 Upgraded to B2 (sf) US$8M Class F Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Aug 6, 2020 Downgraded to Caa3 (sf) HarbourView CLO VII-R, Ltd., issued in June 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by HarbourView Asset Management Corporation. 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 significant deleveraging of the Class A-1 notes following amortisation of the underlying portfolio since the payment date in July 2024. The affirmations on the ratings on the Class A-1, B, E and F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1 notes have paid down by approximately USD81.6 million (31.4%) in the last 12 months and USD245.3 million (94.5%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated June 2025[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 224.81%, 163.37%, 125.72% and 107.29% compared to March 2024[2] levels, on which the last rating action was based, of 133.22%, 121.82%, 111.38% and 104.68%, 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 methodologies and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD130.53m Defaulted Securities: USD5.10m Diversity Score: 42 Weighted Average Rating Factor (WARF): 3111 Weighted Average Life (WAL): 3.40 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.06% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.91% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. v 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. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. HARRIMAN PARK: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Harriman Park CLO, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Harriman Park CLO, Ltd. X-RR LT NRsf New Rating A-1R 413717AN9 LT PIFsf Paid In Full AAAsf A-2R 413717AQ2 LT PIFsf Paid In Full AAAsf A-L LT NRsf New Rating A-RR LT NRsf New Rating B-RR LT AAsf New Rating C-RR LT Asf New Rating D-1-RR LT BBB-sf New Rating D-2-RR LT BBB-sf New Rating E-RR LT BB-sf New Rating F-RR LT NRsf New Rating Transaction Summary Harriman Park CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Blackstone / GSO CLO Management LLC. The CLO originally closed in 2020 and had first refinancing in 2021. The secured notes were refinanced on July 9, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. 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 94.85% first-lien senior secured loans and has a weighted average recovery assumption of 74.58%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: 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 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 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 'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'BBB+sf' for class C-RR, between less than 'B-sf' and 'BB+sf' for class D-1-RR, and between less than 'B-sf' and 'BB+sf' for class D-2-RR and between less than 'B-sf' and 'B+sf' for class E-RR. 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-RR, 'AAsf' for class C-RR, 'Asf' for class D-1-RR, and 'A-sf' for class D-2-RR and 'BBB+sf' for class E-RR. 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 Harriman Park CLO, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. HARRIMAN PARK: Moody's Assigns B3 Rating to $250,000 F-RR Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes issued and one class of loans incurred (collectively, the Refinancing Debt) by Harriman Park CLO, Ltd. (the Issuer): US$3,000,000 Class X-RR Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$156,800,000 Class A-RR Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$163,200,000 Class A-L Loans maturing 2038, Assigned Aaa (sf) US$250,000 Class F-RR Junior Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of not first lien loans, cash, and eligible investments. Blackstone 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 Debt and five other classes of secured, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3000 Weighted Average Spread (WAS): 3.00% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing 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. HPS LOAN 11-2017: Moody's Affirms B1 Rating on $21.5MM Cl. E Notes ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by HPS Loan Management 11-2017, Ltd.: US$5M Class D-R Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Nov 4, 2024 Upgraded to A3 (sf) US$27.5M Class D-F Secured Deferrable Fixed Rate Notes, Upgraded to A1 (sf); previously on Nov 4, 2024 Upgraded to A3 (sf) Moody's have also affirmed the ratings on the following notes: US$57.5M (Current outstanding amount US$44,653,690) Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 4, 2024 Affirmed Aaa (sf) US$28.5M Class C-R Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 4, 2024 Upgraded to Aaa (sf) US$21.5M Class E Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Nov 4, 2024 Downgraded to B1 (sf) US$5.3M Class F Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Nov 4, 2024 Downgraded to Caa3 (sf) HPS Loan Management 11-2017, Ltd., originally issued in May 2017 and partially refinanced in February 2020, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by HPS Investment Partners CLO (US), LLC. The transaction's reinvestment period ended in May 2022. RATINGS RATIONALE The rating upgrades on the Class D-R and D-F notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in November 2024. The affirmations on the ratings on the Class B-R, Class C-R, Class E and Class F 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-R notes have been redeemed in full and Class B-R notes have paid down by approximately USD12.8 million (22.3% of original balance) since the last rating action in November 2024. As a result of the deleveraging, over-collateralisation (OC) has increased for Class B, Class C and Class D. According to the trustee report dated May 2025[1] the Class B, Class C and Class D OC ratios are reported at 296.2%, 180.8%, and 125.2% compared to September 2024[2] levels of 171.1%, 140.2% and 116.3%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. Key model inputs: The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD132.9m Defaulted Securities: USD5.3m Diversity Score: 37 Weighted Average Rating Factor (WARF): 3246 Weighted Average Life (WAL): 2.89 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.58% Weighted Average Recovery Rate (WARR): 46.57% 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 its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. JPMDB COMMERCIAL 2017-C7: Fitch Lowers Rating on 2 Tranches to B- ----------------------------------------------------------------- Fitch Ratings has downgraded five classes and affirmed eight classes of JPMDB Commercial Mortgage Securities Trust 2016-C2 (JPMDB 2016-C2). Negative Rating Outlooks have been assigned to classes A-S, B, C, X-A, and X-B following the downgrades. Fitch has also downgraded five classes and affirmed seven classes of JPMDB Commercial Mortgage Securities Trust 2017-C7 (JPMDB 2017-C7). Fitch assigned Negative Outlooks to classes B, C, D, X-B and X-D following the downgrades. Following their affirmations, the Rating Outlooks for classes A-S and X-A remain Negative. Entity/Debt Rating Prior ----------- ------ ----- JPMDB 2017-C7 A-4 46648KAT3 LT AAAsf Affirmed AAAsf A-5 46648KAU0 LT AAAsf Affirmed AAAsf A-S 46648KAY2 LT AAAsf Affirmed AAAsf A-SB 46648KAV8 LT AAAsf Affirmed AAAsf B 46648KAZ9 LT A-sf Downgrade AA-sf C 46648KBA3 LT BBsf Downgrade BBB-sf D 46648KAC0 LT B-sf Downgrade BB-sf E-RR 46648KAE6 LT CCCsf Affirmed CCCsf F-RR 46648KAG1 LT CCsf Affirmed CCsf X-A 46648KAW6 LT AAAsf Affirmed AAAsf X-B 46648KAX4 LT A-sf Downgrade AA-sf X-D 46648KAA4 LT B-sf Downgrade BB-sf JPMDB 2016-C2 A-3A 46590LAS1 LT AAAsf Affirmed AAAsf A-3B 46590LAA0 LT AAAsf Affirmed AAAsf A-4 46590LAT9 LT AAAsf Affirmed AAAsf A-S 46590LAX0 LT Asf Downgrade AA-sf A-SB 46590LAU6 LT AAAsf Affirmed AAAsf B 46590LAY8 LT BBsf Downgrade BBB-sf C 46590LAZ5 LT Bsf Downgrade BB-sf D 46590LAE2 LT CCCsf Affirmed CCCsf E 46590LAG7 LT CCsf Affirmed CCsf F 46590LAJ1 LT Csf Affirmed Csf X-A 46590LAV4 LT Asf Downgrade AA-sf X-B 46590LAW2 LT BBsf Downgrade BBB-sf X-C 46590LAC6 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Increasing 'B' Loss Expectations: Deal-level 'Bsf' rating case losses have risen since Fitch's prior rating actions on both transactions, increasing to 15.85% from 13.33% in JPMDB 2016-C2 and to 9.15% from 7.00% in JPMDB 2017-C7. Fitch Loans of Concern (FLOCs) comprise 11 loans (59.3% of the pool) in JPMDB 2016-C2 including four loans in special servicing (21.5%) and nine loans (29.4%) in JPMDB 2017-C7 including three loans in special servicing (13.7%). 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 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. JPMDB 2016-C2: The downgrades in the JPMDB 2016-C2 transaction reflect higher pool loss expectations since Fitch's prior rating action, driven primarily by further performance deterioration of specially serviced loans 100 East Pratt (8.5%) and DoubleTree Houston Intercontinental Airport (5.7%) including higher expected losses on performing FLOC, Four Penn Center (6.8%), which is expected by Fitch to default at maturity. The downgrades also consider the potential for interest shortfalls. If the pool becomes concentrated with defaulted assets past maturity, principal and interest advancing could become limited or deemed non-recoverable. The Negative Outlooks reflect the high office concentration of 40.8% and the potential for downgrades should performance of the FLOCs including, specially serviced loan, Palisades Center (4.5%) and aforementioned office loans, fail to stabilize, and/or with additional declines in performance or prolonged workouts of the loans in special servicing. JPMDB 2017-C7: The downgrades in the JPMDB 2017-C7 transaction reflect increased pool loss expectations primarily due to specially serviced loan Starwood Capital Group Hotel Portfolio (5.1%) and REO asset, First Stamford Place (5.9%) along with continued performance deterioration of office FLOC, 18301 Von Karman (2.6%). The Negative Outlooks in the JPMDB 2017-C7 transaction reflect the office concentration of 35.6% and the potential for downgrades with lack of performance stabilization of office FLOCs in the pool - including include Capital Centers II & III (2.4%), 18301 Von Karman, 18401 Von Karman (1.4%) and REO assets, First Stamford Place and Preston Plaza (2.7%). Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action and third largest contributor to overall losses in the JPMDB 2016-C2 transaction is the 100 East Pratt (8.5%) loan. The loan is secured by a 28-story, 662,708 sf, LEED Silver certified office in downtown Baltimore, MD and transferred to special servicing in May 2025. Occupancy has declined substantially with the departure of the largest tenant, T Rowe Price (67% of NRA), which exercised a termination option and vacated at the end of April 2025. As of the May 2025 remittance, the reserve balance totaled $42.9 million (approximately $65 psf) collected as a result of a cash trap and termination fees. The second largest tenant, PwC (5.5% of NRA) with lease expiration in April 2030, has also expressed intentions to vacate their space in 2026 and is expected to market their space for sublease. Following the departure of T Rowe Price, overall occupancy declined to 23.5%, and cash flow is projected to be insufficient to meet debt service obligations. Fitch's 'Bsf' rating case loss of 32% (prior to concentration add-ons) reflects a 10% cap rate, 60% stress to the YE 2024 NOI and increased probability of default due to the specially serviced status, departure of the largest tenant and anticipated decline in cashflow. While reserves may be deployed to re-tenant vacant space, it is not expected to fully mitigate losses given the substantial vacancy and significant capital required to stabilize performance. The largest contributor to loss expectations in the JPMDB 2016-C2 transaction is the Quaker Bridge Mall loan, which is secured by a 357,221-sf regional mall located in Lawrenceville, NJ. The non-collateral anchor tenant Lord & Taylor closed in February 2021 and non-collateral anchor tenant Sears closed in 2018 leaving two remaining anchors, JCPenney and Macy's. As of December 2024, the collateral was 78% occupied and has been stable since the pandemic. The largest collateral tenant, Forever 21 (7.5% of NRA; lease expiration January 2026), vacated in early 2025 dropping occupancy to approximately 70%. The three largest remaining tenants are Old Navy (4.9%; March 2030), H&M (4.9%; January 2028) and Victoria's Secret (3.4%; January 2025; store still open). The NOI debt service coverage ratio (DSCR) for the full-term interest only loan as of YE 2024 was 2.06x compared with 2.08x as of YE 2023, 2.00x as of YE 2022 and 2.22x as of YE 2021. Fitch's 'Bsf' Rating Case Loss (prior to concentration add-on) of 31% is based on an 13% cap rate and a 10% stress to the YE 2023 NOI to account for the upcoming rollover and factors a higher probability of default to account for refinancing concerns. The second largest contributor to overall loss expectations is the specially serviced DoubleTree Houston Intercontinental Airport loan (5.7% of the pool), which is secured by a seven-story, 313-room, full-service hotel in Houston, TX. The loan transferred to special servicing in June 2020 due to imminent default with a receiver being appointed in July 2020. Hotel performance has languished with TTM March 2025 insufficient to cover debt service with a reported NOI DSCR of 0.31x in-line with YE 2024. YE 2024 NOI remains 79% below the originator's underwritten expectations. The January 2025 STR report reflected YTD occupancy, ADR and RevPAR of 70.2%, $126 and $88, respectively, with penetration rates of 115.0%, 89.3% and 102.7%. Fitch's 'Bsf' rating case loss of 66% reflects a discount to a recent appraisal value, equating to a recovery of approximately $42,000 per key, and incorporates the elevated total exposure which includes a significant balance of outstanding advances and expenses. In JPMDB 2017-C7, the Starwood Capital Hotel Portfolio loan (95.1% of the pool) represents the largest increase in expected losses since Fitch's prior rating action and is the second largest driver of overall loss. The loan is secured by a portfolio comprised of 65 hotels totaling 6,370 keys located across 21 states. The loan transferred to special servicing in March 2025 for imminent maturity default. The servicer is actively negotiating modification terms with the borrower, Starwood Capital Group. The loan is paid through May 2025 and has remained current since issuance. Portfolio performance continues to lag post-pandemic. The YE 2023 NOI is 37% below YE 2019 and 26% below the Fitch issuance NCF. The servicer-reported portfolio NOI DSCR was 1.61x as of September 2024, a decline from 1.72x at YE 2023, 1.98x at YE 2022 and 1.62x at YE 2021. Total average portfolio occupancy, ADR, and RevPAR was 66%, $121, and $79, respectively, as of the TTM ended September 2024 compared to 54%, $92, and $49 at YE 2020 and 74%, $116, and $86 at YE 2019. Fitch's 'Bsf' rating case loss of 27% (prior to concentration add-ons) reflects an 11.50% cap rate to the YE 2023 NOI, and heightened probability of default as the loan transferred to special servicing. Fitch's 'Bsf' rating case loss for this loan at the prior rating action was 4.8%. The largest overall contributor to loss in JPMDB 2017-C7 is First Stamford Place (9.7%), which is a three-building suburban office property totaling 810,471-sf located in Stamford, CT. The asset transferred to special servicing in December 2023 and became REO in March 2025. While occupancy improved to 79% as of March 2024 from 75% at YE 2023, it remains well-below issuance occupancy of 91%. Cash flow has deteriorated significantly, with YE 2023 NOI down 49.8% from the originator's underwritten NOI at issuance. As of March 2024, the servicer-reported NOI DSCR was 1.96x, compared with 1.91x as of YE 2022. Per Costar as of 1Q25, the Stamford office submarket reported a high vacancy and availability rate 24.3% and 25.1%, respectively. Fitch's 'Bsf' rating case loss of 39% (prior to concentration adjustments) reflects a discount to a recent appraisal value, reflecting a recovery value of $123 psf. Additional office FLOCs in the JPMDB 2017-C7 transaction with elevated losses include Preston Plaza (2.7% of the pool), Capital Centers II & III (2.5%), and 18301 Von Karman (2.7%), with Fitch's 'Bsf' rating case losses (prior to concentration adjustments) of 40%, 24%, and 34%, respectively. Changes in Credit Enhancement: As of the June 2025 distribution date, the aggregate balances of the JPMDB 2016-C2 and JPMDB 2017-C7 transactions have been paid down by 25.8% and 16.4%, respectively, since issuance. The JPMDB 2016-C2 transaction includes four loans (9.5% of the pool) that have fully defeased and JPMDB 2017-C7 has four loans (8.3%) fully defeased loans. Cumulative interest shortfalls of $5.25 million are affecting classes E, F and the non-rated class NR in JPMDB 2016-C2 and $561,992 is affecting the non-rated class G-RR and 15,888 is affecting the VRR class in JPMDB 2017-C7. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur, particularly as it relates to the A-4 class in the JPMDB 2016-C2 transaction. Downgrades to junior 'AAAsf' rated classes in the JPMDB 2017-C7 transaction, with Negative Outlooks, are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'Asf' categories, which have Negative Outlooks, may occur should performance of the FLOCs, which include 100 East Pratt (8.5%), High Crossing Portfolio (4.7%), Hall Office Park A1/G1/G3 (3.7%), DoubleTree Houston Intercontinental Airport (5.7%), and Palisades Center (4.5%) in JPMDB 2016-C2, and First Stamford Place (5.9%), Preston Plaza (2.7%), Capital Centers II & III (2.5%), 18301 Von Karman (2.7%), 18401 Von Karman (1.5%), and Sheraton DFW (3.2%) and Walgreens Witkoff Portfolio (3.4%) in JPMDB 2017-C7, deteriorate further or more loans than expected default at or prior to maturity. Downgrades to the '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 should additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the '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. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the '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. KKR CLO 11: Moody's Affirms B1 Rating on $27.5MM Class E-R Notes ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by KKR CLO 11 Ltd.: US$30.3M Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Oct 8, 2024 Upgraded to Aa2 (sf) US$14.6M Class D-1-R Senior Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Oct 8, 2024 Upgraded to Baa2 (sf) US$19.8M Class D-2-R Senior Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Oct 8, 2024 Upgraded to Baa2 (sf) Moody's have also affirmed the ratings on the following notes: US$357.5M (Current outstanding amount US$102,242,678) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Oct 8, 2024 Affirmed Aaa (sf) US$57.8M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Oct 8, 2024 Upgraded to Aaa (sf) US$27.5M Class E-R Senior Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Oct 8, 2024 Affirmed B1 (sf) KKR CLO 11 Ltd., originally issued in May 2015 and refinanced in December 2017, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by KKR Financial Advisors II, LLC. The transaction's reinvestment period ended in January 2023. RATINGS RATIONALE The rating upgrades on the Class C-R, D-1-R and D-2-R notes are primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in October 2024. The affirmations on the ratings on the Class A-R, B-R and E-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-R notes have paid down by approximately USD111.3 million (31.1%) since the last rating action in October 2024 and USD255.3 million (71.4%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for the senior and mezzanine rated notes. According to the trustee report dated May 2025[1], the Class A-R/B-R, Class C-R and Class D-R OC ratios are reported at 165.28%, 139.00% and 117.71% compared to August 2024[2] levels of 141.88%, 127.64% and 114.57%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD277.47m Defaulted Securities: USD0 Diversity Score: 51 Weighted Average Rating Factor (WARF): 3255 Weighted Average Life (WAL): 3.60 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.29% Weighted Average Recovery Rate (WARR): 46.91% Par haircut in OC tests and interest diversion test: 4.92% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability Moody's are analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Long-dated assets: The presence of USD7.89m 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. KKR CLO 52: Moody's Assigns B3 Rating to $250,000 Class F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by KKR CLO 52 Ltd. (the Issuer): US$217,600,000 Class A-1R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$250,000 Class F-R Mezzanine 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. KKR Financial Advisors II, 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, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels, and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $340,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3081 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 7.0 % 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. KRR CLO 52: Fitch Assigns 'BBsf' Rating on Class E-R Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 52 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- KKR CLO 52 Ltd. A-1R LT NRsf New Rating A-2R LT AAAsf New Rating B-1 48255XAE8 LT PIFsf Paid In Full AAsf B-2 48255XAG3 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 48255XAJ7 LT PIFsf Paid In Full A+sf C-R LT Asf New Rating D 48255XAL2 LT PIFsf Paid In Full BBB-sf D-1R LT BBBsf New Rating D-2R LT BBB-sf New Rating E 48255YAA4 LT PIFsf Paid In Full BB+sf E-R LT BBsf New Rating F-R LT NRsf New Rating Transaction Summary KKR CLO 52 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by KKR Financial Advisors II, LLC, that originally closed in July 2023. This is the first refinancing which will refinance the existing secured noted in whole on July 7, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $339 million of primarily first lien senior secured leverage loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.4% first-lien senior secured loans and has a weighted average recovery assumption of 73.9%. 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 40.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2R notes, between 'BB+sf' and 'A+sf' for class B-R notes, between 'B+sf' and 'BBB+sf' for class C-R notes, between less than 'B-sf' and 'BB+sf' for class D-1R notes, and between less than 'B-sf' and 'BB+sf' for class D-2R notes and between less than 'B-sf' and 'B+sf' for class E-R notes. 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 notes, 'AA+sf' for class C-R notes, 'A+sf' for class D-1R notes, and 'Asf' for class D-2R notes and 'BBB+sf' for class E-R notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for KKR CLO 52 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. KRR CLO 57: Fitch Assigns 'BBsf' Rating on Class E Notes -------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 57 Ltd. Entity/Debt Rating ----------- ------ KKR CLO 57 Ltd. A LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BBsf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary KKR CLO 57 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.7% first lien senior secured loans and has a weighted average recovery assumption of 74.04%. 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 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 metrics. 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, 'AA+sf' for class C, 'A+sf' for class D, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for KKR CLO 57 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. LOANCORE 2022-CRE7: DBRS Confirms B(low) Rating on Class G Notes ---------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of notes issued by LoanCore 2022-CRE7 Issuer Ltd. as follows: -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (sf) -- Class C Notes at A (high) (sf) -- Class D Notes at A (low) (sf) -- Class E Notes at BBB (sf) -- Class F Notes at BB (low) (sf) -- Class G Notes at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the underlying loans, which continue to be primarily secured by traditional multifamily collateral (26 loans, representing 97.6% of the current pool balance; the only other loan is backed by a manufactured housing property). Historically, loans secured by multifamily properties have exhibited lower default rates and the ability to retain and increase asset value. Additionally, most borrowers are progressing with the stated business plans to increase property cash flows and stabilize operations to increase the respective asset values. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-dbrs@morningstar.com. The initial collateral consisted of 29 floating-rate mortgages, secured by 29 transitional properties, with a cut-off trust balance of $1.25 billion, excluding approximately $65.4 million of future funding participations. There was also $194.7 million of funded companion participations held outside the subject transaction. The transaction was structured with a two-year Reinvestment Period that expired with the March 2024 Payment Date. As of the June 2025 remittance, the pool comprised 27 loans, secured by 31 properties, with a cumulative trust balance of $1.35 billion. Since July 2024, three loans with a former cumulative loan balance of $135.8 million have been successfully repaid from the trust. Leverage across the pool has marginally decreased since issuance as the current weighted-average (WA) as-is appraised loan-to-value (LTV) ratio is 72.1%, with a current WA stabilized LTV ratio of 66.2%. In comparison, these figures were 72.6% and 66.3%, respectively, since issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2022 and may not reflect the increase in interest and capitalization rates (cap rates) since that time. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments to 19 loans, representing 82.4% of the current pool balance, generally reflective of higher cap rate assumptions compared with the implied cap rates based on the appraisals. As of June 2025 reporting, five loans, representing 23.3% of the current trust balance, are on the servicer's watchlist. The largest loan on the servicer's watchlist and in the pool, GVA Sunrise Portfolio - Pool C (Prospectus ID#31; 11.0% of the current trust balance), is secured by a portfolio of five multifamily properties in the Dallas (two properties; 480 units), Houston (one property; 264 units), Nashville (one property; 364 units), and Greenville, South Carolina (one property; 562 units) metropolitan areas. The loan initially transferred to special servicing in November 2024 for imminent payment default; however, the loan is current and is also still categorized as a specially serviced loan in the June 2025 remittance report. The borrower's original business plan was to use up to $16.1 million to complete unit interior and property-wide upgrades across the portfolio to increase rental rates and cash flow; however, it could not execute its plan amid liquidity limitations driven by stress across its commercial real estate portfolio. The loan sponsor was ultimately replaced by an equity partner in June 2024, when the loan was first modified. An additional loan modification completed in December 2024 allowed the borrower to alter the original business plan and enter into affordable housing programs with local municipalities for the Greenville property, as well as three Texas properties, in exchange for full real estate tax abatements. The collateral manager has confirmed that the agreements for all four properties have been executed. To effectuate the change in the business plan, the lender provided $5.3 million in new mezzanine debt to finance the closing of the affordable housing programs and to fund operating shortfalls and updated capital expenditure (capex) budgets across the portfolio. The mezzanine debt is co-terminus with the senior loan and is being held outside the subject trust. The loan has a current senior balance of $282.3 million with a $148.9 million piece in the trust. Since closing, the lender has advanced $11.9 million of loan future funding to the borrower; however, $3.8 million of that amount was reallocated for debt service reserves. The collateral manager has confirmed the borrower has used $8.0 million of future funding to complete a total of 517 unit upgrades across the portfolio to date. The collateral manager also provided an updated capex schedule and budget totaling $5.0 million across the five properties, most of which is budgeted for exterior upgrades ($3.6 million). Only 41 additional units across the portfolio are scheduled to be renovated. The portfolio was reappraised at $239.4 million in May 2024 (LTV of 117.9%); however, the appraiser's as-is valuation increases to $290.4 million (LTV of 97.0%) assuming the three additional affordable housing agreements are completed. The collateral manager has not provided updated as-stabilized appraised values to date. In the analysis for this review, Morningstar DBRS applied stressed LTVs based on the updated as-is appraisal as well as an increased probability of default (POD) adjustment to reflect the changed business plan and uncertainty surrounding the timing of portfolio stabilization. Though the loan does not have a final maturity until 2028, the term risks have increased as the original business plan was not achieved and liquidity issues have resulted in the need for mezzanine financing for the revised business plan. The resulting loan expected loss (EL) is approximately two times greater than the EL for the pool. As of the June 2025 reporting, the lender had advanced cumulative loan future funding of $64.1 million to 16 of the outstanding individual borrowers to aid in property stabilization efforts. The pace of borrowers requesting advances has slowed in the past year as only $1.4 million across three loans was advanced between July 2024 and May 2025. The largest advance ($15.6 million) since respective loan closing has been made to the borrower of the El Centro loan (Prospectus ID#34; 7.9% of the current pool balance), which is secured by the leasehold interest in a 507-unit Class A multifamily property in Hollywood, California. The borrower's business plan focuses on increasing the retail component's occupancy rate by providing competitive tenant improvement packages. As of April 2025, the occupancy rate for the 457 market-rate multifamily units was 88.4% with an average rental rate of $2,980 per unit; however, the retail component was only 46.0% leased and the net cash flow (NCF) was $7.6 million for the trailing 12-month (T-12) period ended February 28, 2025, well below Morningstar DBRS' and the Issuer's stabilized NCF projections of $12.7 million and $15.4 million, respectively. The June 2025 final maturity date contributes to the increased credit risks for this loan; however, according to the collateral manager, a short-term extension is expected to be finalized to provide the borrower time to market the property for sale. Morningstar DBRS believes the property's current market value has declined significantly from the as-is appraised value of $267.0 million at issuance. Applying a cap rate range of 4.5% to 5.5% to the NCF for the T-12 period ended February 28, 2025, yields as-is property values between $169.6 million and $138.8 million, respectively, with associated whole loan LTVs of 92.6% and 113.2%, respectively. Morningstar DBRS applied an LTV of approximately 100.0% as well as an increased POD penalty in the analysis for this review, resulting in a loan EL slightly above the EL for the overall pool. An additional $18.1 million of loan future funding allocated to six of the outstanding individual borrowers remains available; however, just over half of the available funds are allocated to the El Centro ($9.4 million) and GVA Sunrise Portfolio - Pool C ($4.3 million) loans, both of which are exhibiting increased risks that could limit the likelihood those are ultimately funded, as previously outlined. Through June 2025, 21 of the outstanding loans, representing 80.2% of the current trust balance have been modified or received a forbearance agreement. The terms of the individual loan modifications vary and have included the waiver of performance-based tests to exercise maturity extensions, the requirement to purchase new interest rate cap agreements, changes to interest rate structures and reallocations of loan future funding dollars. Loan modifications have often required additional equity commitments from borrowers in the form of upfront principal curtailments, deposits into reserve accounts, and/or increased loan payment guarantees. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. MADISON PARK LXXII: Fitch Assigns 'BB+sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Madison Park Funding LXXII, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Madison Park Funding LXXII, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB+sf New Rating BB+(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Madison Park Funding LXXII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS Asset Management (Americas) LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 97.15% first lien senior secured loans and has a weighted average recovery assumption of 73.76%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, and 'Asf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Date of Relevant Committee 12 June 2025 ESG Considerations Fitch does not provide ESG relevance scores for Madison Park Funding LXXII, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MADISON PARK LXXII: Moody's Assigns B3 Rating to $250,000 F Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO notes issued by Madison Park Funding LXXII, Ltd. (the Issuer or Madison Park LXXII): US$378,000,000 Class A-1 Floating Rate Senior Notes due 2038, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Deferrable Floating Rate Junior 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. Madison Park LXXII 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 not senior secured loans. The portfolio is approximately 60% ramped as of the closing date. UBS Asset Management (Americas) 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 six 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: $600,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3048 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 45.50% 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. MARANON LOAN 2023-1: S&P Assigns Prelim 'BB-' Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, A-L-R, B-R, C-R, D-R, and E-R debt and proposed new class X-R debt from Maranon Loan Funding 2023-1 Ltd./Maranon Loan Funding 2023-1 LLC, a CLO managed by Eldridge Credit Advisers LLC (formerly known as Maranon Capital L.P.) that was originally issued in June 2023. The preliminary ratings are based on information as of July 8, 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 and proposed new debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, A-L-R, B-R, C-R, D-R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the original debt. -- The non-call period will be extended to July 2027. -- The reinvestment period will be extended to July 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to July 2037. -- New class X-R debt will be issued on the refinancing date and is expected to be paid down using interest proceeds in equal installments of $1,333,333.33, beginning on the second payment date. -- 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 Maranon Loan Funding 2023-1 Ltd./Maranon Loan Funding 2023-1 LLC Class X-R, $20.0 million: AAA (sf) Class A-R, $202.0 million: AAA (sf) Class A-L-R loans(i), $30.0 million: AAA (sf) Class B-R, $40.0 million: AA (sf) Class C-R (deferrable), $32.0 million: A (sf) Class D-R (deferrable), $24.0 million: BBB- (sf) Class E-R (deferrable), $24.0 million: BB- (sf) Other Debt Maranon Loan Funding 2023-1 Ltd./Maranon Loan Funding 2023-1 LLC Subordinated notes, $53.8 million: Not rated (i)All or a portion of the class A-L-R loans may be converted into class A-R notes. No portion of the class A-R notes may be converted into class A-L-R loans. MISSION LANE 2025-B: Fitch Assigns 'Bsf' Rating on Class F Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings to six classes of Mission Lane Credit Card Master Trust (MLCCMT), Series 2025-B, fixed-rate notes. The notes are backed by a revolving pool of receivables that arise under general purpose, consumer Visa credit card accounts originated and owned by Transportation Alliance Bank, Inc. (dba TAB Bank) and WebBank (both partner banks and account owners), and serviced by Mission Lane LLC (Mission Lane). These are Fitch's inaugural ratings of the credit card receivables-backed notes issued by MLCCMT. The Rating Outlook for the notes is Stable. Entity/Debt Rating Prior ----------- ------ ----- Mission Lane Credit Card Master Trust, Series 2025-B Class A LT AAAsf New Rating AAA(EXP)sf Class B LT AAsf New Rating AA(EXP)sf Class C LT Asf New Rating A(EXP)sf Class D LT BBBsf New Rating BBB(EXP)sf Class E LT BBsf New Rating BB(EXP)sf Class F LT Bsf New Rating B(EXP)sf Since the assignment of expected ratings, the legal maturity date was amended to Sept. 15, 2031, from Feb. 15, 2033, and the size of the note balances was increased. These updates did not affect the assigned ratings, which remain unchanged from the expected ratings. KEY RATING DRIVERS Receivables' Performance and Collateral Characteristics: Underlying collateral characteristics play a vital role in the performance of a credit card ABS transaction. Fitch closely examines collateral characteristics such as credit quality, seasoning, geographic concentration, delinquencies, and utilization rate on credit cards. Trust collateral performance has been normalizing compared to the strength shown throughout the pandemic and is exhibiting stable patterns in recent periods. As of the March 2025 collection period, 60+ day delinquencies and gross charge-offs decreased to 6.37% and 15.04%, respectively, from 6.45% and 15.92% a year earlier. Monthly payment rate (MPR) remained stable at 13.91%, compared to 13.87% a year ago, while gross yield (net of reversals) decreased to 35.16% from 35.89% in March 2024. Credit enhancement (CE) is adequate, with loss multiples in line with the expected ratings and Fitch's applicable criteria. The Stable Rating Outlook on the notes reflects Fitch's expectation that performance will remain supportive of the ratings. Originator and Servicer Quality: Fitch considers the partner banks adequate originators and Mission Lane an adequate servicer, as evidenced by the historical delinquency and loss performance of the trust receivables. Mission Lane, formerly operated as the credit card division of LendUp Loans LLC before its 2018 spinoff as an independent company, has serviced credit card receivables since 2015. It has demonstrated extensive experience in credit card origination and operational stability. The availability of a warm backup servicer and the depth of the servicing market further mitigate operational risk. Counterparty Risk: Fitch's ratings of the notes are dependent on the financial strength of certain counterparties. Fitch believes this risk is mitigated by the ratings of the applicable counterparties to the transactions and contractual remedial provisions in the transaction documents that are in line with Fitch's counterparty criteria. Interest Rate Risk: The transaction carries a degree of interest rate mismatch, in line with the market. Interest rate risk is mitigated by the available CE, which comprises subordination (not available to class F), overcollateralization in the form of the subordinated transferor amount (STA) at 3.00%, and a reserve account. CE supporting class A, B, C, D, E, and F notes is 40.57%, 33.82%, 24.37%, 16.52%, 10.37%, and 3.00%, respectively. The reserve account will be funded if the three-month average excess spread percentage falls to 4.00% or below and will not be funded at close. Fitch analyzed characteristics of the underlying collateral to better assess overall asset performance. This supplements Fitch's analysis of the originator's historical data when determining the following steady state performance assumptions and rating case multiples and haircuts: Steady State Assumptions: - Annualized Charge-offs: 17.00%; - MPR: 11.00%; - Annualized Yield: 29.50%; - Purchase Rate: 100.00%. Rating Case Assumptions for class A, B, C, D, E and F notes: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Charge-offs (multiple): 3.50x/3.00x/2.25x/1.75x/1.50x/1.10x; - MPR (haircut): 40.00%/35.00%/30.00%/25.00%/15.00%/7.50%; - Yield (haircut): 35.00%/30.00%/25.00%/20.00%/15.00%/10.00%; - Purchase Rate (haircut): 100.00%/100.00%/100.00%/100.00%/100.00%/100.00% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating sensitivity to increased charge-off rate: Ratings for class A, B, C, D, E and F notes (steady state: 17.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Increase steady state by 25%: 'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'BB-sf'/below 'Bsf'; - Increase steady state by 50%: 'AA-sf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'/below 'Bsf'; - Increase steady state by 75%: 'A+sf'/'A-sf'/'BB+sf'/'B+sf'/below 'Bsf' /below 'Bsf'. Rating sensitivity to reduced MPR: Ratings for class A, B, C, D, E and F notes (steady state: 11.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 15%: 'AA+sf'/'AA-sf'/'BBB+sf'/'BBB-sf'/'BB-sf'/below 'Bsf'; - Reduce steady state by 25%: 'AA-sf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'/below 'Bsf'; - Reduce steady state by 35%: 'A+sf'/'BBB+sf'/'BB+sf'/'BB-sf'/' below 'Bsf'/below 'Bsf'. Rating sensitivity to reduced purchase rate: Ratings for class A, B, C, D, E and F notes (100% base assumption): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 50%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 75%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 100%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'. Rating sensitivity to reduced gross yield: Ratings for class A, B, C, D, E and F notes (steady state: 29.50%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 15%: 'AAAsf'/'AAsf'/'A-sf'/'BBB-sf'/'BB-sf'/below 'Bsf'; - Reduce steady state by 25%: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'B+sf'/below 'Bsf'; - Reduce steady state by 35%:'AA+sf'/'AA-sf'/'BBB+sf'/'BB+sf'/'Bsf'/below 'Bsf'. Rating sensitivity to increased charge-off rate and reduced MPR: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; Ratings for class A, B, C, D, E and F notes (charge-off steady state: 17.00%; MPR steady state: 29.50%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Increase charge-off steady state by 25% and reduce MPR steady state by 15%: 'AA-sf'/'Asf'/'BBB-sf'/'BBsf'/'Bsf'/below 'Bsf'; - Increase charge-off steady state by 50% and reduce MPR steady state by 25%: 'A-sf'/'BBBsf'/'BB-sf'/'Bsf'/below 'Bsf'/below 'Bsf'; - Increase charge-off steady state by 75% and reduce MPR steady state by 35%: 'BBB-sf'/'BBsf'/'Bsf'/below 'Bsf'/below 'Bsf'/below 'Bsf'; Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating sensitivity to reduced charge-off rate: Ratings for class A, B, C, D, E and F notes (charge-off steady state: 17.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' '. - Reduce steady state by 50%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB-sf'. Some of the subordinate classes of MLCCMT, series 2025-B may be able to support higher ratings based on the output of Fitch's proprietary cashflow model. Since the credit card program is set up as a continuous funding program and requires that any new issuance does not affect the ratings of existing tranches, the CE levels are set up to maintain a constant rating level per class of issued notes and may provide more than the minimum CE necessary to retain issuance flexibility. Therefore, Fitch may decide not to assign or maintain ratings above the ratings in anticipation of future issuances. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touch LLP. The third-party due diligence described in Form 15E focused on the comparison and recomputation of certain information with respect to 100 credit card receivable accounts, selected from a credit card receivable listing with respect to 1,969,838 credit card receivable accounts. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MONROE CAPITAL X: S&P Assigns BB- (sf) Rating on Class E-R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Monroe Capital MML CLO X LLC's fixed- and 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 Monroe Capital Management Advisors LLC and is a refinancing and extension of a transaction that was not rated by S&P Global Ratings. 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 notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. 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) Subordinated notes, $100.57 million: NR NR--Not rated. (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 2016-BNK2: Fitch Cuts Rating on 2 Tranches to 'Bsf' ------------------------------------------------------------------ Fitch Ratings has downgraded six and affirmed nine classes of Morgan Stanley Capital I Trust, commercial mortgage pass-through certificates, series 2016-BNK2 (MSC 2016-BNK2). Classes C, D and X-D were assigned Negative Rating Outlooks following their downgrades. The Outlooks for classes A-S, B, and X-B remain Negative. Fitch has also affirmed 16 classes of BANK 2019-BNK16 commercial mortgage pass-through certificates, series 2019-BNK16. The Outlooks for classes A-S, B, C, D, E, X-B, and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BANK 2019-BNK16 A-2 065405AB8 LT AAAsf Affirmed AAAsf A-3 065405AD4 LT AAAsf Affirmed AAAsf A-4 065405AE2 LT AAAsf Affirmed AAAsf A-S 065405AF9 LT AAAsf Affirmed AAAsf A-SB 065405AC6 LT AAAsf Affirmed AAAsf B 065405AG7 LT AA-sf Affirmed AA-sf C 065405AH5 LT A-sf Affirmed A-sf D 065405AL6 LT BBBsf Affirmed BBBsf E 065405AN2 LT BB-sf Affirmed BB-sf F 065405AQ5 LT CCCsf Affirmed CCCsf G 065405AS1 LT CCsf Affirmed CCsf X-A 065405AJ1 LT AAAsf Affirmed AAAsf X-B 065405AK8 LT A-sf Affirmed A-sf X-D 065405AY8 LT BB-sf Affirmed BB-sf X-F 065405BA9 LT CCCsf Affirmed CCCsf X-G 065405BC5 LT CCsf Affirmed CCsf MSC 2016-BNK2 A-3 61690YBT8 LT AAAsf Affirmed AAAsf A-4 61690YBU5 LT AAAsf Affirmed AAAsf A-S 61690YBX9 LT AAAsf Affirmed AAAsf A-SB 61690YBS0 LT AAAsf Affirmed AAAsf B 61690YBY7 LT Asf Affirmed Asf C 61690YBZ4 LT BBsf Downgrade BBBsf D 61690YAC6 LT Bsf Downgrade BBsf E 61690YAL6 LT CCCsf Downgrade B-sf E-1 61690YAE2 LT CCCsf Downgrade B+sf E-2 61690YAG7 LT CCCsf Downgrade B-sf EF 61690YAU6 LT CCCsf Affirmed CCCsf F 61690YAS1 LT CCCsf Affirmed CCCsf X-A 61690YBV3 LT AAAsf Affirmed AAAsf X-B 61690YBW1 LT Asf Affirmed Asf X-D 61690YAA0 LT Bsf Downgrade BBsf KEY RATING DRIVERS Increased 'B' Loss Expectations: Deal-level 'Bsf' rating case losses have increased since Fitch's prior rating action: 9.0% for MSC 2016 -BNK2 and 6.2% for BANK 2019-BNK16 compared to 7.3% and 5.6%, respectively, at their last rating actions. The MSC 2016-BNK2 transaction includes eight loans (42.8% of the pool) that have been identified as Fitch Loans of Concern (FLOCs), including three specially serviced loans (9.3%). The BANK 2019-BNK16 transaction has four FLOCs (13.9%), including two specially serviced loans (8.2%). MSC 2016 -BNK2: The downgrades on classes C, D, E-1, E-2, E, and X-D reflect increased pool loss expectations since Fitch's prior rating action, primarily driven by the Harlem USA (11.3%), Briarwood Mall (5.0%), International Square (5.0%), and specially serviced Marriott Albany (6.3%) loans. The Negative Outlooks reflects the potential for future downgrades should performance of the FLOCs continue to decline and/or transfer to special servicing. BANK 2019-BNK16: The affirmations in BANK 2019-BNK16 reflect generally stable performance since Fitch's prior rating action. The Negative Outlooks reflect possible downgrades should performance and submarket fundamentals for the two specially serviced office loans, Regions Tower (4.7%) and US Bank Centre (3.4%), not stabilize and/or with prolonged workouts. In addition, the pool has an elevated office concentration of 33.2%. Largest Contributors to Loss: The largest contributor to overall loss expectations in MSC 2016-BNK2 is the Harlem USA (11.3%) loan, which is secured by a five-story multi-tenanted retail building located in the Harlem neighborhood of NYC and anchored by a 28,000-sf AMC Magic Johnson Cineplex. The property has been designated as a FLOC due to sustained performance declines and maturity default risk as the loan is set to mature in October 2026. As of YE 2024, occupancy was 68.4%, which is in line with prior years and significantly below issuance at 95.0%. The servicer-reported net operating income (NOI) debt service coverage ratio (DSCR) for this interest-only (IO) loan was reported to be 1.71x as of YE 2024, compared to 1.68x at YE 2023, 1.77x at YE 2022, 1.65x at YE 2021 and 1.43x at YE 2020; the property NOI remains approximately 41.2% below issuance. Fitch's 'Bsf' rating case loss of 28.4% (prior to a concentration adjustment) is based on a 9.0% cap rate, 7.5% stress to the YE 2024 NOI, and factors in an increased probability of default due to refinancing concerns. The second largest contributor to expected losses in MSC 2016-BNK2 is the Briarwood Mall (5.0%) loan, which is secured by a 369,916-sf portion of a 978,034-sf super regional mall in Ann Arbor, MI. The loan, which is sponsored in a 50/50 joint venture between Simon Property Group and General Motors Pension Trust, was designated a FLOC due to continued occupancy declines and increasing refinance risk. The servicer-reported NOI DSCR was 1.99x as of YE 2024, compared to 1.94x at YE 2023, 2.04x at YE 2022, and below pre-pandemic levels of 3.03x at YE 2019. Occupancy was a reported 72% at YE 2024, compared to 71% at YE 2023, 70% at YE 2022, 87% at YE 2019 and 95% at issuance. The remaining non-collateral anchors are Macy's, JCPenney, and Von Maur; former non-collateral anchor Sears closed in 4Q18. Media reports from 2024 indicated that the former Sears space would be redeveloped to include new retail space and a four-story apartment building with 370 units. Fitch's 'Bsf' rating case loss of 41.8% (prior to a concentration adjustment) reflects a 15.0% cap rate, a 7.5% stress to the YE 2024 NOI, and factors in an increased probability of default due to refinancing concerns. The third largest contributor to expected losses in MSC 2016 -BNK2 is the International Square (5.0%) loan, which is secured by a 1,158,732-sf, three building office property located in the Golden Triangle district of the Washington, DC CBD. The property's largest tenants are the U.S. Federal Reserve Board (Fitch rated AA+; 27.5% of NRA, 17.6% expiring March 2029 and 9.9% in May 2033), Blank Rome LLP (13.8%; July 2029) and Daniel J. Edelman, Inc. (5.2%; July 2030). The loan is considered a FLOC due to occupancy and DSCR declines. Occupancy has gradually declined since issuance, reporting at 74% as of YE 2024, 73% at YE 2023, compared with 81% at YE 2019 and 94.2% at issuance. NOI DSCR has improved to 1.48x as of YE 2024, from 1.31x at YE 2023 after declining to 0.99x at YE 2022; the NOI DSCR was 2.60x at issuance. Fitch's 'Bsf' rating case loss (prior to a concentration adjustment) of 22.5% is based on an 9.0% cap rate and a 10.0% stress to the YE 2024 NOI, and factors in an increased probability of default due to refinancing concerns. The largest contributor to overall loss expectations in BANK 2019-BNK16 is the US Bank Centre loan (3.4%), which is secured by a 255,927-sf office building located in the CBD of Cleveland, OH. The loan transferred to special servicing in June 2024 due to imminent monetary default. The property also requires capital improvements. Per the servicer commentary, the property needs major capital expenditures including a replacement of the roof which has seen increased leaks since March 2024. Major tenants include Cohen & Company, Ltd. (14.5% of NRA; leased through July 2034), Transdigm (10.1%; July 2034), and Barnes Wendling CPAs, Inc. (5.6%; September 2028). Property occupancy was 61.5% as of the June 2025 rent roll, down from 74.0% at March 2024, unchanged from YE 2023, 89.4% at YE 2022 and 89.6% at YE 2021. Occupancy declined due to former major tenant U.S. Bank (previously 11.0% of NRA) and Bricker Graydon LLP (previously 2.0% of NRA) vacating upon lease expiry in July 2024, GCA Services Group (previously 12.7% of NRA) vacated the property, the tenants lease expired in January 2024. A significant portion of the space was backfilled by Transdigm (10.1% of NRA). The Housing & Urban Development (previously 13.4% of NRA) downsized its space to 1.5% of NRA in December 2021. Near term lease rollover includes 3.7% of NRA in 2025 across two leases and 4.4% in 2026 across two leases. Per CoStar, the property lies within the Cleveland CBD office submarket. As of 1Q25, submarket asking rents averaged $21.92 psf and the submarket vacancy rate was 11.1%. Fitch's 'Bsf' rating case loss of 63.8% (prior to a concentration adjustment) is based on a stress to the most recent (November 2024) appraisal valuation, reflecting a stressed value of approximately $56 psf. The second largest contributor to overall loss expectations in BANK 2019-BNK16 is the Regions Tower loan (4.7%), which is secured by a 687,237-sf office building located in the CBD of Indianapolis, IN. The loan transferred to special servicing in August 2023 due to imminent monetary default and ahead of the loan's October 2023 scheduled maturity. According to the special servicer, a receiver has been appointed and is leasing up the asset. A foreclosure complaint is pending. Property occupancy as of the June 2024 rent roll was 71.9%, compared with 76.9% at June 2023, unchanged from YE 2022. Fitch requested for updated financials, but did not receive a response. Per CoStar, the property lies within the Indianapolis CBD office submarket. As of 1Q25, submarket asking rents averaged $23.74 psf and the submarket vacancy rate was 12.2%. Fitch's 'Bsf' rating case loss of 26.9% (prior to a concentration adjustment) is based on a stress to the most recent (July 2024) appraisal valuation, reflecting a stressed value of approximately $78 psf. The third largest contributor to overall loss expectations in BANK 2019-BNK16 is the 249 Legion Avenue (1.1%) loan, which is secured by a 24,611-sf retail convenience center located in New Haven, CT. The property is a 20-minute walk or five-minute drive from Yale University's central campus. The reported occupancy and NOI DSCR were 41% and 0.14x, respectively, as of the YE 2024. Occupancy declined due to former major tenant Rite Aid (previously 59.3% of NRA) vacating the property in May 2022; the tenant continued to pay rent through October 2023. Fitch's 'Bsf' case loss of 44.3% (prior to a concentration adjustment) is based on a 10.25% cap rate and YE 2023 NOI. Increase in Credit Enhancement (CE): As of the June 2025 distribution date, the aggregate pool balances of the MSC 2016-BNK2 and BANK 2019-BNK16 transactions have been reduced by 17.0% and 7.2%, respectively, since issuance. The MSC 2016-BNK2 transaction includes three loans (1.8% of the pool) that have fully defeased. Three loans (1.9%) are fully defeased in BANK 2019-BNK16. Interest shortfalls totaling $758,554 are impacting the non-rated classes G-2, H-1, H-2 and risk retention class RRI in the MSC 2016-BNK2 transaction, and interest shortfalls totaling $436,653 are impacting the class G, non-rated classes H, J, and risk retention class RRI in the BANK 2019-BNK16 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch does not expect downgrades to the senior 'AAAsf' rated classes due to their high CE, position in the capital structure and expected continued amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly, or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf' rated classes with Negative Outlooks in MSC 2016-BNK2 and BANK 2019-BNK16 are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories currently with Negative Outlooks class may occur if deal-level losses increase significantly from outsized losses on larger FLOCs which include Harlem USA, Briarwood Mall and International Square in the MSC 2016-BNK2 transaction, and US Bank Centre and Regions Tower in the BANK 2019-BNK16 transaction. Downgrades may occur if more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to classes with Negative Outlooks in the 'BBBsf' and 'Bsf' categories are possible with further loan performance deterioration of FLOCs, additional transfers to special servicing, and/or with greater certainty of losses on the specially serviced loans and/or FLOCs. Downgrades to the distressed rated classes would occur 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 '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. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected, but possible with better-than-expected recoveries on the specially serviced loan or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2016-C29: DBRS Confirms C Rating on Class G Certs ---------------------------------------------------------------- DBRS, Inc. downgraded credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C29 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 as follows: -- Class D to B (high) (sf) from BB (low) (sf) -- Class E to CCC (sf) from B (low) (sf) -- Class F to C (sf) from CCC (sf) -- Class X-D to BB (low) (sf) from BB (sf) -- Class X-E to CCC (sf) from B (sf) -- Class X-F to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class G at C (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) Morningstar DBRS changed the trends on Classes B and X-B to Stable from Negative. The trends on Classes C, D, and X-D are Negative. Classes E, F, G, X-E, and X-F have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrades reflect an increase in Morningstar DBRS' projected losses for the transaction and deterioration in credit enhancements for junior bonds, stemming from the five loans in special servicing, which collectively represent 9.2% of the current pool balance. With this review, Morningstar DBRS analyzed liquidation scenarios for three loans, representing 5.7% of the pool. The combined losses totaled $28.5 million, eroding the entirety of the balance on the unrated Class H, a majority of the balance on Class G, and considerably deteriorating the credit support to Classes E and F, supporting the credit rating downgrades. Morningstar DBRS has continued concerns with loans that are exhibiting elevated refinance risk. With this review, nine loans (including two in special servicing) were identified as having increased risk of maturity default given recent performance challenges, weakening submarket fundamentals, and less liquidity for certain property types. For the loans with elevated refinance risk, Morningstar DBRS applied an elevated probability of default penalty and/or a stressed loan-to-value ratio in the analysis to increase the loan-level expected losses (ELs) for this review. Should these or other loans default, or should performance for the specially serviced loans deteriorate further, Morningstar DBRS' projected losses for the pool could increase, further supporting the credit rating downgrade on Class D. As of the June 2025 remittance, interest shortfalls total $2.4 million with interest being shorted up to Class E. Although Class E is receiving shortfall paybacks as of the June 2025 remittance, Morningstar DBRS expects interest shortfalls to continue to accrue given the two recent transfers to special servicing and the pending delivery of an updated appraisal for the Princeton Pike Corporate Center loan (Prospectus ID#16, 2.3% of the pool), which is expected to come in well below the issuance figure given performance declines. These factors supported the Negative trends on Classes C and D. As of the June 2025 remittance, 60 of the original 69 loans remained in the trust, with an aggregate balance of $657.3 million, representing a collateral reduction of 18.8% since issuance. There are 23 fully defeased loans, representing 26.0% of the current pool balance. Excluding the defeased loans, the pool is most concentrated by loans backed by retail and office properties, which represent 37.4% and 15.7% of the pool balance, respectively. Outside of the loans in special servicing, Morningstar DBRS' analysis includes an additional stress for two office loans exhibiting weakened performance, which resulted in loan-level weighted-average ELs that are nearly double the pool's average EL. The largest contributor to Morningstar DBRS' liquidation losses is 696 Centre, which is secured by a 204,552-square-foot (sf) suburban office building in Farmington Hills, Michigan, approximately 20 miles outside of Detroit. The loan transferred to the special servicer in February 2024 for imminent monetary default and as of the June 2025 remittance, the loan remains delinquent. The special servicer is pursuing the appointment of a receiver while evaluating a modification request. The property's performance declined after the departure of its former two largest tenants, Google (which formerly occupied 41.4% of the net rentable area (NRA)), and Botsford General Hospital (which formerly occupied 24.9% of the NRA), in 2022, pushing the occupancy rate down to as low as 10.0% as of the March 2025 rent roll. The property was reappraised in April 2025 at $5.3 million, which represents a 77.9% decline from the issuance appraised value of $24.0 million. Morningstar DBRS analyzed this loan with a liquidation scenario based on a conservative 30% haircut to the most recent value and a consideration of servicer advances and liquidation fees, which resulted in a liquidated loss of $13.2 million and a loss severity of more than 90%. Another loan in special servicing is Princeton Pike Corporate Center, which is secured by an eight-building suburban office complex in the Trenton suburb of Lawrenceville, New Jersey. The loan is pari passu with the loan in the Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28 transaction, which is also rated by Morningstar DBRS. The loan transferred to special servicing in February 2024 for imminent monetary default and was last paid in February 2025. The consolidated collateral occupancy rate has fallen to 44.8% as of the December 2024 rent rolls, a decline from the already low September 2023 figure of 59.5%. In addition, 11 tenants, representing 11.3% of NRA, are scheduled to roll within the next 12 months, suggesting occupancy could further decline. According to Reis, office properties within the Trenton submarket reported an average vacancy rate of 15.6% as of Q4 2024, with a five-year forecast vacancy rate of 22.4% by Q4 2029. Despite the now extended vacancy, the special servicer has not reported an updated appraisal to date. Morningstar DBRS expects that the property's as-is value has deteriorated considerably given the historical performance trends, lack of leasing activity, and soft submarket fundamentals. As such, Morningstar DBRS liquidated the loan from the pool based on a 75.0% haircut to the issuance value of $199.0 million, resulting in a Morningstar DBRS value of $49.8 million ($61 per sf) and an implied loss of more than $10.0 million. The Penn Square Mall (Prospectus ID#3, 6.9% of the pool) loan was shadow-rated investment grade at issuance. With this review, Morningstar DBRS notes that the loan continues to exhibit investment-grade loan characteristics as demonstrated by the stable cash flow and occupancy rate. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2025-NQM4: DBRS Finalizes BB Rating on B1 Certs -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on Morgan Stanley Residential Mortgage Loan Trust 2025-NQM4 (MSRM 2025-NQM4 or the Trust) as follows: -- $299.1 million Class A-1 at AAA (sf) -- $259.5 million Class A-1-A at AAA (sf) -- $39.6 million Class A-1-B at AAA (sf) -- $27.2 million Class A-2 at AA (high) (sf) -- $34.5 million Class A-3 at A (sf) -- $14.3 million Class M-1 at BBB (low) (sf) -- $7.5 million Class B-1 at BB (sf) -- $8.5 million Class B-2 at B (low) (sf) Class A-1 is an exchangeable certificate while Class A-1-A and A-1-B are exchange certificates. These classes can be exchanged in combinations as specified in the offering documents. The AAA (sf) credit ratings on the Certificates reflect 24.55% of credit enhancement provided by the subordinated Certificates. The AA (high) (sf), A (sf), BBB (low) (sf), BB (sf), and B (low) credit ratings reflect 17.70%, 9.00%, 5.40%, 3.50%, and 1.35% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and non-prime first-lien residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2025-NQM4. The Certificates are backed by 925 loans with a total principal balance of approximately $396,479,761 as of the Cut-Off Date (June 1, 2025). The pool is, on average, four months seasoned with loan ages ranging from one to 35 months. The Mortgage Loan Seller acquired approximately 14.0% and 13.7% of the mortgage loans, by aggregate stated principal balance as of the Cut-Off Date, from Hometown Equity Mortgage, LLC and HomeXpress Mortgage Corp., respectively. All the other originators individually comprised less than 10.0% of the overall mortgage loans. NewRez LLC (formerly known as New Penn Financial, LLC doing business as Shellpoint; the Servicer) will service 100% of the loans. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend) will act as Custodian. Nationstar Mortgage LLC will act as Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend) will act as Trustee and Securities Administrator. As of the Cut-Off Date, 100.0% of the loans in the pool were contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 23.0% of the loans by balance are designated as non-QM. Approximately 59.0% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 17.3% of the pool are designated as QM Safe Harbor and 0.8% are designated as QM Rebuttable Presumption (by unpaid principal balance). Servicers will fund advances of delinquent principal and interest (P&I) until the loan is either more than 90 days delinquent (limited P&I advancing/stop-advance loan under the MBA method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties, and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, Morgan Stanley Mortgage Capital Holdings LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% in the form of either (i) 5% of each of the Class A-IO-S, Class A-1-A, Class A-1-B, Class A-2, Class A-3, Class M-1, Class B-1, Class B-2, Class B-3 and Class XS Certificates or (ii) the Class R-PT Certificates (in the case of an exchange) representing at least 5% of the aggregate initial Class balance (and aggregate initial Class Notional Amount in the case of the Class XS Certificates and Class A-IO-S Certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class XS Certificates may, at its option, on or after the earlier of (1) the payment date in June 2028 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), redeem the Certificates at the optional termination price described in the transaction documents. The Controlling Holder will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). In the case of a Credit Event, principal proceeds will be allocated to cover interest shortfalls on the Class A-1-A then A-1-B followed by a reduction of the Class A-1-A then A-1-B certificate balances (IIPP), before an allocation of interest then principal to the Class A-2 (IPIP) followed by a similar allocation of funds to the other classes. For the Class A-2 and Class A-3 Certificates (only after a Credit Event) and for the mezzanine and subordinate classes of Certificates (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior Certificates have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1-A, A-1-B, A-2, A-3, and M-1 (and B-1 if issued with fixed rate). Of note, the Class A-1-A, A-1-B, A-2, and A-3 Certificates' coupon rates step up by 100 basis points on and after the payment date in July 2029. P&I otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A-1-A, A-1-B, A-2, and A-3 Certificates cap carryover amounts. NATURAL DISASTERS/WILDFIRES The mortgage pool contains loans secured by mortgage properties that are within certain disaster areas (such as those affected by the Greater Los Angeles wildfires). The Sponsor of the transaction informed Morningstar DBRS that the Servicer ordered (and intends to order) property damage inspections for any property in a known disaster zone prior to the transaction's closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties (including events such as fire, windstorm, flood, earth movement, and hurricane). Notes: All figures are in U.S. dollars unless otherwise noted. NASSAU LTD 2019-II: Moody's Cuts Rating on $20MM E Notes to Caa1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Nassau 2019-II Ltd.: US$28,000,000 (Current outstanding amount US$26,000,000) Class BF Senior Secured Fixed Rate Notes due 2032, Upgraded to Aaa (sf); previously on February 21, 2025 Upgraded to Aa1 (sf) US$20,000,000 (Current outstanding amount US$22,000,000) Class BN Senior Secured Floating Rate Notes due 2032, Upgraded to Aaa (sf); previously on February 21, 2025 Upgraded to Aa1 (sf) Moody's have also downgraded the rating on the following notes: US$20,000,000 Class E Secured Deferrable Floating Rate Notes due 2032, Downgraded to Caa1 (sf); previously on February 21, 2025 Downgraded to B2 (sf) Nassau 2019-II Ltd., issued in September 2019, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2024. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions on the Class BF and Class BN are primarily a result of deleveraging of the senior notes. The senior notes have been paid down by approximately 12.3% or $29.4 million since February 2025. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee report dated June 2025 [1], the OC ratio for the Class E notes is breached and reported at 102.04% compared to the January 2025 [2] level of 102.75%. No actions were taken on the Class AN, Class AF, Class AL Loan, Class C and Class D notes because their expected losses remain commensurate with their current ratings, after considering 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: $328,830,063 Diversity Score: 69 Weighted Average Rating Factor (WARF): 2487 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.06% Weighted Average Recovery Rate (WARR): 46.76% Weighted Average Life (WAL): 4.1 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. NATIONAL COLLEGIATE 2006-1: Moody's Ups Cl. A-5 Certs Rating to B2 ------------------------------------------------------------------ Moody's Ratings has upgraded Class A-5 issued by National Collegiate Student Loan Trust (NCSLT) 2006-1, which is backed by private (i.e. not government-guaranteed) student loans. The loans are serviced primarily by the Pennsylvania Higher Education Assistance Agency (PHEAA) with US Bank National Association acting as the special servicer. The administrator for all NCSLT securitizations is Goal Structured Solutions, Inc. Issuer: National Collegiate Student Loan Trust 2006-1 Cl. A-5, Upgraded to B2 (sf); previously on Dec 12, 2024 Downgraded to B3 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade is primarily driven by the continued build-up in credit enhancement as a result of the rapid pay down of the senior notes due to the sequential pay structure. The subordination and overcollateralization supporting the notes have increased, allowing the tranche to achieve higher rating levels. The rating action also considered the significant uncertainty related to the high litigation risk faced by the transaction, despite of the recent settlement and subsequent dismissal of the CFPB lawsuit, the potential negative impact from extraordinary fees charged to the trusts, the potential deterioration in performance of underlying pools due to servicer transfer, a significant restriction on NCSLT's ongoing ability to enforce debt obligations. Moody's expected lifetime default as a percentage of original pool balance is 43.25%. The default expectation reflects updated performance trends on the underlying pools. No actions were taken on the other rated classes in the transaction because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "US Private Student Loan Securitizations" published in December 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the ratings of the bonds if net losses are lower than Moody's expectations or if levels of credit enhancement are consistent with higher ratings. Additionally, the ratings for the transaction could be upgraded if there is a positive outcome for the trusts with regard to the ongoing lawsuits. Down Moody's could downgrade the ratings of the bonds if net losses are higher than Moody's expectations or if the servicer's financial stability or quality of servicing deteriorates. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Additionally, the ratings for the transaction could be downgraded if there is a negative outcome for the trusts with regard to the ongoing lawsuits. NATIXIS COMMERCIAL 2020-2PAC: Moody's Cuts Rating on D Certs to Ba1 ------------------------------------------------------------------- Moody's Ratings has affirmed the ratings on four classes and downgraded the ratings on five classes in Natixis Commercial Mortgage Securities Trust 2020-2PAC, Commercial Mortgage Pass-Through Certificates, Series 2020-2PAC as follows: Cl. A, Affirmed Aaa (sf); previously on Feb 6, 2020 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Feb 9, 2022 Upgraded to Aa2 (sf) Cl. C, Downgraded to Baa1 (sf); previously on Feb 9, 2022 Upgraded to A2 (sf) Cl. D, Downgraded to Ba1 (sf); previously on Feb 9, 2022 Upgraded to Baa2 (sf) Cl. V-A, Affirmed Aaa (sf); previously on Feb 6, 2020 Definitive Rating Assigned Aaa (sf) Cl. V-B2D, Downgraded to Baa2 (sf); previously on Feb 9, 2022 Upgraded to A3 (sf) Cl. V-P, Downgraded to Baa1 (sf); previously on Feb 9, 2022 Upgraded to A2 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Feb 6, 2020 Definitive Rating Assigned Aaa (sf) Cl. X-B*, Downgraded to Baa2 (sf); previously on Feb 9, 2022 Upgraded to A3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on two P&I classes, Cl. A and Cl. B, were affirmed because the Moody's loan-to-value (LTV) ratio is within acceptable ranges. Furthermore, the senior classes have benefited from principal paydowns including the prior payoff of the 330 East 62nd Street loan. Cl. A has already paid down approximately 72% from its original balance. The ratings on two P&I classes, Cl. C and Cl. D, were downgraded due to an increase in the Moody's LTV ratio on the remaining loan, the Amazon Phase VII, as a result of concerns of the single tenant exposure, weaker Seattle office market fundamentals and the loan's inability to payoff at its original maturity date in January 2025. The loan is secured by a Class A office building located in the Lake Union neighborhood of Seattle, WA that is more than 98% leased to Amazon through August 2031. While property revenue and cash flow has generally increased from securitization, the Lake Union submarket of Seattle has seen a deterioration in the market vacancy rate to 17.2% in 2024 from 4.4% in 2020 and the loan was recently extended two years to 2027 after transferring to special servicing due to maturity default. The extension also included a principal paydown and based on the trust mortgage balance as of the June 2025 (inclusive of the non-pooled component) the NOI DSCR would be approximately 2.0X based on its low fixed interest rate of 4.04%. Moody's anticipates the loan will remain current on its monthly debt service payments due to its low fixed interest rate combined with the property's strong occupancy and revenue performance, however, Moody's rating action reflects the refinance risk associated with the single tenant concentration risk, higher market interest rates and weaker Seattle office market fundamentals. The rating on one exchangeable class, Cl. V-A, was affirmed based on the credit quality of the exchangeable class. The ratings on two exchangeable classes, Cl. V-B2D and Cl. V-P, were downgraded based on the credit quality of their exchangeable classes. The rating on one IO class, Cl X-A, was affirmed based on the credit quality of the referenced class. The rating on one IO class, Cl. X-B, was downgraded based on the decline in credit quality of its referenced classes. 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 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 loan performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the loan or an increase in realized and expected losses or interest shortfalls. DEAL PERFORMANCE As of the June 17, 2025 distribution date, the transaction's aggregate pooled certificate balance has decreased by 43% to $93.3 million from $163.8 million at securitization. The pooled certificates were originally secured by two loans, however, the 330 East 62nd Street loan paid off in full in September 2022 contributing to a paydown of $63.7 million. The pooled certificates Moody's rates are now secured solely by the pooled component of the Amazon Phase VII loan. The pooled component of the loan represents a senior interest in a whole loan that has an outstanding principal balance of $213,215,752 (Amazon Phase VII Whole Loan) that is evidenced by two promissory notes: a senior Note A with an outstanding principal balance of $153,215,752, representing the Amazon Phase VII trust loan and a subordinate Note B with an outstanding principal balance of $60,000,000 (Amazon Phase VII B Note). The Amazon Phase VII A Note was contributed to the trust and split into four pieces: one senior pooled component with a current balance of $93.3 million (the Amazon Phase VII Pooled Component) and three subordinate non-pooled components totaling $59,898,000. The senior pooled component has paid down $6.8 million since securitization in connection with a loan extension after failing to payoff at its original maturity date in January 2025. The Amazon Phase VII loan is secured by a 12-story, Class A office building located in Seattle, WA. The property was built-to-suit for Amazon in 2015 and consists of approximately 330,000 SF and is more than 98% leased to Amazon on a triple-net basis through August 31, 2031. The loan was originally a 5-year interest only loan with an interest rate of 4.04%. The loan was transferred to special servicing in December 2024 and after failing to payoff at its maturity date a loan extension was subsequently executed which extended the maturity date to January 2027 and required a principal paydown, and continued cash trap through the extended maturity date. The property's reported net operating income (NOI) in 2024 was $12.4 million which is up from securitization. However, the Lake Union submarket of Seattle has seen a deterioration in the market vacancy rate since 2020 and the loan is exposed to single tenant risk. According to CBRE Econometric Advisors, the Lake Union office submarket included 8.1 million SF of Class-A office spaces and had a vacancy rate of 17.5% in Q1 2025, an increase from 1.5% vacancy for Class-A office spaces in Q1 2020. Moody's analysis for the Amazon Phase VII loan incorporated a lit-dark analysis on the Amazon space. The Moody's NCF is now $10.0 million compared to $10.8 million at securitization. Moody's LTV ratio for the balance held in the trust (including the non-pooled rake bonds) is 145% based on Moody's Value, compared to 134% at securitization. The Adjusted Moody's LTV ratio for the trust balance is 138% based on Moody's Value using a cap rate adjusted for the current interest rate environment. The Moody's LTV and adjusted LTV including the non-trust B-note of $60,000,000 is 202% and 192%, respectively. Moody's stressed debt service coverage ratio (DSCR) on the current trust balance is 0.70x. The loan is current on its monthly interest payments and there are no outstanding advances and no interest shortfalls as of the current distribution date. OCEANVIEW MORTGAGE 2025-INV3: Moody's Gives B3 Rating to B-5 Certs ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 96 classes of residential mortgage-backed securities (RMBS) 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, 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-F1, Definitive Rating Assigned Aaa (sf) Cl. A-X1, Definitive Rating Assigned Aaa (sf) Cl. A-F2, Definitive Rating Assigned Aaa (sf) Cl. A-X2, Definitive Rating Assigned Aaa (sf) Cl. A-F3, Definitive Rating Assigned Aa1 (sf) Cl. A-X3, Definitive Rating Assigned Aa1 (sf) Cl. A-F4, Definitive Rating Assigned Aaa (sf) Cl. A-X4, Definitive Rating Assigned Aaa (sf) Cl. A-F5, Definitive Rating Assigned Aaa (sf) Cl. A-X5, Definitive Rating Assigned Aaa (sf) Cl. A-F6, Definitive Rating Assigned Aaa (sf) Cl. A-X6, Definitive Rating Assigned Aaa (sf) Cl. A-F7, Definitive Rating Assigned Aaa (sf) Cl. A-X7, Definitive Rating Assigned Aaa (sf) Cl. A-F8, Definitive Rating Assigned Aaa (sf) Cl. A-X8, Definitive Rating Assigned Aaa (sf) Cl. A-F9, Definitive Rating Assigned Aaa (sf) Cl. A-X9, Definitive Rating Assigned Aaa (sf) Cl. A-F, Definitive Rating Assigned Aaa (sf) Cl. A-X, Definitive Rating Assigned Aaa (sf) Cl. A-WX1, Definitive Rating Assigned Aaa (sf) Cl. A-WX2, Definitive Rating Assigned Aaa (sf) Cl. A-WX3, Definitive Rating Assigned Aa1 (sf) Cl. A-WX5, Definitive Rating Assigned Aaa (sf) Cl. A-WX6, Definitive Rating Assigned Aaa (sf) Cl. A-WX7, Definitive Rating Assigned Aaa (sf) Cl. A-WX8, Definitive Rating Assigned Aaa (sf) Cl. A-WX9, Definitive Rating Assigned Aaa (sf) Cl. A-W1, Definitive Rating Assigned Aaa (sf) Cl. A-W2, Definitive Rating Assigned Aaa (sf) Cl. A-W3, Definitive Rating Assigned Aa1 (sf) Cl. A-W4, Definitive Rating Assigned Aaa (sf) Cl. A-W5, Definitive Rating Assigned Aaa (sf) Cl. A-W6, Definitive Rating Assigned Aaa (sf) Cl. A-W7, Definitive Rating Assigned Aaa (sf) Cl. A-W8, Definitive Rating Assigned Aaa (sf) Cl. A-W9, 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-IO1*, Definitive Rating Assigned Aaa (sf) Cl. A-IO2*, Definitive Rating Assigned Aaa (sf) Cl. A-IO3*, Definitive Rating Assigned Aaa (sf) Cl. A-IO4*, Definitive Rating Assigned Aaa (sf) Cl. A-IO5*, Definitive Rating Assigned Aaa (sf) Cl. A-IO6*, Definitive Rating Assigned Aaa (sf) Cl. A-IO7*, Definitive Rating Assigned Aaa (sf) Cl. A-IO8*, Definitive Rating Assigned Aaa (sf) Cl. A-IO9*, Definitive Rating Assigned Aaa (sf) Cl. A-IO10*, Definitive Rating Assigned Aaa (sf) Cl. A-IO11*, Definitive Rating Assigned Aaa (sf) Cl. A-IO12*, Definitive Rating Assigned Aaa (sf) Cl. A-IO13*, Definitive Rating Assigned Aaa (sf) Cl. A-IO14*, Definitive Rating Assigned Aaa (sf) Cl. A-IO15*, Definitive Rating Assigned Aaa (sf) Cl. A-IO16*, Definitive Rating Assigned Aaa (sf) Cl. A-IO17*, Definitive Rating Assigned Aaa (sf) Cl. A-IO18*, Definitive Rating Assigned Aaa (sf) Cl. A-IO19*, Definitive Rating Assigned Aaa (sf) Cl. A-IO20*, Definitive Rating Assigned Aaa (sf) Cl. A-IO21*, Definitive Rating Assigned Aaa (sf) Cl. A-IO22*, Definitive Rating Assigned Aaa (sf) Cl. A-IO23*, Definitive Rating Assigned Aa1 (sf) Cl. A-IO24*, Definitive Rating Assigned Aa1 (sf) Cl. A-IO25*, Definitive Rating Assigned Aa1 (sf) Cl. A-IO26*, Definitive Rating Assigned Aa1 (sf) Cl. A-IO27*, Definitive Rating Assigned Aaa (sf) Cl. A-IO28*, Definitive Rating Assigned Aaa (sf) Cl. A-IO29*, Definitive Rating Assigned Aaa (sf) Cl. A-IO30*, Definitive Rating Assigned Aaa (sf) Cl. A-IO31*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, 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-1A Loans, assigned on June 24, 2025, because the Class A-1A Loans are 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 0.92%, in a baseline scenario-median is 0.54% and reaches 12.96% 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. OHA CREDIT 7: Fitch Assigns 'BB+sf' Rating on Class E-R2 Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the OHA Credit Funding 7, Ltd. reset transaction. Entity/Debt Rating ----------- ------ OHA Credit Funding 7, Ltd._ Reset 2025 X-R2 LT NRsf New Rating A-1-R2 LT AAAsf New Rating A-2-R2 LT AAAsf New Rating B-1-R2 LT NRsf New Rating B-2-R2 LT NRsf New Rating C-R2 LT NRsf New Rating D-1-R2 LT NRsf New Rating D-2-R2 LT BBB-sf New Rating E-R2 LT BB+sf New Rating F-R2 LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary OHA Credit Funding 7, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Oak Hill Advisors, L.P. The transaction originally closed in November 2020 and previously reset in February 2022. The CLO's secured notes will be refinanced on July 2, 2025. Net proceeds from the issuance of the secured and existing subordinated notes will provide financing on a portfolio of approximately $550 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 98.19% first-lien senior secured loans and has a weighted average recovery assumption of 75.35%. 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 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 'AAAsf' for class A-1-R2, between 'BBB+sf' and 'AAAsf' for class A-2-R2, and between less than 'B-sf' and 'BB+sf' for class D-2-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-1-R2 and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'Asf' for class D-2-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 assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for OHA Credit Funding 7, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. OHA CREDIT 7: S&P Assigns B- (sf) Rating on Class F-R2 Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class X-R2, B-1-R2, B-2-R2, C-R2, and D-1-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. At the same time, S&P withdrew its ratings on the outstanding class A-R, B-R, C-R, D-R, and E-R debt following payment in full on the July 2, 2025, refinancing date. The replacement debt was 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 was extended to July 2, 2027. -- The reinvestment period was extended to July 19, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 19, 2038. -- No additional assets were purchased on the July 2, 2025, refinancing date. There was 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 were amended. -- No additional subordinated notes were 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." 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) Ratings Withdrawn OHA Credit Funding 7 Ltd./OHA Credit Funding 7 LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R (deferrable) to NR from 'A (sf)' Class D-R (deferrable) to NR 'from BBB- (sf)' Class E-R (deferrable) to NR from 'BB- (sf)' Other Debt OHA Credit Funding 7 Ltd./OHA Credit Funding 7 LLC Subordinated notes, $43.80 million: NR NR--Not rated. OWN EQUIPMENT II: DBRS Finalizes BB(low) Rating on Class C Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Notes issued by OWN Equipment Fund II LLC. -- $203,340,000 Class A Notes at A (sf) -- $11,810,000 Class B Notes at BBB (low) (sf) -- $12,630,000 Class C Notes at BB (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: -- The issuance of the Notes represents the third asset-backed security (ABS) issuance of equipment managed by EquipmentShare.com Inc (EQS). The credit ratings address the timely payment of interest and the ultimate payment of principal by the Legal Final Maturity Date. -- The transaction capital structure, credit ratings, and form and sufficiency of available credit enhancement. (1) The Notes benefit from credit enhancement consisting of overcollateralization, subordination, and a reserve account. A cash reserve account established for the transaction and sized at four months of interest plus fees and expenses is meant to ensure that an appropriate amount of senior expense and interest can be covered during the assumed liquidation period. (2) The transaction also has the benefit of an Expense Account that was funded at closing with $617,500. The Expense Account will be used to make payments of property taxes and insurance premiums relating to the equipment when due. Amounts periodically deposited into the Expense Account will be revised on a quarterly and annual basis based on estimated property taxes and insurance premium amounts, respectively. Amounts periodically deposited into the Expense Account will be revised (1) quarterly, with respect to property taxes and (2) annually, with respect to insurance premium amounts, based on changes in estimates. -- The collateral quality and historical value volatility performance. -- Morningstar DBRS conducted an operational risk review of EQS and, as a result, considers the company to be an acceptable Equipment Manager and Servicer, with a backup servicer that is acceptable to Morningstar DBRS. Vervent Inc. serves as Backup Servicer on the transaction. -- Borrowing Base Test: The Aggregate Portfolio Value (APV) is the lower of the equipment's aggregate net orderly liquidation value (NOLV) and its aggregate net book value (NBV), calculated on a monthly basis. If the APV is less than the aggregate Note balance divided by 83.15%, then one or more cures would need to be applied to keep the borrowing base in compliance. -- Consideration of increased depreciation rate (versus historical experience) in the transaction that provides for accelerated paydown of Notes in the context of the relationship between decreasing note balances and APV. -- Consideration of the relatively young age of the equipment. Generally, younger equipment would be expected to produce somewhat higher sales proceeds, a credit positive with respect to the subject portfolio. -- Consideration of monthly dynamic adjustment provisions, specifically (1) inclusion of updated disposition expense estimates in monthly appraisals, (2) inclusion of updated expense estimates in calculation of the expense account requirement, and (3) inclusion of updated equipment values vis-à-vis book value. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. -- Specific proceeds haircuts on equipment built by non-investment-grade manufacturers were not applied since (1) the historical data used covered the industry as a whole and (2) construction equipment brands are fairly well-known and values are less driven by credit quality of the manufacturer. Notwithstanding the foregoing, a large proportion of the portfolio was built by investment-grade manufacturers. -- Morningstar DBRS materially deviated from its principal methodology when determining the credit ratings assigned to the Notes by adjusting certain cash flow assumptions to better align them with the rental equipment assets being securitized. These adjustments, and the resulting material deviation are warranted given the unique aspects of the transaction, the adequacy and analysis of historical data from reliable sources specific to the industry, similarity of the equipment rental space vis-à-vis the car rental space, and comparable transaction legal structure. -- The legal structure and its consistency with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance" methodology, the provision of legal opinions that address the treatment of the operating lease as a true lease, a true sale, the nonconsolidation of the special-purpose vehicles (SPVs) with the Co-Sponsor and Equity Sponsor, and that the Issuer has a valid first-priority security interest in the assets. Morningstar DBRS' credit ratings on the Class A Notes, Class B Notes, and Class C Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are interest on the associated note balance of each of the Class A Notes, Class B Notes, and Class C Notes, and the note balance of the Class A Notes, Class B Notes, and Class C Notes. Notes: All figures are in US dollars unless otherwise noted. OZLM FUNDING II: S&P Assigns Prelim B- (sf) Rating on F-R4 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R4, B-R4, C-1-R4, C-2-R4, D-1-R4. D-2-R4, and E-R4 debt and the proposed new class X-R4 and F-R4 debt from OZLM Funding II Ltd./OZLM Funding II LLC, a CLO managed by Sculptor CLO Advisors LLC that was originally issued in September 2012, and underwent a third refinancing in February 2024. The preliminary ratings are based on information as of July 8, 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 existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1a-FR, A-1a-R2, A-1b-R2, A-2-R3, A-2-R3F, B-R3, C-R2, and D-R2 debt and assign ratings to the replacement A-R4, B-R4, C-1-R4, C-2-R4, D-1-R4, D-2-R4, and E-R4 debt and the proposed new class X-R4 and F-R4 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 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 weighted average cost of debt of the replacement debt is expected to be lower than the existing debt. -- The existing class A-1a-FR, A-1a-R2, and A-1b-R2 debt will be combined into the class A-R4 debt. -- The existing class B-R3 will be split into two pari passu classes, C-1-R4 and C-2-R4 debt. -- The existing class C-R2 debt will be split into the class D-1-R4 and D-2-R4 debt. The class D-1-R4 debt is expected to be senior to the class D-2-R4 debt. -- New class X-R4 debt will be issued in connection with this refinancing and is expected to be paid down using interest proceeds during the first 10 payments in equal installments of $350,000, beginning with the second payment date. -- New class F-R4 debt will be issued with a fixed-rate coupon in connection with this refinancing. -- The non-call period will be extended to July 11, 2026. -- The reinvestment period will be extended to July 30, 2027. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to July 30, 2037. -- 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 notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned OZLM Funding II Ltd/ OZLM Funding II LLC Class X-R4,$3.50 million: AAA (sf) Class A-R4, $170.80 million: AAA (sf) Class B-R4, $42.00 million: AA (sf) Class C-1-R4 (deferrable), $12.30 million: A (sf) Class C-2-R4 (deferrable), $4.50 million: A (sf) Class D-1-R4 (deferrable), $11.20 million: BBB (sf) Class D-2-R4 (deferrable), $6.30 million: BBB- (sf) Class E-R4 (deferrable), $8.54 million: BB- (sf) Class F-R4 (deferrable), $0.56 million: B- (sf) Other Debt OZLM Funding II Ltd/ OZLM Funding II LLC Subordinated notes, $72.10 million: Not rated PALMER SQUARE 2021-4: Fitch Assigns 'B-sf' Rating on Cl. F-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Palmer Square CLO 2021-4, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Palmer Square CLO 2021-4, Ltd. X LT AAAsf New Rating A-1-R LT AAAsf 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 BBBsf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT B-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Palmer Square CLO 2021-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Palmer Square Capital Management LLC. The original CLO, which closed in September 2021, was not rated by Fitch. On July 2, 2025, the CLO's existing secured notes will be redeemed in full with refinancing proceeds. The secured and subordinated notes will provide financing on a portfolio of approximately $749.85 million of primarily first lien senior secured leveraged loans, excluding defaulted obligations. 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 23.55, 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 96.98% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.71% 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 'AAAsf' for class X, 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 'B+sf' for class E-R and less than 'B-sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R and 'BB+sf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Palmer Square CLO 2021-4, 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. PALMER SQUARE 2022-1: Moody's Ups Rating on $26.25MM D Notes to Ba1 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Palmer Square Loan Funding 2022-1, Ltd: US$45,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2030, Upgraded to Aaa (sf); previously on December 20, 2024 Upgraded to Aa1 (sf) US$26,250,000 Class C Senior Secured Deferrable Floating Rate Notes due 2030, Upgraded to A1 (sf); previously on December 20, 2024 Upgraded to A3 (sf) US$26,250,000 Class D Senior Secured Deferrable Floating Rate Notes due 2030, Upgraded to Ba1 (sf); previously on February 25, 2022 Assigned Ba2 (sf) Palmer Square Loan Funding 2022-1, Ltd., originally issued in February 2022, is a static cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since December 2024. The Class A-1 notes have been paid down by approximately 50.2% or $84.7 million since that time. Based on the trustee's June 2025 report[1], the OC ratios for the Class B, Class C and Class D notes are reported at 141.84%, 126.66% and 114.41%, respectively, versus November 2024 levels[2] of 130.96%, 120.54% and 111.66%, respectively. No actions was were taken on the Class A-1, Class A-2, and Class E 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: $315,283,867 Defaulted par: $1,448,709 Diversity Score: 51 Weighted Average Rating Factor (WARF): 3129 Weighted Average Spread (WAS): 3.22% Weighted Average Recovery Rate (WARR): 46.79% Weighted Average Life (WAL): 3.18 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. PARLIAMENT FUNDING IV: DBRS Confirms Provisional BB(low) on C Notes ------------------------------------------------------------------- DBRS, Inc. confirmed its following provisional credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (together, the Notes) issued by Parliament Funding IV LLC pursuant to the Indenture dated June 28, 2024, as amended from time to time and amended most recently by the Fourth Supplemental Indenture dated June 27, 2025, and pursuant to the Joinder Agreements executed on June 27, 2025, by and between Parliament Funding IV LLC, as Issuer and State Street Bank and Trust Company, as Trustee: -- Class A Notes: at (P) AAA (sf) -- Class B Notes: at (P) BBB (sf) -- Class C Notes: at (P) BB (low) (sf) The provisional credit rating on the Class A Notes addresses the timely payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate payment of principal on or before the Stated Maturity. The provisional credit ratings on the Class B Notes and Class C Notes address the ultimate payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate payment of principal on or before the Stated Maturity. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Fourth Supplemental Indenture and the Joinder Agreements, each dated June 27, 2025 (together, the Amendments), by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 19, 2024). The Amendments increased the Maximum Principal Amount of the Notes and defined that any Deferred Interest shall accrue additional interest at the applicable Interest Rate (as defined in the Indenture), among other changes. The Reinvestment Period ends on December 31, 2028. The Stated Maturity is January 15, 2037. The Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by Owl Rock Diversified Advisors LLC, an affiliate of Blue Owl Capital Inc. Morningstar DBRS considers Owl Rock Diversified Advisors LLC an acceptable collateralized loan obligation (CLO) manager. The credit ratings reflect the following primary considerations: (1) The Indenture dated June 28, 2024, as amended from time to time. (2) The integrity of the transaction's structure. (3) Morningstar DBRS' assessment of the portfolio quality and covenants. (4) Adequate credit enhancement to withstand Morningstar DBRS' projected collateral loss rates under various cash flow-stress scenarios. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Owl Rock Diversified Advisors LLC. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via a selection of an applicable row from a collateral quality test matrix (the CQM, as defined in Schedule 5 of the Supplemental Indenture). Depending on a given Diversity Score (DScore), the following metrics are selected accordingly from the applicable row of the CQM: Maximum Average Morningstar DBRS Risk Score Test and Weighted-Average Spread (WAS). Morningstar DBRS analyzed each structural configuration as a unique transaction, and all configurations (matrix points) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS modeled during its analysis are presented below: (1) Class A Asset Coverage Test: minimum 170.00%; currently 207.95% (2) Class B Asset Coverage Test: minimum 120.00%; currently 144.18% (3) Class C Asset Coverage Test: minimum 111.15%; currently 127.22% (4) Maximum Average Morningstar DBRS Risk Score Test: Subject to the CQM; maximum 29.04%; currently 23.92% (5) Minimum WAS Test: Subject to the CQM; minimum 4.75%; currently 4.82% (6) Minimum Weighted Average Coupon Test: minimum 5.00%; currently N/A (7) Minimum DScore: Subject to the CQM; minimum 15; currently 21.05 The transaction is performing according to the parameters of the Indenture. The Issuer is in compliance with all coverage and collateral quality tests as well as concentration limitations for portfolio collateral obligations per the trustee report as of May 5, 2025. There were no defaulted obligations reported to date. Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle-market loans; (2) the adequate diversification of the portfolio of collateral obligations (Diversity Score of 21.05 vs the threshold of 15) , matrix driven); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public ratings once purchased, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the Global Methodology for Rating CLOs and Corporate CDOs (November 19, 2024). The Level III Trading Scenarios Approach described in the CLO Methodology was applied, and the CLO Insight Model was utilized in Morningstar DBRS' analysis of the transaction. Model-based analysis produced satisfactory results, which, in addition to Morningstar DBRS' review of the Joinder Agreement, supported the confirmation of the provisional credit ratings on the Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Notes. Notes: All figures are in U.S. dollars unless otherwise noted. PRMI SECURITIZATION 2024-CMG1: DBRS Confirms B Rating on B2 Notes ----------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Mortgage-Backed Notes, Series 2024-CMG1 issued by PRMI Securitization Trust 2024-CMG1 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AA (sf) -- Class A-3 at A (sf) -- Class M-1 at BBB (sf) -- Class B-1 at BB (sf) -- Class B-2 at B (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update" published on March 26, 2025 (https://dbrs.morningstar.com/research/450604). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in US Dollars unless otherwise noted. PRPM 2025-RCF3: DBRS Gives Prov. BB(low) Rating on Class M2 Notes ----------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2025-RCF3 (the Notes) to be issued by PRPM 2025-RCF3, LLC (PRPM 2025-RCF3 or the Trust): -- $164.0 million Class A-1 at (P) AAA (sf) -- $36.2 million Class A-2 at (P) AA (high) (sf) -- $27.7 million Class A-3 at (P) A (high) (sf) -- $16.2 million Class M-1A at (P) BBB (high) (sf) -- $11.5 million Class M-1B at (P) BBB (low) (sf) -- $16.5 million Class M-2 at (P) BB (low) (sf) The (P) AAA (sf) credit rating on the Class A-1 Notes reflects 48.85% of credit enhancement provided by the subordinated notes. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BBB (low) (sf), and (P) BB (low) (sf) credit ratings reflect 37.55%, 28.90%, 23.85%, 20.25%, and 15.10% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of newly originated and seasoned, performing and reperforming, first-lien residential mortgages, to be funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 1150 loans with a total principal balance of $320,533,039 as of the Cut-Off Date (May 31, 2025). Morningstar DBRS calculated the portfolio to be approximately 66 months seasoned on average, though the age of the loans is quite dispersed, ranging from one month to 414 months. Approximately 39.7% of the loans had origination guideline or document deficiencies, which prevented these loans from being sold to Fannie Mae, Freddie Mac, or another purchaser, and the loans were subsequently put back to the sellers. In its analysis, Morningstar DBRS assessed such defects and applied certain penalties, consequently increasing expected losses on the mortgage pool. In the portfolio, 18.3% of the loans are modified. The modifications happened more than two years ago for 86.7% of the modified loans. Within the portfolio, 169 mortgages have non-interest-bearing deferred amounts representing 3.3% of the total unpaid principal balance (UPB). Unless specified otherwise, all statistics on the mortgage loans in the presale report are based on the current UPB, including the applicable non-interest-bearing deferred amounts. Based on issuer-provided information, certain loans in the pool (33.5%) are not subject to or are exempt from the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because of seasoning or because they are business-purpose loans. The loans subject to the ATR rules are designated as QM Safe Harbor (36%), QM Rebuttable Presumption (12.6%), and Non-Qualified Mortgage (Non-QM; 17.8%) by UPB. PRP-LB VI, LLC (the Sponsor) acquired the mortgage loans prior to the upcoming Closing Date and, through a wholly owned subsidiary, PRP Depositor 2025-RCF3, LLC (the Depositor), will contribute the loans to the Trust. As the Sponsor, PRP-LB VI, LLC or one of its majority-owned affiliates will acquire and retain a portion of the Class B Notes and the membership certificate representing the initial overcollateralization amount to satisfy the credit risk retention requirements. PRPM 2025-RCF3 is the eleventh "scratch and dent" rated securitization for the Issuer. The Sponsor has securitized many rated and unrated transactions under the PRPM shelf, most of which have been seasoned, reperforming, and nonperforming securitizations. On or before 45 days after the Closing Date, loans serviced by interim servicers, representing 58.7% of the mortgage loans, will be transferred to SN Servicing Corporation (SNSC) or Fay Servicing, bringing total loans serviced to 89.0% of the pool. Nationstar Mortgage LLC, doing business as Rushmore Servicing (Rushmore), will service the remaining 11.0% of the pool. The Servicers will not advance any delinquent principal and interest (P&I) on the mortgages; however, the Servicers are obligated to make advances in respect of prior liens, insurance, real estate taxes, and assessments as well as reasonable costs and expenses incurred while servicing and disposing of properties. The Issuer has the option to redeem the Notes in full at a price equal to the sum of (1) the remaining aggregate Note Amount; (2) any accrued and unpaid interest due on the Notes through the redemption date (including any Cap Carryover); and (3) any fees and expenses of the transaction parties, including any unreimbursed servicing advances (Redemption Price). Such Optional Redemption may be exercised on or after the payment date in July 2027 (Optional Redemption). Additionally, a failure to pay the Notes in full by the Payment Date in July 2030 will trigger a mandatory auction of the underlying certificates on the August 2030 payment date by the Asset Manager or an agent appointed by the Asset Manager. If the auction fails to elicit sufficient proceeds to make-whole the Notes, another auction will follow every four months for the first year and subsequent auctions will be carried out every six months. If the Asset Manager fails to conduct the auction, the holder of more than 50% of the Class M-2 Notes will have the right to appoint an auction agent to conduct the auction. The transaction employs a sequential-pay cash flow structure with a bullet feature to Class A-2 and more subordinate notes on the Expected Redemption Date (Payment Date in July 2029) or the occurrence of a Credit Event. Interest and principal collections are first used to pay interest and any Cap Carryover amount to the Notes sequentially and then to pay Class A-1 until its balance is reduced to zero, which may provide for timely payment of interest on certain rated Notes. Classes A-2 and below are not entitled to any payments of principal until the Expected Redemption Date or upon the occurrence of a Credit Event, except for remaining available funds representing net sale proceeds of the mortgage loans. Prior to the Expected Redemption Date or a Credit Event, any available funds remaining after Class A-1 is paid in full will be deposited into a Redemption Account. Beginning on the Payment Date in July 2029, the Class A-1 and the other offered Notes will be entitled to the initial Note Rate plus the step-up note rate of 1.00% per annum. If the Issuer does not redeem the rated Notes in full by the payment date in October 2031, or an Event of Default occurs and is continuing, a Credit Event will have occurred. Upon the occurrence of a Credit Event, accrued interest on Class A-2 and the other offered Notes will be paid as principal to Class A-1 or the succeeding senior Notes until it has been paid in full. The redirected amounts will accrue on the balances of the respective Notes and will later be paid as principal payments. CREDIT RATING RATIONALE/DESCRIPTION Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Interest Payment Amount, Cap Carryover Amount, and Note Amount. Notes: All figures are in U.S. dollars unless otherwise noted. RAD CLO 15: Fitch Assigns 'BB-sf' Rating on Class D-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the RAD CLO 15, LTD. reset transaction. Entity/Debt Rating ----------- ------ RAD CLO 15, LTD. A-1a-R LT NRsf New Rating A-1b-R LT AAAsf New Rating A-2-R LT AAsf New Rating B-R LT Asf New Rating C-1-R LT BBBsf New Rating C-2-R LT BBB-sf New Rating D-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary RAD CLO 15, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC that originally closed on December 2021. On July 8, 2025, the existing secured notes will be redeemed in full with refinancing proceeds. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.92 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 96.74% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.67% 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 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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-1b-R, between 'BB+sf' and 'A+sf' for class A-2-R, between 'Bsf' and 'BBB+sf' for class B-R, between less than 'B-sf' and 'BB+sf' for class C-1-R, and between less than 'B-sf' and 'BB+sf' for class C-2-R and between less than 'B-sf' and 'B+sf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2-R, 'AAsf' for class B-R, 'A+sf' for class C-1-R, and 'A-sf' for class C-2-R and 'BBB+sf' for class D-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for RAD CLO 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 any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. RADIAN MORTGAGE 2025-J2: DBRS Finalizes B(high) Rating on B5 Certs ------------------------------------------------------------------ DBRS, Inc. finalized the following provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2025-J2 (the Certificates) to be issued by the Radian Mortgage Capital Trust 2025-J2 (RMCT 2025-J2): -- $299.0 million Class A-1 at AAA (sf) -- $299.0 million Class A-1-X at AAA (sf) -- $299.0 million Class A-2 at AAA (sf) -- $269.3 million Class A-3 at AAA (sf) -- $269.3 million Class A-3-X at AAA (sf) -- $269.3 million Class A-4 at AAA (sf) -- $134.6 million Class A-5 at AAA (sf) -- $134.6 million Class A-5-X at AAA (sf) -- $134.6 million Class A-6 at AAA (sf) -- $161.6 million Class A-7 at AAA (sf) -- $161.6 million Class A-7-X at AAA (sf) -- $161.6 million Class A-8 at AAA (sf) -- $26.9 million Class A-9 at AAA (sf) -- $26.9 million Class A-9-X at AAA (sf) -- $26.9 million Class A-10 at AAA (sf) -- $67.3 million Class A-11 at AAA (sf) -- $67.3 million Class A-11-X at AAA (sf) -- $67.3 million Class A-12 at AAA (sf) -- $40.4 million Class A-13 at AAA (sf) -- $40.4 million Class A-13-X at AAA (sf) -- $40.4 million Class A-14 at AAA (sf) -- $202.0 million Class A-15 at AAA (sf) -- $202.0 million Class A-15-X at AAA (sf) -- $202.0 million Class A-16 at AAA (sf) -- $134.6 million Class A-17 at AAA (sf) -- $134.6 million Class A-17-X at AAA (sf) -- $134.6 million Class A-18 at AAA (sf) -- $107.7 million Class A-19 at AAA (sf) -- $107.7 million Class A-19-X at AAA (sf) -- $107.7 million Class A-20 at AAA (sf) -- $67.3 million Class A-21 at AAA (sf) -- $67.3 million Class A-21-X at AAA (sf) -- $67.3 million Class A-22 at AAA (sf) -- $29.7 million Class A-23 at AAA (sf) -- $29.7 million Class A-23-X at AAA (sf) -- $29.7 million Class A-24 at AAA (sf) -- $29.7 million Class A-24-X at AAA (sf) -- $67.3 million Class A-25 at AAA (sf) -- $67.3 million Class A-25-X at AAA (sf) -- $67.3 million Class A-26 at AAA (sf) -- $67.3 million Class A-27 at AAA (sf) -- $67.3 million Class A-27-X at AAA (sf) -- $67.3 million Class A-28 at AAA (sf) -- $67.3 million Class A-28-X at AAA (sf) -- $336.6 million Class A-29 at AAA (sf) -- $336.6 million Class A-30 at AAA (sf) -- $336.6 million Class A-31 at AAA (sf) -- $29.7 million Class A-32 at AAA (sf) -- $366.3 million Class A-33 at AAA (sf) -- $366.3 million Class A-34 at AAA (sf) -- $366.3 million Class A-34-X at AAA (sf) -- $366.3 million Class A-X at AAA (sf) -- $9.7 million Class B-1 at AA (high) (sf) -- $9.7 million Class B-1-A at AA (high) (sf) -- $9.7 million Class B-1-X at AA (high) (sf) -- $8.7 million Class B-2 at A (sf) -- $8.7 million Class B-2-A at A (sf) -- $8.7 million Class B-2-X at A (sf) -- $5.0 million Class B-3 at BBB (sf) -- $5.0 million Class B-3-A at BBB (sf) -- $5.0 million Class B-3-X at BBB (sf) -- $3.0 million Class B-4 at BB (high) (sf) -- $1.4 million Class B-5 at B (high) (sf) -- $23.4 million Class B at BBB (sf) -- $23.4 million Class B-X at BBB (sf) Classes A-1-X, A-3-X, A-5-X, A-7-X, A-9-X, A-11-X, A-13-X, A-15-X, A-17-X, A-19-X, A-21-X, A-23-X, A-24-X, A-25-X, A-27-X, A-28-X, A-34-X, A-X, B-1-X, B-2-X, B-3-X, and B-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-1-X, A-2, A-3, A-3-X, A-4, A-6, A-7, A-7-X, A-8, A-10, A-11, A-11-X, A-12, A-14, A-15, A-15-X, A-16, A-17, A-17-X, A-18, A-19, A-19-X, A-20, A-22, A-24, A-26, A-27, A-27-X, A-28, A-28-X, A-29, A-30, A-31, A-32, A-33, A-34, A-34-X, B, B-1, B-2, B-3 and B-X are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents. Classes A-5, A-9, A-13, A-21 and A-25 are super-senior certificates. These classes benefit from additional protection from the senior support certificate (Class A-23) with respect to loss allocation. The AAA (sf) credit ratings on the Certificates reflect 7.50% of credit enhancement provided by subordinated certificates. The AA (high) (sf), A (sf), BBB (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 5.05%, 2.85%, 1.60%, 0.85%, and 0.50% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2025-J2 (the Certificates). The Certificates are backed by 431 loans with a total principal balance of $396,018,236 as of the Cut-Off Date (June 1, 2025). Subsequent to the issuance of the related Presale Report, four loans were removed from the pool. The Certificates are backed by 435 mortgage loans with a total principal balance of $401,114,073 in the Presale Report. Unless specified otherwise, all the statistics regarding the mortgage loans in this report are based on the Presale Report balance. The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of 3 months. Approximately 74.6% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 25.4% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. Rocket Mortgage, LLC (Rocket Mortgage) originated 14.0% of the pool. Various other originators, each comprising less than 10%, originated the remainder of the loans. All the mortgage loans will be serviced by Shellpoint Mortgage Servicing (Shellpoint or SMS) or Nationstar Mortgage LLC d/b/a Mr. Cooper (Nationstar). Computershare Trust Company, N.A. (Computershare; rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Master Servicer and Securities Administrator. Wilmington Trust, National Association will serve as Trustee. Deutsche Bank National Trust Company (Deutsche Bank) will act as Custodian. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in US dollars unless otherwise noted. RATE MORTGAGE 2025-J2: DBRS Finalizes B(low) Rating on B5 Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings to the Mortgage-Backed Notes, Series 2024-J2 (the Notes) issued by RATE Mortgage Trust 2025-J2 (RATE 2025-J2, or the Trust) as follows: -- $292.9 million Class A-1 at AAA (sf) -- $292.9 million Class A-2 at AAA (sf) -- $292.9 million Class A-3 at AAA (sf) -- $219.6 million Class A-4 at AAA (sf) -- $219.6 million Class A-5 at AAA (sf) -- $219.6 million Class A-6 at AAA (sf) -- $175.7 million Class A-7 at AAA (sf) -- $175.7 million Class A-8 at AAA (sf) -- $175.7 million Class A-9 at AAA (sf) -- $43.9 million Class A-10 at AAA (sf) -- $43.9 million Class A-11 at AAA (sf) -- $43.9 million Class A-12 at AAA (sf) -- $117.1 million Class A-13 at AAA (sf) -- $117.1 million Class A-14 at AAA (sf) -- $117.1 million Class A-15 at AAA (sf) -- $73.2 million Class A-16 at AAA (sf) -- $73.2 million Class A-17 at AAA (sf) -- $73.2 million Class A-18 at AAA (sf) -- $37.2 million Class A-19 at AAA (sf) -- $37.2 million Class A-20 at AAA (sf) -- $37.2 million Class A-21 at AAA (sf) -- $330.1 million Class A-22 at AAA (sf) -- $330.1 million Class A-23 at AAA (sf) -- $330.1 million Class A-24 at AAA (sf) -- $330.1 million Class A-25 at AAA (sf) -- $330.1 million Class A-X-1 at AAA (sf) -- $292.9 million Class A-X-2 at AAA (sf) -- $292.9 million Class A-X-3 at AAA (sf) -- $292.9 million Class A-X-4 at AAA (sf) -- $219.6 million Class A-X-5 at AAA (sf) -- $219.6 million Class A-X-6 at AAA (sf) -- $219.6 million Class A-X-7 at AAA (sf) -- $175.7 million Class A-X-8 at AAA (sf) -- $175.7 million Class A-X-9 at AAA (sf) -- $175.7 million Class A-X-10 at AAA (sf) -- $43.9 million Class A-X-11 at AAA (sf) -- $43.9 million Class A-X-12 at AAA (sf) -- $43.9 million Class A-X-13 at AAA (sf) -- $117.1 million Class A-X-14 at AAA (sf) -- $117.1 million Class A-X-15 at AAA (sf) -- $117.1 million Class A-X-16 at AAA (sf) -- $73.2 million Class A-X-17 at AAA (sf) -- $73.2 million Class A-X-18 at AAA (sf) -- $73.2 million Class A-X-19 at AAA (sf) -- $37.2 million Class A-X-20 at AAA (sf) -- $37.2 million Class A-X-21 at AAA (sf) -- $37.2 million Class A-X-22 at AAA (sf) -- $330.1 million Class A-X-23 at AAA (sf) -- $330.1 million Class A-X-24 at AAA (sf) -- $330.1 million Class A-X-25 at AAA (sf) -- $330.1 million Class A-X-26 at AAA (sf) -- $3.6 million Class B-1 at AA (sf) -- $3.6 million Class B-1A at AA (sf) -- $3.6 million Class B-X-1 at AA (sf) -- $6.4 million Class B-2 at A (low) (sf) -- $6.4 million Class B-2A at A (low) (sf) -- $6.4 million Class B-X-2 at A (low) (sf) -- $1.7 million Class B-3 at BBB (low) (sf) -- $1.2 million Class B-4 at BB (low) (sf) -- $689.0 thousand Class B-5 at B (low) (sf) Morningstar DBRS discontinued and withdrew its credit ratings on Classes A-1L, A-2L, and A-3L Loans initially contemplated in the offering documents, as they were not issued at closing. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-26, B-X-1, and B-X-2 are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, B-X-1, and B-2 are exchangeable classes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18 are super senior tranches. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, and A-21) with respect to loss allocation. The AAA (sf) credit ratings on the Certificates reflect 4.20% of credit enhancement provided by subordinated certificates. The AA (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.15%, 1.30%, 0.80%, 0.45%, and 0.25% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to RATE Mortgage Trust 2025-J2 (RATE 2025-J2 or the Trust), a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages to be funded by the issuance of the Mortgage-Backed Notes (the Notes). The Notes are backed by 308 loans with a total principal balance of $344,543,901 as of the Cut-Off Date (June 1, 2025). Guaranteed Rate, Inc. (Guaranteed Rate or GRI), as the Sponsor, began issuing prime jumbo securitizations from its RATE shelf in early 2021 and this transaction represents the eleventh prime jumbo RATE deal. The pool consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. All of the mortgage loans were originated by Guaranteed Rate. Guaranteed Rate is also the Servicing Administrator and Sponsor of the transaction. The loans will be serviced by ServiceMac, LLC (ServiceMac). Computershare Trust Company, N.A. (Computershare Trust Company; rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Master Servicer, Loan Agent, Paying Agent, Note Registrar, and Certificate Registrar. Deutsche Bank National Trust Company will act as the Custodian. Wilmington Savings Fund Society, FSB will serve as Trustee. Similar to the prior RATE securitizations, the Servicing Administrator will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent or such P&I advances are deemed to be unrecoverable by the Servicer or the Master Servicer (Stop-Advance Loan). The Servicing Administrator will also fund advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The interest entitlements for each class in this transaction are reduced reverse sequentially by the delinquent interest that would have accrued on the Stop-Advance Loans. In other words, investors are not entitled to any interest on such severely delinquent mortgages, unless such interest amounts are recovered. The delinquent interest recovery amounts, if any, will be distributed sequentially to the P&I notes. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 to 120 days delinquent under the Mortgage Bankers Association (MBA) method at a price equal to par plus interest and unreimbursed servicing advance amounts, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. Notes: All figures are in US dollars unless otherwise noted. RIN VI LLC: Moody's Assigns (P)Ba3 Rating to $4.5MM Cl. E-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to seven classes of CLO refinancing notes to be issued and two classes of loans to be incurred by RIN VI LLC (the Issuer): US$92,500,000 Class A-1-R Floating Rate Senior Notes due 2038, Assigned (P)Aaa (sf) US$0 Class A-1-R-L Floating Rate Senior Notes due 2038, Assigned (P)Aaa (sf) US$49,500,000 Class A-1-R-L1 Loans maturing 2038, Assigned (P)Aaa (sf) US$50,000,000 Class A-1-R-L2 Loans maturing 2038, Assigned (P)Aaa (sf) US$6,000,000 Class A-2-R Floating Rate Senior Notes due 2038, Assigned (P)Aaa (sf) US$30,000,000 Class B-R Floating Rate Senior Notes due 2038, Assigned (P)Aa3 (sf) US$18,000,000 Class C-R Deferrable Floating Rate Mezzanine Notes due 2038, Assigned (P)A3 (sf) US$18,000,000 Class D-R Deferrable Floating Rate Mezzanine Notes due 2038, Assigned (P)Baa3 (sf) US$4,500,000 Class E-R Deferrable Floating Rate Mezzanine Notes due 2038, Assigned (P)Ba3 (sf) The notes and loans listed are referred to herein, collectively, as the Rated Debt. The outstanding principal amount of the Class A-1-R-L Notes is US$0 as of First Refinancing Date. A Class A-1-R-L1 Lender may elect to convert all or a portion of its Class A-1-R-L1 Loans into Class A-1-R-L Notes by the exercise of a Conversion Option, in which case the aggregate outstanding principal amount of the Class A-1-R-L Notes shall be increased by the amount of Class A-1-R-L1 Loans so converted. Class A-1-R-L2 Loans may not be converted into Class A-1-R-L Notes or any other Class of Notes at any time. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the project finance collateralized loan obligations' (PF CLO) portfolio and structure. The Issuer is a managed cash flow PF CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured project finance and corporate infrastructure loans. At least 50.0% of the portfolio must consist of project finance infrastructure loans and eligible investments. The PF CLO permits up to 35% of the portfolio to be in project finance loans in the electricity (gas) contracted and merchant subsectors. At least 96.0% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 4.0% of the portfolio may consist of permitted debt securities (senior secured bond, senior secured note, second priority senior secured note and high-yield bond) and second lien loans. Moody's expects the portfolio to be approximately 75% ramped as of the closing date. RREEF America L.L.C., a subsidiary of DWS Group GmbH & Co. KGaA (the Portfolio Advisor) 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, reinvestment in assets is not permitted after the reinvestment period. In addition to the issuance of the Refinancing Debt, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement and 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 applying the Monte Carlo simulation framework in Moody's CDOROM™, as described in the "Project Finance and Infrastructure Asset CLOs" rating methodology published in July 2024 and using a cash flow model which estimates expected loss on a CLO's tranche, as described in 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: $300,000,000 Weighted Average Rating Factor (WARF) of Project Finance Loans: 1806 Weighted Average Rating Factor (WARF) of Corporate Infrastructure Loans: 2599 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR) of Project Finance Loans: 65.7% Weighted Average Recovery Rate (WARR) of Corporate Infrastructure Loans: 58.8% Weighted Average Life (WAL): 8.0 years Permitted Debt Securities and Second Lien Loans: 4.0% Total Obligors: 50 Largest Obligor: 3.50% Largest 5 Obligors: 17.50% B2 Default Probability Rating Obligations: 17.00% B3 Default Probability Rating Obligations: 10.00% Project Finance Infrastructure Obligors: 50.00% Corporate Power Infrastructure Obligors: 14.75% Power Infrastructure Obligors: 44.75% Methodology Underlying the Rating Action: The methodologies used in these ratings were "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Refinancing Debt is subject to uncertainty. The performance of the Refinancing Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Debt. ROCKFORD TOWER 2018-2: Moody's Cuts $27.5MM E Notes Rating to B1 ---------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Rockford Tower CLO 2018-2, Ltd.: US$55M Class B Senior Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on Aug 16, 2023 Upgraded to Aa1 (sf) US$25M Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Aug 16, 2023 Upgraded to A1 (sf) US$27.5M Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Sep 13, 2018 Assigned Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$320M (Current outstanding amount US$148,800,000) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 13, 2018 Assigned Aaa (sf) US$32.5M Class D Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Sep 13, 2018 Assigned Baa3 (sf) Rockford Tower CLO 2018-2, Ltd., issued in September 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Rockford Tower Capital Management, L.L.C. The transaction's reinvestment period ended in October 2023. RATINGS RATIONALE The upgrades on the ratings on the Class B and C notes are primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the payment date in July 2024; the downgrade to the rating on the Class E notes is due to the deterioration in the credit quality of the underlying collateral and the deterioration in the Class E over-collateralisation ratio since the payment date in July 2024. The affirmations on the ratings on the Class A and D notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately USD78.1 million (24.4%) in the last 12 months and USD171.2 million (53.5%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for the senior and mezzanine rated notes. According to the trustee report dated June 2025[1], the Class A/B, Class C and Class D OC ratios are reported at 148.54%, 132.31% and 115.86% compared to July 2024[2] levels of 133.09%, 123.52% and 112.96%, respectively. However, the OC ratio of the junior rated notes has deteriorated over the same time period, and is reported at 104.82% as of June 2025[1] compared to 105.33% in July 2024[2]. The credit quality has also deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF). According to the trustee report dated June 2025[1], the WARF was 3496, compared with 3243 a year ago. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD306.7m Defaulted Securities: USD6.8m Diversity Score: 58 Weighted Average Rating Factor (WARF): 3220 Weighted Average Life (WAL): 3.44 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.09% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.68% Par haircut in OC tests and interest diversion test: 1.75% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability Moody's are analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. SARANAC CLO VI: Moody's Lowers Rating on $17MM Class E Notes to B2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Saranac CLO VI Limited: US$37,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Upgraded to Aaa (sf); previously on July 06, 2023 Upgraded to Aa1 (sf) US$14,000,000 Class C-1R Secured Deferrable Floating Rate Notes due 2031 ("the Class C-1R Notes"), Upgraded to Aa3 (sf); previously on September 13, 2021 Assigned A3 (sf) US$7,000,000 Class C-FR Secured Deferrable Fixed Rate Notes due 2031 ("the Class C-FR Notes"), Upgraded to Aa3 (sf); previously on September 13, 2021 Assigned A3 (sf) Moody's have also downgraded the rating on the following notes: US$17,000,000 Class E Secured Deferrable Floating Rate Notes due 2031(the "Class E Notes"), Downgraded to B2 (sf); previously on September 13, 2021 Upgraded to B1 (sf) Saranac CLO VI Limited, originally issued in August 2018 and partially refinanced 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 ended in August 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since June 2024. The Class A-1R notes have been paid down by approximately 63.1% or $115.8 million since then. Based on the trustee's June 2025[1] report, the OC ratios for the Class B and Class C notes are reported at 141.68% and 122.29%, respectively, versus June 2024[2] levels of 127.62% and 117.23%, respectively. Moody's notes that the June 2025[3] trustee-reported OC ratios do not reflect the June 2025 payment distribution, when $10.4 million of principal proceeds were used to pay down the Class A-1R Notes. 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[4] report, the OC ratio for the Class E notes is reported at 98.53% versus June 2024[5] level of 102.54%. Furthermore, the trustee-reported[6] weighted average rating factor (WARF) has been deteriorating and the current level is 3593, compared to 3346 in June 2024[7]. No actions were taken on the Class A-1R, Class A-2FR 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: $187,254,497 Defaulted par: $2,877,906 Diversity Score: 52 Weighted Average Rating Factor (WARF): 3608 Weighted Average Spread (WAS): 3.37% Weighted Average Recovery Rate (WARR): 47.03% Weighted Average Life (WAL): 3.0 years Par haircut in OC tests and interest diversion test: 5.5% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. SEQUOIA MORTGAGE 2025-7: Fitch Assigns B(EXP) Rating on B-5 Certs ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by Sequoia Mortgage Trust 2025-7 (SEMT 2025-7). Entity/Debt Rating ----------- ------ SEMT 2025-7 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-21 LT AAA(EXP)sf Expected Rating A-22 LT AAA(EXP)sf Expected Rating A-23 LT AAA(EXP)sf Expected Rating A-24 LT AAA(EXP)sf Expected Rating A-25 LT AAA(EXP)sf Expected Rating A-IO1 LT AAA(EXP)sf Expected Rating A-IO2 LT AAA(EXP)sf Expected Rating A-IO3 LT AAA(EXP)sf Expected Rating A-IO4 LT AAA(EXP)sf Expected Rating A-IO5 LT AAA(EXP)sf Expected Rating A-IO6 LT AAA(EXP)sf Expected Rating A-IO7 LT AAA(EXP)sf Expected Rating A-IO8 LT AAA(EXP)sf Expected Rating A-IO9 LT AAA(EXP)sf Expected Rating A-IO10 LT AAA(EXP)sf Expected Rating A-IO11 LT AAA(EXP)sf Expected Rating A-IO12 LT AAA(EXP)sf Expected Rating A-IO13 LT AAA(EXP)sf Expected Rating A-IO14 LT AAA(EXP)sf Expected Rating A-IO15 LT AAA(EXP)sf Expected Rating A-IO16 LT AAA(EXP)sf Expected Rating A-IO17 LT AAA(EXP)sf Expected Rating A-IO18 LT AAA(EXP)sf Expected Rating A-IO19 LT AAA(EXP)sf Expected Rating A-IO20 LT AAA(EXP)sf Expected Rating A-IO21 LT AAA(EXP)sf Expected Rating A-IO22 LT AAA(EXP)sf Expected Rating A-IO23 LT AAA(EXP)sf Expected Rating A-IO24 LT AAA(EXP)sf Expected Rating A-IO25 LT AAA(EXP)sf Expected Rating A-IO26 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1A LT AA-(EXP)sf Expected Rating B-1X LT AA-(EXP)sf Expected Rating B-2 LT A(EXP)sf Expected Rating B-2A LT A(EXP)sf Expected Rating B-2X LT A(EXP)sf Expected Rating B-3 LT BBB(EXP)sf Expected Rating B-4 LT BB(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 331 loans with a total balance of approximately $403.2 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 331 loans totaling approximately $403.2 million and seasoned at about three months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted average (WA) Fitch model FICO score of 779 and a 37.5% debt-to-income ratio (DTI). The borrowers also have moderate leverage, with a 78.1% sustainable loan-to-value (sLTV) and a 69.7% mark-to-market combined LTV (cLTV). Overall, 93.3% of the pool loans are for a primary residence, while 6.7% are loans for second homes; 58.3% of the loans were originated through a retail channel. Additionally, 99.6% of the loans are designated as safe-harbor APOR qualified mortgage (QM) loans as determined by Fitch. Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.3% above a long-term sustainable level compared to 11.0% nationally as of 4Q24 and down 0.1% since the prior quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades, driven by high interest rates and elevated home prices. Home prices increased 2.7% YoY nationally as of April 2025, despite modest regional declines, but are still being supported by limited inventory. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period if losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. After the credit support depletion date, principal will be distributed sequentially: first to the super-senior classes (A-9, A-12 and A-18), concurrently on a pro-rata basis, and then to the senior-support A-21 certificate. In SEMT 2025-7, the servicing administrator (RRAC) will be obligated to advance delinquent P&I to the trust for all loans serviced by Select Portfolio Servicing (SPS) until deemed nonrecoverable, following initial reductions in the class A-IO-S strip and servicing administrator fees. Cornerstone Home Lending (Cornerstone) will advance delinquent P&I for loans they have retained for servicing. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates. Absent the full advancing, bonds can be vulnerable to missed payments during periods of adverse performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area (MSA) level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 41.7% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Four loans were graded 'C' and 'D' for compliance-related exceptions primarily due to zero tolerance fees, right of recession disclosures and ability-to-repay issues. For loans with ATR-related issues, Fitch treated the loans as non-QM and used the higher TPR-calculated DTI in its analysis. In addition, Fitch did not give any diligence credit for any of the "C" and "D" graded loans along with loans with a "limited review". Fitch considered this information in its analysis and, as a result, made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 24-bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2025-7 has an ESG Relevance Score of '4[+]' for Transaction Parties & Operational Risk due to strong counterparties and well-controlled operational considerations, which have a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SG COMMERCIAL 2016-C5: Fitch Lowers Rating on Cl. D Certs to 'B-sf' ------------------------------------------------------------------- Fitch Ratings has downgraded eight and affirmed five classes of SG Commercial Mortgage Securities Trust, commercial mortgage pass-through certificates, series 2016-C5 (SGCMS 2016-C5). Negative Rating Outlooks were assigned to classes B, C, D, and X-B following their downgrades. Entity/Debt Rating Prior ----------- ------ ----- SGCMS 2016-C5 A-3 78419CAC8 LT AAAsf Affirmed AAAsf A-4 78419CAD6 LT AAAsf Affirmed AAAsf A-M 78419CAF1 LT AAAsf Affirmed AAAsf A-SB 78419CAE4 LT AAAsf Affirmed AAAsf B 78419CAK0 LT A-sf Downgrade AA-sf C 78419CAL8 LT BBB-sf Downgrade A-sf D 78419CAV6 LT B-sf Downgrade BB-sf E 78419CAX2 LT CCsf Downgrade CCCsf F 78419CAZ7 LT Csf Downgrade CCsf X-A 78419CAG9 LT AAAsf Affirmed AAAsf X-B 78419CAH7 LT A-sf Downgrade AA-sf X-E 78419CAP9 LT CCsf Downgrade CCCsf X-F 78419CAR5 LT Csf Downgrade CCsf KEY RATING DRIVERS Increased 'B' Loss Expectations: The deal-level 'Bsf' rating case loss has increased to 12.4% from 8.9% at Fitch's prior rating action. Fitch identified 15 loans (45.3% of the pool) as Fitch Loans of Concern (FLOCs), with five (14.6%) loans in special servicing. The downgrades reflect higher pool loss expectations since Fitch's prior rating action, primarily driven by continued performance deterioration of the office FLOCs, including 85 Bluxome (7.0% of the pool), East Lake Tower Corporate Center (3.7%), TEK Park (3.7%), and Lakepoint Office Park (2.4%) along with elevated loss expectations on regional mall loans, which include The Mall at Rockingham Park (7.4%) and Peachtree Mall (3.3%). The downgrades also consider the upcoming maturity concentration: due to concentration of upcoming loan maturities, 22% of which mature in 2025 and 78% in 2026, and concerns surrounding refinancing, Fitch performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status and collateral quality, and then ranked them by their perceived likelihood of repayment and/or loss expectation. The Negative Outlooks on classes A-M through D reflect the reliance on FLOCs to repay these classes, including the continued elevated risks due to the high concentration of office and retail loans (36.7% and 26.8% of the pool, respectively), including five of the top 10 loans (several with declining performance). Downgrades are possible if the performance of the aforementioned FLOCs does not stabilize and/or workouts for the specially serviced loans are prolonged, leading to higher-than-expected losses. Additionally, Class D also on Negative Outlook is vulnerable to downgrade into the distressed rating categories due to elevated pool loss expectations and the potential for further performance deterioration. Largest Contributors to Loss Expectations: The largest contributor to loss and the second largest increase in loss expectations since the prior rating action is the Mall at Rockingham Park loan (7.4%), secured by a 540,867-sf portion of a one million-sf regional mall located in Salem, NH. The largest tenant, Lord and Taylor (29.3% of the NRA) vacated in December 2020 after filing for Chapter 11 bankruptcy, causing occupancy to decline to 57.5% as of March 2025 from 90% at YE 2020. The loan has maintained an NOI DSCR of 1.69x as of YTD September 2024 which is lower than 2.11x as of YE 2019 and 2.31x from issuance. Fitch's 'Bsf' ratings case loss of 32.3% (prior to concentration adjustments) reflects a 15% cap rate and a 15% stress to the annualized September 2024 NOI and factors an increased probability of default to account for near-term rollover, high availability, low occupancy, and the loan's upcoming maturity in June 2026. The largest increase in loss expectations since the prior rating action and the second largest contributor to losses is the 85 Bluxome loan (7.0%), secured by a 56,845-sf LEED Gold urban office property located in San Francisco, CA. The property is fully leased to Collective Health Inc. through June 2026, aligning with the loan's maturity date, and the tenant does not have any termination options. Collective Health is currently subleasing the space to Aurora Innovation Opco. Although reported occupancy was 100% as of YE 2024 and the NOI DSCR was 2.53x as of YTD September 2024, the entire space is currently listed as available on CoStar. To account for the expected decline in cash flow and occupancy due to the space availability and challenged market conditions, Fitch's loss expectations of 22.3% (prior to concentration adjustments) reflects a 10% cap rate, 15% stress to the YTD September 2024 NOI and factors an increased probability of default given the loan's upcoming maturity in June 2026. The third largest contributor to loss expectations since the prior review is the East Lake Tower Corporate Center (3.7% of the pool) loan, which is secured by a 180,995-sf medical office located in Glendale, WI. According to the servicer, the largest tenant, Columbia St. Mary's (73.4% of the NRA), which was incorporated under the Ascension Healthcare Group through a merger in 2016, began the process of vacating the space at that time. The tenant continued to pay its contractually obligated rent through lease expiration in June 2024, however, the tenant refused to allow property management to backfill the dark space with new tenants. With the departure of the largest tenant, occupancy has declined to 26% as of September 2024 with a NOI DSCR of 0.68x during the same period. The loan transferred to special servicing in September 2024 for payment default. The borrower has not signed a pre-negotiation letter. A receivership was appointed in June 2025. The loan matures in November 2025. Fitch's loss expectations of 35.9% (prior to concentration adjustments) reflects a 10% cap rate, 25% stress to the YE 2023 NOI and factors an increased probability of default to account for the deteriorating performance and the loan's default and specially serviced status. The fourth largest increase to loss expectations since the prior rating action and the fourth largest contributor to loss is the South Pointe Apartments loan (4.1%), which is secured by a 372-unit apartment complex located in Dallas, TX. Occupancy at the property has declined to 44.6% as of March 2025 from 80% at YE 2023. Additionally, cash flow has declined due to an increase in expenses. Compared to issuance, the YE 2024 OSAR reflected a 122% increase in real estate taxes, a 262% rise in property insurance, and an 80% increase in utilities. Consequently, the NOI DSCR has decreased to 0.33x at YE 2024, down from 1.20x at YE 2023, and 1.37x at issuance. The loan transferred to special servicing in May 2025 due to imminent monetary default. Fitch's 'Bsf' ratings case loss of 29.1% (prior to concentration add-ons) reflects a 9.0% cap rate and a 15% stress to the YE 2023 NOI and factors an increased probability of default because of the loan's recent transfer to special servicing. The loan matures in December 2025. Changes to Credit Enhancement: As of the June 2025 remittance report, the pool's aggregate balance has been reduced by 26.4% to $542.5 million from $736.8 million. There are five loans (15.8% of the pool) that are fully defeased. Loan maturities are concentrated in 2026 (29 loans for 77.9% of the NRA), with additional maturities in 2025 (nine loans for 22.1% of the NRA). Six loans (28.4% of the pool) within the pool are full-term interest-only and 32 loans (71.6% of the pool) are currently amortizing. There is $11.5 million of realized losses and $1.7 million of interest shortfalls impacting the non-rated class G. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class credit enhancement (CE), or if interest shortfalls occur. Downgrades to classes rated in the 'Asf' category, which have Negative Outlooks, could occur with an increase in pool-level losses from further performance deterioration of FLOCs defaulting at or before maturity, including The Mall at Rockingham Park, 85 Bluxome, East Lake Tower Corporate Center, TEK Park, South Pointe Apartments, Lakepoint Office Park, Peachtree Mall, 3 Executive Campus, Regent Portfolio, and Shilo Inn Newport, deteriorate further or more loans than expected default at or prior to maturity. Downgrades for the 'BBBsf', and 'Bsf' categories are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned office loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed classes are possible should additionally loans transfer to special servicing and as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the '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 aforementioned FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely but may be possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs, particularly loans with refinance concerns. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SIERRA TIMESHARE 2025-2: Fitch Assigns BB(EXP)sf Rating on D Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to notes issued by Sierra Timeshare 2025-2 Receivables Funding LLC (Sierra 2025-2). The notes are backed by a pool of fixed-rate timeshare loans originated by Wyndham Vacation Resorts, Inc. (WVRI) and the Wyndham Resort Development Corporation (WRDC). Both entities are indirect, wholly owned operating subsidiaries of Travel + Leisure Co. (T+L; formerly Wyndham Destinations, Inc.). This is T+L's 52nd public Sierra transaction. Entity/Debt Rating ----------- ------ Sierra Timeshare 2025-2 Receivables Funding LLC A LT AAA(EXP)sf Expected Rating B LT A(EXP)sf Expected Rating C LT BBB(EXP)sf Expected Rating D LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Borrower Risk — Consistent Credit Quality: Approximately 70.17% of Sierra 2025-2 consists of WVRI-originated loans. The remainder of the pool comprises WRDC loans. Fitch has determined that, on a like-for-like FICO basis, WRDC's receivables perform better than WVRI's. The weighted average (WA) original FICO score of the pool is 742, which is marginally higher than the prior transaction. The collateral pool has nine months of seasoning and comprises 58.12% of upgraded loans. Forward-Looking Approach on Rating Case CGD Proxy — Shifting CGDs: Like other timeshare originators, T+L's delinquency and default performance exhibited notable increases in the 2007-2008 vintages before stabilizing in 2009 and thereafter. However, the 2017 through 2023 vintages show increasing gross defaults, tracking outside of peak levels experienced in 2008. This is partially driven by an increased usage of paid product exits (PPEs). The 2022-2024 transactions are generally demonstrating weakening default trends relative to improved performance in 2020-2021 transactions, though trending around the worst-performing 2019 transactions. Fitch's rating case cumulative gross default (CGD) proxy for the pool is 21.50%, consistent with 21.50% for 2025-1. Given the current economic environment, default vintages reflecting more recent vintage performance were used, specifically of the 2015-2019 vintages. Structural Analysis — Shifting CE: The initial hard credit enhancement (CE) for class A, B, C and D notes is 55.80%, 33.90%, 14.60% and 4.50%, respectively. CE is higher for class A, lower for classes B and C and the same for class D, relative to 2025-1, mainly due to differences in subordination compared with the prior transaction. Hard CE comprises OC, a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 8.71% per annum. Default coverage for all notes can support CGD multiples of 3.00x, 2.25x, 1.50x and 1.25x for 'AAAsf', 'Asf', 'BBBsf' and 'BBsf', respectively. Originator/Seller/Servicer Operational Review — Quality of Origination/Servicing: Fitch considers T+L to have demonstrated sufficient capabilities as an originator and servicer of timeshare loans. This is shown by the historical delinquency and loss performance of securitized trusts and the managed portfolio. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels that are higher than the rating case and would likely result in declines of CE and remaining default coverage levels available to the notes. Unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the rating case CGD 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 default coverage provided by the CE structure. The CGD and prepayment sensitivities include 1.5x and 2.0x increases to the prepayment assumptions, representing moderate and severe stresses, respectively. 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 increasing CE levels and consideration for potential upgrades. If the CGD is 20% less than the projected rating case CGD proxy, the expected ratings would be maintained for class A notes at a stronger rating multiple. For class B, C and D notes the multiples would increase, resulting in potential upgrades of up to one rating categories for the subordinate classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to 155 sample loans. Fitch considered this information in its analysis and it did not have an effect on its analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SIERRA TIMESHARE 2025-2: S&P Assigns Prelim 'BB-' Rating on D Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Sierra Timeshare 2025-2 Receivables Funding LLC's timeshare loan-backed notes. The note issuance is an ABS securitization backed by vacation ownership interest (timeshare) loans. The preliminary ratings are based on information as of July 9, 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 credit enhancement available in the form of subordination, overcollateralization, a reserve account, and available excess spread. -- The transaction's ability, on average, to withstand breakeven default levels of 70.9%, 54.2%, 39.9%, and 32.2% for the class A, B, C, and D notes, respectively, based on our various stressed cash flow scenarios. These levels are higher than the 3.18x, 2.28x, 1.77x, and 1.33x multiples of our expected cumulative gross defaults (ECGD) of 21.5% for the class A, B, C, and D notes, respectively. -- The transaction's ability to make interest and principal payments according to the terms of the transaction documents on or before the legal final maturity date under our rating stresses, and performance under the credit stability and sensitivity scenarios at their respective rating levels. -- The collateral characteristics of the series' timeshare loans, our view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the timeshare sector. -- The series' bank accounts at U.S. Bank Trust Co. N.A. and the reserve account amount to be represented by a letter of credit to be provided by The Bank of Nova Scotia, which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Wyndham Consumer Finance Inc. (WCF) as servicer, and its views of the company's servicing ability and experience in the timeshare market. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance (ESG) credit factors. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Sierra Timeshare 2025-2 Receivables Funding LLC Class A, $142.959 million: AAA (sf) Class B, $67.041 million: A (sf) Class C, $59.082 million: BBB (sf) Class D, $30.918 million: BB- (sf) SIXTH STREET XX: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Sixth Street CLO XX, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Sixth Street CLO XX, Ltd. A-1 83012QAA2 LT PIFsf Paid In Full AAAsf A-1-R-L LT NRsf New Rating A-1-R-N LT NRsf New Rating A-2 83012QAJ3 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B-R LT AA+sf 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 F-R LT NRsf New Rating X-R LT NRsf New Rating Transaction Summary Sixth Street CLO XX, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sixth Street CLO XX Management, LLC. The CLO's secured notes will be refinanced on July 8, 2025, using net proceeds from the issuance of the secured and subordinated notes 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 96.38% first-lien senior secured loans and has a weighted average recovery assumption of 74.96%. 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 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-R, between 'BB+sf' and 'AA-sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. ESG Considerations Fitch does not provide ESG relevance scores for Sixth Street CLO XX, 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. SPEIRS ABS 2025-1: Fitch Assigns 'B-sf' Final Rating on Cl. F Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to Speirs ABS Trust 2025-1's pass-through floating-rate notes. The notes are backed by a pool of first-ranking New Zealand automotive and equipment loans and operating leases originated by L & F Limited, a subsidiary of Speirs Finance Group Limited. The notes were issued by NZGT (EL&F) Trustee Limited in its capacity as trustee of Speirs ABS Trust 2025-1. The final ratings of class B, D and E notes are one notch higher than their respective expected ratings due to lower note margins. Entity/Debt Rating Prior ----------- ------ ----- Speirs ABS Trust 2025-1 A NZSPFA1001R3 LT AAAsf New Rating AAA(EXP)sf B NZSPFA1002R1 LT AA+sf New Rating AA(EXP)sf C NZSPFA1003R9 LT Asf New Rating A(EXP)sf D NZSPFA1004R7 LT BBB+sf New Rating BBB(EXP)sf E NZSPFA1005R4 LT BB+sf New Rating BB(EXP)sf F NZSPFA1006R2 LT B-sf New Rating B-(EXP)sf G LT NRsf New Rating NR(EXP)sf Transaction Summary The total collateral pool totalled NZD200 million. The pool consists of 2,824 receivables with an average obligor exposure of NZD153,983 at the cut-off date. KEY RATING DRIVERS Structure Supports SME Borrower Credit Risk: Fitch performed historical data analysis to derive a one-year default probability assumption for the broker, direct and Yoogo Fleet origination channels, based on the annual average historical default rates associated with the underlying portfolio. Fitch added the default probability assumption to its proprietary Portfolio Credit Model, which also considers other key variables, such as borrower concentration and industry distribution. The weighted-average (WA) annual default assumption for the SME portfolio is 1.4%. The rated notes can withstand all of Fitch's relevant stresses under its cash flow analysis. Portfolio performance is supported by New Zealand's economic recovery, despite GDP falling by 1.1% in the year to March 2025 and a softening labour market, with unemployment at 5.1% at end-March 2025. Fitch forecasts GDP growth of 1.5% in 2025 and 2.5% in 2026, with unemployment at 5.2% and 5.1%, respectively. This reflects its expectation that monetary easing will support economic activity. Recovery Rates Analysis: Fitch analysed Speirs' historical asset recovery rates and assigned base-case recovery assumptions of 65% for the broker and direct origination channels and 85% for Yoogo Fleet. A 'AAAsf' haircut of 50% was applied to the Yoogo Fleet channel, while 60% was applied to the broker and direct channels. Residual Value Risk: Residual value makes up 11.5% of the portfolio. Fitch used the historical performance of sales proceeds versus the initial residual value to assign a base-case residual value assumption of 100%. Fitch applied a 'AAAsf' residual value haircut of 35% to reflect the size of New Zealand's used-car market, potential changes in technology and the distribution of scheduled maturities. Granular Portfolio: The securitised portfolio is granular. The largest obligor accounts for no more than 0.53% of the portfolio balance and the 10-largest obligors account for 5.1%. The portfolio is also diversified across geography and industry. All receivables are amortising. The transaction will initially pay principal sequentially and convert to pro rata paydown, subject to the pro rata paydown conditions being met. This includes a trigger to switch payments back to sequential at the earlier of 20% of the initial note balance or June 2029, mitigating tail risk. Structural Risk Addressed: Counterparty risk is mitigated by documented structural mechanisms that ensure remedial action takes place should the ratings of the liquidity facility provider, swap providers or transaction account bank fall below a certain level. Rated Above Sovereign's Local-Currency IDR: New Zealand's 'AA+' Issuer Default Rating is less than six notches lower than the rating of the most senior note. The rated notes are sufficiently strong to withstand the stresses resulting from a sovereign default and demonstrate lower default risk than that of the sovereign country. This mitigates country risk. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Transaction performance may be affected by changes in market conditions and the economic environment. Weakening asset performance is strongly correlated with increasing levels of delinquencies and defaults that could reduce credit enhancement available to the notes. Unanticipated increases in the frequency of defaults, loss severity on defaulted receivables and reduction in sale proceeds could produce loss levels higher than Fitch's base case and are likely to result in a decline in credit enhancement and remaining loss-coverage levels available to the notes. Decreased credit enhancement may make certain note ratings susceptible to negative rating action, depending on the extent of the coverage decline. Hence, Fitch conducts sensitivity analysis by stressing a transaction's initial base-case assumptions. The rating sensitivity section provides insight into the model-implied sensitivities the transaction faces when assumptions - defaults or recoveries - are modified, while holding others equal. The modelling process uses the modification of default and loss assumptions to reflect asset performance in up and down environments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. Downgrade Sensitivity: Notes: A / B / C / D / E / F Rating: AAAsf/AA+sf/Asf/BBB+sf/BB+sf/B-sf Increase mean defaults by 25%: AA+sf / AAsf / Asf / BBBsf / BBsf / Bsf Increase mean defaults by 50%: AA+sf / AA-sf / A-sf / BBB-sf / BB-sf / B-sf Reduce recoveries by 25%: AA+sf / AA-sf / A-sf / BBB-sf / BB-sf / Bsf Reduce recoveries by 50%: AAsf / A+sf / BBB+sf / BBB-sf / BB-sf / B-sf Increase mean defaults by 25% and reduce recoveries by 25%: AAsf / A+sf / BBB+sf / BBB-sf / BB-sf / B-sf Increase mean defaults by 50% and reduce recoveries by 50%: AA-sf / Asf / BBB+sf / BB+sf / Bsf / less than B-sf Reduce sale proceeds by 10%: AAAsf / AAsf / Asf / BBBsf / BB+sf / less than B-sf Reduce sale proceeds by 25%: AAAsf / AAsf / A-sf / BBB-sf / BB-sf / less than B-sf Reduce sale proceeds by 50%: AAAsf / A+sf / BBB+sf / BB+sf / less than B-sf / less than B-sf Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Macroeconomic conditions, loan performance, credit losses and sale proceeds that are better than Fitch's baseline scenario or sufficient build-up of credit enhancement that would fully compensate for the credit losses and cash flow stresses commensurate with higher rating scenarios, all else being equal. The class A ratings are at the highest level on Fitch's scale and cannot be upgraded. Upgrade Sensitivity: Notes: B/C/D/E/F Decrease mean defaults by 25%, increase recoveries by 25% and increase sale proceeds by 10%: AAAsf / AA-sf / Asf / BBB+sf / BB-sf USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch sought to receive a third-party assessment conducted on the asset portfolio information, but none was made available to Fitch for this transaction. Fitch conducted a review of a small, targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. 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 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. STUDENT LOAN 2007-2: Moody's Lowers Rating on Cl. IO Certs to Ca ---------------------------------------------------------------- Moody's Ratings has downgraded the rating of Class IO from Student Loan ABS Repackaging Trust, Series 2007-2. Deutsche Bank Trust Company Americas is the administrator and indenture trustee for the transaction. Cl. IO, Downgraded to Ca (sf); previously on Dec 12, 2024 Downgraded to Caa3 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating action on Student Loan ABS Repackaging Trust, Series 2007-2, Class IO was prompted by the increase in proportion of underlying securities rated lower than this certificate. The assets of the trust consist primarily of the Class 4-A-IO and Class 7-A-IO certificates issued by the Student Loan ABS Repackaging Trust, Series 2007-1. PRINCIPAL METHODOLOGY The methodology used in this rating was "Repackaged Securities" published in June 2024. Factors that would lead to an upgrade or downgrade of the rating: Up The rating of the certificate could be upgraded if the underlying securities referenced in the trust is upgraded or if the proportion of underlying securities rated higher than certificate increases. Down The rating of the certificate could be downgraded if the underlying securities referenced in the trust is downgraded or if the proportion of underlying securities rated lower than certificate increases. TMCL VII 2025-1H: DBRS Gives Prov. BB Rating on Class B Notes ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Fixed Rate Asset Backed Notes, Series 2025-1H (the Offered Notes) to be issued by TMCL VII Holdings Limited (the Issuer): -- $400,000,000 Class A Notes at (P) BBB (sf) -- $50,000,000 Class B Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings on the Offered Notes are based on Morningstar DBRS' review of the following considerations: (1) The Offered Notes will be collateralized by the residual cashflows from seven marine container ABS transactions (Underlying Notes) issued by Textainer Marine Containers VII Limited (TMCL VII). Each series of Underlying Notes are secured by a specified collateral pool but can share funds to cover deficiencies at the bottom of the respective priority of payments for each series. (2) The cash flow scenarios run by Morningstar DBRS for the Offered Notes incorporate the (a) asset cash flows for each Underlying Transaction after application of the utilization, per diem rate, residual realization, and operating expense stresses commensurate with a BBB (sf) rating and a BB (sf) rating for each of the Class A and Class B Notes, respectively; (b) the priority of payments and salient structural provisions for each Underlying Transaction, including the effect from (in the case of each series, as applicable) (i) items in the priority of payments for the Underlying Transaction which are subordinated to interest and principal payments on the Offered Notes, subject to the Subordination Agreement, (ii) Early Amortization Events, (iii) Cash Sweep Events, (iv) Anticipated Repayment Dates (ARD), and (v) Advance Rates; (c) interest, fees, scheduled and supplemental principal payments, and other expenses due in connection with each series of the Underlying Notes; and (d) the priority of payments and salient structural features outlined in the Indenture for the Offered Notes. -- The cash flow scenarios assume the start of the first recessionary environment at the onset of this transaction and add the fourth recessionary period at the late stage of this transaction because of the extended sales curve assumed for disposition of older containers. (3) The transaction's capital structure and the form and sufficiency of available credit enhancement. -- Subordination (in the case of the Class A Notes), overcollateralization (OC), and the Restricted Cash Account, which covers six months of interest on the Offered Notes, create credit enhancement levels and liquidity that are commensurate with the ratings. -- The cash flow scenarios run by Morningstar DBRS confirmed the sufficiency of the credit enhancement and other structural provisions to facilitate ultimate payment of interest (other than Additional Interest and Default Interest) and ultimate repayment of principal of the Offered Notes by the Legal Final Maturity Date from the cash flows attributable to the TMCL VII Equity Interest which would be generated in the Underlying Transactions in a stressed environment commensurate with a BBB (sf) and a BB (sf) credit rating for the Class A and Class B Notes, respectively. (4) The assets of TMCL VII primarily comprise a pool of intermodal marine containers owned by it and managed by Textainer Equipment Management Limited (TMCL VII Manager or TEML) and TMCL VII's interest in the associated leases of such containers. Notable characteristics of the collateral owned by TMCL VII include the following: -- Collateral includes the most representative types of marine containers, with 76.9% of Net Book Value (NBV) of the underlying containers being standard dry freight containers. In addition, 94.9% of the collateral by NBV is subject to either long-term leases or finance leases, thus locking in per diem rates on and ensuring utilization of the collateral for longer periods of time. The weighted average remaining lease term (by NBV) for the outstanding leases is approximately 4.0 years. -- Approximately 75.2% (by NBV) of the containers were manufactured in 2020 or earlier. -- As is typical for the industry, the obligor mix is relatively concentrated, with the five largest lessees accounting for approximately 62.1% of the collateral pool (by NBV). The lessees primarily represent some of the leading container shipping liners. Container shipping liners' recent financial performance has been relatively strong, with record high profits achieved as recently as in 2021, and another solid year of financial performance expected for 2025. While such outstanding performance may not be sustainable in the long term, it bodes well for the near- to medium-term credit performance outlook for container lessors. (5) Structural features of this transaction trigger an accelerated principal amortization of the Offered Notes (a) if the Interest Coverage Ratio is out of compliance or (b) if credit enhancement deteriorates (Asset Base Deficiency). The Transaction also incorporates gradual scheduled deleveraging of the Offered Notes, with principal amortization switching to "full turbo" after the ARD in April 2029. (6) Textainer's capabilities with regard to managing the fleet of marine containers. Textainer is an experienced manager of marine container lease collateral, having started operations in 1979. Textainer has 13 offices worldwide and maintains a network of approximately 400 independent depot facilities in major port areas and inland locations around the world to perform services such as container storage, maintenance, repairs, handling and inspection. -- Morningstar DBRS has performed an operational review of Textainer and considers the entity to be an acceptable manager of the marine container leasing fleet as well as servicer for this transaction. (7) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update, published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (8) The legal structure and legal opinions that are expected to address true sale, enforceability, nonconsolidation, and security interest perfection issues, and the consistency with the DBRS Morningstar Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit ratings on the Offered Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the associated Note Interest Payment, Aggregate Note Principal Balance, and interest on unpaid interest. Notes: All figures are in US dollars unless otherwise noted. TOWD POINT 2025-CES2: DBRS Gives Prov. B(low) Rating on B2 Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following Asset-Backed Securities, Series 2025-CES2 (the Notes) to be issued by Towd Point Mortgage Trust 2025-CES2 (TPMT 2025-CES2 or the Trust): -- $346.5 million Class A1 at (P) AAA (sf) -- $28.1 million Class A2 at (P) AA (high) (sf) -- $20.3 million Class M1 at (P) A (sf) -- $18.5 million Class M2 at (P) BBB (low) (sf) -- $13.2 million Class B1 at (P) BB (low) (sf) -- $7.4 million Class B2 at (P) B (low) (sf) -- $28.1 million Class A2A at (P) AA (high) (sf) -- $28.1 million Class A2AX at (P) AA (high) (sf) -- $28.1 million Class A2B at (P) AA (high) (sf) -- $28.1 million Class A2BX at (P) AA (high) (sf) -- $28.1 million Class A2C at (P) AA (high) (sf) -- $28.1 million Class A2CX at (P) AA (high) (sf) -- $28.1 million Class A2D at (P) AA (high) (sf) -- $28.1 million Class A2DX at (P) AA (high) (sf) -- $20.3 million Class M1A at (P) A (sf) -- $20.3 million Class M1AX at (P) A (sf) -- $20.3 million Class M1B at (P) A (sf) -- $20.3 million Class M1BX at (P) A (sf) -- $20.3 million Class M1C at (P) A (sf) -- $20.3 million Class M1CX at (P) A (sf) -- $20.3 million Class M1D at (P) A (sf) -- $20.3 million Class M1DX at (P) A (sf) -- $18.5 million Class M2A at (P) BBB (low) (sf) -- $18.5 million Class M2AX at (P) BBB (low) (sf) -- $18.5 million Class M2B at (P) BBB (low) (sf) -- $18.5 million Class M2BX at (P) BBB (low) (sf) -- $18.5 million Class M2C at (P) BBB (low) (sf) -- $18.5 million Class M2CX at (P) BBB (low) (sf) -- $18.5 million Class M2D at (P) BBB (low) (sf) -- $18.5 million Class M2DX at (P) BBB (low) (sf) The (P) AAA (sf) credit rating on the Notes reflects 22.30% of credit enhancement provided by subordinated notes. The (P) AA (high) (sf), (P) A (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 16.00%, 11.45%, 7.30%, 4.35%, and 2.70% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. TPMT 2025-CES2 is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Asset-Backed Securities, Series 2025-CES2 (the Notes). The Notes are backed by 4,835 mortgage loans with a total principal balance of $445,988,972 as of the Cut-Off Date. The portfolio, on average, is 3 months seasoned, though seasoning ranges from one to 35 months. Borrowers in the pool represent prime and near-prime credit quality with a weighted-average (WA) Morningstar DBRS-calculated FICO score of 747, a Morningstar DBRS-calculated original combined loan-to-value ratio (CLTV) of 75.4%, and are 100.0% originated with Issuer-defined full documentation. All the loans are current and 98.3% of the mortgage pool has been clean for the last 24 months or since origination. TPMT 2025-CES2 represents the tenth CES securitization by FirstKey Mortgage, LLC and second by CRM 2 Sponsor, LLC. Spring EQ, LLC (Spring EQ; 67.4%) and Rocket Mortgage, LLC (Rocket; 32.2%) are the main originators for the mortgage pool, with another 0.4% by other originator(s). Newrez, LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint; 67.8%) and Rocket (32.2%) are the Servicers of the loans in this transaction. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee, Administrative Trustee and Administrator. U.S. Bank National Association (rated AA with a Stable trend by Morningstar DBRS) and Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as Custodians. CRM 2 Sponsor, LLC (CRM) will acquire the loans from various transferring trusts on the Closing Date. The transferring trusts acquired the mortgage loans from the Originators. CRM and the transferring trusts are beneficially owned by funds managed by affiliates of Cerberus Capital Management, L.P. Upon acquiring the loans from the transferring trusts, CRM will transfer the loans to CRM 2 Depositor, LLC (the Depositor). The Depositor in turn will transfer the loans to Towd Point Mortgage Grantor Trust 2025-CES2 (the Grantor Trust). The Grantor Trust will issue two classes of certificates: P&I Grantor Trust Certificate and IO Grantor Trust Certificate. The Grantor Trust certificates will be issued in the name of the Issuer. The Issuer will pledge P&I Grantor Trust Certificate with the Indenture Trustee and will be the primary asset of the Trust. As a Sponsor, CRM, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 17.9% of the loans are designated as non-QM, 16.4% are designated as QM Rebuttable Presumption, and 63.9% are designated as QM Safe Harbor. Approximately 1.9% of the mortgages are loans made to investors for business purposes or were originated by a Community Development Financial Institution and were not subject to the QM/ATR rules. The Servicers (except servicers servicing the Actual Serviced Mortgage Loans) will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 60 days delinquent under the Office of Thrift Supervision (OTS) delinquency method (equivalent to 90 days delinquent under the Mortgage Bankers Association (MBA) delinquency method), contingent upon recoverability determination. However, the Servicer will stop advancing delinquent P&I if the aggregate amount of unreimbursed P&I advances owed to a Servicer exceeds 90.0% of the amounts on deposit in the custodial account maintained by such Servicer. In addition, the related servicer is obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that is 150 days delinquent under the OTS delinquency method (equivalent to 180 days delinquent under the MBA delinquency method), upon review by the related Servicer, may be considered a Charged Off Loan. With respect to a Charged Off Loan, the total unpaid principal balance (UPB) will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction incorporates a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M1 and subordinate bonds will not be paid from principal proceeds until the Class A1 and A2 Notes are retired. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 30 or more days delinquent within 90 days of the Closing Date at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. On or after (1) the payment date in June 2028 or (2) the first payment date when the aggregate pool balance of the mortgage loans (other than the Charged Off Loans and the REO properties) is reduced to less than 30.0% of the Cut-Off Date balance, the call option holder will have the option to purchase P&I Grantor Trust Certificate so long as the aggregate proceeds from such purchase exceeds the minimum price (Optional Redemption). Minimum price will at least equal sum of (A) class balances of the Notes plus the accrued interest and unpaid interest, (B) any fees, expenses and indemnification amounts, and (C) accrued and unpaid amounts owed to the Class X Notes minus the Class AX distributable amount. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the REO properties is less than 10% of the aggregate pool balance as of the Cut-Off Date, the call option holder will have the option to purchase P&I Grantor Trust Certificate at the minimum price (Clean-Up Call). The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in US dollars unless otherwise noted. TOWD POINT 2025-CES2: Fitch Assigns 'B-sf' Final Rating on B2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to Towd Point Mortgage Trust 2025-CES2 (TPMT 2025-CES2). Entity/Debt Rating Prior ----------- ------ ----- TPMT 2025-CES2 A1 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 A2A LT AA-sf New Rating AA-(EXP)sf A2AX LT AA-sf New Rating AA-(EXP)sf A2B LT AA-sf New Rating AA-(EXP)sf A2BX LT AA-sf New Rating AA-(EXP)sf A2C LT AA-sf New Rating AA-(EXP)sf A2CX LT AA-sf New Rating AA-(EXP)sf A2D LT AA-sf New Rating AA-(EXP)sf A2DX LT AA-sf New Rating AA-(EXP)sf M1A LT A-sf New Rating A-(EXP)sf M1AX LT A-sf New Rating A-(EXP)sf M1B LT A-sf New Rating A-(EXP)sf M1BX LT A-sf New Rating A-(EXP)sf M1C LT A-sf New Rating A-(EXP)sf M1CX LT A-sf New Rating A-(EXP)sf M1D LT A-sf New Rating A-(EXP)sf M1DX LT A-sf New Rating A-(EXP)sf M2A LT BBB-sf New Rating BBB-(EXP)sf M2AX LT BBB-sf New Rating BBB-(EXP)sf M2B LT BBB-sf New Rating BBB-(EXP)sf M2BX LT BBB-sf New Rating BBB-(EXP)sf M2C LT BBB-sf New Rating BBB-(EXP)sf M2CX LT BBB-sf New Rating BBB-(EXP)sf M2D LT BBB-sf New Rating BBB-(EXP)sf M2DX LT BBB-sf New Rating BBB-(EXP)sf CVR LT NRsf New Rating NR(EXP)sf AX 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 Following the publication of Fitch's presale and expected ratings, the issuer provided an updated structure with the final coupons and an adjusted AX strip rate, reduced to 1.00% from the original 1.50%. This change increased the excess spread, resulting in updated bond balances and credit enhancement (CE) levels. Fitch re-ran its cash flow analysis and confirmed there were no changes from the expected to final ratings for each rated class. The notes are supported by 4,835 newly originated and recently seasoned closed-end second lien (CES) loans with a total balance of $446 million as of the cutoff date. Spring EQ, LLC (Spring EQ) and Rocket Mortgage originated approximately 67% and 32% of the loans, respectively. Shellpoint Mortgage Servicing (SMS) and Rocket Mortgage will service the loans. Shellpoint will advance delinquent (DQ) monthly payments of P&I for up to 60 days (under the Office of Thrift Supervision [OTS] methodology) or until deemed nonrecoverable. Fitch did not acknowledge the advancing in its analysis given its projected loss severities on the second lien collateral. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. Excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. In addition, the structure includes a senior IO class (class AX), which represents a senior interest strip of 1.00%, with such interest strip entitlement being senior to the net interest amounts paid to the P&I certificates. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to an updated view on sustainable home prices, Fitch views the home price values of this pool as 10.6% above a long-term sustainable level, compared with 11% on a national level as of 4Q24, down 0.1% qoq. Housing affordability is at its worst levels in decades, driven by high interest rates and elevated home prices. Home prices increased 2.9% yoy nationally as of February 2025, despite modest regional declines, but are still being supported by limited inventory. Closed Second Liens (Negative): The entirety of the collateral pool comprises newly originated or recently seasoned second lien mortgages. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans. After controlling for credit attributes, no additional penalty was applied. Strong Credit Quality (Positive): The pool primarily consists of new origination and recently seasoned second lien mortgages, seasoned at approximately six months (as calculated by Fitch), with a relatively strong credit profile — a weighted average (WA) model credit score of 737, a 39% debt-to-income ratio (DTI) and a moderate sustainable loan-to-value ratio (sLTV) of 79%. All the loans were treated as full documentation in Fitch's analysis. Approximately 53% of the loans were originated through a reviewed retail channel. Sequential-Pay Structure with Realized Loss and Writedown Feature (Mixed): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the most senior classes are repaid in full. Losses are allocated in reverse sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those notes in the absence of servicer advancing. With respect to any loan that becomes DQ for 150 days or more under the OTS methodology, the related servicer will review, and may charge off, such a loan with the approval of the asset manager based on an equity analysis review performed by the servicer, causing the most subordinated class to be written down. Fitch views the writedown feature positively, despite the 100% LS assumed for each defaulted second lien loan, as cash flows will not be needed to pay timely interest to the 'AAAsf' and 'AA-sf' rated notes during loan resolution by the servicers. In addition, subsequent recoveries realized after the writedown at 150 days DQ, excluding forbearance mortgage or loss mitigation loans, will be passed on to bondholders as principal. The structure does not allocate excess cash flow to turbo down the bonds but includes a step-up coupon feature whereby the fixed interest rate for classes A1, A2 and M1 will increase by 100 bps, subject to the net WAC, after four years. In addition, the structure includes a senior IO class certificate (class AX), which represents a senior interest strip of 1.00% per annum based off the related mortgage rate of each mortgage loan, with such interest strip entitlement being senior to the net interest amounts paid to the notes and paid at the top of the waterfall. Notably, the inclusion of this senior IO class reduces the collateral WAC and effectively diminishes the excess spread. Given that it is a strip-off of the entire interest-bearing collateral balance and accrual amounts will be reduced by any losses on the collateral pool, class AX cannot be rated by Fitch. Overall, in contrast to other second lien transactions, this transaction has less excess spread available, and its application offers diminished support to the rated classes, requiring a higher level of CE. Limited Advancing Construct (Neutral): The servicers will be advancing delinquent P&I on the closed end collateral for a period up to 60 days delinquent under the OTS method as long as such amounts are deemed recoverable. Given Fitch's projected loss severity assumption on second lien collateral, Fitch assumed no advancing in its analysis. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis shows how ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 41.9%, at 'AAAsf'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with model projections. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes, excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC (AMC) and Consolidated Analytics. A third-party due diligence review was completed on 76.5% of the loans. The scope, as described in Form 15E, focused on credit, regulatory compliance and property valuation reviews, consistent with Fitch criteria for new originations. The results of the reviews indicated low operational risk with only 22 loans receiving a final grade of C/D. Fitch applied a credit for the high percentage of loan-level due diligence, which reduced the 'AAAsf' loss expectation by 61 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. VDCM COMMERCIAL 2025-AZ: DBRS Gives Prov. B Rating on HRR Certs --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-AZ (the Certificates) to be issued by VDCM Commercial Mortgage Trust 2025-AZ: -- Class A at (P) AAA (sf) -- Class B at (P) AA (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (low) (sf) -- Class F at (P) B (high) (sf) -- Class HRR at (P) B (sf) All trends are Stable. VDCM Commercial Mortgage Trust 2025-AZ is a securitization collateralized by the borrower's fee-simple interest in three data center properties in Goodyear, Arizona. Morningstar DBRS generally takes a positive view on the overall transaction's credit profile based on the portfolio's strong credit tenancy profile, favorable property quality, institutional sponsorship and management, and affordable power rates. Retained Vantage Data Centers, LP (Vantage) is one of the largest data center owners globally with a portfolio of 35 campuses across five continents totaling more than 2.6 gigawatts (GW) of potential critical IT load capacity. Vantage's data center campuses are in top-tier markets such as Northern Virginia; Phoenix; Santa Clara; Frankfurt; the UK; and Hong Kong. Additionally, Vantage has committed to net zero operational carbon emissions by 2030 for scope 1 and 2 emissions and has committed to neutralizing all of its emissions (including scope 3) by 2040. Morningstar DBRS' credit ratings on the certificates reflect the transaction's elevated leverage, the long-term investment-grade tenant, and a firm legal structure to protect certificate holders' interests. The credit ratings also reflect the quality of service provided by Vantage and the technology that can maintain the data center's relevance into the future. Data centers, which have existed in various forms for many years, have become a key component of the modern global technology industry. The advent of cloud computing, streaming media, file storage, and artificial intelligence (AI) applications has increased the need for these facilities over the last decade in order to manage, store, and transmit data globally. Both hyperscale and colocation data centers have a role in the existing data ecosystem. Hyperscale data centers are designed for large-capacity storage and processing of information, whereas colocation centers act as an on-ramp for users to gain access to the wider network, or for information from the network to be routed back to users. From the standpoint of the physical plants, the data center assets are adequately powered, with some assets in the portfolio exhibiting higher critical IT loads than others. Morningstar DBRS views the data center collateral as strong assets with strong critical infrastructure, including power and redundancy that is built to accommodate the technology needs of today and the future. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Principal Distribution Amounts and Interest Distribution Amounts for the Class A, Class B, Class C, Class D, Class E, Class F, and Class HRR. Notes: All figures are in U.S. dollars unless otherwise noted. VERUS SECURITIZATION 2025-6: Moody's Gives (P)B1 Rating to B-2 Debt ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 6 classes of residential mortgage-backed securities (RMBS) to be issued by Verus Securitization Trust 2025-6 (Verus 2025-6), and sponsored by VMC Asset Pooler, LLC. The securities are backed by a pool of non-prime, non-QM residential mortgages acquired by entities administered by Verus Mortgage Capital (Verus), originated by multiple entities and serviced by Newrez LLC d/b/a Shellpoint Mortgage Servicing and Cornerstone Servicing, a Division of Cornerstone Capital Bank SSB. The complete rating actions are as follows: Issuer: Verus Securitization Trust 2025-6 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aa2 (sf) Cl. A-3, Assigned (P)Aa3 (sf) Cl. M-1, Assigned (P)Baa1 (sf) Cl. B-1, Assigned (P)Ba1 (sf) Cl. B-2, Assigned (P)B1 (sf) 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 2.72%, in a baseline scenario-median is 1.95% and reaches 24.32% at a stress level consistent with Moody's Aaa ratings. 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 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. VERUS SECURITIZATION 2025-6: S&P Assigns Prelim B+(sf) on B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2025-6's mortgage-backed notes. The note issuance is an RMBS transaction backed by primarily newly originated first- and second-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to prime and nonprime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, townhouses, condotels, five- to 10-unit multifamily residences, mixed-use properties, and manufactured housing. The pool has 1,248 loans and comprise qualified mortgage (QM)/non-higher-priced mortgage loans (safe harbor), QM rebuttable presumption, non-QM/ability-to-repay-compliant (ATR-compliant), and ATR-exempt loans. The preliminary ratings are based on information as of July 7, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; -- 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. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned Verus Securitization Trust 2025-6(i) Class A-1, $496,194,000: AAA (sf) Class A-2, $32,947,000: AA (sf) Class A-3, $67,224,000: A (sf) Class M-1, $27,289,000: BBB (sf) Class B-1, $18,970,000: BB (sf) Class B-2, $9,651,000: B+ (sf) Class B-3, $13,311,761: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. WELLS FARGO 2016-C37: DBRS Confirms B(high) Rating on H Certs ------------------------------------------------------------- DBRS, Inc. upgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C37 issued by Wells Fargo Commercial Mortgage Trust 2016-C37 as follows: -- Class B to AA (high) (sf) from AA (sf) -- Class C to AA (low) (sf) from A (sf) -- Class X-B to AAA (sf) from AA (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-D at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (sf) -- Class X-EF at BBB (sf) -- Class F at BBB (low) (sf) -- Class X-G at BBB (low) (sf) -- Class G at BB (high) (sf) -- Class X-H at BB (low) (sf) -- Class H at B (high) (sf) Morningstar DBRS also changed the trends on Classes H and X-H to Negative from Stable. The trend on all remaining classes is Stable. The credit rating upgrades for Classes B, C, and X-B reflect the positive pressure in Morningstar DBRS' North American CMBS Insight Model as the transaction continues to benefit from scheduled amortization, loan repayments, and defeasance. The credit rating confirmations reflect the overall stable performance of remaining loans within the transaction, which remains relatively in line with Morningstar DBRS' expectations since the last review. Overall, the pool continues to exhibit healthy credit metrics as evidenced by the healthy weighted-average (WA) debt service coverage ratio (DSCR) of 2.15 times (x). The transaction also benefits from the two largest loans in the pool, Hilton Hawaiian Village Waikiki Beach Resort (Prospectus ID# 1; 9.9% of the pool) and Potomac Mills (Prospectus ID#4; 6.8% of the pool), being shadow-rated as investment grade by Morningstar DBRS. The Negative trend for Classes H and X-H reflects Morningstar DBRS' increased liquidated loss projections since the previous credit rating action, driven by a liquidation scenario for the pool's largest specially serviced loan. Since the prior credit rating action in July 2024, 10 loans, representing 15.4% of the pool, transferred to special servicing; however, nine of these loans are related loans that transferred for nonmonetary default stemming from ongoing litigation related to ownership and control of the sponsor's family-owned real estate business and have an expected workout strategy of a full payoff, according to the servicer. Morningstar DBRS' analysis includes a liquidation scenario for 1140 Avenue of the Americas (Prospectus ID#6; 5.6% of the pool), which is backed by a 22-story 250,000-square-foot (sf) office building in Midtown Manhattan with a below breakeven DSCR. The loan transferred to special servicing in March 2025 because of monetary default in March 2025 and foreclosure is the expected resolution. Net cash flow (NCF) for the property has been declining year over year since issuance and DSCR has been below breakeven since YE2021 stemming from occupancy declines after a handful of tenants vacated. Given these factors, Morningstar DBRS applied a 70% haircut to the issuance appraisal value in the liquidation scenario, resulting in a projected loss severity of approximately 54.1%, or $16.2 million, significantly eroding the nonrated Class J certificate balance and reducing the cushion for the Class H certificate, supporting the Negative trend. As of the June 2025 remittance, 56 of the original 63 loans remain in the pool. The initial pool balance of $750.51 million has been reduced by 29.1%, to $532.1 million. In addition, 15.8% of the pool is defeased. Five smaller loans, representing 4.8% of the pool in total, are on the servicer's watchlist because of declining occupancy and/or DSCR. The transaction benefits from a relatively low concentration of loans backed by office collateral, at 11.7%. The most represented property type is hotel, with 23.2% of the pool, followed by retail, with 20.5% of the pool. All remaining loans in the pool are scheduled to mature within the next 18 months, and Morningstar DBRS expects the majority of the loans to repay at their respective upcoming maturity dates based on the performance of the underlying collateral. However, Morningstar DBRS identified a handful of loans that are not in special servicing but have exhibited increased default risk, including four loans (12.8% of the pool) in the top 15. For these loans, Morningstar DBRS increased the probability of default (POD) and/or applied stressed loan-to-value ratios (LTVs) to increase the expected loss (EL), as applicable, resulting in an EL that was nearly triple the pool average EL. At issuance, Morningstar DBRS shadow-rated the Hilton Hawaiian Village loan and the Potomac Mills loan as investment grade. This assessment was supported by the loans' strong credit metrics, strong sponsorship strength, and historically stable performance. With this review, Morningstar DBRS confirms that the characteristics of these loans remain consistent with the investment-grade shadow rating. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2018-C48: Fitch Affirms 'B-sf' Rating on Cl. G-RR Debt ------------------------------------------------------------------ Fitch Ratings has affirmed 14 classes of Wells Fargo Commercial Mortgage Trust 2018-C47 (WFCM 2018-C47) and 13 classes of Wells Fargo Commercial Mortgage Trust 2018-C48 (WFCM 2018-C48). Fitch has also affirmed the MOA 2020-WC48 E horizontal risk retention pass through certificate (2018 C48 III Trust). Entity/Debt Rating Prior ----------- ------ ----- WFCM 2018-C48 A-4 95001RAW9 LT AAAsf Affirmed AAAsf A-5 95001RAX7 LT AAAsf Affirmed AAAsf A-S 95001RBA6 LT AAAsf Affirmed AAAsf A-SB 95001RAV1 LT AAAsf Affirmed AAAsf B 95001RBB4 LT AA-sf Affirmed AA-sf C 95001RBC2 LT A-sf Affirmed A-sf D 95001RAC3 LT BBB-sf Affirmed BBB-sf E-RR 95001RAE9 LT BBB-sf Affirmed BBB-sf F-RR 95001RAG4 LT BB-sf Affirmed BB-sf G-RR 95001RAJ8 LT B-sf Affirmed B-sf X-A 95001RAY5 LT AAAsf Affirmed AAAsf X-B 95001RAZ2 LT AA-sf Affirmed AA-sf X-D 95001RAA7 LT BBB-sf Affirmed BBB-sf MOA 2020-WC48 E E-RR 90216GAA3 LT BBB-sf Affirmed BBB-sf WFCM 2018-C47 A-3 95002DBD0 LT AAAsf Affirmed AAAsf A-4 95002DBG3 LT AAAsf Affirmed AAAsf A-S 95002DBR9 LT AAAsf Affirmed AAAsf A-SB 95002DBA6 LT AAAsf Affirmed AAAsf B 95002DBU2 LT AA-sf Affirmed AA-sf C 95002DBX6 LT Asf Affirmed Asf D 95002DAC3 LT BBBsf Affirmed BBBsf E-RR 95002DAE9 LT BBB-sf Affirmed BBB-sf F-RR 95002DAG4 LT BB+sf Affirmed BB+sf G-RR 95002DAJ8 LT BB-sf Affirmed BB-sf H-RR 95002DAL3 LT B-sf Affirmed B-sf X-A 95002DBK4 LT AAAsf Affirmed AAAsf X-B 95002DBN8 LT AA-sf Affirmed AA-sf X-D 95002DAA7 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 3.6% in WFCM 2018-C47 and 5.9% in WFCM 2018-C48, compared to 3.7% and 4.7%, respectively, at Fitch's last rating action. Fitch Loans of Concerns (FLOCs) comprise 11 loans (19.7%) in WFCM 2018-C47, including four specially serviced loans (5.2%), and 13 loans (31.7%) in WFCM 2018-C48 with no specially serviced loans. The affirmations in all transactions reflect generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks in each transaction reflect performance concerns and the potential for higher losses from the Starwood Hotel Portfolio loan (8% in WFCM 2018-C47 and 4.1% in WFCM 2018-C48). Additionally, the Negative Outlooks in WFCM 2018-C48 reflect performance and refinancing concerns for office FLOCs 1000 Windward Concourse (4.1%) and 1600 Terrell Mill Road (3.3%). Downgrades are possible with additional performance declines, or if loans transfer to special servicing. Largest Contributors to Loss: The Starwood Hotel Portfolio loan represents the largest increase in loss expectations since the prior rating action and overall largest contributor to loss in WFCM 2018-C47 and the third largest increase in loss expectations and third largest contributor to loss in WFCM 2018-C48. While portfolio performance saw incremental stabilization following the pandemic, recent performance has trended negative. The YE 2024 NOI is 57% below YE 2019 and 31% below the Fitch issuance NCF. The 22 hotels in the portfolio are spread throughout 12 states. The largest state by key is Missouri (23.3% of keys), followed by Kansas (13.6% of keys) and Illinois (13.0% of keys). The Portfolio includes four full-service hotels, six select-service hotels, five extended stay hotels, and seven limited-service hotels and operates under three brands including 15 properties under Marriott, five properties under Hilton, and two properties under the IHG brand family. Fitch's 'Bsf' rating case loss of 14% (before concentration add-ons) reflects the YE 2024 NOI and a 11.50% cap rate. The largest increase in loss expectations since the prior rating action and overall largest contributor to loss in WFCM 2018-C48 is the 1600 Terrell Mill Road loan. The loan was flagged as a FLOC due to occupancy declines and the weak submarket. Per the June 2025 remittance, the loan recently became 30 days delinquent. The loan is secured by a 251,710-sf office property built in 1980, renovated in 2008 and located in Marietta, GA. The property is occupied by two tenants: Quintiles (32.2% of NRA through March 2034 - extended 10 years in 2024) and First Data Corporation (28.3% of NRA through February 2029 - extended six years in 2023). Quintiles, originally occupying 138,981-sf with a lease expiring September 2023, extended the term to March 2034 but reduced its footprint to 80,981-sf (a 42% reduction). First Data Corporation was occupying 112,729-sf at issuance with a lease expiration of August 2023 and downsized to 71,342-sf (a 37% reduction) with a lease expiration of February 2029. Per CoStar, 70,931-sf is vacant and available for lease in the First Data space indicating the tenant is dark. Fitch notes that First Data is owned by Fiserv who has a headquarters in Alpharetta, GA and may be consolidating. According to CoStar, comparable office properties in the Cumberland/Galleria submarket had 20.9% vacancy and 21.4% availability rates and market asking rent of $24.77 compared to 18.9%, 21.4%, and $24.13 at Fitch's prior rating action. The total submarket had 17.1% vacancy and 19.3% availability rates and market asking rent of $29.18 compared to 16.5%, 20%, and $28.48 at Fitch's prior rating action. Fitch's 'Bsf' rating case loss of 39% (before concentration add-ons) reflects a 20% stress to the YE 2024 NOI and a 10% cap rate as well as an elevated probability of default. The second largest increase in loss expectations since the prior rating action and second largest contributor to loss in WFCM 2018-C48 is the 1000 Windward Concourse loan. The loan was flagged as a FLOC due to the former transfer to special servicing, rollover risk, occupancy declines and the weak submarket. The loan is secured by a 251,425-sf suburban office property built in 1997 and located Alpharetta, GA. Occupancy has continued to deteriorate declining to 61% at YE 2024 from 77% at YE 2022 and 98% at YE 2020. Occupancy initially declined to 77% in 2021 from 98% in 2020 due to the largest tenant, Travelers, reducing its footprint to 87,255-sf (34.7% GLA) from 140,255-sf (55.8% GLA). The second largest tenant, Kinder Morgan (17.6%) has a lease expiration in December 2025; Fitch requested a leasing update on Kinder Morgan but none was received. Per CoStar, the space is not on the sublease market. Rollover consisted of 22.7% in 2025, 0.9% in 2026, and 34.7% in 2028. The loan was returned from special servicing in April 2025 following the borrower's payment of all expenses incurred by the lender after previously transferring to special servicing in December 2024 for imminent monetary default. The borrower requested the transfer to propose a modification to the payment structure. The loan has remained current and is under cash management. According to CoStar, comparable office properties in the N Fulton/Forsyth County submarket had 26.8% vacancy and 24.4% availability rates and market asking rent of $30.39 compared to 25.3%, 28.4%, and $30.83 at Fitch's prior rating action. The total submarket had 19.0% vacancy and 18.7% availability rates and market asking rent of $25.25 compared to 18.4%, 21.4%, and $25.20 at Fitch's prior rating action. Fitch's 'Bsf' rating case loss of 20% (before concentration add-ons) reflects a 20% stress to the YE 2024 NOI and a 10% cap rate as well as an elevated probability of default. Changes in Credit Enhancement (CE): As of the May 2025 distribution date, the aggregate balances of WFCM 2018-C47 and WFCM 2018-C48 have been paid down by 7.6% and 11.8%, respectively, since issuance. Respective defeasance percentages in WFCM 2018-C47 and WFCM 2018-C48 include 17 loans (14.4% of the pool) and five loans (7.7% of the pool). Cumulative interest shortfalls for WFCM 2018-C47 were $899,500 affecting the rated classes F-RR, G-RR and H-RR as well as the non-rated class J-RR. Shortfalls for WFCM 2018-C48 were $189,000 affecting the non-rated class H-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible downgrades with further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to the 'AAAsf' rated classes with Stable Outlooks are not expected due to the position in the capital structure and expected continued amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected. Downgrades to classes rated in the 'AAsf' and 'Asf' categories may occur should performance of the FLOCs deteriorate further, expected losses increase or if more loans than expected default during the term and/or at or prior to maturity. These FLOCs include Starwood Hotel Portfolio in WFCM 2018-C47 and WFCM 2018-C48, and 1000 Windward Concourse and 1600 Terrell Mill Road in WFCM 2018-C48. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, particularly those with Negative Outlooks, could occur with higher-than-expected losses from continued underperformance of the aforementioned FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable to improved pool-level loss expectations and performance stabilization of FLOCs, including Starwood Hotel Portfolio in WFCM 2018-C47 and WFCM 2018-C48, and 1000 Windward Concourse and 1600 Terrell Mill Road in WFCM 2018-C48. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction and would not occur if interest shortfalls are expected. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes due to paydown and defeasance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WELLS FARGO 2025-5C5: Fitch Assigns 'B-(EXP)' Rating on F-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2025-5C5 commercial mortgage pass-through certificates, series 2025-5C5 as follows: - $4,000,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $75,000,000 (a) class A-2 'AAA(EXP)sf'; Outlook Stable; - $338,191,000 (a) class A-3 'AAA(EXP)sf'; Outlook Stable; - $417,191,000 (b) class X-A 'AAA(EXP)sf'; Outlook Stable; - $52,149,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $29,800,000 class B 'AA-(EXP)sf'; Outlook Stable; - $23,839,000 class C 'A-(EXP)sf'; Outlook Stable; - $105,788,000 (b) class X-B 'A-(EXP)sf'; Outlook Stable; - $22,350,000 (c) class D 'BBB-(EXP)sf'; Outlook Stable; - $22,350,000 (b)(c) class X-D 'BBB-(EXP)sf'; Outlook Stable; - $14,900,000 (c) class E 'BB-(EXP)sf'; Outlook Stable; - $14,900,000 (b)(c) class X-E 'BB-(EXP)sf'; Outlook Stable; - $10,429,000 (c)(d) class F-RR 'B-(EXP)sf'; Outlook Stable; The following classes are not expected to be rated by Fitch: - $25,330,459 (c)(d) class G-RR. (a) The initial certificate balances of classes A-2 and A-3 are unknown and expected to be $413,191,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0 to $150,000,000, and the expected class A-3 balance range is $263,191,000 to $413,191,000. Fitch's certificate balances for classes A-2 and A-3 reflect the midpoint value of each range. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Classes F-RR, and G-RR certificates comprise the transaction's horizontal risk retention interest. The expected ratings are based on information provided by the issuer as of July 8, 2025. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 32 loans secured by 46 commercial properties having an aggregate principal balance of 595,988,460 as of the cutoff date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Argentic Real Estate Finance 2 LLC, Citi Real Estate Funding Inc., UBS AG, Bank of Montreal, Greystone Commercial Mortgage Capital LLC, Zions Bancorporation, N.A., BSPRT CMBS Finance, LLC, and Natixis Real Estate Capital LLC. The master servicer is expected to be Trimont LLC, the special servicer is expected to be Argentic Services Company LP and the operating advisor is expected to be Park Bridge Lender Services LLC. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 23 loans totaling 92.1% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $57.1 million represents a 16.3% decline from the issuer's aggregate underwritten NCF of $68.3 million. Fitch Leverage: The pool 's Fitch leverage is in-line with recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 100.1% is lower than the 2025 YTD five-year multiborrower transaction average of 100.9% and higher than the 2024 five-year multiborrower transaction average of 95.2%. The pool's Fitch NCF debt yield (DY) of 9.6% is in-line with the 2025 YTD average of 9.6% and lower than the 2024 average of 10.2%. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans represent 67.1% of the pool, which is worse than both the 2025 YTD five-year multiborrower average of 61.5% and the 2024 average of 60.2%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 17.5. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AA-sf'/'A-sf'/'BBBsf'/'BBsf'/'B-sf'/' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'/. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young 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. WELLS FARGO 2025-AGLN: Fitch Assigns BB-(EXP)sf Rating on HRR Certs ------------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Ratings Outlooks to Wells Fargo Commercial Mortgage Trust 2025-AGLN commercial mortgage pass-through certificates: - $169,800,000 class A 'AAAEXPsf'; Outlook Stable; - $30,600,000 class B 'AA-EXPsf'; Outlook Stable; - $24,100,000 class C 'A-EXPsf'; Outlook Stable; - $33,900,000 class D 'BBB-EXPsf'; Outlook Stable; - $26,600,000 class E 'BBEXPsf'; Outlook Stable; - $15,000,000a class HRR 'BB-EXPsf'; Outlook Stable; (a) Horizontal risk retention. Transaction Summary The commercial mortgage pass-through certificates from WFCM 2025-AGLN Mortgage Trust represent the beneficial ownership interest in the trust that will hold a $300.0 million, two-year, floating-rate, interest-only mortgage loan with three one-year extension options. The mortgage will be secured by the borrower's fee simple interest in a portfolio of 28 logistics facilities and one office property, comprising approximately 4.2 million sf across seven states and 10 markets. The borrower sponsor, Agellan Commercial REIT Holdings Inc (Agellan), is a commercial real estate investment firm that manages U.S. industrial assets totaling over 6.4 million sf across 48 properties. The assets are owned by Almadev, a commercial real estate developer, investor and manager that is primarily known for master plan communities and mixed-use properties. Almadev has a portfolio totaling 7.5 million sf of real estate, with another 7 million in various stages of development. The mortgage loan, accompanied by $50.0 million in mezzanine debt, was used to repay existing debt of $277.3 million, return equity of $57.2 million, pay closing costs of $7.0 million, and fund reserves totaling $8.5 million. The loan is expected to be originated by Wells Fargo Bank, National Association. KeyBank National Association, a national banking association, is expected to be the servicer and special servicer. Deutsche Bank National Trust Company is expected to act as the trustee. Computershare Trust Company, National Association is expected to act as the certificate administrator. Pentalpha Surveillance LLC will act as operating advisor. The certificates will follow a pro-rata paydown for the initial 30% of the loan amount and a standard senior-sequential paydown thereafter. To the extent no mortgage loan event of default (EOD) is continuing, voluntary prepayments will be applied pro rata between the mortgage loan components. The transaction is scheduled to close on July 24, 2025. KEY RATING DRIVERS Net Cash Flow: Fitch Ratings estimates stressed net cash flow (NCF) for the portfolio at $24.5 million. This is 7.4% lower than the issuer's NCF. Fitch applied a 7.5% cap rate to derive a Fitch value of approximately $328.1 million. High Fitch Leverage: The $300.0 million whole loan equates to debt of approximately $72 psf, with a Fitch stressed loan-to-value (LTV) ratio and debt yield of 106.7% and 8.2%, respectively. The loan represents approximately 56.1% of the appraised value of $535.2 million. Fitch increased the LTV hurdles by 1.25% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio has strong geographic diversity with 29 properties (4.2 million sf) across seven states and 10 MSAs. The three largest state concentrations are Texas (1,761,592 sf; 14 properties), Florida (914,031 sf; one property), and Georgia (583,444 sf; five properties). The three largest MSAs are Sarasota, FL (22.0% of NRA; 23.9% of ALA), Atlanta, GA (14.0%; 18.6%), and Houston, TX (15.7%; 13.5%). The portfolio also exhibits tenant diversity as it features 170 distinct tenants, with no tenant occupying more than 11.1% of NRA. Institutional Sponsorship: Agellan is a commercial real estate investment firm headquartered in Toronto, Ontario. It was founded in 2013 and specializes in investment in U.S. industrial assets. Agellan manages a portfolio of 48 properties totaling 6.4 million sf across nine states in 11 unique markets. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/ 'BBB-sf'/'BBsf'/'Bsf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBB-sf'/BBsf'/'B+sf'/'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/ 'BBB-sf'/'BBsf'/'Bsf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'A+sf'/'BBBsf'/'BB+sf''/BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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. WELLS FARGO 2025-NYCH: DBRS Finalizes BB Rating on Class E Certs ---------------------------------------------------------------- DBRS, Inc. finalized the provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-NYCH (the Certificates) issued by Wells Fargo Commercial Mortgage Trust 2025-NYCH (NYCH Portfolio Trust): -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class HRR at BB (low) (sf) All trends are Stable. The NYCH Portfolio Trust transaction is secured by the borrower's fee-simple interests in seven hospitality properties across the Manhattan, New York, market. The portfolio totals 1,087 keys and includes three properties that operate under the Hilton brand family and four properties that operate under the IHG brand family. The portfolio only includes one full-service hotel, the Holiday Inn Wall Street (113 keys), while the rest of the properties are limited service (975 keys). The properties within the portfolio were constructed between 2003 and 2009 with a weighted-average (WA) year built of 2008 and a WA year renovated of 2018. The entirety of the portfolio was renovated in 2017, with only the Candlewood Suites getting additional renovations in 2020. While there have been no extensive renovations since, the sponsor has continued to put money into each of the properties on an as-needed basis. From 2022 to 2024, the sponsor put in $3.7 million ($3,388 per key). The loan is currently structured with $5.0 million in reserves that will be used to continue small upgrades throughout the properties as needed but there are no major renovations planned for any one hotel. The largest properties by Morningstar DBRS Net Cash Flow (NCF) are the Holiday Inn Express Times Square, which accounts for 20.8% of the Morningstar DBRS NCF and 210 keys; the Candlewood Suites Times Square, which represents 19.4% of the Morningstar DBRS NCF and 188 keys; and the Hampton Inn Times Square, which represents 18.4% of the Morningstar DBRS NCF and 184 keys. No other property accounts for more than 15.1% of the NCF. Three of the properties are located within the Times Square neighborhood of Midtown Manhattan, accounting for 582 keys; two properties are located within the Financial District of Manhattan, accounting for 225 keys; one hotel is located within the Chelsea neighborhood, accounting for 144 keys; and the final hotel is located within the Madison Square Garden area of Manhattan, accounting for 136 keys. All of the properties are well located within New York and provide access to a number of demand drivers. The portfolio has seen a strong recovery since the COVID-19 pandemic, which saw major disruptions to travel both nationally and globally. While the portfolio has not fully recovered in terms of occupancy since the pre-pandemic levels, revenue per available room (RevPAR) has seen a steady return with an increase in the average daily rate (ADR) for a number of the properties. In 2019, the portfolio had a WA occupancy of 96.2% and an ADR of $202.78, which resulted in a RevPAR of $195.15. Portfolio occupancy started to pick back up by 2022 when the WA occupancy was 71.3%, which represents a 69.4% increase over the low of 42.1% in 2020. This trend continued throughout the past few years and occupancy has now reached a WA of 86.2% as of the April 2025 trailing 12-month (T-12) period, which shows a 2.98% increase over the YE2024 occupancy. ADR within the same period has seen a decrease to $227.54 from $229.19, which represents a -0.72% decrease over the YE2024 figure. In total, RevPAR has increased 2.24% in April 2025 from the YE2024 figures, with a T-12 2025 figure of $196.18. Each of the properties has seen an increase in the overall RevPAR when compared with the YE2024 figures. The Morningstar DBRS-concluded occupancy of 85.4% and concluded ADR of $226.39 amount to a RevPAR figure of $13.48, accounting for the above-mentioned decrease. This represents a 0.16% decrease from the March T-12 RevPAR figure of $193.80. The mortgage loan proceeds of $235.0 million with an additional $45.0 million of sponsor equity will be used to repay $270.0 million of existing debt, fund a capital expenditure reserve, and cover closing costs. The two-year, floating-rate (one-month term Secured Overnight Financing Rate plus 395 basis points (bps)) interest-only mortgage loan has three one-year extension options. The borrower is required to enter into an interest rate cap with a strike price resulting in a debt service coverage ratio that is no less than 1.10 times. The sponsor for this transaction is Mack Real Estate Group (MREG) and the property will be managed by the Hersha Hospitality Group (Hersha Hospitality). MREG is a New York-based real estate group that was founded in 2013. The group has extensive experience in the New York City market. Hersha Hospitality has experience in managing hotels of the same flags as the collateral. The approximate As-Is Aggregate appraised value for the portfolio is $407.3 million, which equates to an Issuer Loan-to-Value (LTV) of 57.7%. The Morningstar DBRS-concluded value of $303.9 million represents a 25.4% discount from the appraised value and results in a Morningstar DBRS whole-loan LTV of 77.3%, which is considered to be high leverage financing. The Morningstar DBRS-concluded value is based on a capitalization rate (cap rate) of 8.53%, which is approximately 202 bps higher than the appraised value implied cap rate of 6.51%. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. WESTLAKE 2025-2: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Westlake Automobile Receivables Trust 2025-2's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of July 7, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 45.2%, 38.8%, 30.0%, 22.9%, and 19.7% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x coverage of S&P's expected cumulative net loss (ECNL) of 12.75% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under its stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Westlake Services LLC (Westlake Services) as servicer and its view of the company's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance (ESG) credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Westlake Automobile Receivables Trust 2025-2 Class A-1, $285.00 million: A-1+ (sf) Class A-2-A/A-2-B, $417.80 million: AAA (sf) Class A-3, $144.26 million: AAA (sf) Class B, $97.11 million: AA (sf) Class C, $154.53 million: A (sf) Class D, $132.55 million: BBB (sf) Class E, $68.75 million: BB (sf) WHARF COMMERCIAL 2025-DC: DBRS Finalizes BB(low) Rating on E Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-DC (the Certificates) to be issued by WHARF Commercial Mortgage Trust 2025-DC: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BB (low) (sf) -- Class HRR at B (high) (sf) All trends are Stable. The single-asset/single-borrower transaction is collateralized by the borrower's leasehold interest in the approximately 2.2 million-square foot (sf) portion of the 3.3 million-sf, luxury, mixed-use development, The Wharf. The subject is situated along the Washington Channel in southwest Washington, D.C., spanning over a mile of waterfront. The collateral includes a diverse mix of assets with four office buildings, two retail components, a concert theater, three multifamily properties, two hotels, a marina, and two below-grade parking structures. In addition to the collateral, the broader development contains other non-collateral components, including one office building, two condominium buildings, two marinas, and two hotels. As part of the District of Columbia's Anacostia Waterfront Initiative, the borrower-sponsor group, along with Hoffman & Associates and Madison Marquette, was selected in 2006 to undertake the redevelopment of the publicly owned waterfront land. With over two decades of design, planning, and execution, the project was delivered in two phases--Phase I in 2017 and Phase II in 2022--to create a unified waterfront area that attracts over eight million visitors per year. Phase I assets include Incanto; The Channel; several retail spaces, including The Anthem; Hyatt House; Hilton Canopy; three of the four office properties; and the first phase of the below-grade parking garage. Phase II added 783,576 sf of mixed-use space, including new office buildings, residential apartments, luxury condominiums, retail shops, and restaurants, further complementing Phase I and further cementing the subject as a destination for the city's residents as well as visitors. The subject achieved LEED Gold or Silver certification for individual buildings. The Wharf's sustainability features include onsite stormwater management, green and high-reflectance roofs, and biodiverse plantings, setting a high bar for sustainable waterfront developments. The Wharf's ecosystem comprises various complementary property-type components. The Wharf's office and retail components comprise a large portion of the collateral, representing 62.6% of the Morningstar DBRS Net Cash Flow (NCF). Given the trophy status of the office collateral, the subject has received significant interest from top tenants, including prominent law firms and large corporations. The subject office commands some of the highest office rents in the Washington metropolitan area and has significantly benefited from the flight-to-quality in the D.C. market. Additionally, the office component includes five investment-grade-rated tenants, comprising 11.7% of the office net rentable area (NRA). The Wharf's retail component offers a diverse experience, complete with a concert venue, three Michelin Guide restaurants, and a James Beard Foundation Award-winning restaurant. As of February 2025, The Wharf's retail component was 92.1% leased. Retail performance is strong, with sales averaging approximately $780 per sf and a 10.8% occupancy cost on average as of YE2024. Retail sales at The Wharf increased by approximately 64.4% on average between 2022 and 2024. The Wharf's remaining components make up 37.4% of the Morningstar DBRS NCF. The multifamily component features a total of 904 units with 568 market-rate units (62.8% of total units) and 336 affordable units (37.2% of total units) across three Class A apartment buildings: The Channel (501 units), The Tides (255 units), and Incanto (148 units). The multifamily component of the subject was 90.8% occupied as of the March 31, 2025, rent roll. The Wharf offers a variety of hotel options that cater to all travelers, from business visitors to leisure tourists, and integrate well into the waterfront neighborhood. The two collateral hotels are performing well, with occupancy, average daily rate, and revenue per available room levels that have outperformed their respective STR, Inc. competitive set, indicating strong market positioning. The garage components provide a total of 2,575 parking spaces (1,175 spaces available for public use) and are an integral part of the subject, given its significant number of visitors. The facilities are well integrated within the subject and are designed to handle high traffic volumes, ensuring access for all users including tenants, residents, and visitors. The Wharf Marina contains 218 floating wet slips, with a 100-slip liveaboard community that is currently 100% leased. The subject's marina is 10 feet to 15 feet deep and has 300 feet of alongside dockage. Overall, Morningstar DBRS has a favorable view of the collateral's credit characteristics given its property quality, diversified cash flows, amenities, sustainability, and desirable location within Washington. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related principal distribution amounts, and the interest distribution amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. WMRK COMMERCIAL 2022-WMRK: S&P Cuts F Certs Rating to 'CCC (sf)' ---------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class E and F commercial mortgage pass-through certificates from WMRK Commercial Mortgage Trust 2022-WMRK, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on the class A, B, C, and D certificates from the transaction. This is a U.S. stand-alone (single-borrower) CMBS transaction backed by a floating-rate, interest-only (IO) mortgage loan. The loan is secured by the borrowers' fee-simple and/or leasehold interests in a portfolio of 16 full-service lodging properties in nine U.S. states. Rating Actions The downgrades on classes E and F and affirmations on classes A, B, C, and D primarily reflect: -- S&P's revised expected-case valuation for the portfolio properties is about 8% lower than the value it derived at issuance. -- While the portfolio's revenue per available room (RevPAR) has increased since issuance, operating expenses have increased across the portfolio, resulting in declining servicer-reported net cash flow (NCF) in 2023 and in the trailing 12-months (TTM) ended March 2025. The servicer-reported NCF in 2023 ($125.7 million) and in the TTM ended March 2025 ($109.4 million) are both below S&P's issuance assumption for the portfolio. -- S&P's current analysis also considered that two hotels, Ritz-Carlton Bacara, Santa Barbara and Sanderling Resort, were undergoing significant renovations in 2024 and 2025, while Hawks Cay Resort Florida Keys changed property management companies in February 2025, which disrupted the performance temporarily, according to the servicer. Although the model indicated ratings for the class A, B, C, and D certificates were lower than the current outstanding ratings, we affirmed our ratings on these classes because we qualitatively considered the following: -- That the ongoing renovations at two of the hotels and the change in property management at the other may bolster performance beyond our revised expectations upon completion of the renovations and once the new property management strategy is implemented at the Hawks Cay Resort Florida Keys. -- The low-to-moderate debt per guestroom ($243,408 per collateral guestroom through class D). -- The significant market value decline that would need to occur before these classes experience principal losses. -- The temporary liquidity support provided in the form of servicer advancing. In addition, as of the June 2025 reporting period, there is a letter of credit totaling $33.0 million for brand mandated property improvement plans at five of the urban hotels. -- The relative position of these classes in the payment waterfall. S&P said, "The downgrade on class F to 'CCC (sf)' further reflects our qualitative consideration that its repayment is dependent upon favorable business, financial, and economic conditions and that this class is vulnerable to default. "At issuance, we applied a positive loan-level LTV threshold adjustment for the granularity and geographic diversity of the portfolio. As the number of properties remains unchanged, we maintained this adjustment in our current review. "We will continue to monitor the performance of the collateral properties and loan. If we receive information that substantially differs from our expectations, we may revisit our analysis and take additional rating actions as we determine appropriate." Property-Level Analysis Updates The portfolio comprises seven destination resort hotels and nine urban full-service hotels totaling 4,759 collateral keys and 224 condominium keys (4,983 total keys) in nine U.S. states. At issuance, the NCF for the resort hotels had rebounded after declining during the COVID-19 pandemic while the NCF for the urban properties remained significantly below pre-pandemic levels. At that time, we utilized a $211.60 RevPAR for the portfolio overall, anticipating improved performance for the urban properties as corporate and leisure travel to urban locations began to strengthen, and assumed that the performance of the resort hotels would temper somewhat when the strong leisure demand experienced immediately after the pandemic moderated. S&P said, "We derived a long-term sustainable NCF of $153.0 million for the 16-property portfolio, based on a 36.9% departmental expense ratio, which was in-line with the historical departmental expense level at the time, and a 24.7% NCF margin. Using a weighted-average S&P Global Ratings capitalization rate of 8.70% based on individual property quality, and adding $17.8 million to our value to account for our assumed $500,000 per guestroom floor value for the Ritz-Carlton San Francisco property, we arrived at an expected-case value for the portfolio of $1.776 billion, which was 42.2% below the $3.1 billion appraised value at issuance." The reported NCF for the nine urban properties has improved significantly since issuance, increasing to $64.2 million in the TTM ended March 2025, from $50.1 million at issuance. Simultaneously, RevPAR increased in 2023 and in the TTM ended March 2025 and NCF margins declined marginally from 24.4% to 23.1% during the same periods. However, the reported NCF for the seven resort hotels has declined significantly since issuance, to $45.2 million in the TTM ended March 2025 from $90.9 million. RevPAR decreased by 14.8% between issuance and the TTM ended March 2025. At the same time, expenses increased and the NCF margin for the resort hotels eroded to 12.8% in the TTM ended March 2025, from 23.9% at issuance. There were significant expense increases in the rooms and food and beverage departments, as well as in sales and marketing, repairs and maintenance, and utility expenses. As previously noted, however, renovations at two properties caused NCF disruption. The Ritz-Carlton Bacara, Santa Barbara underwent a comprehensive renovation of the guestrooms, food and beverage areas, and other public spaces, between July 2024 and June 2025, and The Sanderling Resort was under renovation between April 2024 and May 2025, including closure in January and February 2025. However, as these upgrades are substantially completed, S&P expects the performance of these hotels to rebound. Similarly, NCF for the Hawks Cay Resort Florida Keys declined by about 90% from issuance through the TTM ended March 2025. According to the sponsor, this was in part due to a change in the property management to EOS Hospitality LLC in February 2025, during the hotel's peak season. On the other hand, other hotels including the Fairmont Sonoma Mission Inn & Spa, experienced a NCF decline of 73% since issuance and the Ritz-Carlton Ft. Lauderdale experienced a NCF reduction of 44% since issuance, both due to significantly weaker demand in these drive-to markets in recent years. S&P said, "In our current property-level analysis, we arrived at a $126.9 million NCF using a 65.6% occupancy, $321.51 average daily rate, and $210.92 RevPAR, which is generally in-line with our issuance portfolio RevPAR, but we adjusted the NCF to reflect the portfolio's increasing expenses, resulting in an NCF margin of 19.7%. Our revised NCF is approximately 17.1% lower than at issuance, 16.0% above the NCF achieved in the TTM ended March 2025, but generally in line with 2023 and 2024 levels. Using an 8.77% S&P Global Ratings' capitalization rate, which is a weighted average of the same individual lodging property capitalization rates used at issuance, we derived an S&P Global Ratings' expected-case value of $1.64 billion, or $328,434 per guestroom. Our expected-case value included an add to value of $44.1 million for the Ritz-Carlton, San Francisco, assuming a floor value per key of $325,000, down from $500,000 at issuance and $144.9 million for the Hawks Cay Resort Florida Keys to attain a floor value of $450,000 per guestroom (considering the property's high barrier to entry location as well as the appraiser's $1.4 million per guestroom value at issuance). "Our revised expected-case value is 7.8% below our issuance value and 46.8% below the issuance "as-is" appraised value of $3.1 billion. This yielded an S&P Global Ratings' loan-to-value ratio of 115.2% on the trust balance." Transaction Summary The IO mortgage loan had an initial and current trust balance of $1.885 billion (as of the June 16, 2025, trustee remittance report) and pays an annual floating interest rate indexed to one-month term SOFR plus a 4.65% spread (will increase by 0.25% upon exercise of the third extension option). The loan, which has a reported current payment status, has an initial two-year term with three one-year extension options (the fully extended maturity date is Nov. 9, 2027) exercisable upon satisfying certain terms and conditions, including the borrower obtaining a replacement interest rate cap agreement and, with respect to the third extension term, the mortgage debt yield being equal to or greater than 8.0%. The loan currently matures Nov. 9, 2025. To date, the trust has not incurred any principal losses. Ratings Lowered WMRK Commercial Mortgage Trust 2022-WMRK Class E to 'B (sf)' from 'BB- (sf)' Class F to 'CCC (sf)' from 'B- (sf)' Ratings Affirmed WMRK Commercial Mortgage Trust 2022-WMRK Class A: AAA (sf) Class B: AA (sf) Class C: A- (sf) Class D: BBB- (sf) [] Moody's Takes Rating Action on 24 Bonds from 3 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 22 bonds and downgraded the ratings of two bonds from three US residential mortgage-backed transactions (RMBS), backed by Prime 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: Residential Asset Securitization Trust 2005-A12 Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 1, 2018 Downgraded to Caa2 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Aug 1, 2018 Downgraded to Caa2 (sf) Cl. A-3, Downgraded to Caa3 (sf); previously on Aug 1, 2018 Downgraded to Caa2 (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Aug 1, 2018 Downgraded to Ca (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on Sep 15, 2015 Downgraded to Ca (sf) Cl. A-7*, Upgraded to Caa1 (sf); previously on Oct 27, 2017 Confirmed at Ca (sf) Cl. A-8, Upgraded to Caa1 (sf); previously on Aug 1, 2018 Downgraded to Ca (sf) Cl. A-9*, Upgraded to Caa1 (sf); previously on Aug 1, 2018 Downgraded to Ca (sf) Cl. A-10, Upgraded to Caa1 (sf); previously on Aug 1, 2018 Downgraded to Caa2 (sf) Cl. A-11*, Upgraded to Caa1 (sf); previously on Aug 1, 2018 Downgraded to Caa2 (sf) Cl. A-12, Downgraded to Caa3 (sf); previously on Aug 1, 2018 Downgraded to Caa2 (sf) Cl. A-X*, Upgraded to Caa1 (sf); previously on Aug 21, 2018 Downgraded to Caa2 (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Aug 1, 2018 Downgraded to Caa3 (sf) Issuer: RFMSI Series 2007-S4 Trust Cl. A-2, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-5, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-6*, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-P, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Issuer: Structured Asset Mortgage Investments II Trust 2006-AR8 Cl. A-2, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on Dec 14, 2010 Downgraded to C (sf) Cl. A-4A, Upgraded to Caa3 (sf); previously on Dec 14, 2010 Downgraded to C (sf) Grantor Trust A-1B, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa2 (sf) Grantor Trust A-4B, Upgraded to Caa3 (sf); previously on Dec 14, 2010 Downgraded to C (sf) Grantor Trust A-4C, Upgraded to Caa3 (sf); previously on Dec 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 has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 17 Bonds from 10 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 17 bonds from ten US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AQ2 Cl. M-2, Upgraded to Caa2 (sf); previously on May 21, 2010 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2005-EC1 Cl. M-4, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE11 Cl. M-4, Upgraded to Caa2 (sf); previously on May 21, 2010 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2006-AC4 Cl. A-1, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Caa3 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2006-AQ1 Cl. I-1A-2, Upgraded to Caa1 (sf); previously on Oct 30, 2018 Upgraded to Caa2 (sf) Cl. I-1A-3, Upgraded to Caa1 (sf); previously on Oct 30, 2018 Upgraded to Caa3 (sf) Cl. I-2A, Upgraded to Caa1 (sf); previously on Aug 7, 2013 Upgraded to Caa2 (sf) Cl. II-A-2, Upgraded to Caa3 (sf); previously on Aug 7, 2013 Confirmed at Ca (sf) Cl. II-A-3, Upgraded to Caa3 (sf); previously on Mar 24, 2009 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2006-EC1 Cl. M-3, Upgraded to Caa1 (sf); previously on Jun 21, 2019 Upgraded to Caa2 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on May 21, 2010 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE1 Cl. I-M-4, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to C (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB7 Cl. M-3, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: People's Choice Home Loan Securities Trust 2005-2 Cl. M5, Upgraded to Caa3 (sf); previously on Mar 4, 2013 Affirmed C (sf) Issuer: Peoples Choice Home Loan Securities Trust 2005-4 Cl. 1A3, Upgraded to Caa1 (sf); previously on Sep 11, 2024 Downgraded to Caa2 (sf) Cl. M1, Upgraded to Caa3 (sf); previously on Mar 4, 2013 Affirmed C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or 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. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. 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 ***