250720.mbx

250720.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 20, 2025, Vol. 29, No. 200 Headlines A10 SINGLE 2023-GTWY: DBRS Cuts Class F Certs Rating to CCC ABPCI PRIVATE I: S&P Assigns BB- (sf) Rating on Class D Notes AGL CLO 19: Fitch Assigns 'BB-sf' Rating on Class E-R Notes AMERICAN CREDIT 2025-3: S&P Assigns Prelim 'BB-' Rating on E Notes AMMC CLO 23: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R3 Notes ANTARES CLO 2023-1: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ARES LXXVII: Fitch Assigns 'BB-sf' Rating on Class E Notes ARES XLV CLO: Moody's Ups Rating on $23.625MM Cl. E-R Notes to Ba2 ATLAS SENIOR XXV: Fitch Assigns 'BB-sf' Rating on Class E Notes BALLYROCK CLO 24: S&P Assigns BB- (sf) Rating on Class D-R Notes BANK 2017-BNK6: DBRS Confirms C Rating on 2 Classes BARCLAYS MORTGAGE 2025-NQM3: S&P Assigns B(sf) Rating on B-2 Notes BBCMS TRUST 2018-CBM: DBRS Confirms C Rating on Class F Certs BENCHMARK 2020-B21: Fitch Affirms 'Bsf' Rating on Two Tranches BENEFIT STREET XXIII: S&P Assigns BB- (sf) Rating on Cl. E-R Notes BLACKROCK MT. XV: S&P Assigns BB- (sf) Rating on Class E Notes BRIDGECREST LENDING 2025-3:S&P Assigns Prelim BB Rating on E Notes BX TRUST 2025-VLT7: DBRS Gives Prov. BB Rating on Class HRR Certs CANADIAN COMMERCIAL 2018-4: DBRS Confirms B Rating on G Certs CARVAL CLO XII-C: Fitch Assigns 'BB-sf' Rating on Class E Notes CATHEDRAL LAKE VI: Moody's Cuts Rating on $16MM Cl. E Notes to B1 CD MORTGAGE 2016-CD1: Moody's Cuts Rating on Class B Certs to Ba2 CHASE HOME 2025-8: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-5 Certs CLNY TRUST 2019-IKPR: DBRS Confirms BB Rating on Class D Certs COLT 2025-7: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs COMM 2016-DC2: Fitch Lowers Rating on Two Tranches to 'CCCsf' DAVIS PARK: Moody's Assigns (P)B3 Rating to $250,000 F-R Notes DROP MORTGAGE 2021-FILE: DBRS Confirms B Rating on Class D Certs EFMT 2025-INV3: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Certs EXETER SELECT 2025-2: S&P Assigns Prelim BB (sf) Rating on E Notes FANNIE MAE 2003-W1: Moody's Lowers Rating on Cl. B-1 Certs to Caa2 GENERATE CLO 21: S&P Assigns BB- (sf) Rating on Class E Notes GENERATE CLO 22: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes GOLUB CAPITAL 81(B): Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes GOODLEAP SUSTAINABLE 2023-1: S&P Places Notes Rating on Watch Neg. GREEN TREE 1997-7: S&P Lowers Class M- Certs Rating to 'D (sf)' GS MORTGAGE 2025-PJ6: DBRS Finalizes B(low) Rating on B5 Notes GS MORTGAGE 2025-RPL3: DBRS Finalizes B(high) Rating on B2 Notes HERTZ VEHICLE 2025-4: DBRS Finalizes BB Rating on Class D Notes HONO 2021-LULU: DBRS Confirms B(low) Rating on Class F Certs ICG US 2023-1: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes IVY HILL IX-R: S&P Assigns BB- (sf) Rating on Class E-R3 Notes JP MORGAN 2013-C13: Moody's Downgrades Rating on Cl. F Certs to B3 JP MORGAN 2025-CCM3: DBRS Finalizes B(low) Rating on B5 Certs JPMCC 2017-JP7: DBRS Cuts Class GRR Certs Rating to C KKR CLO 10: S&P Raises Class E-R Notes Rating to 'BB (sf)' KKR CLO 12: Moody's Affirms Ba3 Rating on $22MM Class E-R2 Notes MARANON LOAN 2023-1: S&P Assigns BB- (sf) Rating on Class E Notes MARATHON CLO 2021-16: S&P Assigns BB- (sf) Rating on Cl. D-R Notes MILE TRUST 2025-STNE: Moody's Assigns Ba3 Rating to Cl. E Certs MORGAN STANLEY 2014-150E: DBRS Confirms BB Rating on XB Certs MORGAN STANLEY 2025-DSC2: S&P Assigns Prelim B Rating on B-2 Certs MSBAM 2025-C35: Fitch Assigns 'B-(EXP)sf' Rating on Cl. F-RR Certs NAVESINK CLO 3: S&P Assigns Prelim BB-(sf) Rating on Class E Notes NEUBERGER BERMAN 32R: S&P Assigns Prelim BB-(sf) Rating on E Notes NEW RESIDENTIAL 2025-NQM4: S&P Assigns 'B-' Rating on B-2 Notes OAKTREE CLO 2023-2: S&P Assigns Prelim BB-(sf) Rating on E-R Notes OCP CLO 2016-11: S&P Assigns BB- (sf) Rating on Class E-R3 Notes OCP CLO 2023-28: S&P Assigns BB- (sf) Rating on Class E-R Notes OCP CLO 2023-28: S&P Assigns BB- (sf) Rating on Class E-R Notes OCTAGON 57: S&P Lowers Class E Notes Rating to 'B (sf)' ONITY LOAN 2025-HB1: DBRS Gives Prov. B Rating on Class M5 Notes OPORTUN ISSUANCE 2021-B: DBRS Confirms BB(high) Rating on D Notes OZLM FUNDING II: S&P Assigns B- (sf) Rating on Class F-R4 Notes PPM CLO 2018-1: Moody's Cuts Rating on $20.4MM Class E Notes to B1 PROVIDENT FUNDING 2025-3: Moody's Assigns (P)B2 Rating to B-5 Certs PRPM 2025-RCF3: DBRS Finalizes BB(low) Rating on Class M2 Notes RADIAN MORTGAGE 2025-J3: Fitch Gives B(EXP)sf Rating on B-5 Certs REALT 2021-1: DBRS Hikes Class G Certs Rating to B(high) REGATTA XXV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes RIN LLC VI: Moody's Assigns Ba3 Rating to $4.5MM Class E-R Notes SANDSTONE PEAK II: S&P Assigns Prelim 'BB-' Rating on Cl E-R Notes SHACKLETON 2019-XIV: Moody's Assigns Ba3 Rating to E-RR Notes SIGNAL PEAK 4: S&P Lowers Class F-R Notes Rating to 'CCC+ (sf)' SIXTH STREET XX: S&P Assigns B- (sf) Rating on Class F-R Notes SOLVE 2025-HEC1: DBRS Finalizes BB Rating on Class B Notes TALLMAN PARK: Fitch Assigns 'BB-(EXP)sf' Rating on Class E-R Notes UBS COMMERCIAL 2017-C4: S&P Lowers Cl. X-F Certs Rating to 'D(sf)' UNLOCK HEA 2025-1: DBRS Finalizes BB Rating on Class C Notes VERUS SECURITIZATION 2025-6: Moody's Assigns B1 Rating to B-2 Certs VERUS SECURITIZATION 2025-6: S&P Assigns B+ (sf) Rating on B2 Notes VERUS SECURITIZATION 2025-R1: S&P Assigns Prelim B(sf) on B-2 Notes VOYA CLO 2025-3: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes WELLFLEET CLO 2021-1: S&P Affirms BB- (sf) Rating on Class E Notes [] DBRS Confirms 13 Credit Ratings From 6 American Credit Trust [] Moody's Takes Rating Action on 15 Bonds from 5 US RMBS Deals [] Moody's Takes Rating Action on 29 Bonds From 8 US RMBS Deals [] Moody's Upgrades Ratings on 7 Bonds From 2 US RMBS Deals ********* A10 SINGLE 2023-GTWY: DBRS Cuts Class F Certs Rating to CCC ----------------------------------------------------------- DBRS Limited downgraded its credit ratings on two classes of the Commercial Mortgage Pass-Through Certificates, Series 2023-GTWY (the Certificates) issued by A10 Single Asset Commercial Mortgage 2023-GTWY (A10 SACM 2023-GTWY): -- Class E to B (low) (sf) from BB (low) (sf) -- Class F to CCC (sf) from B (low) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) Morningstar DBRS also placed all classes Under Review with Negative Implications and removed the existing trends on the credit ratings as credit ratings placed under review do not carry trends. The underlying loan for this transaction is secured by a Class A office property in Miami's Wynwood neighborhood. In July 2024, Morningstar DBRS assigned Negative trends to Classes D, E, and F to reflect concerns about the financial struggles of the borrower, who defaulted on the debt payments and subsequently filed for bankruptcy, as well as the potential for value deterioration for the collateral property, following delays in the borrower's business plan. With that review, Morningstar DBRS considered a conservative scenario wherein a haircut was applied to the Morningstar DBRS stabilized value at issuance of $92.2 million, concluding that even in a stressed-value scenario, the senior bonds remained protected from losses; however, the junior bonds were deemed to be potentially exposed to realized losses given the extended timeline and projected fees that would be incurred as part of the workout. For further information on that credit rating action, please see the press release dated July 17, 2024, on the Morningstar DBRS website. The credit rating downgrades for Classes E and F reflect Morningstar DBRS' increased loss projections, following an updated appraisal from October 2024, which provided as-is and stabilized values of $89.6 million and $105.9 million, respectively, representing substantial declines of approximately 45.0% from the issuance as-is and stabilized appraised values of $162.6 million and $193.2 million, respectively. Despite the collateral property's recent construction and desirable location, the overall challenges in the office landscape, softening submarket conditions, and the borrower's liquidity issues have significantly affected stabilization efforts, with occupancy most recently reported below the in-place figure of 66.1% at issuance. Morningstar DBRS analyzed a conservative liquidation scenario based on a haircut to the updated as-is appraised value. The resulting loss severity on the outstanding principal balance of the A note as of the June 2025 remittance was over 30.0%, suggesting realized losses would approach Class E, supporting the credit rating downgrades. The underlying loan transferred to special servicing in July 2024. The B-note holder has kept both senior and junior debt payments current to date, with the servicer advising that an assumption of the A-note debt by the B-note holder has been under consideration as part of the workout strategy. However, litigation is ongoing and while a bankruptcy sale is expected to close in July 2025, the borrower could file further motions objecting to the sale, which may cause further delays. As a result, Morningstar DBRS has elected to place all rated classes Under Review with Negative Implications until more information can be gathered regarding the resolution of the outstanding defaults and ultimate workout strategy. The transaction is secured by the borrower's fee simple interest in The Gateway at Wynwood (Gateway), a 219,532 square foot (sf) office building, and an adjacent 5,348 sf retail building (2830 N Miami) in Miami's Wynwood neighborhood. Gateway was developed by the sponsor, R&B Realty, and delivered in December 2021 while the 2830 N Miami building was built in 1936 and acquired by the sponsor in 2015. The subject floating-rate loan pays interest only (IO) and is structured with a three-year initial term and two one-year extension options, which can be exercised based on an approval of the bondholders with no performance thresholds within the loan documents. Of the $92.0 million A note, $80.5 million was initially contributed to the trust; the remaining $11.5 million represents future funding for accretive leasing. According to the servicer, $11.2 million of future funding commitments remains available for leasing once the loan is cured. As of the December 2024 rent roll, the property was 64.0% occupied with an average rental rate of $65.00 per square foot (psf), below the issuance figures of 66.1% and $66.18 psf, respectively. Since issuance, Thoma Bravo (9.3% of the net rentable area (NRA)) vacated in August 2024, with minimal rollover during the remainder of the loan term. Two tenants signed new leases, Central Rock Gym (4.6% of the NRA, lease expiring January 2025) and Simon Miami (1.8% of the NRA, lease expiring December 2026). In addition, Spearmint Energy (3.5% of the NRA) expanded to nearly twice its footprint, signing an extension through February 2030. Base rental rates for new leases and extensions have ranged from $65.00 psf to $67.00 psf. According to Reis, comparable Class A office properties within a two-mile radius of the subject property reported average asking rental rates of $61.56 psf and a vacancy of 27.8%. At issuance, Morningstar DBRS derived a stabilized net operating income (NOI) of $8.6 million, which assumed a vacancy rate of 15.0%, giving credit to the $14.8 million of upfront leasing reserves designated and available for speculative leasing. The low in-place occupancy rate has kept cash flow well below Morningstar DBRS' issuance expectations, with the servicer reporting net operating income (NOI) of $5.6 million as of YE2024. 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. ABPCI PRIVATE I: S&P Assigns BB- (sf) Rating on Class D Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to ABPCI Private Funding I LLC's floating-rate debt. The debt issuance is a middle market loan facility governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by AB Private Credit Investors LLC. The 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 ABPCI Private Funding I LLC Class A-R loans(i), $65 million: AA (sf) Class A-T loans(ii), $0 million: AA (sf) Class A-D1 loans(iii), $216 million: AAA (sf) Class A-D2 loans(iii), $44 million: AA (sf) Class B, $45 million: A (sf) Class C (deferrable), $35 million: BBB- (sf) Class D (deferrable), $35 million: BB- (sf) Subordinated notes, $60 million: Not rated (i)Revolving loan tranche with the maximum amount listed. The rating on the class A-R loans addresses only the full and timely payment of principal and the base interest amount and does not consider any capped amounts. (ii)The class A-R loans can be converted into class A-T loans. (iii)Delayed draw loan tranche with maximum amount listed. Class A-R and A-D loans will be paid pro rata, with classes A-D1 and A-D2 paid sequentially within the class A-D distribution. AGL CLO 19: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 19 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- AGL CLO 19 Ltd. X-R LT AAAsf New Rating A-1 001210AA1 LT PIFsf Paid In Full AAAsf A-1-R LT NRsf New Rating A-2 001210AL7 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B-1 001210AC7 LT PIFsf Paid In Full AAsf B-2 001210AE3 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 001210AG8 LT PIFsf Paid In Full A+sf C-R LT Asf New Rating D 001210AJ2 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 001211AA9 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary AGL CLO 19 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.83, 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 99.85% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.81% 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-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 X-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 19 Ltd. . In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. AMERICAN CREDIT 2025-3: S&P Assigns Prelim 'BB-' Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to American Credit Acceptance Receivables Trust 2025-3'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 15, 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 63.66%, 57.00%, 46.80%, 37.87%, and 33.23%, credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.35x, 2.10x, 1.70x, 1.37x, and 1.20x coverage of S&P's expected cumulative net loss of 26.75% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.37x 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 S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans and any subsequent receivables that will be added during the prefunding period, S&P's view of the collateral's credit risk, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of American Credit Acceptance LLC as servicer, and its view of the company's underwriting and backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned American Credit Acceptance Receivables Trust 2025-3 Class A, $239.40 million: AAA (sf) Class B, $51.00 million: AA (sf) Class C, $93.00 million: A (sf) Class D, $83.10 million: BBB (sf) Class E, $52.50 million: BB- (sf) AMMC CLO 23: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R3 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class B-R3, C-R3, D-1-R3, D-2-R3, and E-R3 debt from AMMC CLO 23 Ltd./AMMC CLO 23 LLC, a CLO managed by American Money Management Corp. that was originally issued in November 2020 and underwent a second refinancing in May 2024. The preliminary ratings are based on information as of July 11 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 17, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to July 17, 2027. -- The reinvestment period will be extended to July 17, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to July 17, 2038. -- Additional assets will be purchased on the July 17, 2025, refinancing date, and the target initial par amount will increase to $350 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 17, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- An additional $9 million in subordinated notes will be issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned AMMC CLO 23 Ltd./AMMC CLO 23 LLC Class A-R3, $224.00 million: NR Class B-R3, $42.00 million: AA (sf) Class C-R3 (deferrable), $21.00 million: A (sf) Class D-1-R3 (deferrable), $21.00 million: BBB- (sf) Class D-2-R3 (deferrable), $3.50 million: BBB- (sf) Class E-R3 (deferrable), $10.50 million: BB- (sf) Other Debt AMMC CLO 23 Ltd./AMMC CLO 23 LLC Subordinated notes, $40.14 million: NR NR--Not rated. ANTARES CLO 2023-1: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, B-R, C-R, D-R, and E-R debt and new class A-2-R debt from Antares CLO 2023-1 Ltd./Antares CLO 2023-1 LLC, a CLO managed by Antares Capital Advisers LLC that was originally issued in March 2023. At the same time, S&P withdrew its ratings on the original class A, B, C, D, and E debt following payment in full on the July 10, 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 10, 2027. -- The reinvestment period was extended to July 25, 2029. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 25, 2037. -- Additional assets to the tune of $500 million will be purchased in connection with the refinancing, bringing the target initial par amount to $1 billion. An additional effective date will take place on Oct. 25, 2025, which is the first payment date following the refinancing. -- New class A-2-R debt was issued on the refinancing date, and class B-R is comprised solely of notes. -- The required minimum overcollateralization and interest coverage ratios were amended. -- Additional subordinated notes amounting to $57.01 million were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "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 Antares CLO 2023-1 Ltd./Antares CLO 2023-1 LLC Class A-1-R, $545.0 million: AAA (sf) Class A-2-R, $75.0 million: AAA (sf) Class B-R, $75.00 million: AA (sf) Class C-R (deferrable), $70.0 million: A (sf) Class D-R (deferrable), $55.0 million: BBB- (sf) Class E-R (deferrable), $60.0 million: BB- (sf) Ratings Withdrawn Antares CLO 2023-1 Ltd./Antares CLO 2023-1 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class B loans to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Antares CLO 2023-1 Ltd./Antares CLO 2023-1 LLC Subordinated notes, $107.34 million: NR NR--Not rated. ARES LXXVII: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares LXXVII CLO Ltd. Entity/Debt Rating ----------- ------ Ares LXXVII CLO Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinate LT NRsf New Rating Transaction Summary Ares LXXVII CLO Ltd. (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 $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, 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 96.58% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.95% 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 that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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, between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. ESG Considerations Fitch does not provide ESG relevance scores for Ares LXXVII CLO 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. ARES XLV CLO: Moody's Ups Rating on $23.625MM Cl. E-R Notes to Ba2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Ares XLV CLO Ltd.: US$36.75M Class D-R Mezzanine Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Dec 11, 2024 Assigned A3 (sf) US$23.625M Class E-R Mezzanine Deferrable Floating Rate Notes, Upgraded to Ba2 (sf); previously on Dec 11, 2024 Assigned Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$114.111M (Current outstanding amount US$43,715,016) Class A-R Senior Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 11, 2024 Assigned Aaa (sf) US$53.813M Class B-R Senior Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 11, 2024 Assigned Aaa (sf) US$27.562M Class C-R Mezzanine Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 11, 2024 Assigned Aaa (sf) Ares XLV CLO Ltd., issued in October 2017 and refinanced in December 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Ares CLO Management II LLC. The transaction's reinvestment period ended in October 2022. RATINGS RATIONALE The rating upgrades on the Class D-R and Class E-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 December 2024. The affirmations on the ratings on the Class A-R, Class B-R and Class C-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 USD70.4 million (20.6% of original balance) since the last rating action in December 2024 and USD297.5 million (87.2%) 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 209.9%, 163.7%, 126.5% and 110.4% compared to December 2024[2] levels of 166.0%, 142.6%, 120.0% and 108.9%, respectively. Moody's notes that the July 2025 principal payments are not reflected in the reported OC ratios. 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: USD210.4 million Defaulted Securities: USD138,893 Diversity Score: 45 Weighted Average Rating Factor (WARF): 3417 Weighted Average Life (WAL): 3.2 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.1% Weighted Average Recovery Rate (WARR): 46.7% Par haircut in OC tests and interest diversion test: 3.0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' 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. ATLAS SENIOR XXV: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Atlas Senior Loan Fund XXV, Ltd. Entity/Debt Rating ----------- ------ Atlas Senior Loan Fund XXV, Ltd. X LT AAAsf New Rating A1 LT AAAsf New Rating AJ LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D1 LT BBB-sf New Rating DJ LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Atlas Senior Loan Fund XXV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Crescent Capital Group LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.58, 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 98.06% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.81% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A1, between 'BBB+sf' and 'AA+sf' for class AJ, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D1, between less than 'B-sf' and 'BB+sf' for class DJ, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A1 and class AJ notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D1, 'BBB+sf' for class DJ, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. ESG Considerations Fitch does not provide ESG relevance scores for Atlas Senior Loan Fund XXV, 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. BALLYROCK CLO 24: S&P Assigns BB- (sf) Rating on Class D-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-1-R, C-2-R, and D-R debt from Ballyrock CLO 24 Ltd./Ballyrock CLO 24 LLC, a CLO managed by Ballyrock Investment Advisors LLC that was originally issued in June 2023. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B, C, and D debt following payment in full on the July 11, 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 15, 2027. -- The reinvestment period was extended to July 15, 2030. -- The legal final maturity date for the replacement debt and the existing subordinated notes was extended to July 15, 2038. -- The target initial par amount will remain at $450 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2025. The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. 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 Ballyrock CLO 24 Ltd./Ballyrock CLO 24 LLC Class A1-R, $288.00 million: AAA (sf) Class A2-R, $54.00 million: AA (sf) Class B-R (deferrable), $27.00 million: A (sf) Class C1-R (deferrable), $27.00 million: BBB- (sf) Class C2-R (deferrable), $4.50 million: BBB- (sf) Class D-R (deferrable), $13.50 million: BB- (sf) Ratings Withdrawn Ballyrock CLO 24 Ltd./Ballyrock CLO 24 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AA (sf)' Class B to NR from 'A (sf)' Class C to NR from 'BBB (sf)' Class D to NR from 'BB- (sf)' Other Debt Ballyrock CLO 24 Ltd./Ballyrock CLO 24 LLC Subordinated notes, $42.00 million: NR NR--Not rated BANK 2017-BNK6: DBRS Confirms C Rating on 2 Classes --------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-BNK6 issued by BANK 2017-BNK6 as follows: -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class X-D at BBB (low) (sf) -- Class D at BB (high) (sf) -- Class X-E at CCC (sf) -- Class E at CCC (sf) -- Class X-F at C (sf) -- Class F at C (sf) In addition, Morningstar DBRS maintained the Negative trends on Classes B, C, D, X-B, and X-D. All other classes have Stable trends with the exception of Classes E, F, X-E, and X-F which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. At the previous credit rating action in August 2024, Morningstar DBRS downgraded its credit ratings on Classes C, D, E, F, X-B, X-D, X-E, and X-F to reflect the increased loss projections across several distressed assets suggesting realized losses could fully erode the unrated Class G certificate balance and slightly reduce the Class F certificate balance. At that time, various distressed office assets exhibited performance and/or value declines along with an increased propensity for interest shortfalls, which were the primary considerations for the trend changes to Negative from Stable on Classes B, C, D, X-B, and X-D with the July 2024 review cycle. The credit rating confirmations and Stable trends reflect the increased credit support to the certificates following the full repayment of the second-largest loan in the pool, Gateway Net Lease Portfolio (previously 6.3% of the pool balance), with the September 2024 remittance. In addition, the overall pool remains healthy with the majority of loans secured by retail collateral and a weighted-average (WA) debt service coverage ratio (DSCR) of 2.09 times (x). The pool also benefits from the two largest loans in the pool, which are shadow-rated investment grade and account for 19.5% of the current pool balance. The Negative trends are reflective of Morningstar DBRS' outlook for several office-backed loans in the top 15 that have exhibited increased refinance risk because of declines in performance and value, most notably the Hall Office G4 loan (Prospectus ID#16; 2.2% of the current pool balance), which is secured by a suburban Texas office property that is fully dark. The recent transfer of the Starwood Capital Group Hotel Portfolio (Prospectus ID#4; 7.7% of the current pool balance) loan to special servicing may also contribute to increased refinance risk as the loan matures in June 2027. Morningstar DBRS notes that the bulk of accumulated interest shortfalls, including all shorted interest on Classes E and F, was repaid with the June 2025 remittance cycle as part of the sale of the Trumbull Marriott loan (Prospectus ID#12; 2.5% of the current pool balance), details of which are outlined below. Interest shortfalls are now contained to the unrated Class G certificate. Morningstar DBRS also notes that credit support has deteriorated, most notably for the Class B and C certificates as a result of the liquidation and loss projections, the primary considerations for maintaining the Negative trends on those classes. As of the June 2025 remittance, 62 of the original 72 loans remained in the trust with an aggregate balance of $747.0 million, representing a collateral reduction of 20.0% since issuance. To date, seven loans, representing 6.8% of the current pool balance, have defeased. The pool is concentrated by property type, with retail, office, and mixed-use collateral representing 30.8%, 17.0%, and 15.4% of the pool, respectively. Since the previous credit rating action, Gateway Net Lease Portfolio (previously 6.3% of the pool balance) was fully repaid with the September 2024 payment period. In addition, the Trumbull Marriott loan was liquidated from the trust and reflected with the June 2025 reporting cycle. Realized losses totaling $19.4 million compared favorably with the $19.6 million projected loss at Morningstar DBRS' previous credit rating action in August 2024. The Starwood Capital Group Hotel Portfolio loan represents the transaction's only special serviced loan. The loan, which is secured by 65 lodging properties (35% extended stay, 59% limited service, and 6% full service) totaling 6,366 keys across 21 states, transferred to special servicing in February 2025 for imminent default and remains current as of the June 2025 reporting. According to recent servicer commentary, the borrower and servicer are discussing a loan modification, however, no further details were provided. As of April 2025, there was approximately $41.2 million in reserves including $19.2 million in swept cash and $16.6 million in a furniture, fixtures, and equipment reserve. According to the December 2024 reporting, the consolidated revenue per available room penetration rate was 103.3%, with an annualized September 2024 net cash flow (NCF) of $34.5 million (reflecting a DSCR of 1.32x) compared with the YE2023 NCF of $37.4 million NCF (a DSCR of 1.43x). The drop in cash flow is attributed to increased repairs, advertising, and marketing expenses. The collateral was last appraised at issuance at a value of $956.0 million, however, Morningstar DBRS expects the value of the collateral has likely declined since that time. As a result of the recent transfer to special servicing, Morningstar DBRS applied an elevated probability of default assumption in the analysis for this review, resulting in an expected loss that was almost four times the pool average. Ten loans, representing 10.2% of the current pool balance, are on the servicer's watchlist being monitored for performance concerns, deferred maintenance items, and the occurrence of trigger events, and one loan, representing 7.9% of the current pool balance, is in special servicing. Morningstar DBRS is most concerned about The Hall Office G4 loan, which is secured by a 117,500 square foot Class B suburban office building in Frisco, Texas. The loan was added to the servicer's watchlist in November 2020 for upcoming lease expirations primarily related to the former largest tenant, Randstad Professional (Randstad; previously 34.9% of net rentable area (NRA)). Randstad subsequently vacated the property in August 2021, triggering a cash flow sweep. In February 2022, the second-largest tenant, Schlumberger (previously 33.4% of NRA), also vacated the property after its lease expired, causing the occupancy rate to fall to just 16.0%. Consequently, cash flow and DSCR have declined as the borrower has not been successful in backfilling the vacant space. A property inspection report dated March 2025 indicated that the only remaining tenant, University of Northern Texas (16.0% of NRA), had also vacated the property ahead of its lease expiration in December 2025, although the tenant continues to pay rent at a rate of $25.30 per square foot. According to Reis, office properties in the Plano/Allen submarket reported a Q1 2025 vacancy rate of 27.8% compared with the Q1 2024 vacancy rate of 28.3%. No updated appraisal has been provided since issuance when the property was valued at $25.8 million; however, given the sponsor's inability to backfill vacant space, combined with soft submarket fundamentals and general challenges for office properties in suburban Texas, Morningstar DBRS expects that the collateral's value has likely declined significantly, elevating the credit risk to the trust. Morningstar DBRS' liquidation scenario considered a conservative haircut to the property's appraised value at issuance, resulting in a loss severity of 77.0%. At issuance, Morningstar DBRS shadow-rated three loans; General Motors Building (Prospectus ID#1; 11.7% of the pool), Gateway Net Lease Portfolio (previously 6.3% of the pool), and Del Amo Fashion Center (Prospectus ID#3; 7.2% of the pool)¿as investment grade. With this review, Morningstar DBRS maintained the shadow ratings on the General Motors Building and Del Amo Fashion Centre loans and the Gateway Net Lease Portfolio loan was repaid in full, as outlined above. Morningstar DBRS confirms that the characteristics of the two loans remain consistent with the investment-grade shadow ratings, as supported by the strong credit metrics, strong sponsorship strength, and the historically stable performance of the collateral underlying those loans. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. BARCLAYS MORTGAGE 2025-NQM3: S&P Assigns B(sf) Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Barclays Mortgage Loan Trust 2025-NQM3's mortgage-backed securities. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family residential properties, and manufactured housing. The pool consists of 971 loans backed by 982 properties, which are non-qualified mortgage (non-QM)/ability-to-repay (ATR)-compliant and ATR-exempt. After S&P assigned its preliminary ratings on July 3, 2025, the issuer resized some of the classes, with credit enhancement increasing or remaining the same for some classes. The issuer also added initial exchangeable class A-1A and A-1B notes, which together, can be exchanged for the exchangeable class A-1 notes. In terms of payment priority, when a performance trigger trips, classes A-1A and A-1B will receive interest and interest carryforward amounts sequentially, followed by principal from principal remittance amounts (i.e., in IIPP priority, where I is interest and P is principal). The class B-1 note rate was priced at a net weighted average coupon (WAC) rate. After analyzing the final coupons and the updated structure, our assigned ratings are unchanged from the preliminary ratings. The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P's U.S. outlook, which considers its current projections for economic growth, unemployment rates, and interest rates, as well as our view of U.S. housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned(i) Barclays Mortgage Loan Trust 2025-NQM3 Class A-1A, $238,401,000: AAA (sf) Class A-1B, $39,470,000: AAA (sf) Class A-1, $277,871,000: AAA (sf) Class A-2, $28,814,000: AA (sf) Class A-3, $42,233,000: A (sf) Class M-1, $17,762,000: BBB (sf) Class B-1, $12,630,000: BB (sf) Class B-2, $9,868,000: B (sf) Class B-3, $5,526,469: NR Class SA, $37,836: NR Class XS, notional(ii): NR Class PT, $394,742,305: NR Class R, not applicable: NR (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the net WAC shortfall amounts. (ii)On any payment date, the class XS notes will have a notional amount equal to the aggregate unpaid principal balance of the mortgage loans as of the first day of the related collection period and will not be entitled to payments of principal. NR--Not rated. BBCMS TRUST 2018-CBM: DBRS Confirms C Rating on Class F Certs ------------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on four classes of the Commercial Mortgage Pass-Through Certificates, Series 2018-CBM issued by BBCMS Trust 2018-CBM as follows: -- Class B to AA (sf) from AA (high) (sf) -- Class C to A (sf) from A (high) (sf) -- Class D to B (high) (sf) from BB (high) (sf) -- Class E to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed its credit ratings on the following classes: -- Class A at AAA (sf) -- Class F at C (sf) The trends on all classes are Stable, with the exception of Classes E and F, as the credit ratings assigned typically do not carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades reflect the increased credit risk to the transaction from a decline in collateral net cash flow (NCF), resulting in downward pressure in the loan-to-value (LTV) sizing benchmarks, which Morningstar DBRS updated in its analysis with this review. Given the loan transferred to special servicing in August 2023 and the servicer continues to evaluate multiple resolution strategies, Morningstar DBRS also considered a liquidation scenario in its current analysis based on a 25.0% haircut to the August 2024 appraised value. Inclusive of additional estimated servicer advances and liquidation expenses, the analysis suggests a loss of approximately $88.7 million, compared with analyzed liquidated losses of $27.6 million in Morningstar DBRS' previous credit rating action in July 2024, which was conducted based on a haircut to the October 2023 appraised value. The current loss projection would fully erode the balance of Class F and partially erode the Class E balance, supporting the credit rating downgrade to Class E, as well as for Classes B through D given the reduced credit support. The $415.0 million floating-rate underlying loan is secured by a portfolio of 30 Courtyard by Marriott select-service hotels, totaling 4,379 rooms across 15 states, that are operated and managed by Marriott Corporation under a management agreement that expires in December 2035. The portfolio is heavily concentrated in California (29.8% of allocated loan amount (ALA)), Michigan (10.8% of ALA), and Florida (9.6% of ALA). There is also $135.0 million of mezzanine debt held outside of the trust. As noted above, at the previous credit rating action, Morningstar DBRS downgraded Classes D through F based on a liquidation scenario. The downgrades reflected the portfolio's sustained NCF declines below pre-pandemic levels, which contributed to the borrower's inability to refinance or meet the requirements for an extension at the July 2023 maturity date. Morningstar DBRS noted the vast differential between pre-pandemic cash flows and recently reported figures suggested it would be unlikely that collateral performance would return to issuance expectations, leading to a higher probability for the servicer to pursue foreclosure as a workout strategy. The nonperforming matured loan remains in special servicing with the most recent servicer reported NCF of $27.1 million as of the T-12 period ended March 31, 2025, representing a slight increase from the YE2024 figure of $26.0 million but significantly down from the YE2023 figure of $36.8 million and the pre-pandemic figure of $49.8 million at issuance. This is contrary to previously observed trends as NCF had increased between YE2020 and YE2023. The portfolio reported a T-12 ended March 31, 2025, consolidated occupancy rate, average daily rate, and revenue per available room (RevPAR) of 64.2%, $144.20, and $92.58, respectively, which is relatively unchanged from the servicer reported RevPAR for the last two years and only slightly below the issuance RevPAR of $93.73. Departmental revenue has consistently increased year over year, surpassing pre-pandemic levels as of YE2024; however, there have also been substantial increases to operating expenses, which have outpaced revenue growth, largely driven by increases to property insurance and real estate taxes. As these expense increases are expected to persist, Morningstar DBRS maintains its viewpoint that cash flow will not return to issuance levels. In the analysis for this review, Morningstar DBRS derived a stressed portfolio value of $372.3 million based on a 25.0% haircut to the July 2024 appraised value, suggesting an implied cap rate of 7.3% on the T-12 March 2025 NCF figure, resulting in negative credit ratings pressure throughout the capital stack. The updated valuation represents an LTV of 111.3% for the trust debt and a -44.8% variance to the issuance appraised value. The credit rating on Class C is higher than the results implied by the LTV sizing benchmarks by three or more notches. This variance is warranted given Morningstar DBRS' conservative liquidation scenario suggests the class remains well insulated against liquidated losses, with cushion of $186.3 million in Classes D through F, which have below-investment-grade credit ratings. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2020-B21: Fitch Affirms 'Bsf' Rating on Two Tranches -------------------------------------------------------------- Fitch Ratings has affirmed 19 classes of Benchmark 2020-B20 Mortgage Trust (BMARK 2020-B20). The Rating Outlooks for classes D, E, X-D, F, X-F, G and X-G remain Negative. Fitch has also affirmed 16 classes of Benchmark 2020-B21 Mortgage Trust (BMARK 2020-B21). The Outlooks on affirmed classes B, C, X-B, D, E and X-D have been revised to Negative from Stable. The Outlooks for classes F, X-F, G and X-G remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BMARK 2020-B21 A-2 08163LAC3 LT AAAsf Affirmed AAAsf A-4 08163LAE9 LT AAAsf Affirmed AAAsf A-5 08163LAG4 LT AAAsf Affirmed AAAsf A-AB 08163LAJ8 LT AAAsf Affirmed AAAsf A-S 08163LAQ2 LT AAAsf Affirmed AAAsf B 08163LAS8 LT AA-sf Affirmed AA-sf C 08163LAU3 LT A-sf Affirmed A-sf D 08163LBC2 LT BBBsf Affirmed BBBsf E 08163LBE8 LT BBB-sf Affirmed BBB-sf F 08163LBG3 LT BBsf Affirmed BBsf G 08163LBJ7 LT Bsf Affirmed Bsf X-A 08163LAL3 LT AAAsf Affirmed AAAsf X-B 08163LAN9 LT A-sf Affirmed A-sf X-D 08163LBU2 LT BBB-sf Affirmed BBB-sf X-F 08163LAW9 LT BBsf Affirmed BBsf X-G 08163LAY5 LT Bsf Affirmed Bsf BMARK 2020-B20 A-S 08162XBL7 LT AAAsf Affirmed AAAsf A-SB 08162XBH6 LT AAAsf Affirmed AAAsf A2 08162XBD5 LT AAAsf Affirmed AAAsf A3 08162XBE3 LT AAAsf Affirmed AAAsf A4 08162XBF0 LT AAAsf Affirmed AAAsf A5 08162XBG8 LT AAAsf Affirmed AAAsf B 08162XBM5 LT AA-sf Affirmed AA-sf C 08162XBN3 LT A-sf Affirmed A-sf D 08162XAL8 LT BBBsf Affirmed BBBsf E 08162XAN4 LT BBB-sf Affirmed BBB-sf F 08162XAQ7 LT B+sf Affirmed B+sf G 08162XAS3 LT B-sf Affirmed B-sf H 08162XAU8 LT CCCsf Affirmed CCCsf X-A 08162XBJ2 LT AAAsf Affirmed AAAsf X-B 08162XBK9 LT A-sf Affirmed A-sf X-D 08162XAA2 LT BBB-sf Affirmed BBB-sf X-F 08162XAC8 LT B+sf Affirmed B+sf X-G 08162XAE4 LT B-sf Affirmed B-sf X-H 08162XAG9 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 5.1% in BMARK 2020-B20 and 3.7% in BMARK 2020-B21 compared with 5.4% and 2.8%, respectively, at Fitch's prior rating action. Fitch Loans of Concern (FLOCs) comprise six loans (18.3% of the pool) in BMARK 2020-B20, including one specially serviced REO asset (2.8%), and eight loans (25.5%) in BMARK 2020-B21, including two loans (3.3%) in special servicing. BMARK 2020-B20: The affirmations in the BMARK 2020-B20 transaction reflect generally stable pool performance and loss expectations since the prior rating action. The Negative Outlooks in BMARK 2020-B20 are driven by ongoing concerns regarding the ultimate resolution of the REO Troy Technology Park asset (2.8%) due to continued performance declines and a prolonged asset sale timeline, as well as the pool's high concentration of office loans (53.4%). In particular, the pool has a significant exposure to single-tenant office loans, which represent 29.7% of the pool, including the following properties: Moffett Place - Building 6 (8.7%), Northern Trust Office (4.7%), Coleman Highline (4.7%), Skywater Technology HQ (4.0%), 2010 South Lamar (3.7%), USAA Plano (2.9%), and 3861 Sepulveda Boulevard (1.1%). Vacancy or availability has been noted at Northern Trust Office and 2010 South Lamar; however, this is partially mitigated by existing leases in place at Northern Trust Office through 2032 and at 2010 South Lamar through 2030. BMARK 2020-B21: The affirmations in the BMARK 2020-B21 transaction reflect increasing pool loss expectations that have been offset by increasing credit enhancement (CE) since the prior rating action due to paydown. The Negative Outlooks in BMARK 2020-B21 reflect the pool's elevated office concentration of 36.6% and potential for downgrades if recoveries for the specially serviced 212 East 47th Street loan (0.8%) are lower than expected and/or performance of the office FLOCs, including 32-42 Broadway (7.2%), The Standard (2.8%) and 3100 Research Boulevard (1.0%), continues to deteriorate beyond current expectations. Largest Contributors to Loss: The largest contributor to overall loss expectations in BMARK 2020-B20 is the REO Troy Technology Park (2.8%) asset, a 425,192-sf, mixed-use (flex industrial/R&D and office) property located in Troy, MI, 15 miles north of downtown Detroit. The loan transferred to special servicing in December 2023 due to mortgage fraud by the borrower and the asset became REO in July 2024. Servicer updates indicate the asset was marketed for sale with interest received from a prospective buyer. March 2025 occupancy has fallen to 75% from 86% at issuance. Fitch's 'Bsf' rating case loss of 62.2% (prior to concentration adjustments) reflects a Fitch-stressed value of $39 psf, which is approximately 73.0% below the issuance appraisal. The largest increase in loss since the prior rating action in BMARK 2020-B20 is the Point West Portfolio loan (4.6%), secured by three office buildings totaling 346,227 sf and one retail pad site in Sacramento, CA. The largest tenant is the Social Security Administration, a GSA tenant, occupying 7.6% of the NRA, with lease expiration in January 2026. Upcoming lease rollover includes 8.2% of the NRA in 2025 and 18.5% in 2026, which includes the Social Security Administration. Fitch's 'Bsf' rating case loss of 7.1% (prior to concentration adjustments) reflects a 10% cap rate and 20% stress to the September 2024 NOI which reflects concerns with lease rollover and GSA tenant exposure. The largest contributor to overall pool loss expectations and the largest increase in loss since the prior rating action in BMARK 2020-B21 is The Standard loan (2.8%), secured by a 284,459-sf office property located in Farmington Hills, MI. The largest tenant, TD Auto Finance (54.5% of the NRA) vacated the property at lease expiration in May 2025 which triggered a cash sweep. According to CoStar, 188,000 sf (66.1%) is listed as available for direct lease, which includes the entire space of TD Auto Finance. Due to the departure of the major tenant, occupancy declined to 35%, with a projected decline in NOI DSCR to 0.95x. Fitch's 'Bsf' rating case loss of 29.4% (prior to concentration adjustments) reflects a 10.5% cap rate, 20% stress to the YE 2024 NOI and factors a higher probability of default due to the departure of the major tenant, high availability and term default risk. The second largest increase in loss expectations since the prior rating action in BMARK 2020-B21 is the 3100 Research Boulevard loan (1.0%), secured by a 313,575-sf office/research building in Kettering, OH. Occupancy declined further to 37% as of March 2025, down from 44% at YE 2024 and 56% at YE 2023. The decline is primarily attributable to the departure of major tenant, BWI North America (17.1%) at lease expiration in February 2025, as well as the downsize of the largest tenant, Xerion Advanced Battery (from 19.2% to 17.4%), and the General Services Administration (from 20.9% to 8.7%). Near-term lease rollover includes 27.9% of the NRA in 2025, including major tenants, Xerion Advanced Battery and Dayton Regional STEM School. Updates regarding the renewal status of these tenants were unavailable. Fitch's 'Bsf' rating case loss of 32.8% (prior to concentration adjustments) reflects a 11.5% cap rate, 20% stress to the YE 2024 NOI and factors a higher probability of default to account for imminent rollover risk and heightened default risk due to occupancy and cashflow declines. The third-largest increase in loss since the prior rating action in BMARK 2020-B21 is the 32-42 Broadway loan (7.2%), secured by two adjacent office buildings totaling 521,573 sf, located in the Financial District of Lower Manhattan. Property performance has declined since issuance, with March 2025 occupancy falling to 71% from 90% at issuance. The decline is primarily due to the departure of major tenant, Magilla Entertainment (6.6%) at lease expiration in September 2024. Fitch's 'Bsf' rating case loss of 7.8% (prior to concentration adjustments) reflects a 9.25% cap rate and 15% stress to the YE 2024 NOI to reflect the occupancy decline. Increased CE: As of the June 2025 distribution date, the aggregate balances of the BMARK 2020-B20 and BMARK 2020-B21 transactions have been paid down by 4.8% and 3.8%, respectively, since issuance. The BMARK 2020-B20 transaction includes one loan (3.0% of the pool) that has fully defeased and BMARK 2020-B21 has no defeased loans. Cumulative interest shortfalls of $157,134 are affecting the non-rated class NR in BMARK 2020-B20 and $38,652 is affecting the non-rated class H in BMARK 2020-B21. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' rated classes are not expected due to the increasing CE, position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if performance and/or valuation of the FLOCs/specially serviced loans, deteriorate further or fail to stabilize. These FLOCs include Troy Technology Park and Point West Portfolio in BMARK 2020-B20, and The Standard, 3100 Research Boulevard, 32-42 Broadway and 212 East 47th Street in BMARK 2020-B21. Downgrades to classes rated in the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and/or with 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 should additional loans be 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 Troy Technology Park and Point West Portfolio in BMARK 2020-B20, and The Standard, 3100 Research Boulevard, 32-42 Broadway and 212 East 47th Street in BMARK 2020-B21. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected and would only occur with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET XXIII: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1-R, B-1-R, C-R, D-R, and E-R debt from Benefit Street Partners CLO XXIII Ltd./Benefit Street Partners CLO XXIII LLC, a CLO managed by BSP CLO Management LLC that was originally issued in April 2021. At the same time, S&P withdrew its ratings on the original class A-1, B-1, C, D, and E debt following payment in full on the July 16, 2025, refinancing date. S&P also affirmed its ratings on the class A-2 and B-2 debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended by approximately 3 years to April 25, 2026. -- No additional assets were purchased on the July 16, 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. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $347.00 million: Three-month CME term SOFR + 1.10% -- Class B-1-R, $25.50 million: Three-month CME term SOFR + 1.55% -- Class C-R (deferrable), $36.00 million: Three-month CME term SOFR + 1.80% -- Class D-R (deferrable), $36.00 million: Three-month CME term SOFR + 2.90% -- Class E-R (deferrable), $21.00 million: Three-month CME term SOFR + 5.25% Original debt -- Class A-1, $347.00 million: Three-month CME term SOFR + 1.08% + CSA(i) -- Class B-1, $25.50 million: Three-month CME term SOFR + 1.65% + CSA(i) -- Class C (deferrable), $36.00 million: Three-month CME term SOFR + 2.20% + CSA(i) -- Class D (deferrable), $36.00 million: Three-month CME term SOFR + 3.65% + CSA(i) -- Class E (deferrable), $21.00 million: Three-month CME term SOFR + 6.81% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. 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 Benefit Street Partners CLO XXIII Ltd./ Benefit Street Partners CLO XXIII LLC Class A-1-R, $347.00 million: AAA (sf) Class B-1-R, $25.50 million: AA (sf) Class C-R (deferrable), $36.00 million: A (sf) Class D-R (deferrable), $36.00 million: BBB- (sf) Class E-R (deferrable), $21.00 million: BB- (sf) Ratings Withdrawn Benefit Street Partners CLO XXIII Ltd./ Benefit Street Partners CLO XXIII LLC Class A-1 to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Ratings Affirmed Benefit Street Partners CLO XXIII Ltd./ Benefit Street Partners CLO XXIII LLC Class A-2, $37.00 million: AAA Class B-2, $46.50 million: AA Other Debt Benefit Street Partners CLO XXIII Ltd./ Benefit Street Partners CLO XXIII LLC Subordinated notes, $60.00 million: NR NR--Not rated. BLACKROCK MT. XV: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to BlackRock Mt. Lassen CLO XV LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and consists primarily of middle market speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by BlackRock Capital Investment Advisors LLC, a subsidiary of BlackRock Inc. 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 BlackRock Mt. Lassen CLO XV LLC Class A-1, $190.00 million: AAA (sf) Class A-L loans, $30.00 million: AAA (sf) Class A-2, $20.00 million: AAA (sf) Class B, $32.00 million: AA (sf) Class C (deferrable), $32.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $24.00 million: BB- (sf) Subordinated notes, $44.69 million: NR NR--Not rated. BRIDGECREST LENDING 2025-3:S&P Assigns Prelim BB Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Bridgecrest Lending Auto Securitization Trust 2025-3's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of July 16, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 64.66%, 59.36%, 50.44%, 38.57%, and 34.52% credit support (hard credit enhancement and a haircut to excess spread) for the class A (A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios. These credit support levels provide at least 2.30x, 2.10x, 1.70x, 1.37x, and 1.25x coverage of S&P's expected cumulative net loss (ECNL) of 27.00% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.37x S&P's expected loss level), all else being equal, its preliminary 'A-1+ (sf)', 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A-1, A-2/A-3, B, C, D, and E notes, respectively, will be within our credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios that it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the subprime auto loans, S&P's view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the U.S. auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A. (Wells Fargo; A+/Stable/A-1), which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Bridgecrest Acceptance Corp. (BAC) as servicer, along with its view of the originator's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. (BBB/Stable/--). -- 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 Bridgecrest Lending Auto Securitization Trust 2025-3 Class A-1, $60.00 million: A-1+ (sf) Class A-2, $95.00 million: AAA (sf) Class A-3, $63.35 million: AAA (sf) Class B, $51.97 million: AA (sf) Class C, $65.18 million: A (sf) Class D, $96.25 million: BBB (sf) Class E, $35.75 million: BB (sf) BX TRUST 2025-VLT7: DBRS Gives Prov. BB Rating on Class HRR Certs ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-VLT7 (the Certificates) to be issued by BX Trust 2025-VLT7: -- Class A at (P) AAA (sf) -- Class B at (P) AA (high) (sf) -- Class C at (P) AA (sf) -- Class D at (P) A (low) (sf) -- Class E at (P) BBB (low) (sf) -- Class HRR at (P) BB (sf) All trends are Stable. BX Trust 2025-VLT7 is a securitization collateralized by the borrower's fee-simple interest in one data center property in Virginia and one in Atlanta. Morningstar DBRS generally takes a positive view on the credit profile of the overall transaction based on the portfolio's favorable property quality, affordable power rates, institutional sponsorship and management, and desirable efficiency metrics. QTS is one of the largest data center owners globally with a portfolio containing more than 70 data centers across 20 global markets, totaling more than 1,000 customers with 99% leased capacity, including the subject portfolio. Founded in 2003, QTS started with a single data center in Kansas, but it continued acquiring data centers and, by 2008, QTS had presence in Atlanta, Georgia; Silicon Valley; and Florida. Based on QTS' Sustainability Report, QTS' Freedom standard data center design, which standardizes every element of the data center, further supports QTS' advanced purchasing model. Using consistent equipment across QTS' portfolio of Freedom Design facilities, QTS can lean in and buy hundreds of megawatts worth of equipment. Freedom Design data centers are a water-free cooling system that delivers a Water Usage Effectiveness of 0 for data center operations, and it provides access to electric vehicle charging stations. Morningstar DBRS' credit ratings on the certificates reflect the elevated leverage of the transaction, the strong and stable cash flow performance, and a firm legal structure to protect certificate holders' interests. The credit ratings also reflect the quality of service provided by QTS, the access to key fiber nodes, and the technology that can maintain the data centers' relevance into the future. The data centers backing this financing are recently built and benefit from Tier 1 market network densities and direct fiber route to Europe and South America. QTS is responsible for servicing a diverse tenant base, with more than 1,200 customers around the world. The well-seasoned QTS management team boasts at least 20 years of operating history and a relatively strong track record. Additionally, QTS is committed to providing an environment of sustainability within its operations. It has committed to designing 100% of its buildings to green building standards, recycling 90% of operational waste by 2025, and making 100% of new builds reliant on zero water for cooling. Delivered in 2024, both ATL1DC4 and RIC1DC3 data centers use QTS' Freedom Design with a water-free cooling system. 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 applications has increased the need for these facilities over the last decade in order to manage, store, and transmit data globally. Both hyperscale and co-location data centers have a role in the existing data ecosystem. Hyperscale data centers are designed for large capacity storage and processing of information, whereas co-location 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 a strong critical infrastructure, including power and redundancy that is built to accommodate the technology needs of today and the future. 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 Principal Distribution Amounts and Interest Distribution Amounts for Class A, Class B, Class C, Class D, Class E, and Class HRR. Notes: All figures are in U.S. dollars unless otherwise noted. CANADIAN COMMERCIAL 2018-4: DBRS Confirms B Rating on G Certs ------------------------------------------------------------- DBRS Limited confirmed all credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2018-4 issued by Canadian Commercial Mortgage Origination Trust 4 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) -- Class X at A (high) (sf) The trends on Classes E, F, and G are Negative. The trends on all remaining classes are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations since its previous credit rating action in July 2024. As of the June 2025 remittance, 26 of the original 53 loans remain in the pool, representing a collateral reduction of 44.7% since issuance with a current trust balance of $304.0 million. The pool has a heavy office concentration, with the property type representing 35.0% of the current trust balance. No loans are delinquent or specially serviced. At the previous credit rating action, Morningstar DBRS placed Negative trends on Classes E, F, and G to reflect increased concerns across several loans deemed to have elevated credit risk because of occupancy declines and/or concentrated tenant rollover risk. The four loans of primary concern: Morneau Shepell Office Complex (Prospectus ID#2, 8.8% of the current pool balance) and the Europro Office Portfolio (Prospectus ID #12, #13, and #14; collectively represent 12.8% of the current pool balance), are discussed in further detail below. Morningstar DBRS maintained the Negative trends on Classes E, F, and G with this review as the potential for further credit deterioration on these loans remains given the continued depressed occupancy rates across the collateral amidst the borrowers' difficulty in backfilling vacant space because of softer submarket fundamentals. The Morneau Shepell Office Complex is secured by two identical Class A office properties in North York, Ontario, approximately 15 kilometers north of the Toronto central business district, totaling 253,700 square feet. The 10-year loan is nonrecourse to the borrower and amortizes over a 25-year schedule with a current LTV of 42% based on the issuance appraisal of $63.5 million conducted in June 2017. As per the May 2025 rent roll, the subject is 34.4% occupied, compared with the May 2024 figure of 92.0%. The significant decline in occupancy is attributable to the departure of the former largest tenant, Morneau Shepell Ltd., (formerly 56% of the net rentable area (NRA)), which vacated the subject at lease expiration in August 2024. According to the most recent servicer commentary, potential tenants have made leasing inquiries for small blocks of space; however, there have been no large tenant prospects to backfill vacant space. As per the Colliers Q1 2025 Toronto Office Market Report, the Don Mills; Eglington submarket had an average vacancy rate of 12.0%; an increase from the Q1 2024 figure of 8.6%. Morningstar DBRS expects the borrower will continue to face challenges backfilling vacant space given the decrease in leasing activity for the property type. The loan is sponsored by Fana Park Centre Corp., which does not provide any recourse to the loan. In its review, Morningstar DBRS analyzed this loan with an elevated probability of default (POD) and stressed LTV of 149.1%, resulting in a loan expected loss (EL) more than four times greater than the EL for the pool. The Europro Office Portfolio is composed of three cross collateralized and cross defaulted loans secured by one Class A and two Class B office properties in downtown Kitchener, Ontario. Two of the properties, Europro Frederick Office (Frederick; Prospectus ID#12, 4.4% of the current pool balance) and Europro Queen Street Office (Queen; Prospectus ID#13, 4.4% of the current pool balance) were added to the servicer's watchlist in September and December 2023, respectively, for occupancy declines, while the third property, Europro King Street Office (King; Prospectus ID#14, 4.0% of the current pool balance), was added to the servicer's watchlist in September 2024 for occupancy decline. As per the March 2025 rent rolls, the Fredrick, Queen, and King offices reported occupancy rates of 58.8%, 45.7%, and 57.4%, respectively, a slight decrease or in line with the March 2024 occupancy rates of 55.3%, 56.9%, and 57.4%, respectively. The King property also has notable upcoming tenant rollover risk, with tenants occupying 32.2% of the NRA having leases scheduled to expire within the next 12 months. As per the Colliers Q1 2025 Waterloo Office Market Report, the downtown Kitchener submarket had an average vacancy rate of 36.9%; an increase of 10.0% from the Q1 2024 figure of 26.9%. Morningstar DBRS similarly expects the borrower will continue to face challenges backfilling vacant space given the significant deterioration in submarket fundamentals. According to the YE2024 operating statements, the portfolio reported a consolidated net operating income (NOI) of $3.8 million, less than the YE2023 NOI of $4.4 million and the Morningstar DBRS NOI of $5.1 million. Despite the continued decline in performance, the loan has remained current on debt service payments. These loans have limited recourse to the borrower, up to 50.0% of the original loan balance, which is guaranteed by Cedar Point MF Holdings Inc. The portfolio has a current LTV of 51.8% based on the consolidated issuance appraisal of $75.3 million conduced in December 2016. To reflect the continued decline in occupancy and lack of leasing activity, Morningstar DBRS also analyzed this loan with a stressed LTV of 138.6% and an elevated POD, resulting in an EL greater than two times the pool EL. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in Canadian dollars unless otherwise noted. CARVAL CLO XII-C: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CarVal CLO XII-C Ltd. Entity/Debt Rating ----------- ------ CarVal CLO XII-C Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary CarVal CLO XII-C Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CarVal 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.91 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.24% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, and 'Asf' for class D and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 CarVal CLO XII-C 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. CATHEDRAL LAKE VI: Moody's Cuts Rating on $16MM Cl. E Notes to B1 ----------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Cathedral Lake VI, Ltd.: US$16,000,000 Class E Secured Deferrable Floating Rate Notes due 2034 (the "Class E Notes"), Downgraded to B1 (sf); previously on May 26, 2021 Assigned Ba3 (sf) Cathedral Lake VI, Ltd., issued in May 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 April 2026. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the total collateral par balance, including expected recoveries from defaulted securities, is $385.5 million, or $14.5 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 reported level as of June 2025[1] is 3.14%, compared to 3.50% in June 2024[2]. No actions were taken on the Class A Loans, Class A-N and Class A-F notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $384,231,525 Defaulted par: $2,538,387 Diversity Score: 82 Weighted Average Rating Factor (WARF): 2757 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.86% Weighted Average Recovery Rate (WARR): 46.79% Weighted Average Life (WAL): 4.95 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 MORTGAGE 2016-CD1: Moody's Cuts Rating on Class B Certs to Ba2 ----------------------------------------------------------------- Moody's Ratings has affirmed the ratings on three classes and downgraded the ratings on three classes in CD 2016-CD1 Mortgage Trust as follows: Class A-3, Affirmed Aaa (sf); previously on Dec 19, 2023 Affirmed Aaa (sf) Class A-4, Affirmed Aaa (sf); previously on Dec 19, 2023 Affirmed Aaa (sf) Class A-SB, Affirmed Aaa (sf); previously on Dec 19, 2023 Affirmed Aaa (sf) Class A-M, Downgraded to A3 (sf); previously on Dec 19, 2023 Affirmed Aa3 (sf) Class B, Downgraded to Ba2 (sf); previously on Dec 19, 2023 Downgraded to Baa1 (sf) Class X-A*, Downgraded to Aa3 (sf); previously on Dec 19, 2023 Affirmed Aa1 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings on three P&I classes were affirmed because of their credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), being within acceptable ranges. Furthermore, Moody's expects these classes will benefit from principal paydowns as the remaining loans approach their scheduled maturity dates over the next 13 months. The rating on two P&I classes, Cl. A-M and Cl. B, were downgraded due to higher expected losses and increased interest shortfall risk due to a decline in pool performance largely driven by the exposure to specially serviced and troubled loans as well as loans with high Moody's LTV. The downgrades also reflect the upcoming refinance risk as certain underperforming loans reach their scheduled maturity dates in the third quarter of 2026. The two specially serviced loans, the Westfield San Francisco Centre Loan (10.6% of the pool) and 401 South State Street (2.5% of the pool), have both experienced significant declines in cash flow in recent years and have been deemed non-recoverable by the master servicer. The Westfield San Francisco loan was deemed non-recoverable earlier this year and due to the non-recoverability determinations interest shortfalls have impacted up to Cl. C (not rated by us) as of the June 2025 remittance statement and caused a minimal interest shortfall buffer to Cl. B. Furthermore, two of the three largest performing loans have a Moody's LTV ratio above 130% and include Fiserv at 2900 Westside (10.2% of the pool) which is secured by an office property in Alpharetta, GA leased to a single tenant with a lease expiration less than 17 months after the loan's maturity date and Prudential Plaza (8.2% of the pool) which is secured by an office property located in Chicago, IL with performance declines since 2022. Moody's also identified four additional troubled loans, combining for 10% of the pool, which remain current on debt service payment but have most recent reported NOI DSCR's below 1.00X or have suffered from recent significant tenant departures. Given the higher interest rate environment and loan performance, Moody's do not anticipate significant paydowns on Cl. A-M and Cl. B by the scheduled maturity dates on the underlying loans and there may be increased risks of interest shortfalls and higher potential losses if additional loans become delinquent and/or are unable to pay off at their scheduled maturity dates. The rating on the interest-only (IO) classes, Cl. X-A, was downgraded due to the decline in the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 14.6% of the current pooled balance, compared to 10.5% at Moody's last reviews. Moody's base expected loss plus realized losses is now 12.3% of the original pooled balance, compared to 8.8% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except interest-only classes were "US and Canadian Conduit/Fusion Commercial Mortgage-backed Securitizations" published in June 2024. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking views of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the June 2025 distribution date, the transaction's aggregate certificate balance has decreased by 19.3% to $568 million from $703 million at securitization. The certificates are collateralized by 29 mortgage loans ranging in size from less than 1% to 11.4% of the pool, with the top ten loans (excluding defeasance) constituting 72.7% of the pool. Two loans, constituting 16.7% of the pool, have investment-grade structured credit assessments. Seven loans, constituting 7.0% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 13, compared to 14 at Moody's last reviews. Nine loans, constituting 31.9% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. As of the June 2025 remittance statement cumulative interest shortfalls were $4.1 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, non-recoverable determinations, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The pool has had an aggregate realized loss of $3.4 million from previously liquidated loans and reimbursement of servicer advance on the specially serviced loans. Two loans, constituting 13.0% of the pool, are currently in special servicing. The largest specially serviced loan is the Westfield San Francisco Centre Loan ($60.0 million – 10.6% of the pool), which represents a pari passu portion of a $433 million senior mortgage loan. The total mortgage debt also includes subordinate B-notes with an aggregate balance of $125 million, which is held outside the trust. The loan is secured by a 794,521 square feet (SF) component of a 1,445,449 SF, nine-story super regional mall and office development located in the Union Square district of San Francisco, California. As of September 2024, the collateral was only 18% occupied, compared to 40% in December 2023, 75% in December 2020 and 96% at securitization. Due to the departure of major tenants since securitization and resulting co-tenancy clauses, the property's occupancy and cash flow has materially declined causing the property's revenue to be insufficient to cover its operating expenses. Furthermore, the approximately 291,500 SF of office space is nearly fully vacant. The loan has been in special servicing since June 2023 and a receiver was appointed in October 2023. In March 2024, the new management team rebranded the property as the Emporium Centre San Francisco. Servicer commentary indicates they are working to complete foreclosure and the most recent appraisal from August 2024 valued the property 79% below the value at securitization and 40% below the outstanding senior pooled loan amount. As of June 2025 remittance, the loan is paid through September 2023 and the loan has been deemed non-recoverable by the master servicer. Due to the significant decline in property performance and weak San Francisco market fundamentals, Moody's assumed a significant loss on this loan. The second largest specially serviced loan is the 401 South State Street Loan ($14.0 million – 2.5% of the pool), which represents a pari passu portion of a $42.4 million first mortgage. The loan is secured by a fee simple interest in a 479,522 SF office building and a 7,500 SF one-story commercial building located in Chicago, Illinois. The loan has been in special servicing since June 2020 after a major tenant representing 75% of the NRA vacated and stopped paying rent in April 2020. The property is currently 100% vacant. The asset in now REO and the most recent servicer commentary indicates that the servicer is evaluating strategies for disposing of the asset. As of the June 2025 remittance report, the loan was last paid through its March 2020 payment date and the loan has been deemed non-recoverable by the master servicer. Moody's have assumed a significant loss on this loan. Moody's have also assumed a high default probability for four poorly performing loans, constituting 10.2% of the pool, and have estimated an aggregate loss of $61.8 million (a 47% expected loss on average) from the specially serviced and troubled loans. The largest troubled loan is the Embassy Suites Columbus loan ($20.2 million – 3.6% of the pool), which is secured by a 198-key full-service hotel located in Columbus, Ohio. The loan was temporarily in special servicing in 2020 and returned to the master servicer in December 2022. The property's performance was impacted significantly during the coronavirus pandemic and has not been able to recover. The year-end 2024 net operating income (NOI) from was more than 75% lower than levels at securitization and while the loan remains current on debt service payments the most recent DSCR was well below 1.00X. The second troubled loan is the Hilton Garden Inn San Leandro loan ($17.9 million – 3.2% of the pool), which is secured by a 119-key full-service hotel located in San Leandro, California. Property performance had already deteriorated since securitization through 2019 and was further impacted due to the business disruptions caused by the pandemic. The loan remains current on debt service payments but the DSCR remains well below 1.00X. The two other troubled loans are secured by retail and office properties located in Lahaina, Hawaii, and Valhalla, New York, that have also experienced declines in occupancy or cash flow. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2023 operating results for 96% of the pool, and full or partial year 2024 operating results for 99% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit MLTV is 115%, compared to 121% at Moody's last reviews. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 20.8% to the most recently available net operating income (NOI). Moody's Value reflects a weighted average capitalization rate of 10.7%. Moody's actual and stressed conduit DSCRs are 1.59X and 1.05X, respectively, compared to 1.43X and 0.97X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The largest loan with a structured credit assessment is the 10 Hudson Yards loan ($65 million -- 11.4% of the pool), which represents a pari passu portion of a $708.1 million first mortgage loan and is also encumbered with a $191.9 million B-Note and $300.0 million in mezzanine debt. The loan is secured by the fee interest in a 52-story mixed-use office tower containing 1.8 million SF of office, retail, and storage space. The property is located on the corner of 30th Street and 10th Avenue in New York City and has received a LEED Platinum certification. The five largest tenants at 10 Hudson Yards are Coach, Inc. (30% of net rentable area (NRA)), L'Oréal (22% of NRA), Boston Consulting Group (11% of NRA), SAP America (8% of NRA), and Intersection (4% of NRA). As of March 2025, the property was 99% leased, compared to 99% in 2024, 100% in 2023, and 93% at securitization. The loan is interest-only throughout its entire term and Moody's structured credit assessment is aa1 (sca.pd). The second loan with a structured credit assessment is the Vertex Pharmaceuticals Headquarters Loan ($30 million – 5.3% of the pool), which represents the pari passu interest in a $425 million whole loan. The loan is also encumbered by a $195 million mezzanine loan. The loan is secured by a two building, 1.1 million SF class-A office complex located in the Seaport district in Boston, MA. The property is 96% occupied by Vertex Pharmaceuticals through 2028. The remaining NRA is occupied by a mix of ground floor retail tenants. As of March 2025, the property was 99% occupied, compared to 100% at securitization. The property's NOI has generally increased year-over-year due to contractual rent escalations in the Vertex lease. Moody's structured credit assessment is aa1 (sca.pd). The top three conduit loans represent 25.9% of the pool balance. The largest loan is the Fiserv at 2900 Westside loan ($57.9 million – 10.2% of the pool), which is secured by the leasehold interest in two, six-story, office buildings located in Alpharetta, Georgia, approximately 23 miles north of the Atlanta CBD. To obtain and maintain certain real property tax abatements, the predecessor to the borrower entered into a municipal bond structure with the local development authority, exchanging fee interest in the property for leasehold interest and certain municipal bonds. The borrower is entitled to purchase fee interest back any time prior to December 31, 2025 in exchange for ending the tax abatement structure. Both buildings were constructed in 2001 for a total of 376,351 SF and connected by a 17,773 SF lobby and a sky bridge. The property is 100% leased to Fiserv under a triple-net lease that expires in December 2027, which is less than 17 months after the loan maturity date in August 2026. Due to the single-tenant exposure, Moody's Value incorporated a lit/dark analysis. After an initial three-year interest-only period, the loan has amortized 11.0% since securitization, however, the loan may face increase refinance risk if the tenant does not renew prior to the loan maturity date. Moody's LTV and stressed DSCR are 135% and 0.94X, respectively, compared to 129% and 0.91X at the last review. The second largest loan is Prudential Plaza Loan ($46.5 million – 8.2% of the pool), which represents a pari passu portion of a $386 million first-mortgage loan. The loan is secured by two Class A office towers totaling 2.4 million SF located in Chicago's East Loop submarket. One Prudential Plaza is a 41-story 1,252,791 SF building that was built in 1955 and renovated in 1990/2014-2015. Two Prudential Plaza is a 64-story, 1,015,079 square feet (SF) building completed in 1990. The two towers are connected by a public mezzanine level that contains approximately 60,000 SF of restaurant and retail space. The loan had previously transferred to special servicing in June 2023 and a loan modification was subsequently executed in December 2023 extending the loan's maturity to August 2027. The loan returned to the master servicer in June 2024. Property performance and cash flow has generally declined since 2021 and the property was 71% leased in March 2025, compared to 72% in 2024, 75% in 2023 and 83% in 2022. As of the June 2025 remittance report, the loan was current on debt service payments, however, given the elevated interest rate environment and the weaker Chicago office fundamentals, the loan may face refinancing challenges as it approaches its extended maturity date. Moody's LTV and stressed DSCR are 135% and 0.78X, respectively, compared to 131% and 0.78X at the last review. The third largest loan is the Birch Run Premium Outlets Loan ($43.0 million – 7.6% of the pool), which represents a pari passu portion of a $123 million first-mortgage loan. The loan is secured by the borrower's fee simple interest in a 680,003 SF open-air outlet shopping center located in Birch Run, MI, approximately 86 miles north-west of Detroit, MI. As of September 2024, the property was 73% occupied, compared to 72% in June 2023 compared to 73% in December 2022, and 87% at securitization. While performance has modestly declined since securitization, the property has maintained a NOI DSCR of 2.5X based on its interest only payments at a 4.2% interest rate. The loan matures in February 2026 and Moody's LTV and stressed DSCR are 114% and 1.06X, respectively, unchanged from at last review. CHASE HOME 2025-8: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2025-8 (Chase 2025-8). Entity/Debt Rating ----------- ------ Chase 2025-8 A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-4-X LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-A LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-A LT AAA(EXP)sf Expected Rating A-6-X LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-A LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-A LT AAA(EXP)sf Expected Rating A-8-X LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-A LT AAA(EXP)sf Expected Rating A-9-B LT AAA(EXP)sf Expected Rating A-9-X1 LT AAA(EXP)sf Expected Rating A-9-X2 LT AAA(EXP)sf Expected Rating A-9-X3 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-X LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-13-X LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-14-X LT AAA(EXP)sf Expected Rating A-14-X2 LT AAA(EXP)sf Expected Rating A-14-X3 LT AAA(EXP)sf Expected Rating A-14-X4 LT AAA(EXP)sf Expected Rating A-X-1 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1-A LT AA-(EXP)sf Expected Rating B-1-X LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-2-A LT A-(EXP)sf Expected Rating B-2-X LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating A-R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates issued by Chase Home Lending Mortgage Trust 2025-8 (Chase 2025-8) as indicated above. The certificates are supported by 516 loans with a scheduled balance of $651.06 million as of the cutoff date. The pool consists of prime-quality, fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC, or they are floating rate or inverse floating rate based off the SOFR index and capped at the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.9% above a long-term sustainable level (vs. 11% on a national level as of 4Q24, down 0.1% since last quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 2.9% YoY nationally as of February 2025 despite modest regional declines but are still being supported by limited inventory). High-Quality Prime Mortgage Pool (Positive): The pool consists of 516 high-quality, fixed-rate, fully amortizing loans with maturities of 15 years to 30 years that total $651.06 million. In total, 100.0% of the loans qualify as SHQM. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of four months, according to Fitch. The pool has a WA FICO score of 773, as determined by Fitch, based on the original FICO for newly originated loans and the updated FICO for loans seasoned at 12 months or more. Based on the transaction documents, the updated current FICO is 771. These high FICO scores are indicative of very high credit-quality borrowers. A large percentage of the loans have a borrower with a Fitch-derived FICO score equal to or above 750. Fitch determined that 80.8% of the loans have a borrower with a Fitch-determined FICO score equal to or above 750. Based on Fitch's analysis of the pool, the original WA combined loan-to-value ratio (CLTV) is 75.3%, which translates to a sustainable LTV ratio (sLTV) of 83.5%. This represents moderate borrower equity in the property and reduced default risk, compared with a borrower with a CLTV over 80%. Of the pool, 100% of the loans are designated as SHQM APOR loans and 0.00% are rebuttable presumptions QM loans. Of the pool, the borrower for 100% of the loans maintains a primary or secondary residence (91.1% primary and 8.9% secondary). Single-family homes and planned unit developments (PUDs) constitute 89.4% of the pool, condominiums make up 8.1%, co-op's make up 1.6%, and multi-family make up the rest at 0.9%. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (83.9%), cashout refinances (2.0%) and rate-term refinances (14.1%). None of the loans are for investment properties and a majority of the mortgages are purchases, which Fitch views favorably. Of the pool loans, 24.1% are concentrated in California, followed by Maryland and Texas. The largest MSA concentration is in the New York MSA (11.2%), followed by the San Francisco MSA (8.5%) and the Los Angeles MSA (7.8%). The top three MSAs account for 27.5% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): Mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out of receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer, JPMCB, is obligated to advance delinquent principal and interest (P&I) until deemed nonrecoverable. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in fewer recoveries. There is no master servicer for this transaction. U.S. Bank Trust National Association as trustee will advance as needed until a replacement servicer can be found. The trustee is the ultimate advancing party. Losses on the nonretained portion of the loans will be allocated first to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata once class A-9-B is written off. Net interest shortfalls on the nonretained portion will be allocated first to class A-X-1 and the subordinated classes pro rata, based on the current interest accrued for each class until the amount of current interest is reduced to zero, and then to the senior classes (excluding class A-X-1) pro rata, based on the current interest accrued for each class until the amount of current interest is reduced to zero. Credit Enhancement Floor (Positive): A CE or senior subordination floor of 1.10% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 0.95% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 42.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.13% at the 'AAAsf' stress due to 56.2% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 56.2% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Please refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations Chase 2025-8 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk. Operational risk is well controlled in Chase 2025-8 and there is strong transaction due diligence. The entire pool is originated by an 'Above Average' originator and all the pool loans are serviced by a servicer rated 'RPS1-' which results a reduction in expected losses, has a positive impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CLNY TRUST 2019-IKPR: DBRS Confirms BB Rating on Class D Certs -------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-IKPR issued by CLNY Trust 2019-IKPR as follows: -- Class A at AAA (sf) -- Class B to AA (low) (sf) -- Class C to A (low) (sf) -- Class D to BB (sf) -- Class E to B (low) (sf) -- Class F to CCC (sf) -- Class G at CCC (sf) The trends on all Classes are Negative, with the exception of Classes F and G, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect Morningstar DBRS' overall outlook for the transaction, which remains relatively unchanged since the prior review in July 2024. At that time, Morningstar DBRS downgraded its credit ratings on Classes B through F, based on the downward pressure implied by the loan-to-value (LTV) sizing benchmarks, following updates to Morningstar DBRS' analysis. At issuance, the interest-only (IO), floating-rate loan was secured by a portfolio of 46 extended-stay, limited-service, and full-service hotels in 16 states across the U.S. with approximately 6,000 guest rooms. To date, five properties have been released from the trust. The current trust balance of $718.1 million represents a nominal collateral reduction of 4.9% since issuance. The loan had an initial two-year term that ended in November 2021, with five 12-month extension options, resulting in a fully extended maturity date in November 2026. The borrower previously requested a loan modification in conjunction with exercising the third extension option. The loan agreement was subsequently modified where the required debt yield requirement to exercise the fourth extension option was waived, with the final extension option requiring a debt yield of 7.75% for the senior debt instead of the original 10.2% threshold. In addition, the borrower's contribution to cure the debt yield hurdle was capped at $10.0 million on the senior debt, thereby limiting deleveraging of the loan upon final maturity. Other terms of the modification included the removal of mezzanine debt service payments from the waterfall in the cash management agreement to allow additional cash to be trapped. The loan was scheduled to mature in November 2024 and despite the aforementioned modification, the borrower failed to execute the fourth extension option, resulting in the loan's transfer to special servicing in March 2025. The servicer has noted that the borrower and mezzanine lender are currently negotiating the terms of a modification. The developments outlined above, in addition to the uncertainty surrounding the loan modification and the sustained reduction in net cash flow (NCF), which as of YE2024 was 44.5% less than the issuance figure of $75.9 million, further support maintaining the Negative trends with this review. The hotels operate under the Marriott, Hyatt, and Hilton brands, in addition to eight different sub-brands. The majority of the portfolio consists of extended-stay hotels and all the hotels are conjoined by cross-defaulted and cross-collateralized mortgages, deeds of trust, indenture deeds of trust, or similar instruments applicable in each jurisdiction, plus liens on the furniture, fixture, equipment, and leases. As of June 2025, reserve balances total $15.4 million, the majority of which is held across repair reserves. At issuance, the initial sponsor, Colony Capital, Inc. had planned to complete a portfolio-wide property improvement plan of $113.7 million between 2019 to 2024. The servicer noted that the current loan sponsor, Highgate (an affiliate of Cerberus Capital Management, L.P.), which assumed the loan in 2021, has completed all work required by the respective franchise agreements; although, the final cost was not provided. According to the YE2024 financial reporting, the remaining 41 properties within the portfolio generated $42.2 million of NCF (a debt service coverage ratio (DSCR) of 0.71 times (x)), marginally less than the YE2023 figure of $44.7 million (a DSCR of 0.76x). The decline in cash flow has been driven by an increase in expenses, notably insurance, repair and maintenance, real estate taxes, and room expenses. In addition, because of the floating-rate nature of the loan, debt service obligations have increased substantially. It is worthy to note that the loan documents require the borrower to purchase an interest rate capitalization agreement with each extension option where a minimum DSCR of 1.10x is achieved. As of December 2024, the portfolio was approximately 69.0% occupied, less than the issuance figure of 77.0% but generally in line with the last few reporting periods. The portfolio reported average daily rate, and revenue per available room (RevPAR) figures of $144.0 and $98.8, respectively, relatively in line with the prior year but less than the RevPAR figure at issuance of $108.0. Morningstar DBRS derived a value of $468.6 million based on the in-place YE2024 NCF (adjusted for the released properties), and a capitalization rate of 9.0%, resulting in a Morningstar DBRS LTV of 153.3% based on the trust loan balance of $718.1 million. The Morningstar DBRS value represents a -54.6% variance from the cumulative issuance appraised value of $1.03 billion for the remaining properties in the portfolio. Including the senior and junior mezzanine debt, the whole-loan LTV rises to 174.6%. Positive qualitative adjustments of 2.0% were maintained to reflect the quality of the properties and market fundamentals as the properties are geographically diverse. The credit ratings assigned to Classes C, D, and E are three or more notches higher than what the LTV sizing benchmarks imply. These variances are warranted given the cash flow trends and key performance indicators evidenced over the last several reporting periods appear to be stabilizing. In addition, should the sponsor continue to release properties, the trust would continue to benefit from additional collateral reduction and an increase in credit support. However, given the overall decline in NCF and the uncertainty surrounding the terms of the loan modification, Negative trends were reaffirmed for Classes A through E. Morningstar DBRS will continue to monitor this transaction for updates. 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. COLT 2025-7: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to COLT 2025-7 Mortgage Loan Trust's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by First-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, townhouses, condotels, two- to four-family, and 5-10 unit multifamily residential properties. The pool consists of 618 loans, which are QM/non-HPML, non-QM/ATR-compliant, and ATR-exempt. The preliminary ratings are based on information as of July 10, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect our view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned COLT 2025-7 Mortgage Loan Trust Class A-1, $182,620,000: AAA (sf) Class A-2, $17,832,000: AA (sf) Class A-3, $26,033,000: A (sf) Class M-1, $13,017,000: BBB (sf) Class B-1, $9,241,000: BB (sf) Class B-2, $7,550,000: B (sf) Class B-3, $4,035,376: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. COMM 2016-DC2: Fitch Lowers Rating on Two Tranches to 'CCCsf' ------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 10 classes of COMM Mortgage Trust, commercial mortgage pass-through certificates, series 2016-DC2 (COMM 2016-DC2). The Rating Outlooks for classes C, D, E, and X-C remain Negative. Entity/Debt Rating Prior ----------- ------ ----- COMM 2016-DC2 Mortgage Trust A-4 12594CBE9 LT AAAsf Affirmed AAAsf A-5 12594CBF6 LT AAAsf Affirmed AAAsf A-M 12594CBH2 LT AAAsf Affirmed AAAsf A-SB 12594CBD1 LT AAAsf Affirmed AAAsf B 12594CBJ8 LT AA-sf Affirmed AA-sf C 12594CBK5 LT A-sf Affirmed A-sf D 12594CAL4 LT BBsf Affirmed BBsf E 12594CAN0 LT Bsf Affirmed Bsf F 12594CAQ3 LT CCCsf Downgrade B-sf X-A 12594CBG4 LT AAAsf Affirmed AAAsf X-C 12594CAC4 LT BBsf Affirmed BBsf X-D 12594CAE0 LT CCCsf Downgrade B-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss has increased to 9.2% from 7.9% at Fitch's prior rating action. Fitch identified 12 loans (52.7% of the pool) as Fitch Loans of Concern (FLOCs), including one (1.2%) loan 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 and retail FLOCs, particularly North Point Center East (10.5% of the pool), Promenade Gateway (5.5%), Bowie Plaza (2.7%), and Coral Island Shopping Center (2.2%). Given the high percentage of FLOCs and upcoming maturity concentration, whereby 100% of the pool matures by February 2026, Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their status and collateral quality and then ranked them by their perceived likelihood of repayment and/or loss expectation. A higher probability of default was assigned to the FLOCs, including North Point Center East (10.5% of the pool), Columbus Park Crossing (6.3%), Promenade Gateway (5.5%), Bowie Plaza (2.7%), Coral Island Shopping Center (2.2%), River Valley Plaza (2.0%), Bear Valley Medical and Business Center (1.5%), and PetSmart Sunnyvale (1.1%), reflecting concerns surrounding refinancing, which contributed to the downgrades and factored into the Negative Rating Outlooks. The Negative Outlooks for classes C, D, E, and X-C reflect the potential for downgrades if performance of the aforementioned FLOCs does not stabilize and/or the workout of the specially serviced Colony Square Atascadero (1.2%) loan is prolonged, leading to higher-than-expected losses. Further downgrades are also possible with additional value declines, or if loans currently expected to refinance default on or before their maturity dates. Largest Contributors to Loss Expectations: The largest contributor to overall loss expectations and the second largest increase in loss since the prior rating action is the North Point Center East loan (10.5% of the pool), which is secured by a portfolio of four office buildings totaling 540,747-sf located in Alpharetta, GA. The largest tenants include Savista Group Holdings (20.0% of the NRA) and SL Alpharetta (4.8%) with lease expirations in February 2031 and June 2032, respectively. Fitch was unable to obtain an updated rent roll to confirm current occupancy and upcoming lease expirations. The loan was identified as a FLOC due to high availability across the collateral. According to CoStar, the overall availability rate across the portfolio is 64.4% with availability at the individual buildings ranging from 42.5% to 87.3%. The collateral underperformance has resulted in the servicer-reported NOI DSCR falling to 1.25x as of YE 2024 from 1.56x at YE 2022 and 2.59x at YE 2019. To account for the anticipated decline in cash flow and occupancy due to space availability and challenged market conditions across the portfolio, Fitch's 'Bsf' rating case loss of 29.1% (prior to concentration adjustments) reflects a 10.5% cap rate, 20% stress to the YE 2024 NOI and an increased probability of default to account for the loan's heightened default risk. The second largest contributor to overall loss expectations and the third largest increase in loss since the prior rating action is the Promenade Gateway loan (5.5%), which is secured by a 132,443-sf mixed-use (multifamily and office) property comprised of 105,301 sf of retail/commercial space and 32 multifamily units located in Santa Monica, CA. AMC Theaters (21.4% of the NRA) vacated in October 2024 and WeWork (13.7% of NRA) vacated at the end of 2023, causing occupancy to decline to 64.6% as of March 2025 from 95% at YE 2022. The servicer-reported NOI DSCR has dropped to 1.75x as of YE 2024, down from 2.08x as of YE 2022. Approximately 6.3% of the commercial space is due to expire in 2025, coinciding with the loan's maturity date in December 2025. Fitch's 'Bsf' rating case loss of 20.1% (prior to concentration adjustments) includes a 9% cap rate, 15% stress to the YE 2024 NOI and an increased probability of default to account for the loan's heightened maturity default concerns. The third largest contributor to overall loss expectations is the Columbus Park Crossing loan (6.3%), which is secured by a 632,111-sf anchored retail center located in Columbus, GA. The largest tenants include AMC Classic Columbus (13.3% of the NRA), which is under a ground lease, Floor and Decor (8.7%), Haverty's (5.2%), Burlington (4.5%) and Ross Dress for Less (4.8%). Occupancy declined to 70% after Sears (previously 22.2% of the NRA) and Toys R Us (7.7%) vacated in 2017 and 2018, respectively, but has improved to 87.9% as of YE 2024, with recent lease signings and renewals including a new lease with Floor & Décor (8.7% of the NRA) commencing in June 2024. Despite the improved occupancy, cash flow remains constrained with the loan reporting a NOI DSCR of 1.26x as of YTD September 2024 and 1.27x at YE 2023. Fitch's 'Bsf' rating case loss of 15.2% (prior to concentration adjustments) reflects a 15% cap rate, 5% stress to the YTD September 2024 NOI and factors an increased probability of default due to the loan's heightened maturity default concerns. The largest increase in loss since the prior rating action and fourth largest contributor to overall loss expectations is the Bowie Plaza loan (2.7%), secured by a 102,904-sf retail center located in Bowie, MD, approximately 20 miles east of Washington D.C. The second largest tenant, CVS (14.7% of the NRA) vacated at its lease expiration in March 2025, with additional store closures and tenant departures at the property anticipated in 2025, including Dollar General (9.2%), Karate Academy (4.3%), and The Driving School (1.2%), which would cause occupancy to decline to 70.5% by YE 2025 from 88.9% at YE 2022. Consequently, NOI DSCR has decreased to 1.09x as of YE 2024 from 1.32x as of YE 2022 and 1.65x from issuance. Fitch's 'Bsf' rating case loss of 26.5% (prior to concentration adjustments) reflects a 9.5% cap rate, 20% stress to the YE 2024 NOI and factors an increased probability of default due to the loan's heightened default concerns. Improvements in Credit Enhancement (CE): As of the June 2025 distribution date, the pool's aggregate balance has been reduced by 31.8% to $549.73 million from $806.2 million at issuance. There are 21 loans (26.5% of the pool) that are fully defeased. All loans are scheduled to mature between June 2025 and February 2026. Realized losses to date of $573,890 are impacting the non-rated class H and cumulative interest shortfalls of $978,604 are impacting classes F and the non-rated classes G and H. 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 increasing CE and defeasance and expected paydown from loan repayments, but may occur should deal level losses increase significantly and/or interest shortfalls occur or are expected to affect these classes. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur with an increase in pool-level losses from further performance deterioration of the FLOCs and/or more loans than expected default at or prior to maturity, including North Point Center East, Williamsburg Premium Outlets, Columbus Park Crossing, Promenade Gateway and Bowie Plaza. Downgrades to classes rated in the 'BBsf' and 'Bsf' categories which have Negative Outlooks are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the office and retail loans with deteriorating performance, and with greater certainty of losses on the specially serviced loan 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 in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBsf' and 'Bsf' 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 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. DAVIS PARK: Moody's Assigns (P)B3 Rating to $250,000 F-R Notes -------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to two classes of CLO refinancing notes (the Refinancing Notes) to be issued by Davis Park CLO, Ltd. (the Issuer): US$315,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Assigned (P)Aaa (sf) US$250,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2038, Assigned (P)B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of not first lien loans 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 Notes, the other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; changes to benchmark rate replacement provisions; updates to the CLO's ability to hold workout and restructured assets 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: 70 Weighted Average Rating Factor (WARF): 3080 Weighted Average Spread (WAS): 3.00% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. DROP MORTGAGE 2021-FILE: DBRS Confirms B Rating on Class D Certs ---------------------------------------------------------------- DBRS, Inc. confirms the credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2021-FILE issued by DROP Mortgage Trust 2021-FILE as follows: -- Class A at AA (sf) -- Class A-IO at AA (sf) -- Class A-Y at AA (sf) -- Class A-Z at AA (sf) -- Class B at BBB (sf) -- Class C at BB (sf) -- Class X-NCP at B (high) (sf) -- Class D at B (sf) -- Class E at CCC (sf) -- Class HRR at CCC (sf) The trends on all classes remain Negative except for Classes E and HRR, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS). The Negative trends reflect the retraction in net cash flow (NCF) after a major tenant, Dropbox Inc. (Dropbox; 98.4% of the net rentable area (NRA) at issuance) relinquished space pursuant to agreed-upon termination fees in a lease amendment, as Morningstar DBRS expected at the last credit rating action in July 2024. As part of the termination, Dropbox surrendered approximately 300,000 square feet (sf) of its original footprint of approximately 738,000 sf, which it was set to relinquish in three phases between 2023 and 2025, in exchange for a termination fee of $79.0 million. The YE2024 occupancy rate and NCF declined to 85.4% and $50.6 million with a debt service coverage ratio (DSCR) of 1.31 times (x), down from the YE2023 figures of 92.6% and $55.3 million with a DSCR of 1.15x. As of June 2025, the servicer reported a reserve balance of $71.8 million for the loan, which includes termination fees associated with each of the space givebacks, including the final space giveback that occurred in the first half of 2025. The subject transaction's underlying mortgage is collateralized by the borrower's fee-simple interest in a 750,370-sf office building now rebranded to Icona: Labs at Mission Bay (formerly The Exchange) in the Mission Bay submarket of San Francisco. The floating-rate loan is interest only (IO) and is structured with an anticipated repayment date (ARD) in April 2026 with 10 successive one-year extension options and one six-month option for a final maturity date in October 2033, one month before Dropbox's lease expiration. In addition to penalty interest due on the mortgage after the ARD, the loan will hyper amortize and all available excess cash flow will be applied to pay down the loan; however, Morningstar DBRS notes that, in the absence of leasing activity to replace the footprint left by Dropbox, excess cash flow will likely be unavailable. Nevertheless, Morningstar DBRS also notes the significant reserves held following Dropbox's downsizing. Although the terms of the loan do not allow for the Dropbox termination funds being held to be applied to leasing costs or to pay down the loan balance outside a trigger period (which would result from the loan not repaying at the ARD, among other instances) or a default scenario, the funds may be used to cover lost revenues and to pay debt service in the event of a shortfall. The collateral asset was completed in 2018 and is LEED Platinum certified. Of the former Dropbox space, 133,896 sf (17.8% of the NRA) was converted to a direct lease with former sublease tenant, Vir Biotechnology, through December 2033. The remaining approximately 165,000 sf formerly leased by Dropbox is still vacant. As of the YE2024 rent roll, the property was 85.4% occupied, with no significant rollover in the near term; when accounting for the third and final phase of Dropbox's downsizing in 2025, the property's occupancy rate falls to 76.6%. All leases in place are scheduled to expire within three months of the loan's fully extended maturity date in October 2033. While the borrower continues to market the vacant spaces at the property, which benefits from its superior quality and desirable location, no leases have been successfully executed over the past couple of years, highlighting the challenged leasing environment in the submarket. At the previous review in July 2024, Morningstar DBRS downgraded its credit ratings on all classes to reflect the increased credit risks associated with downward pressure in the loan-to-value (LTV) sizing benchmarks following updates to the Morningstar DBRS Value for the collateral property. As part of the updated Morningstar DBRS Value, Morningstar DBRS derived an updated NCF of $34.5 million, which treated all of Dropbox's non-subleased giveback space as vacant; an office market rent of $66 per sf; and a vacancy rate of 21.2%. Morningstar DBRS applied a capitalization rate of 7.5%, resulting in a Morningstar DBRS Value of $460.1 million, which represents a LTV ratio of 130.4%. Morningstar DBRS maintained the value it derived at the July 2024 review in its analysis for this credit rating action. The credit ratings on Class A through Class D are higher than the results implied by the LTV sizing benchmarks. The variances are warranted given structural features which outweigh the quantitative model output and uncertain loan-level event risk. As noted above, deposits related to Dropbox's termination have resulted in the reserve balance increasing to more than $70 million as of the June 2025 reporting. Although these funds cannot be applied toward re-tenanting the space, they may offset rent interruptions or serve as added collateral if the loan defaults. In addition, the high property quality and location of the asset proximate to several large hubs, including UCSF's Mission Bay campus and medical center as well as the Kaiser Permanente campus, are mitigating factors that Morningstar DBRS considered in its analysis for this review. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. EFMT 2025-INV3: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to EFMT 2025-INV3's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed-, and adjustable-rate fully amortizing residential mortgage loans (some with an interest-only period), secured primarily by single-family residential properties, including townhouses, planned-unit developments, condominiums, two- to four-family units, condotels, and five- to 10-unit multifamily residential properties, to prime and nonprime borrowers. The pool consists of 857 ability-to-repay (ATR)-exempt residential mortgage loans backed by 906 properties, including twenty cross-collateralized loans backed by 69 properties. The preliminary ratings are based on information as of July 10, 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 (R&Ws) framework, and geographic concentration; -- The mortgage aggregator, Ellington Financial Inc.; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's macroeconomic and sector outlook, which consider its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings List(i) EFMT 2025-INV3 Class A-1, $172,352,000: AAA (sf) Class A-2, $24,602,000: AA- (sf) Class A-3, $34,201,000: A- (sf) Class M-1, $15,140,000: BBB- (sf) Class B-1, $11,084,000: BB- (sf) Class B-2, $7,705,000: B- (sf) Class B-3, $5,272,869: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. (ii)Notional amount equals the loans' aggregate stated principal balance as of the cutoff date. NR--Not rated. N/A--Not applicable. EXETER SELECT 2025-2: S&P Assigns Prelim BB (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Exeter Select 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 16, 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 42.32%, 36.22%, 27.77%, 21.11%, and 18.41% 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 12.00% for classes A, B, C, D, and E, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within its credit stability limits. -- The timely payment of interest and repayment of principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the collateral's credit risk, our updated macroeconomic forecast, and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A., which does not constrain the preliminary ratings. -- S&P's operational risk assessment of Exeter Finance LLC (Exeter) as servicer, along with its view of the company's underwriting and its backup servicing arrangement with Citibank. -- 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 Exeter Select Automobile Receivables Trust 2025-2 Class A-1, $47.000 million: A-1+ (sf) Class A-2, $131.470 million: AAA (sf) Class A-3, $73.685 million: AAA (sf) Class B, $26.840 million: AA (sf) Class C, $43.660 million: A (sf) Class D, $38.560 million: BBB (sf) Class E, $6.990 million: BB (sf) FANNIE MAE 2003-W1: Moody's Lowers Rating on Cl. B-1 Certs to Caa2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of two bonds from one US residential mortgage-backed transaction (RMBS), backed by FHA-VA mortgages issued by Fannie Mae REMIC Trust 2003-W1. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Fannie Mae REMIC Trust 2003-W1 Cl. B-1, Upgraded to Caa2 (sf); previously on Jul 25, 2016 Downgraded to Caa3 (sf) Cl. B-2, Upgraded to Caa3 (sf); previously on Aug 26, 2011 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in this deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US FHA-VA Residential Mortgage-backed Securitizations: Surveillance" published in April 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. GENERATE CLO 21: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Generate CLO 21 Ltd./Generate CLO 21 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Generate Advisors LLC. The 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 Generate CLO 21 Ltd./Generate CLO 21 LLC Class A, $248.00 million: NR Class B, $56.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $38.00 million: NR NR--Not rated. GENERATE CLO 22: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Generate CLO 22 Ltd./Generate CLO 22 LLC's floating-rate deb. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior-secured term loans. The transaction is managed by Generate Advisors LLC, a subsidiary of Kennedy Lewis Management L.P. The preliminary ratings are based on information as of July 11, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Generate CLO 22 Ltd./Generate CLO 22 LLC Class A, $248 million: AAA (sf) Class B, $56 million: AA (sf) Class C (deferrable), $24 million: A (sf) Class D-1 (deferrable), $24 million: BBB- (sf) Class D-1 (deferrable), $4 million: BBB- (sf) Class E (deferrable), $12 million: BB- (sf) Subordinated notes, $38 million: Not rated GOLUB CAPITAL 81(B): Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Golub Capital Partners CLO 81(B), Ltd. Entity/Debt Rating ----------- ------ Golub Capital Partners CLO 81(B), Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Golub Capital Partners CLO 81(B), Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by OPAL BSL LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.31 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.94% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 50% 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, 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, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Golub Capital Partners CLO 81(B), 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. GOODLEAP SUSTAINABLE 2023-1: S&P Places Notes Rating on Watch Neg. ------------------------------------------------------------------ S&P Global Ratings placed its ratings on 10 classes of notes from GoodLeap Sustainable Home Solutions Trust 2022-2, 2022-3, 2022-4, and 2023-1 on CreditWatch with negative implications. Each of the GoodLeap Sustainable Home Solutions Trust (GoodLeap) transactions is an underlying trust certificate representing an ownership interest in the trust whose assets consist primarily of residential solar loans. Some of the transactions also consist of some non-solar home efficiency loans, with less than 5% exposure to other types of sustainable home improvement loans in the 2022-3, 2022-4 and 2023-1 transactions. The CreditWatch placements reflect the transactions' collateral performance to date. Increased defaults and slow prepayments have resulted in a reduction in the overcollateralization (O/C) levels for each of the four transactions since our last review in October 2024. Based on the cumulative net loss (CNL) reflected in the performance reports, S&P sees that the transactions' CNLs are trending higher than its original expectations, indicating their worsening performances since our rating actions on Oct. 18, 2024. The subordinate lockout trigger, tied to the cumulative net default rate on the deals, was breached in the 2022-3 and 2023-1 transactions. GoodLeap repurchased certain defaulted loans from the 2022-4 transaction after a review showed that they were not eligible for inclusion in the pool at the time of closing, contributing to the deal's cumulative defaults remaining below the trigger level. If recent default trends persist, the trigger is at risk of being breached in the 2022-2 and 2022-4 transactions in the next one to three months. When the subordinate lockout trigger is breached, class B and C interest payments are subordinated to class A principal payments. In the 2023-1 transaction, the reserve account can be used to pay interest on the subordinate classes, allowing it to avoid interest deferrals on the subordinated notes. The reserve account for that transaction is now $209,441 below its target balance, reflecting the amount of the interest payments paid to the B and C notes in June 2025. In the 2022-3 transaction, the reserve account cannot be used to pay subordinate interest, and the interest on the B and C classes was deferred. Deferral of interest for these classes would not constitute an event of default for them unless it continues and is not repaid by the legal final maturity date in July 2049. Another aspect of performance leading to eroding O/C levels is the low levels of prepayments in the rated transactions. In the nine months of performance reports since the rating actions taken on Oct. 18, 2024, annualized constant repayment rates (CPRs) have averaged 1.98%, 2.13%, 2.16%, and 2.18% for the 2022-2, 2022-3, 2022-4, and 2023-1 transactions, respectively. These are all below our low prepayment speed assumptions used at closing, namely 3.00% in a 'A' category scenario, 4.00% in a 'BBB' category scenario, and 5.00% in a 'BB' category scenario. A lower-than-expected prepayment rate, coupled with the low weighted average yield of the assets, has caused the excess spread, after covering net losses, to be insufficient to build O/C. This has caused the O/C amounts to decline in each of the four transactions in recent months. Based on the structural features of these four transactions, primarily the specified class O/C amounts, class C is undercollateralized in the 2022-2, 2022-3, and 2022-4 transactions. Each of the 10 classes placed on CreditWatch is below its targeted specified class O/C amount. If the slow prepayments and increased levels of defaults persist, this would tend to contribute to continued erosion of O/C levels. The thresholds for the subordinate lockout triggers are not initially static but increase at predetermined intervals for each transaction up to a maximum level. If defaults slow in the future, it is possible that a transaction could come back into compliance as the trigger level rises. This could lead to a pause in payment of principal to the senior class, as payment of current and deferred interest on the junior notes would no longer be subordinated. S&P said, "We expect to resolve the CreditWatch negative placements as soon as practically possible. In doing so, we expect to apply various prepayment and default assumptions for each rating level. In setting the assumptions, we expect to consider the ongoing delinquency, default, and prepayment performance of the collateral, as well as general macroeconomic conditions. During this time, we will continue to review the transaction-level performance reports, review any additional information that may be available to us, and take any additional rating actions as we deem appropriate." Ratings Placed On CreditWatch Negative GoodLeap Sustainable Home Solutions Trust 2022-2 Class A to 'A (sf)/Watch Neg' from 'A (sf)' GoodLeap Sustainable Home Solutions Trust 2022-3 Class A to 'A (sf)/Watch Neg' from 'A (sf)' Class B to 'BB (sf)/Watch Neg' from 'BB (sf)' Class C to 'B (sf)/Watch Neg' from 'B (sf)' GoodLeap Sustainable Home Solutions Trust 2022-4 Class A to 'BBB+ (sf)/Watch Neg' from 'BBB+ (sf)' Class B 'BB+ (sf)/Watch Neg' from 'BB+ (sf)' Class C 'BB- (sf)/Watch Neg' from 'BB- (sf)' GoodLeap Sustainable Home Solutions Trust 2023-1 Class A to 'A (sf)/Watch Neg' from 'A (sf)' Class B to 'BBB (sf)/Watch Neg' from 'BBB (sf)' Class C 'BB (sf)/Watch Neg' from 'BB (sf)' GREEN TREE 1997-7: S&P Lowers Class M- Certs Rating to 'D (sf)' --------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class M-1 certificates from Green Tree Financial Corp. Man Hsg Trust 1997-7 and the class A-6 and A-7 certificates from Manufactured Housing Contract Sr/Sub Pass-Thru Cert Series 2000-5 and subsequently withdrew each rating. S&P lowered its ratings on the classes to 'D (sf)' from 'CC (sf)' and subsequently withdrew the ratings following the transactions' failure to make full timely interest payments for at least 12 consecutive months. S&P's rating actions reflect the transactions' failure to make full timely interest payments. S&P Global Ratings completed its review of its ratings on the class M-1 certificates from Green Tree Financial Corp. Man Hsg Trust 1997-7 and the class A-6 and A-7 certificates from Manufactured Housing Contract Sr/Sub Pass-Thru Cert Series 2000-5, which are U.S. ABS transaction backed by manufactured housing loans. GS MORTGAGE 2025-PJ6: DBRS Finalizes B(low) Rating on B5 Notes -------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2025-PJ6 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2025-PJ6 (the Issuer): -- $262.9 million Class A-1 at AAA (sf) -- $262.9 million Class A-2 at AAA (sf) -- $262.9 million Class A-3 at AAA (sf) -- $197.2 million Class A-4 at AAA (sf) -- $197.2 million Class A-5 at AAA (sf) -- $197.2 million Class A-6 at AAA (sf) -- $157.8 million Class A-7 at AAA (sf) -- $157.8 million Class A-8 at AAA (sf) -- $157.8 million Class A-9 at AAA (sf) -- $39.4 million Class A-10 at AAA (sf) -- $39.4 million Class A-11 at AAA (sf) -- $39.4 million Class A-12 at AAA (sf) -- $105.2 million Class A-13 at AAA (sf) -- $105.2 million Class A-14 at AAA (sf) -- $105.2 million Class A-15 at AAA (sf) -- $65.7 million Class A-16 at AAA (sf) -- $65.7 million Class A-17 at AAA (sf) -- $65.7 million Class A-18 at AAA (sf) -- $21.7 million Class A-19 at AAA (sf) -- $21.7 million Class A-20 at AAA (sf) -- $21.7 million Class A-21 at AAA (sf) -- $284.6 million Class A-22 at AAA (sf) -- $284.6 million Class A-23 at AAA (sf) -- $284.6 million Class A-24 at AAA (sf) -- $284.6 million Class A-25 at AAA (sf) -- $284.6 million Class A-X-1 at AAA (sf) -- $262.9 million Class A-X-2 at AAA (sf) -- $262.9 million Class A-X-3 at AAA (sf) -- $262.9 million Class A-X-4 at AAA (sf) -- $197.2 million Class A-X-5 at AAA (sf) -- $197.2 million Class A-X-6 at AAA (sf) -- $197.2 million Class A-X-7 at AAA (sf) -- $157.8 million Class A-X-8 at AAA (sf) -- $157.8 million Class A-X-9 at AAA (sf) -- $157.8 million Class A-X-10 at AAA (sf) -- $39.4 million Class A-X-11 at AAA (sf) -- $39.4 million Class A-X-12 at AAA (sf) -- $39.4 million Class A-X-13 at AAA (sf) -- $105.2 million Class A-X-14 at AAA (sf) -- $105.2 million Class A-X-15 at AAA (sf) -- $105.2 million Class A-X-16 at AAA (sf) -- $65.7 million Class A-X-17 at AAA (sf) -- $65.7 million Class A-X-18 at AAA (sf) -- $65.7 million Class A-X-19 at AAA (sf) -- $21.7 million Class A-X-20 at AAA (sf) -- $21.7 million Class A-X-21 at AAA (sf) -- $21.7 million Class A-X-22 at AAA (sf) -- $284.6 million Class A-X-23 at AAA (sf) -- $284.6 million Class A-X-24 at AAA (sf) -- $284.6 million Class A-X-25 at AAA (sf) -- $284.6 million Class A-X-26 at AAA (sf) -- $14.1 million Class B-1 at AA (low) (sf) -- $14.1 million Class B-X-1 at AA (low) (sf) -- $14.1 million Class B-1-A at AA (low) (sf) -- $4.6 million Class B-2 at A (low) (sf) -- $4.6 million Class B-X-2 at A (low) (sf) -- $4.6 million Class B-2-A at A (low) (sf) -- $2.8 million Class B-3 at BBB (low) (sf) -- $1.7 million Class B-4 at BB (low) (sf) -- $618.0 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-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, and A-18 are super-senior notes or loans. These classes benefit from additional protection from the senior support note (Class A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-26, B-X-1, and B-X-2 are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, and B-2 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. The AAA (sf) credit ratings on the Notes reflect 8.00% of credit enhancement provided by subordinated notes. The (P) AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.45%, 1.95%, 1.05%, 0.50%, and 0.30% credit enhancement, respectively. The securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2025-PJ6 (the Notes). The Notes are backed by 254 loans with a total principal balance of $309,319,710 as of the Cut-Off Date. The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 69.8%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. The mortgage loans are originated by PennyMac Loan Services, LLC (30.5%), United Wholesale Mortgage, LLC (11.7%), and various other originators, each comprising less than 10.0% of the pool. The mortgage loans will be serviced by Newrez LLC d/b/a Shellpoint Mortgage Servicing (59.0%). PennyMac Loan Services, LLC (40.7%) and United Wholesale Mortgage, LLC (0.3%). Nationstar Mortgage LLC d/b/a Mr. Cooper Master Servicing will act as the Master Servicer, and Computershare Trust Company, N.A. will act as Paying Agent, Loan Agent, and Custodian and Collateral Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allowed for the issuance of Classes A-1L, A-2L and A-3L loans which would be the equivalent of ownership of Classes A-1, A-2 and A-3 Notes, respectively. These classes were not issued at closing. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2025-RPL3: DBRS Finalizes B(high) Rating on B2 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings to the Mortgage-Backed Securities, Series 2025-RPL3 (the Notes) on the GS Mortgage-Backed Securities Trust 2025-RPL3 (the Trust) as follows: -- $328.5 million Class A-1 at AAA (sf) -- $22.8 million Class A-2 at AA (high) (sf) -- $351.3 million Class A-3 at AA (high) (sf) -- $374.1 million Class A-4 at A (high) (sf) -- $392.2 million Class A-5 at BBB (high) (sf) -- $22.8 million Class M-1 at A (high) (sf) -- $18.2 million Class M-2 at BBB (high) (sf) -- $11.7 million Class B-1 at BB (high) (sf) -- $8.2 million Class B-2 at 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 AAA (sf) credit rating on the Notes reflects 25.80% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and 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. HERTZ VEHICLE 2025-4: DBRS Finalizes BB Rating on Class D Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes (collectively, the Notes) issued by Hertz Vehicle Financing III LLC (HVF III): -- $256,875,000 Series 2025-3, Class A Notes at AAA (sf) -- $37,500,000 Series 2025-3, Class B Notes at A (sf) -- $50,625,000 Series 2025-3, Class C Notes at BBB (sf) -- $30,000,000 Series 2025-3, Class D Notes at BB (sf) -- $212,350,000 Series 2025-4, Class A Notes at AAA (sf) -- $31,000,000 Series 2025-4, Class B Notes at A (sf) -- $41,850,000 Series 2025-4, Class C Notes at BBB (sf) -- $24,800,000 Series 2025-4, Class D Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement in the form of subordination, overcollateralization (OC), letters of credit (LOCs), and any amounts held in the reserve account support the Morningstar DBRS stress-case liquidation analysis with bankruptcy and liquidation period assumptions that vary by rating category and vehicle type (program versus nonprogram) as well as residual value stresses that vary by rating category for nonprogram vehicles and program vehicles from non-investment-grade-rated manufacturers. -- Liquid credit enhancement is provided in the form of a reserve account and/or an LOC sufficient to cover interest on the Notes, consistent with Morningstar DBRS' criteria for this asset class. (2) Credit enhancement in the transaction is dynamic, depending on the composition of the vehicles in the fleet and certain market value tests. -- The enhancement in the transaction depends on whether the vehicles are program or nonprogram, whether the manufacturer is investment grade or below investment grade, and if a vehicle is a medium-duty truck. -- For nonprogram vehicles, the enhancement levels may increase as a result of two market value tests: (1) a marked-to-market (MTM) test that compares the market value of the vehicles with the net book value (NBV) of these vehicles and (2) a disposition proceeds test that compares the actual disposition proceeds of vehicles sold with the NBV of those vehicles. -- If the credit enhancement required in the transaction increases and HVF III is unable to meet the increased enhancement levels, then an Amortization Event may occur that will result in a Rapid Amortization of the notes. -- The required credit enhancement is subject to a floor of 11.05% of the assets. (3) Amortization Events include, but are not limited to, default in the payment of amounts due after five consecutive business days, default in the payments of amounts due by the expected final payment date, deficiency of amounts available in the liquidity reserve account, payment default under the master lease, the required asset amount exceeding the aggregate asset amount, servicer default, and administrator default. (4) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the documents. The credit ratings address the timely payment of interest to the Class A, Class B, Class C, and Class D noteholders at their respective note rates as well as ultimate payment of principal on the notes, in each case by the legal final payment date. (5) The intention of each party to the master lease to treat the lease as a single indivisible lease. (6) The transaction allows vehicles, for which the Collateral Agent has not yet been noted on the Certificates of Title as lienholder, to remain as eligible assets for up to 45 days for new vehicles and 60 days for used vehicles (Lien Holidays). All vehicles benefit from a negative pledge. (7) Inclusion of medium-duty trucks that are subject to a limit of 5% and a required credit enhancement of 35%. (8) Tesla vehicles are subject to a concentration limit of 10.0%, reduced from 17.5%. (9) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update, published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (10) The transaction parties' capabilities to effectively manage rental car operations and dispose of the fleet to the extent necessary. -- Morningstar DBRS has performed an operational review of Hertz and considers the entity a capable rental fleet operator and manager. -- Lord Securities Corporation is the backup administrator for this transaction, and defi AUTO, LLC is the backup disposition agent. (11) The legal structure and its consistency with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance" methodology, the provision of legal opinions that address the treatment of the operating lease as a true lease, the nonconsolidation of the special-purpose vehicles with Hertz and its affiliates, and that the trust has a valid first-priority security interest in the assets. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Monthly Interest Amount and the related Principal Amount. Notes: All figures are in US dollars unless otherwise noted. HONO 2021-LULU: DBRS Confirms B(low) Rating on Class F Certs ------------------------------------------------------------ DBRS, Inc. confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-LULU issued by HONO 2021-LULU Mortgage Trust: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-EXT at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the stable performance of the underlying collateral, which continues to report revenue per available room (RevPAR) figures approaching pre-pandemic levels. While total revenue has remained largely in line with Morningstar DBRS' expectations since issuance, an increase in departmental expenses resulted in the net cash flow (NCF) at YE2024 decreasing by 7.1% from the Morningstar DBRS NCF derived at issuance. Morningstar DBRS updated its loan-to-value ratio (LTV) sizing to reflect the collateral's most recent performance, the results of which supported the credit rating confirmations with this review. The transaction is collateralized by the borrower's leasehold interest in Hyatt Regency Waikiki Beach Resort and Spa (Hyatt Regency Waikiki), a 1,230-key, full-service luxury resort with about 95,000 square feet (sf) of open-air retail space, 20,510 sf of meeting and event space, and various other amenities, including a 10,000-sf spa situated along Honolulu's world-renowned Waikiki beach. The primary hotel and retail structure is subject to two separate ground leases while the convention space and parking garage are each subject to a separate ground lease. All four ground leases are scheduled to expire on December 21, 2087, and contain rent provisions that escalate at five- and 10-year intervals. The property is managed by Hyatt Hotels Corporation (Hyatt) under a management agreement that runs through December 2062. The sponsor is an affiliate of Mirae Asset Global Investments Co., Ltd., a global real estate investment firm that owns a portfolio of various property types, including office, industrial, multifamily, and hospitality. The floating-rate loan is interest only (IO) and has a two-year initial term and three one-year extension options, with a fully extended maturity date in October 2026. Morningstar DBRS expects the third and final extension option to be exercised, but the borrower has not yet indicated its plans as the maturity date approaches. As a condition for exercising the extension options and to mitigate the borrower's exposure to interest rate increases, the borrower is required to enter into an interest rate cap agreement resulting in a debt service coverage ratio (DSCR) of at least 1.10 times (x). The performance of the hotel portion of the collateral has stabilized since the lows experienced from 2020 to 2022, reporting a RevPAR of $244 for the trailing 12-month (T-12) period ended February 28, 2025--a slight decrease from the T-12 period ended May 31, 2024, RevPAR of $249 and the pre-pandemic YE2019 RevPAR of $250, but in line with the Morningstar DBRS RevPAR of $245 at issuance. In comparison with its competitive set, the subject outperformed with an occupancy rate of 88.4% but underperformed with an average daily rate (ADR) of $275. Because of its lower ADR relative to its competitors, the subject's RevPAR penetration rate was reported at 94.3% in the T-12 period ended February 28, 2025. The servicer reported a YE2024 NCF of $16.8 million, equivalent to a DSCR of 0.41x, below the YE2023 and Morningstar DBRS NCF of $19.6 million and $31.5 million, respectively. However, the retail revenue is likely not reflected in the servicer-reported NCF, as noted in previous reviews. The servicer confirmed a YE2024 retail revenue figure of $12.6 million, which remains in line with the YE2023 reported figure of $12.9 million. At the last review, the March 31, 2024, rent roll comprised more than 50 retail tenants while the March 31, 2025, rent roll comprised 46 tenants, 18 of which have lease expiry dates in 2025 or 2026. The decrease in NCF is largely due to a 5.5% increase in total expenses since YE2023 as revenue increased 2.6% year over year. As a mitigant, the loan benefits from healthy reserves of more than $20.0 million, $17.7 million of which is held in a debt service reserve, mitigating the impact of rising interest rates since securitization for the floating-rate loan. Other strengths of the transaction include the collateral's prime location in Waikiki's main shopping and dining district; a long-term management agreement with Hyatt; and strong, experienced sponsorship. For this review, Morningstar DBRS updated its LTV sizing benchmarks to reflect the most recent financial reporting. The YE2024 NCF along with servicer-reported YE2024 retail revenue results in an updated Morningstar DBRS NCF of $29.3 million. Morningstar DBRS applied a capitalization rate of 10.09%, resulting in a Morningstar DBRS Value of $290.6 million with a LTV of 104.0%, representing a 7.0% decrease from the previous Morningstar DBRS Value of $312.6 million. The updated value represents a haircut of 62.3% from the appraiser's value of $771.0 million. Morningstar DBRS also maintained positive qualitative adjustments totaling 3.0% to account for the subject's strong property quality and its irreplaceable location along Waikiki Beach. 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. ICG US 2023-1: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from ICG US CLO 2023-1(i) Ltd./ICG US CLO 2023-1(i) LLC, a CLO managed by ICG Debt Advisors LLC, an affiliate of Intermediate Capital Group PLC, that was originally issued in September 2023. The preliminary ratings are based on information as of July 10, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 18, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to July 18, 2027. -- The reinvestment period will be extended to July 18, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to July 18, 2038. -- No additional assets will be purchased on the July 18, 2025 refinancing date, and the target initial par amount will remain at $350.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 18, 2025. -- The required minimum overcollateralization ratios will be amended. In addition, the interest diversion test threshold will be amended, and the weighted average life test will be extended to nine years from the first refinancing date. -- No additional subordinated notes will be issued on the refinancing date. -- The transaction was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and supplemented by 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 ICG US CLO 2023-1(i) Ltd./ICG US CLO 2023-1(i) LLC Class A-R, $217.00 million: AAA (sf) Class B-R, $49.00 million: AA (sf) Class C-R (deferrable), $21.00 million: A (sf) Class D-1-R (deferrable), $19.25 million: BBB (sf) Class D-2-R (deferrable), $5.25 million: BBB- (sf) Class E-R (deferrable), $10.50 million: BB- (sf) IVY HILL IX-R: S&P Assigns BB- (sf) Rating on Class E-R3 Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R3, A-2-R3, B-R3, C-R3, D-R3, and E-R3 debt from Ivy Hill Middle Market Credit Fund IX-R Ltd./Ivy Hill Middle Market Credit Fund IX-R LLC, a CLO managed by Ivy Hill Asset Management L.P. that was originally issued in October 2014 and is undergoing a third refinancing. The preliminary ratings are based on information as of July 14, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Aug. 21, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original class X-RR, A-1R-RR, A-1T-RR, A-2-RR, B-RR, C-RR, D-RR, and E-RR debt and assign ratings to the replacement class A-1-R3, A-2-R3, B-R3, C-R3, D-R3, and E-R3 debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R3, B-R3, C-R3, D-R3, and E-R3 debt is expected to be issued at a floating spread replacing the current floating spread. -- The replacement class A-2-R3 debt is expected to be issued at a floating spread replacing the current fixed coupon. -- The non-call period will be extended by 3.33 years. -- The target initial par amount will be increased to $900.00 million. -- The reinvestment period and stated maturity will be extended by 3.26 years. -- The first payment date following the refinancing will be Jan. 25, 2026. -- 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 Ivy Hill Middle Market Credit Fund IX-R Ltd./ Ivy Hill Middle Market Credit Fund IX-R LLC Class A-1-R3, $513.00 million: AAA (sf) Class A-2-R3, $27.00 million: AAA (sf) Class B-R3, $72.00 million: AA (sf) Class C-R3 (deferrable), $72.00 million: A (sf) Class D-R3 (deferrable), $54.00 million: BBB- (sf) Class E-R3 (deferrable), $54.00 million: BB- (sf) Other Debt Ivy Hill Middle Market Credit Fund IX-R Ltd./ Ivy Hill Middle Market Credit Fund IX-R LLC Subordinated notes, $149.63 million: NR NR--Not rated. JP MORGAN 2013-C13: Moody's Downgrades Rating on Cl. F Certs to B3 ------------------------------------------------------------------ Moody's Ratings has affirmed the rating on one class and downgraded the ratings on two classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-C13, Commercial Mortgage Pass-Through Certificates, Series 2013-C13 as follows: Cl. D, Affirmed A3 (sf); previously on Feb 10, 2022 Upgraded to A3 (sf) Cl. E, Downgraded to Ba2 (sf); previously on Feb 10, 2022 Upgraded to Ba1 (sf) Cl. F, Downgraded to B3 (sf); previously on Feb 10, 2022 Upgraded to B1 (sf) RATINGS RATIONALE The rating on one P&I class, Cl. D, was affirmed based on Moody's expectations of principal recovery from the remaining loan in the pool. Cl. D has already paid down 90% from its original balance and will benefit from priority of principal proceeds from amortization or further loan paydowns. The ratings on two P&I classes, Cl. E and Cl. F, were downgraded primarily due to an increase in Moody's loan-to-value (LTV) ratio on the sole remaining loan due to declines in performance and the loan's inability to payoff at its already extended maturity date in June 2025. The IDS Center loan (100% of the pool) was previously extended after failing to payoff at its original maturity in 2023 and is secured by a predominantly office property in Minneapolis, MN that has continued to experience cash flow and occupancy declines in recent years. As of the June 2025 remittance the loan was classified as non-performing maturity balance and was last paid through its May 2025 remittance date. The loan benefits from amortization, however, Moody's rating action also reflects the refinance risk associated with the higher market interest rates and weaker Minneapolis office market fundamentals. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in loan performance. Factors that could lead to a downgrade of the ratings include a decline in loan performance, an increase in realized and expected losses or interest shortfalls. DEAL PERFORMANCE As of the June 2025 distribution date, the transaction's aggregate certificate balance has decreased by 92% to $73.3 million from $961.2 million at securitization. The certificates are now collateralized by one mortgage remaining loan, the IDS Center Loan ($73.3 million – 100% of the pool), which represents a pari passu portion of a $144.6 million mortgage loan. The loan is secured by a 1.4 million SF mixed-use property located in downtown Minneapolis, Minnesota. The collateral consists of a 1.24 million SF, 57-story skyscraper office tower, an eight-story annex building, a 100,000 SF retail center and an underground garage. The property is also connected to the Marquette Hotel (not part of collateral). The hotel has reciprocal easement agreements with the IDS Center whereby the two properties share parking, concourse, ground and skyway levels. The loan was previously in special servicing after being unable to refinance prior to its original scheduled maturity date in May 2023 and was later modified and extended to June 2025. The loan was returned to the master servicer in March 2024 and remained current on its debt service payments through May 2025. However, it failed to payoff at its already extended maturity date in June 2025 and was last paid through May 2025 as the June 2025 payment date. As of the March 2025 rent roll, the occupancy for the building was 66%, compared to 70% in December 2023 and 89% in 2013. The largest retail tenant, Nordstrom Rack, vacated their 39,000 SF store in 2022 but has continued to pay rent with a lease expiration in September 2027. The loan has amortized 21% since securitization and servicer commentary indicated that they are monitoring the June 2025 maturity date and awaiting a response from the borrower on further maturity plans. The St. Paul CBD submarket of Minneapolis has seen a deterioration in recent years. Since 2020, the submarket vacancy had seen an increase in Class-A office vacancy. According to CBRE Econometric Advisors, the St. Paul CBD office submarket included 2.6 million SF of Class-A office spaces and had a vacancy rate of 23.3% in 2024. Moody's LTV ratio on the mortgage balance is 205% based on Moody' Value and the Adjusted Moody's LTV ratio is 196% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's stressed DSCR on the mortgage balance is 0.61X, compared to 0.82X at Moody's reviews. There have been no losses on the pool and the pool has $15,688 outstanding interest shortfalls. JP MORGAN 2025-CCM3: DBRS Finalizes B(low) Rating on B5 Certs ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-CCM3 (the Certificates) issued by J.P. Morgan Mortgage Trust 2025-CCM3 (JPMMT 2025-CCM3): -- $327.0 million Class A-1 at AAA (sf) -- $275.0 million Class A-2 at AAA (sf) -- $275.0 million Class A-3 at AAA (sf) -- $275.0 million Class A-3-X at AAA (sf) -- $206.2 million Class A-4 at AAA (sf) -- $206.2 million Class A-4-A at AAA (sf) -- $206.2 million Class A-4-X at AAA (sf) -- $68.7 million Class A-5 at AAA (sf) -- $68.7 million Class A-5-A at AAA (sf) -- $68.7 million Class A-5-X at AAA (sf) -- $165.0 million Class A-6 at AAA (sf) -- $165.0 million Class A-6-A at AAA (sf) -- $165.0 million Class A-6-X at AAA (sf) -- $110.0 million Class A-7 at AAA (sf) -- $110.0 million Class A-7-A at AAA (sf) -- $110.0 million Class A-7-X at AAA (sf) -- $41.2 million Class A-8 at AAA (sf) -- $41.2 million Class A-8-A at AAA (sf) -- $41.2 million Class A-8-X at AAA (sf) -- $33.0 million Class A-9 at AAA (sf) -- $33.0 million Class A-9-A at AAA (sf) -- $33.0 million Class A-9-X at AAA (sf) -- $19.0 million Class A-11 at AAA (sf) -- $19.0 million Class A-11-X at AAA (sf) -- $19.0 million Class A-12 at AAA (sf) -- $19.0 million Class A-13 at AAA (sf) -- $19.0 million Class A-13-X at AAA (sf) -- $19.0 million Class A-14 at AAA (sf) -- $19.0 million Class A-14-X at AAA (sf) -- $19.0 million Class A-14-X2 at AAA (sf) -- $19.0 million Class A-14-X3 at AAA (sf) -- $19.0 million Class A-14-X4 at AAA (sf) -- $327.0 million Class A-X-1 at AAA (sf) -- $327.0 million Class A-X-2 at AAA (sf) -- $327.0 million Class A-X-3 at AAA (sf) -- $327.0 million Class A-X-4 at AAA (sf) -- $327.0 million Class A-X-5 at AAA (sf) -- $6.9 million Class B-1 at AA (low) (sf) -- $6.9 million Class B-1-A at AA (low) (sf) -- $6.9 million Class B-1-X at AA (low) (sf) -- $5.7 million Class B-2 at A (low) (sf) -- $5.7 million Class B-2-A at A (low) (sf) -- $5.7 million Class B-2-X at A (low) (sf) -- $2.6 million Class B-3 at BBB (low) (sf) -- $1.7 million Class B-4 at BB (low) (sf) -- $518.7 thousand Class B-5 at B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, B-1-X and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-11, A-11-X, A-12, A-13, A-13-X, A-X-1, A-X-5, B-1 and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-11, A-12, A-13 and A-14 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-9 and A-9-A) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 5.45% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 3.45%, 1.80%, 1.05%, 0.55%, and 0.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages to be funded by the issuance of the Certificates. The Certificates are backed by 255 loans with a total principal balance of $345,825,796 as of the Cut-Off Date (June 1, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. Approximately 83.0% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 17.0% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the related report. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. CrossCountry Mortgage, LLC (CrossCountry) is the originator for all of the loans in pool. Shellpoint Mortgage Servicing (Shellpoint or SMS) will act as the Interim Servicer. As of the Servicing Transfer Date (September 1, 2025), JPMorgan Chase Bank, N.A. (JPMCB) will service all the loans. For this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable trend by Morningstar DBRS) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. (Computershare) will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in US dollars unless otherwise noted. JPMCC 2017-JP7: DBRS Cuts Class GRR Certs Rating to C ----------------------------------------------------- DBRS Limited downgraded its credit ratings on seven classes of Commercial Mortgage Pass-Through Certificates, Series 2017-JP7 issued by JPMCC Commercial Mortgage Securities Trust 2017-JP7 as follows: -- Class B to A (high) (sf) from AA (high) (sf) -- Class X-B to A (low) (sf) from A (high) (sf) -- Class C to BBB (high) (sf) from A (sf) -- Class D to BB (sf) from BBB (low) (sf) -- Class E-RR to B (low) (sf) from BB (low) (sf) -- Class F-RR to CCC (sf) from B (low) (sf) -- Class G-RR 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-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) Morningstar DBRS changed the trends on Classes B, X-B, C, D, and E-RR to Stable from Negative. The trends on all other classes are Stable except for Classes F-RR and G-RR, which have credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades on Classes D, E-RR, F-RR, and G-RR (the last three of which previously carried Negative trends) reflect Morningstar DBRS' increased loss projections driven by lower appraised values for two of the three loans in special servicing: First Stamford Place (Prospectus ID#5; 9.7% of the pool) and SpringHill Suites Newark Liberty International Airport (Prospectus ID#13; 2.6% of the pool). Both loans were in special servicing at the time of the last credit rating action in August 2024 and, based on the latest appraised values, Morningstar DBRS projected that approximately $40 million in combined liquidated losses will be realized compared with $31 million in liquidated losses at the last review in August 2024. The latest loss estimate suggests that liquidated losses would erode the entirety of the unrated Class N-RRR and approximately 75% of Class G-RR, diminishing the credit support available to Classes D, E-RR and F-RR, which supports the credit rating downgrades. The credit rating downgrades on Classes B and C, which also previously carried Negative trends, reflect the continued erosion of credit support cushioning these classes from future losses based on Morningstar DBRS' liquidation analysis and view that the overall credit risks for this transaction will remain elevated through 2027 when most of the remaining loans are scheduled to mature. The previous Negative trends on Classes B and C primarily reflected the pool's significant exposure to underperforming office loans, which represent 45.8% of the total pool balance. Although most loans continue to perform as expected, some have exhibited credit deterioration, including 211 Main Street (Prospectus ID#6; 7.1% of the pool), which was in special servicing at the last review but has since transferred back to the master servicer. Morningstar DBRS captured the risks for this loan and others in its analysis for this review with elevated probability of default (POD) and loan-to-value (LTV) stresses. The resulting pool average expected loss (EL) supports the credit rating downgrades. With this credit rating action, just over $100.0 million of the deal balance is now rated below investment grade, with a significant cushion against losses for the middle and top of the capital stack supporting the Stable trends for classes with investment-grade credit ratings. The largest loan in special servicing, Starwood Capital Group Hotel Portfolio (Prospectus ID#4; 9.7% of the pool), transferred to the special servicer in March 2025 for imminent monetary default and the servicer reports that the borrower is seeking a loan modification. Morningstar DBRS did not receive any details on the proposed terms; however, Morningstar DBRS reviewed online news articles that noted that the proposed modification would allow the borrower to sell certain underperforming assets and would allow access to certain reserve accounts to aid in value-add renovation costs for the retained assets. Given that the proposed modification appears to indicate that the sponsor is committed to the loan and collateral portfolio composed of 65 limited-service hotels, these developments would be neutral to positive in Morningstar DBRS' view. However, given the overall decline in performance since issuance including reported net cash flow at YE2024 that was well below issuance figures, it will likely be difficult to achieve a meaningful improvement in time for the 2027 maturity. Morningstar DBRS considered a stressed analysis to increase the loan-level EL, with the resulting drag on the overall pool EL considered as part of the rationale for the credit rating downgrades at this review. The second-largest loan in special servicing, First Stamford Place, is secured by a Class A office complex in Stamford, Connecticut. The trust debt of $60.0 million is a pari passu portion of a $164.0 million whole loan securitized across three other CMBS transactions, including BANK 2017-BNK7 and JPMDB 2017-C7, which Morningstar DBRS also rates. The loan transferred to special servicing in December 2023 for payment default and the trust took title of the property in February 2025. The property has been challenged by occupancy declines, with the February 2025 occupancy rate reported at 77.0%. The property was most recently appraised in January 2025 at a value of $133.5 million, a substantial decline from the issuance appraised value of $285.0 million. Morningstar DBRS liquidated the loan in its analysis based on a 30% haircut to the January 2025 appraised value of $133.5 million. Including the outstanding advances and expected servicer expenses, the resulting loan-loss severity was approaching 49% or approximately $29 million. The third loan in special servicing, 211 Main Street, transferred to the special servicer in April 2024 for maturity default; however, it later returned to the master servicer in November 2024 following a loan modification, which included a four-year maturity extension through April 2028 and a conversion to amortized payments. The loan is secured by a 417,266-square foot (sf) office building in downtown San Francisco, solely occupied by the Charles Schwab Corporation (Schwab) on a lease through April 2028. In 2021, Schwab moved its headquarters to the Dallas-Fort Worth area and has since reduced its footprint at the subject to six floors from 17 floors. Schwab has no termination options in its lease and Morningstar DBRS expects that the servicer is trapping all excess cash, according to the loan agreement. Schwab continues to honor its lease obligations, as evidenced by the stable reported cash flow and debt service coverage ratio of $17.2 million and 1.85 times (x), respectively, at YE2024. The submarket remains weak as, according to the Q1 2025 Reis report, the South Financial District office submarket exhibited a vacancy rate of 23.1% with net absorption of -705,000 sf at YE2024. The loan extension provides the borrower additional time to identify potential replacement tenants; however, it also exposes the loan to increased maturity default risk as Schwab's lease is co-terminus with the extended maturity. An updated appraisal dated October 2024 valued the property at $152.0 million, well below the issuance value of $294.0 million. Morningstar DBRS conducted a dark value analysis assuming that Schwab does not renew its lease, resulting in a stressed value of $114.3 million and an LTV of 148.0% based on the senior debt. Morningstar DBRS also applied an elevated POD assumption in its analysis for this review, which resulted in an EL just over double the pool average. 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. KKR CLO 10: S&P Raises Class E-R Notes Rating to 'BB (sf)' ---------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-R, C-R, D-R, and E-R debt from KKR CLO 10 Ltd., a U.S. broadly syndicated CLO that is managed by KKR Financial Advisors II LLC. The rating actions follow S&P's review of the transaction's performance using data from the May 2025 trustee report. The transaction has paid down approximately $142.77 million in collective paydowns to the class A-R and B-R debt since our September 2023 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the June 2023 trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 380.26% from 149.43%. -- The class C O/C ratio improved to 203.98% from 131.00%. -- The class D O/C ratio improved to 139.37% from 116.61%. -- The class E O/C ratio improved to 115.07% from 108.66%. All O/C ratios experienced positive movement due to the lower balances of the senior debt; consequently, the credit support increased. While the O/C ratios improved, the collateral portfolio's credit quality has slightly deteriorated since S&P's last rating actions. Collateral obligations with ratings in the 'CCC' category have decreased, with $26.41 million reported as of the May 2025 trustee report, compared with $37.13 million reported as of the June 2023 trustee report. Over the same period, the par amount of defaulted collateral has increased to $2.16 million from $0. However, despite the slightly larger concentrations in the 'CCC' category and defaulted collateral, the transaction, especially the senior tranches, has also benefited from a drop in the weighted average life due to underlying collateral's seasoning. The weighted average life decreased to 2.92 years reported as of the May 2025 trustee report, compared with 3.48 years reported as of our September 2023 review. The upgrades reflect the improved credit support available to the debt at the prior rating levels. On a standalone basis, the results of the cash flow analysis indicated higher ratings on the class D-R and E-R notes. However, because the transaction currently has some exposure to 'CCC' rated collateral obligations, defaulted assets, long-dated assets, as well as to some assets with low market values, S&P limited the upgrade on some classes to offset future potential credit migration in the underlying collateral. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." Ratings Raised KKR CLO 10 Ltd. Class B-R to 'AAA (sf)' from 'AA+ (sf)' Class C-R to 'AAA (sf)' from 'AA (sf)' Class D-R to 'AA (sf)' from 'BBB (sf)' Class E-R to 'BB (sf)' from 'B+ (sf)' KKR CLO 12: Moody's Affirms Ba3 Rating on $22MM Class E-R2 Notes ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by KKR CLO 12 Ltd.: US$19.5M Class C-R2 Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Sep 23, 2024 Upgraded to Aa2 (sf) US$25.7M Class D-R2 Senior Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Sep 23, 2024 Upgraded to Baa1 (sf) Moody's have also affirmed the ratings on the following notes: US$248M (Current outstanding amount US$50,785,896) Class A-R2a Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 23, 2024 Affirmed Aaa (sf) US$44.8M Class B-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 23, 2024 Upgraded to Aaa (sf) US$22M Class E-R2 Senior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Sep 23, 2024 Affirmed Ba3 (sf) KKR CLO 12 Ltd., originally issued in August 2015 and refinanced in August 2017 and October 2018, 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 October 2022. RATINGS RATIONALE The rating upgrades on the Class C-R2 and D-R2 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 September 2024. The affirmations on the ratings on the Class A-R2a, B-R2 and E-R2 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-R2a notes have paid down by approximately USD77.2 million (31.1%) since the last rating action in September 2024 and USD197.2 million (79.5%) 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 May 2025[1], the Class A-R2/B-R2, Class C-R2 and Class D-R2 OC ratios are reported at 172.35%, 145.05% and 119.99% compared to August 2024[2] levels of 146.27%, 132.03% and 117.01%, respectively. Moody's notes that the Class E-R2 OC test is currently failing. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD187.4m Defaulted Securities: USD0.9m Diversity Score: 51 Weighted Average Rating Factor (WARF): 3440 Weighted Average Life (WAL): 3.44 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.40% Weighted Average Recovery Rate (WARR): 46.40% Par haircut in OC tests and interest diversion test: 5.26% 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 USD7.06m 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. MARANON LOAN 2023-1: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, A-L-R, B-R, C-R, D-R, and E-R debt and 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. At the same time, S&P withdrew its ratings on the original class A, A-L, B, C, D, and E debt following payment in full on the July 11, 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 replacement class A-R, A-L-R, B-R, C-R, D-R, and E-R debt was issued at a lower spread over three-month SOFR than the original debt. -- The non-call period was extended to July 2027. -- The reinvestment period was extended to July 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended to July 2037. -- The new class X-R debt was issued on the refinancing date and will be paid down using interest proceeds in equal installments of $1,333,333.33, beginning on the second payment date. -- No additional subordinated notes was issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned 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) Ratings Withdrawn Maranon Loan Funding 2023-1 Ltd./ Maranon Loan Funding 2023-1 LLC Class A to NR from 'AAA (sf)' Class A-L to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A- (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Maranon Loan Funding 2023-1 Ltd./ Maranon Loan Funding 2023-1 LLC Subordinated notes, $53.8 million: NR (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. NR--Not rated. MARATHON CLO 2021-16: S&P Assigns BB- (sf) Rating on Cl. D-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1A-R, A-1J-R, A-2-R, B-R, C-R, D-R debt from Marathon CLO 2021-16 Ltd./Marathon CLO 2021-16 LLC, a CLO managed by Marathon Asset Management, L.P. that was originally issued in March 2021. At the same time, S&P withdrew its ratings on the original class A-1 Loans, A-1A, A-1B, A-1J, A-2, B, C, and D debt following payment in full on the July 15, 2025, refinancing date. S&P also affirmed its rating on the class A-1C debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Jan. 15, 2026. -- No additional assets were purchased on the July 15, 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 Oct. 15, 2025. -- No additional subordinated notes were issued on the refinancing date. -- The original class A-1 loans and A-1A debt was combined into the replacement class A-1-R debt. S&P asid, "On a standalone basis, our cash flow analysis indicated a lower rating on the class D-R debt. However, we assigned our 'BB- (sf)' rating on the class D-R debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction, and that the transaction will soon enter its amortization phase. Based on the latter, we expect the credit support available to all rated classes to increase as principal is collected and the senior debt is paid down. In addition, we believe the payment of principal or interest on the class D-R 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," Oct. 1, 2012, criteria." Replacement And Original Debt Issuances Replacement debt -- Class A-1A-R, $233.00 million: Three-month CME term SOFR + 1.11% -- Class A-1J-R, $8.00 million: Three-month CME term SOFR + 1.48% -- Class A-2-R, $48.00 million: Three-month CME term SOFR + 1.55% -- Class B-R (deferrable), $24.00 million: Three-month CME term SOFR + 1.75% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 3.40% -- Class D-R (deferrable), $14.00 million: Three-month CME term SOFR + 6.85% Original debt -- Class A-1 loans, $175.00 million: Three-month CME term SOFR + 1.20% + CSA(i) -- Class A-1A, $58.00 million: Three-month CME term SOFR + 1.20% + CSA(i) -- Class A-1B, $0.00 million: Three-month CME term SOFR + 1.20% + CSA(i) -- Class A-1J, $8.00 million: Three-month CME term SOFR + 1.55% + CSA(i) -- Class A-2, $48.00 million: Three-month CME term SOFR + 1.70% + CSA(i) -- Class B (deferrable), $24.00 million: Three-month CME term SOFR + 2.25% + CSA(i) -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 3.50% + CSA(i) -- Class D (deferrable), $14.00 million: Three-month CME term SOFR + 7.41% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. 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 Marathon CLO 2021-16 Ltd./Marathon CLO 2021-16 LLC Class A-1A-R, $233.00 million: AAA (sf) Class A-1J-R, $8.00 million: AAA (sf) Class A-2-R, $48.00 million: AA (sf) Class B-R (deferrable), $24.00 million: A (sf) Class C-R (deferrable), $24.00 million: BBB- (sf) Class D-R (deferrable), $14.00 million: BB- (sf) Rating Affirmed Marathon CLO 2021-16 Ltd./Marathon CLO 2021-16 LLC Class A-1C: AAA (sf) Ratings Withdrawn Marathon CLO 2021-16 Ltd./Marathon CLO 2021-16 LLC Class A-1 Loans to NR from 'AAA (sf)' Class A-1A to NR from 'AAA (sf)' Class A-1B to NR from 'AAA (sf)' Class A-1J to NR from 'AAA (sf)' Class A-2 to NR from 'AA (sf)' Class B to NR from 'A (sf)' Class C to NR from 'BBB- (sf)' Class D to NR from 'BB- (sf)' Other Debt Marathon CLO 2021-16 Ltd./Marathon CLO 2021-16 LLC Subordinated notes, $41.20 million: NR NR--Not rated. MILE TRUST 2025-STNE: Moody's Assigns Ba3 Rating to Cl. E Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by MILE Trust 2025-STNE, Commercial Mortgage Pass-Through Certificates, Series 2025-STNE. 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 Ba3 (sf) Cl. HRR, Definitive Rating Assigned B1 (sf) RATINGS RATIONALE The Mortgage Loan is secured by the borrower's fee simple interests in a portfolio of 11, single tenant industrial warehouse/distribution properties containing approximately 1.55 million SF of aggregate rentable area. The portfolio is 100% leased to Amazon.com Services LLC, with Amazon.com, Inc. (A1, senior unsecured) as the guarantor under 11 separate leases. The leases maintain a weighted average remaining term of 9.8 years. The Portfolio's facilities are spread across eleven distinct MSAs in ten states. Moody's analysis is based on the quality of the Portfolio, the amount of subordination supporting each rated class, among other structural characteristics. 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 single loans compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.08x, compared to 1.15x at Moody's provisional ratings. The Moody's first mortgage actual stressed DSCR is 0.80x. Moody's DSCR is based on Moody's stabilized net cash flow. The whole loan first mortgage balance of $395,000,000 represents a Moody's LTV ratio of 105.5% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 100.7%, compared to 100.1% at Moody's provisional ratings, based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The Portfolio's weighted average overall quality grade is 0.79. Notable strengths of the transaction include: full occupancy from an investment-grade tenant, long-term leases, industrial facility functionality, portfolio diversity and multiple-property pooling. Notable concerns of the transaction include are single tenant concentration, the presence of dark space, interest-only mortgage loan profile, pro-rate prepayment structure, and certain credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. MORGAN STANLEY 2014-150E: DBRS Confirms BB Rating on XB Certs ------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-150E issued by Morgan Stanley Capital I Trust 2014-150E as follows: -- Class A at A (sf) -- Class A-S at BBB (sf) -- Class B at BB (sf) -- Class C at B (sf) -- Class D at CCC (sf) -- Class E at CCC (sf) -- Class F at CCC (sf) -- Class G at CCC (sf) -- Class X-A at BBB (sf) -- Class X-B at BB (sf) Classes D, E, F, and G have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. Morningstar DBRS changed the trends on the remaining six classes to Stable from Negative. The credit rating confirmations reflect that the current credit ratings of the certificates are commensurate with the performance of the transaction, which remains stable since Morningstar DBRS' previous credit rating action in July 2024. At that time, Morningstar DBRS downgraded its credit ratings on Classes X-A, X-B, A, A-S, B, C, D, and E based on a liquidation scenario, the results of which suggested that losses could fully erode the balance of the Class G, F, and E certificates and partially erode the balance of the Class D certificate. Given the improved likelihood of principal recovery relative to the current credit ratings of the certificates as well as the marginal increase in occupancy, an updated property appraisal, and an executed loan modification, extending the maturity date to September 2027, Morningstar DBRS changed the trends on Classes A through C to Stable from Negative for this review. The $525.0 million transaction is secured by the leasehold and sublease hold interests in 150 East 42nd Street, a 42-story Class A office tower totaling 1.7 million square feet (sf) located directly across from Grand Central Terminal. The total debt stack of $700 million includes a $175 million mezzanine loan that is co-terminus with the trust's interest-only (IO) 10-year loan. The loan transferred to the special servicer in September 2024 for maturity default and subsequently the senior loan was modified in February 2025, extending the maturity date to September 2027. The loan returned to the master servicer in February 2025 and will continue to be cash managed the extended maturity date or until paid in full, there are currently $29.9 million in reserves as of the June 2025 remittance. The ground lease expires in 2113. The borrower also sub-ground leases the entire parcel to a condominium board, which created a 47-unit condominium, with the sub-ground lease expiring in 2046. Currently, the borrower is paying an annual ground rent payment of $24.0 million, an increase from the 2024 figure of $22.0 million. The most recent property appraisal, dated May 2025, valued the collateral at $835.0 million on an as-is basis, representing a 7.2% decline from the issuance appraised value of $900.0 million. The updated valuation reflects a trust debt loan-to-value ratio (LTV) of 62.8%, compared with the issuance appraised LTV of 58.3%. When including the mezzanine debt held outside of the trust, the LTV increases to 83.4%. According to the March 2025 rent roll, the property was 91.5% occupied with an average base rental rate of $58.02 per square foot (psf), an increase from the March 2024 figures of 89.2% and $55.89 psf, respectively. Large tenants at the property include Wells Fargo Bank, N.A. (Wells Fargo; rated AA with Stable trend; 27.0% of the net rentable area (NRA), lease expiry in December 2028), Mount Sinai Hospital (26.3% of the NRA, lease expiry in March 2046), and Dentsu International (12.1% of the NRA, lease expiry in December 2028). There is minimal short-term tenant rollover risk as tenants occupying 3.8% of the NRA have leases scheduled to expire within the next 12 months; however, there is significant rollover concentration in 2028, following the September 2027 maturity date, both tenants noted above. At Morningstar DBRS' previous review, it was noted that Wells Fargo and Dentsu International are both consolidating space; however, neither of the tenants have termination options prior to the respective December 2028 lease expirations. Given the loan remains in a cash sweep period through the extended maturity, Morningstar DBRS believes there should be sufficient funds set aside to significantly aid in re-leasing costs for those tenants. Although occupancy at the subject has seen a marginal increase, the YE2024 net cash flow (NCF) of $33.3 million represents a decline of 20.6% from YE2023 figure, driven by a decline in expense reimbursements, higher utility expenses, and ground rent increasing $2.0 million to $24.0 million. For the same period, the loan reported a debt service coverage ratio (DSCR) of 1.45 times (x), compared with the YE2023 DSCR of 1.84x. Morningstar DBRS maintained the analysis from the previous review, which included a Morningstar DBRS Value of $396.7 million based on a Morningstar DBRS NCF of $40.3 million and a 10.17% leasehold cap rate derived from the Morningstar DBRS fee-simple cap rate of 7.25%. The $396.7 million value implies a trust debt LTV of 132.3% and an all-in LTV of 176.5% when including the mezzanine debt. The Morningstar DBRS Value is lower than the updated appraised value of $835.0 million because of conservative assumptions supported by a comparable property analysis in the current market environment. Morningstar DBRS identified several other comparable sale transactions within the Grand Central submarket, concluding a range of cap rates between 9.3% and 10.4%. Morningstar DBRS maintained positive qualitative adjustments totaling 4.75% to the LTV Sizing Benchmarks to account for investment-grade tenants, increased property quality, and the location within one of the most desirable submarkets in New York City. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2025-DSC2: S&P Assigns Prelim B Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-DSC2's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties including townhouses, planned unit developments, condominiums, two- to four-family residential properties, and a five- to 10-unit residential property. The pool has 1,280 loans, backed by 1,403 properties, which are ATR-exempt. The preliminary ratings are based on information as of July 10, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty (R&W) framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC (MSMCH) and Morgan Stanley Bank N.A. (MSBNA) and the reviewed mortgage originators; -- 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, which is updated if necessary, when these projections change materially. Please refer to "Economic Outlook U.S. Q3 2025: Policy Uncertainty Limits Growth," published June 24, 2025, for our economic outlook." Preliminary Ratings Assigned Morgan Stanley Residential Mortgage Loan Trust 2025-DSC2(i) Class A-1-A, $238,995,000: AAA (sf) Class A-1-B, $39,932,000: AAA (sf) Class A-1, $278,927,000: AAA (sf) Class A-2, $34,741,000: AA- (sf) Class A-3, $40,732,000: A- (sf) Class M-1, $17,969,000: BBB- (sf) Class B-1, $9,384,000: BB (sf) Class B-2, $11,181,000: B (sf) Class B-3, $6,389,964: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $19,970,314: NR Class PT, $379,353,650: NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $399,323,964. NR--Not rated. MSBAM 2025-C35: Fitch Assigns 'B-(EXP)sf' Rating on Cl. F-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to MSBAM 2025-C35, Commercial Mortgage Pass-Through Certificates, Series 2025-C35 as follows: - $10,227,000 class A-1 'AAAsf'; Outlook Stable; - $12,539,000 class A-SB 'AAAsf'; Outlook Stable; - $175,000,000ab class A-4 'AAAsf'; Outlook Stable; - $0b class A-4-1 'AAAsf'; Outlook Stable; - $0b class A-4-2 'AAAsf'; Outlook Stable; - $0bc class A-4-X1 'AAAsf'; Outlook Stable; - $0bc class A-4-X2 'AAAsf'; Outlook Stable; - $220,665,000ab class A-5 'AAAsf'; Outlook Stable; - $0b class A-5-1 'AAAsf'; Outlook Stable; - $0b class A-5-2 'AAAsf'; Outlook Stable; - $0bc class A-5-X1 'AAAsf'; Outlook Stable; - $0bc class A-5-X2 'AAAsf'; Outlook Stable; - $418,431,000c class X-A 'AAAsf'; Outlook Stable; - $67,248,000b class A-S 'AAAsf'; Outlook Stable; - $0b class A-S-1 'AAAsf'; Outlook Stable; - $0b class A-S-2 'AAAsf'; Outlook Stable; - $0bc class A-S-X1 'AAAsf'; Outlook Stable; - $0bc class A-S-X2 'AAAsf'; Outlook Stable; - $29,141,000b class B 'AA-sf'; Outlook Stable; - $0b class B-1 'AA-sf'; Outlook Stable; - $0b class B-2 'AA-sf'; Outlook Stable; - $0bc class B-X1 'AA-sf'; Outlook Stable; - $0bc class B-X2 'AA-sf'; Outlook Stable; - $23,163,000b class C 'A-sf'; Outlook Stable; - $0b class C-1 'A-sf'; Outlook Stable; - $0b class C-2 'A-sf'; Outlook Stable; - $0bc class C-X1 'A-sf'; Outlook Stable; - $0bc class C-X2 'A-sf'; Outlook Stable; - $119,552,000c class X-B 'A-sf'; Outlook Stable; - $18,680,000d class D 'BBB-sf'; Outlook Stable; - $18,680,000cd class X-D 'BBB-sf'; Outlook Stable; - $10,461,000d class E 'BB-sf'; Outlook Stable; - $10,461,000cd class X-E 'BB-sf'; Outlook Stable; - $7,472,000de class F-RR 'B-sf'; Outlook Stable; The following classes are not expected to be rated by Fitch: - $23,163,423de class G-RR a The initial certificate balances of classes A-4 and A-5 are unknown and are expected to be $395,665,000 in aggregate, subject to a 5% variance. The certificate balance will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0-$175,000,000 and the expected class A-5 balance range is $220,665,000-$395,665,000. Fitch's certificate balances for classes A-4 and A-5 assumed the high and low points of each range, respectively. In the event class A-5 is issued with an initial certificate balance of $395,665,000, class A-4 will not be issued. b Exchangeable certificates. c Notional amount and interest only. d Privately placed and pursuant to Rule 144A. e The class F-RR and G-RR certificates represent an eligible horizontal risk retention interest totaling approximately 3.1500% of the fair value of all the certificates. Additionally, the retaining sponsor is expected to purchase an eligible vertical risk retention interest representing approximately 1.9087% of the aggregate fair value of all the certificates. The expected ratings are based on information provided by the issuer as of July 14, 2025. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 40 loans secured by 65 commercial properties having an aggregate principal balance of $597,759,423 as of the cut-off date. The loans were contributed to the trust by Bank of America, N.A., Morgan Stanley Mortgage Capital Holdings, LLC, Argentic Real Estate Finance 2 LLC, Starwood Mortgage Capital LLC and, Citi Real Estate Funding Inc. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is expected to be Argentic Services Company LP. Computershare Trust Company, N.A. is expected to be the trustee and the certificate administrator. The operating advisor and asset representations reviewer will be Park Bridge Lender Services, LLC. The certificates are expected to follow a sequential-paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 62.7% of the loans by balance, cash flow analysis of 86.4% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 24 loans totaling 86.4% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $67,331,936 represents a 14.9% decline from the issuer's aggregate underwritten NCF of $79,121,442. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Higher Fitch Leverage: The pool's Fitch leverage is higher than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 90.0% is higher than the 2025 YTD 10-year multiborrower transaction average of 88.2% and the 2024 10-year multiborrower transaction average of 84.5%. The pool's Fitch NCF debt yield (DY) of 11.3% is lower than the 2025 YTD average of 12.3% and the 2024 average of 12.3% Investment Grade Credit Opinion Loans: Four loans representing 24.1% of the pool by balance received investment grade credit opinion. BioMed MIT Portfolio (10.0% of the pool) received an investment grade credit opinion of 'A-sf*' on a standalone basis, Marriott World Headquarters (8.8%) received an investment grade credit opinion of 'BBB-sf*' on a standalone basis, Washington Square (3.5%) received an investment grade credit opinion of 'BBB-sf*' on a standalone basis, and Discovery Business Center (1.8%) received an investment grade credit opinion of 'BBB-sf*' on a standalone basis. The pool's total credit opinion percentage is higher than the 2025 YTD average of 20.6% and the 2024 average of 21.4% for 2024 transactions. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 95.3% and 11.2%, respectively. Lower Pool Concentration: The pool's effective loan count is 22.4 which is higher than the 2025 YTD average of 21.0 and the 2024 10-year average of 20.8. The pool is concentration is slightly lower than recently rated Fitch transactions. The top 10 loans represent 61.1% of the pool, which is lower than the 2025 YTD multiborrower average of 62.4% and the 2024 average of 63.0%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. Effective property count was 5.2, in line with the YTD 2025 average of 5.2 and above the 2024 five-year multiborrower averages of 4.2. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf / ' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'BBBsf' / 'BB+sf / 'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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. NAVESINK CLO 3: S&P Assigns Prelim BB-(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Navesink CLO 3 Ltd./Navesink CLO 3 LLC's fixed- and floating-rate debt. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by ZAIS Leveraged Loan Master Manager LLC. The preliminary ratings are based on information as of July 11, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Navesink CLO 3 Ltd./Navesink CLO 3 LLC Class A-1, $288.00 million: AAA (sf) Class A-2, $9.00 million: AAA (sf) Class B-1, $40.00 million: AA (sf) Class B-2, $5.00 million: AA (sf) Class C-1 (deferrable), $21.00 million: A+ (sf) Class C-2 (deferrable), $6.00 million: A+ (sf) Class D-1 (deferrable), $22.50 million: BBB (sf) Class D-Ja (deferrable), $2.00 million: BBB- (sf) Class D-Jb (deferrable), $7.00 million: BBB- (sf) Class E (deferrable), $13.50 million: BB- (sf) Subordinated notes, $33.00 million: NR NR--Not rated. NEUBERGER BERMAN 32R: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the reissued class A, B, C, D-1, D-2, and E debt from Neuberger Berman CLO 32R Ltd./Neuberger Berman CLO 32R LLC, a proposed reissue CLO managed by Neuberger Berman Loan Advisers IV LLC. This is a proposed reissue of its Neuberger Berman Loan Advisers CLO 32 Ltd. transaction, which was originally issued in March 2019 and underwent a refinancing in March 2021. This will be the transaction's second optional redemption. 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 10, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Neuberger Berman CLO 32R Ltd./ Neuberger Berman CLO 32R LLC Class A, $352.00 million: AAA (sf) Class B, $66.00 million: AA (sf) Class C (deferrable), $33.00 million: A (sf) Class D-1 (deferrable), $33.00 million: BBB- (sf) Class D-2 (deferrable), $5.50 million: BBB- (sf) Class E (deferrable), $16.50 million: BB- (sf) Subordinated notes, $47.17 million: Not rated NEW RESIDENTIAL 2025-NQM4: S&P Assigns 'B-' Rating on B-2 Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to New Residential Mortgage Loan Trust 2025-NQM4's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, townhouses, a cooperative, and two- to four-family residential properties. The pool consists of 938 loans, which are qualified mortgage safe harbor (average prime offer rate), non-qualified mortgage/ability-to-repay (ATR) compliant and ATR-exempt loans. The preliminary ratings are based on information as of July 15, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings(i) Assigned New Residential Mortgage Loan Trust 2025-NQM4 Class A-1, $371,642,000: AAA (sf) Class A-1A, $322,806,000: AAA (sf) Class A-1B, $48,836,000: AAA (sf) Class A-2, $26,127,000: AA- (sf) Class A-3, $51,522,000: A- (sf) Class M-1, $15,628,000: BBB- (sf) Class B-1, $11,476,000: BB- (sf) Class B-2, $7,570,000: B- (sf) Class B-3, $4,395,446: NR Class A-IO-S, notional(ii): NR Class XS, Notional(ii): NR Class R, Not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. OAKTREE CLO 2023-2: S&P Assigns Prelim BB-(sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from Oaktree CLO 2023-2 Ltd./Oaktree CLO 2023-2 LLC, a CLO managed by Oaktree Capital Management L.P. that was originally issued in July 2023. The preliminary ratings are based on information as of July 15, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 21, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to July 20, 2027. -- The reinvestment period will be extended to July 20, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to July 20, 2038. -- No additional assets will be purchased on the July 21, 2025 refinancing date, and the target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Oaktree CLO 2023-2 Ltd./Oaktree CLO 2023-2 LLC Class A-1-R, $256.00 million: AAA (sf) Class A-2-R, $8.00 million: AAA (sf) Class B-R, $40.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Other Debt Oaktree CLO 2023-2 Ltd./Oaktree CLO 2023-2 LLC Subordinated notes, $38.00 million: NR NR--Not rated. OCP CLO 2016-11: S&P Assigns BB- (sf) Rating on Class E-R3 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class X-R, A-R3, B-R3, C-R3, D-1R3, D-2R3, and E-R3 debt from OCP CLO 2016-11 Ltd./OCP CLO 2016-11 LLC, a CLO managed by Onex Credit Partners LLC that was originally issued May 2016 and underwent a second refinancing in March 2024. At the same time, S&P withdrew its ratings on the outstanding class X, A-1-R2, A-2-R2, B-1-R2, B-2-R2, C-R2, D-R2, and E-R2 debt following payment in full on the July 10, 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 10, 2027. -- The reinvestment period was extended to July 26, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 26, 2038. -- Additional assets were and will be purchased on and after the July 10, 2025, refinancing date, and the target initial par amount will be increased to $500.00 million. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 26, 2025. -- The class X-R debt was issued on the July 10, 2025, refinancing date and is expected to be paid down using interest proceeds during the first 10 payment dates in equal installments of $250,000, beginning on the Oct. 26, 2025, payment date. -- The required minimum overcollateralization ratios were amended. In addition, the reinvestment overcollateralization ratio was amended, and the weighted average life test was extended to nine years from the July 10, 2025, refinancing date. -- Additional subordinated notes were issued on the refinancing date, bringing the total subordinated notes balance to $92.20 million. -- The transaction was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the identified portfolio and supplemented with the transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned OCP CLO 2016-11 Ltd./OCP CLO 2016-11 LLC Class X-R(i), $2.50 million: AAA (sf) Class A-R3, $310.00 million: AAA (sf) Class B-R3, $70.00 million: AA (sf) Class C-R3 (deferrable), $30.00 million: A (sf) Class D-1R3 (deferrable), $30.00 million: BBB- (sf) Class D-2R3 (deferrable), $5.00 million: BBB- (sf) Class E-R3 (deferrable), $15.00 million: BB- (sf) Ratings Withdrawn OCP CLO 2016-11 Ltd./OCP CLO 2016-11 LLC Class X to NR from 'AAA (sf)' Class A-1-R2 to NR from 'AAA (sf)' Class A-2-R2 to NR from 'AAA (sf)' Class B-1-R2 to NR from 'AA+ (sf)' Class B-2-R2 to NR from 'AA+ (sf)' Class C-R2 (deferrable) to NR from 'A+ (sf)' Class D-R2 (deferrable) to NR from 'BBB+ (sf)' Class E-R2 (deferrable) to NR from 'BB (sf)' Other Debt OCP CLO 2016-11 Ltd./OCP CLO 2016-11 LLC Subordinated notes(ii), $92.20 million: NR (i)Class X-R notes will amortize evenly over 10 payments beginning on the first payment date. (ii)Balance includes additional subordinated notes issued on the refinancing date. NR--Not rated. OCP CLO 2023-28: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R debt from OCP CLO 2023-28 Ltd./OCP CLO 2023-28 LLC, a CLO managed by Onex Credit Partners LLC that was originally issued in August 2023. On the July 16, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. At that time, S&P withdrew its ratings on the original class A, B, C, D, and E debt and assign ratings to the replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R debt. The replacement debt was issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R debt is expected to be issued at a lower spread over three-month term SOFR than the original debt. -- The stated maturity was extended by two years. -- The reinvestment period was extended by two years. -- The non-call period was extended by two years. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 16, 2038. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "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 OCP CLO 2023-28 Ltd./OCP CLO 2023-28 LLC Class A-R, $299.25 million: AAA (sf) Class B-R, $61.75 million: AA (sf) Class C-R (deferrable), $28.50 million: A (sf) Class D-1R (deferrable), $28.50 million: BBB- (sf) Class D-2R (deferrable), $4.75 million: BBB- (sf) Class E-R (deferrable), $14.25 million: BB- (sf) Ratings Withdrawn OCP CLO 2023-28 Ltd./OCP CLO 2023-28 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA+ (sf)' Class C to NR from 'A+ (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt OCP CLO 2023-28 Ltd./OCP CLO 2023-28 LLC Preferred shares, $34.40 million: NR Subordinated notes, $8.00 million: NR NR--Not rated. OCP CLO 2023-28: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from OCP CLO 2023-28 Ltd./OCP CLO 2023-28 LLC, a CLO managed by Onex Credit Partners LLC that was originally issued in August 2023. The preliminary ratings are based on information as of July 10, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 16, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original class A, B, C, D, and E debt and assign ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement 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, B-R, C-R, D-1-R, D-2-R, and E-R debt is expected to be issued at a lower spread over three-month term SOFR than the original debt. -- The stated maturity will be extended by two years. -- The reinvestment period will be extended by two years. -- The non-call period will be extended by two years. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to July 16, 2036. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned OCP CLO 2023-28 Ltd./OCP CLO 2023-28 LLC Class A-R, $299.25 million: AAA (sf) Class B-R, $61.75 million: AA (sf) Class C-R (deferrable), $28.50 million: A (sf) Class D-1-R (deferrable), $28.50 million: BBB- (sf) Class D-2-R (deferrable), $4.75 million: BBB- (sf) Class E-R (deferrable), $14.25 million: BB- (sf) Other Debt OCP CLO 2023-28 Ltd./OCP CLO 2023-28 LLC Subordinated notes, $42.40 million: NR NR--Not rated. OCTAGON 57: S&P Lowers Class E Notes Rating to 'B (sf)' ------------------------------------------------------- S&P Global Ratings lowered its ratings on the class E debt from Octagon 57 Ltd. and the class D and E debt from Octagon 53 Ltd., two broadly syndicated CLO transactions managed by Octagon Credit Investors LLC. At the same time, S&P removed the ratings from CreditWatch, where it placed them with negative implications on May 1, 2025. S&P also affirmed its ratings on the remaining classes from both transactions. The rating actions follow S&P's review of the transactions' performance using data from their respective May 2025 trustee reports. Octagon 57 Ltd. This transaction closed in November 2021 and is still in its reinvesting period, which is expected to end in October 2026. As a result, no paydowns have been made to the outstanding debt. Although the overcollateralization (O/C) ratios are above their respective triggers and passing, they have declined across all categories since S&P reviewed it at closing. This decline can be attributed to par losses and increased defaults since our November 2021 review. During this period, collateral obligations in the 'CCC' rating category also increased to $29.53 million of the total collateral reported as of the May 2025 trustee report, compared with $5.81 million as of our November 2021 review. In addition, the portfolio's weighted average spread and weighted average recovery rates declined during this period. These factors led to a decline in credit support and the class E cash flows failing at the previous rating level, which resulted in a one-notch downgrade to 'B+ (sf)'. Although the class D cash flow results also indicated a potential downgrade, S&P considered the margin of failure, passing O/C test levels, existing credit support, and potential for any 'CC' rated or 'SD' (selective default) obligors returning to performing status and thus having their current rating affirmed. However, any further decline in credit quality or a reduction in credit support for the class D debt could result in a downgrade in the future. S&P said, "While our cash flow analysis also indicated the potential for a higher rating for some of Octagon 57 Ltd.'s senior classes, our rating actions consider that as the transaction continues to reinvest, as well as the potential for a change in the collateral composition and increased volatility. As a result, we did not consider any upgrades at this time." Octagon CLO 53 Ltd. This transaction closed in April 2021 and is still in its reinvesting period, which is expected to end in April 2026. As a result, no paydowns have been made to the outstanding debt. Similar to Octagon 57 Ltd., the O/C ratios are passing, even though they have declined across all categories since our closing. The decline in O/C levels can be attributed to increased par losses since our April 2021 review, which are higher than those of Octagon 57 Ltd. In addition, defaults increased to $5.07 million from $0 during that period. Collateral obligations in the 'CCC' rating category rose to $34.05 million of the total collateral reported as of the May 2025 trustee report, compared with $14.74 million as of our April 2021 review. The portfolio's weighted average recovery and spread both declined during this period. These factors led to a decline in credit support, and a failure of the class C, D, and E cash flows at the previous rating levels, which resulted in a downgrade of classes D and E. S&P said, "Although our cash flows indicated a lower rating for the class E debt, we considered its current O/C and believe that the class does not represent our definition of 'CCC' risk because it currently is not dependent on favorable conditions for repayment. However, any increase in defaults or par losses could lead to negative rating actions in the future. "In addition, while the class C cash flows pointed to a one-notch downgrade, we affirmed the rating considering the minimal margin of failure, cushion at the trustee O/C levels, exposure to 'CCC/CCC-' rated assets, and potential for any 'CC' rated or 'SD' (selective default) obligors returning to performing status and thus having their current rating affirmed." The affirmations on the class A and B debt reflect the passing cash flows and current credit support. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Lowered And Removed From CreditWatch Negative Octagon 57 Ltd. Class E to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Octagon 53 Ltd. Class D to 'BB+ (sf)' from 'BBB- (sf)/Watch Neg' Class E to 'B (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Octagon 57 Ltd. Class A: AAA (sf) Class B-1: AA (sf) Class B-2: AA (sf) Class C: A (sf) Class D: BBB- (sf) Octagon 53 Ltd. Class A: AAA (sf) Class B: AA (sf) Class C: A (sf) ONITY LOAN 2025-HB1: DBRS Gives Prov. B Rating on Class M5 Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Asset-Backed Notes, Series 2025-HB1 to be issued by Onity Loan Investment Trust 2025-HB1 as follows: -- $261.3 million Class A at (P) AAA (sf) -- $22.6 million Class M1 at (P) AA (low) (sf) -- $16.1 million Class M2 at (P) A (low) (sf) -- $12.9 million Class M3 at (P) BBB (low) (sf) -- $9.7 million Class M4 at (P) BB (low) (sf) -- $14.5 million Class M5 at (P) B (sf) Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. The (P) AAA (sf) credit rating reflects 19.0% of credit enhancement (CE). The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (sf) credit ratings reflect 12.0%, 7.0%, 3.0%, 0.0%, and -4.5% of CE, respectively. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required if (1) the borrower dies, (2) the borrower sells the related residence, (3) the borrower no longer occupies the related residence for a period (usually a year), (4) it is no longer the borrower's primary residence, (5) a tax or insurance default occurs, or (6) the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the Cut-Off Date (April 30, 2025), the collateral has approximately $322.54 million in unpaid principal balance (UPB) from 1,091 performing and nonperforming home equity conversion mortgage (HECM) reverse mortgage loans and real estate owned (REO) assets secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, planned unit developments, and townhouses. The mortgage assets were originated between 2002 and 2021. Of the total assets, 115 have a fixed interest rate (16.48% of the balance), with a 5.41% weighted-average (WA) interest rate. The remaining 976 assets have floating-rate interest (83.52% of the balance) with a 6.78% WA interest rate, bringing the entire collateral pool to a 6.55% interest rate. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A Notes) have been reduced to zero. This structure provides CE in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. Classes M1, M2, M3, M4, and M5 (together, the Class M Notes) have principal lockout insofar as they are not entitled to principal payments prior to a Redemption Date, unless an Acceleration Event or Auction Failure Event occurs. Available cash will be trapped until these dates, at which stage the notes will start to receive payments. Note that the Morningstar DBRS cash flow as it pertains to each note models the first payment being received after these dates for each of the respective notes; hence, at the time of issuance, these rules are not likely to affect the natural cash flow waterfall. A failure to pay the Notes in full on the Mandatory Call Date (August 2027) will trigger a mandatory auction of all assets. If the auction fails to elicit sufficient proceeds to pay off the notes, another auction will follow every three months, for up to a year after the Mandatory Call Date. If these have failed to pay off the notes, this is deemed an Auction Failure, and subsequent auctions will proceed every six months. If the Class M4 and M5 Notes have not been redeemed or paid in full by the Mandatory Call Date, these notes will accrue Additional Accrued Amounts. Morningstar DBRS does not rate these Additional Accrued Amounts. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Payment Amount, Cap Carryover Amount, and Note Amount. Notes: All figures are in U.S. dollars unless otherwise noted. OPORTUN ISSUANCE 2021-B: DBRS Confirms BB(high) Rating on D Notes ----------------------------------------------------------------- DBRS, Inc. confirmed twelve credit ratings from three Oportun Issuance Trust transactions. Oportun Issuance Trust 2021-B -- Class A Notes AA (low) (sf) Confirmed -- Class B Notes A (low) (sf) Confirmed -- Class C Notes BBB (low) (sf) Confirmed -- Class D Notes BB (high) (sf) Confirmed Oportun Issuance Trust 2021-C -- Class A Notes AA (low) (sf) Confirmed -- Class B Notes A (low) (sf) Confirmed -- Class C Notes BBB (low) (sf) Confirmed -- Class D Notes BB (high) (sf) Confirmed Oportun Issuance Trust 2022-A -- Class A Notes AA (low) (sf) Confirmed -- Class B Notes A (low) (sf) Confirmed -- Class C Notes BBB (low) (sf) Confirmed -- Class D Notes BB (high) (sf) Confirmed The rationale for the rating recommendation considers the following factors: -- Although losses are tracking above the Morningstar DBRS initial base-case cumulative net loss (CNL) expectations, the current level of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- The transaction capital structures and form and sufficiency of available CE. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (June 17, 2025). OZLM FUNDING II: S&P Assigns B- (sf) Rating on Class F-R4 Notes --------------------------------------------------------------- S&P Global Ratings assigned its 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 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. At the same time, S&P withdrew its ratings on the outstanding class A-1a-FR, A-1a-R2, A-1b-R2, A-2-R3, A-2-R3F, B-R3, C-R2, and D-R2 debt following payment in full on the July 11, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The weighted average cost of the replacement debt is lower than the existing debt. -- The existing class A-1a-FR, A-1a-R2, and A-1b-R2 debt was combined into class A-R4 debt. -- The existing class B-R3 was split into two pari passu classes, C-1-R4 and C-2-R4 debt. -- The existing class C-R2 debt was split into the class D-1-R4 and D-2-R4 debt. The class D-1-R4 debt is senior to the class D-2-R4 debt. -- New class X-R4 debt was issued in connection with this refinancing and will 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 was issued with a fixed-rate coupon in connection with this refinancing. -- The non-call period was extended to July 11, 2026. -- The reinvestment period was extended to July 30, 2027. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 30, 2037. -- No additional subordinated notes was 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." 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) Ratings Withdrawn OZLM Funding II Ltd/ OZLM Funding II LLC class A-1a-FR to NR from 'AAA (sf)' class A-1a-R2 to NR from 'AAA (sf)' class A-1b-R2 to NR from 'AAA (sf)' class A-2-R3 to NR from 'AAA (sf)' class A-2-R3F to NR from 'AAA (sf)' class B-R3 to NR from 'AA+ (sf)' class C-R2 to NR from 'BBB (sf)' class D-R2 to NR from 'BB- (sf)' Other Debt OZLM Funding II Ltd/ OZLM Funding II LLC Subordinated notes, $72.10 million: Not rated PPM CLO 2018-1: Moody's Cuts Rating on $20.4MM Class E Notes to B1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by PPM CLO 2018-1 Ltd.: US$20,800,000 Class C Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aaa (sf); previously on April 9, 2024 Upgraded to Aa3 (sf) US$22,800,000 Class D Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Upgraded to A3 (sf); previously on April 9, 2024 Upgraded to Baa2 (sf) Moody's have also downgraded the ratings on the following notes: US$20,400,000 Class E Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on August 11, 2021 Upgraded to Ba3 (sf) US$6,800,000 Class F Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Downgraded to Caa3 (sf); previously on April 9, 2024 Downgraded to Caa2 (sf) PPM CLO 2018-1 Ltd., originally issued in August 2018 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since May 2024. Class A notes have been paid down by approximately 45.1% or $115.5 million since then. Based on the trustee's May 2025 report, the OC ratios for the Class C and Class D notes are reported at 138.14% and 116.72%[1], respectively, versus May 2024 levels of 124.47% and 113.66%[2], respectively. The downgrade rating actions on the Class E and Class F notes reflect 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 May 2025 report, the OC ratio for the Class E notes is reported at 102.50%[3] versus May 2024 level of 105.46%[4]. Also, Moody's calculated OC ratio for the Class F notes, which does not include any haircuts, is currently 100.71% versus April 2024 level of 102.89%. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level is 3319[5], compared to 3150[6] in May 2024. No actions were taken on the Class A, Class B-1, and Class B-2 notes, because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published 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: $174,852,811 Defaulted par: $2,468,654 Diversity Score: 49 Weighted Average Rating Factor (WARF): 3098 Weighted Average Spread (WAS): 3.45% Weighted Average Recovery Rate (WARR): 46.45% Weighted Average Life (WAL): 3.2 years Par haircut in OC tests and interest diversion test: 2.4% 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. PROVIDENT FUNDING 2025-3: Moody's Assigns (P)B2 Rating to B-5 Certs ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 30 classes of residential mortgage-backed securities (RMBS) to be issued by Provident Funding Mortgage Trust 2025-3, and sponsored by Provident Funding Associates, L.P. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages originated and serviced by Provident Funding Associates, L.P. The complete rating actions are as follows: Issuer: Provident Funding Mortgage Trust 2025-3 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aa1 (sf) Cl. A-14, Assigned (P)Aa1 (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aaa (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aa1 (sf) Cl. A-X-16*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.30%, in a baseline scenario-median is 0.12% and reaches 4.46% 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. PRPM 2025-RCF3: DBRS Finalizes BB(low) Rating on Class M2 Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RCF3 (the Notes) issued by PRPM 2025-RCF3, LLC (PRPM 2025-RCF3 or the Trust): -- $164.0 million Class A-1 at AAA (sf) -- $36.2 million Class A-2 at AA (high) (sf) -- $27.7 million Class A-3 at A (high) (sf) -- $16.2 million Class M-1A at BBB (high) (sf) -- $11.5 million Class M-1B at BBB (low) (sf) -- $16.5 million Class M-2 at BB (low) (sf) The AAA (sf) credit rating on the Class A-1 Notes reflects 48.85% of credit enhancement provided by the subordinated notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BBB (low) (sf), and 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. Notes: All figures are in U.S. dollars unless otherwise noted. RADIAN MORTGAGE 2025-J3: Fitch Gives B(EXP)sf Rating on B-5 Certs ----------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by Radian Mortgage Capital Trust 2025-J3 (RMCT 2025-J3). Entity/Debt Rating ----------- ------ Radian Mortgage Capital Trust 2025-J3 A-1 LT AAA(EXP)sf Expected Rating A-1-X LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-X LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-X LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-13-X LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-15-X LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-17-X LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-19-X LT AAA(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-21 LT AAA(EXP)sf Expected Rating A-21-X LT AAA(EXP)sf Expected Rating A-22 LT AAA(EXP)sf Expected Rating A-23 LT AAA(EXP)sf Expected Rating A-23-X LT AAA(EXP)sf Expected Rating A-24 LT AAA(EXP)sf Expected Rating A-24-X LT AAA(EXP)sf Expected Rating A-25 LT AAA(EXP)sf Expected Rating A-25-X LT AAA(EXP)sf Expected Rating A-26 LT AAA(EXP)sf Expected Rating A-27 LT AAA(EXP)sf Expected Rating A-27-X LT AAA(EXP)sf Expected Rating A-28 LT AAA(EXP)sf Expected Rating A-28-X LT AAA(EXP)sf Expected Rating A-29 LT AAA(EXP)sf Expected Rating A-30 LT AAA(EXP)sf Expected Rating A-31 LT AAA(EXP)sf Expected Rating A-32 LT AAA(EXP)sf Expected Rating A-33 LT AAA(EXP)sf Expected Rating A-34 LT AAA(EXP)sf Expected Rating A-34-X LT AAA(EXP)sf Expected Rating A-X LT AAA(EXP)sf Expected Rating B-1 LT AA(EXP)sf Expected Rating B-1-A LT AA(EXP)sf Expected Rating B-1-X LT AA(EXP)sf Expected Rating B-2 LT A(EXP)sf Expected Rating B-2-A LT A(EXP)sf Expected Rating B-2-X LT A(EXP)sf Expected Rating B-3 LT BBB(EXP)sf Expected Rating B-3-A LT BBB(EXP)sf Expected Rating B-3-X 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 B LT BBB(EXP)sf Expected Rating B-X LT BBB(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The transaction is expected to close on July 25, 2025. The notes were supported by 398 prime loans with a total balance of approximately $374.0 million as of the cutoff date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.9% above a long-term sustainable level (versus 11.0% on a national level as of 4Q24, down 0.1% qoq, based on Fitch's updated view on sustainable home prices). Housing affordability is currently at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices had increased 2.9% yoy nationally as of February 2025, notwithstanding modest regional declines, but are still being supported by limited inventory. High Quality Mortgage Pool (Positive): The collateral consists of 30-year, fixed-rate mortgage (FRM) fully amortizing loans seasoned at approximately five months in aggregate, calculated by Fitch as the difference between the cutoff date and the origination date. The average loan balance is $939,780. The collateral primarily comprises 76.4% prime-jumbo loans, followed by 171 agency-conforming loans accounting for 23.6% of the unpaid principal balance (UPB). Borrowers in this pool have strong credit profiles (a 774 average model FICO, as calculated by Fitch), in line with comparable prime-jumbo securitizations. The sustainable loan-to-value ratio (sLTV) is 80.1%, and the mark-to-market (MtM) combined loan-to-value ratio (cLTV) is 71.1%. Fitch treated approximately 100% of the loans as full documentation collateral, and 100% of the loans are qualified mortgages (QMs). Of the pool, 93.2% are loans for which the borrower maintains a primary residence, while 6.8% are for second homes. Additionally, 53.8% of the loans were originated through a retail channel. Expected losses in the 'AAAsf' stress amount to 7.25%, similar to those of other comparable prime-jumbo shelves. Shifting-Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. This lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Due to leakage to the subordinate bonds, the shifting-interest structure requires more CE. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults at a later stage compared with a sequential or modified-sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 2.30% of the original balance will be maintained for the senior and subordinate notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Canopy, Incenter and Opus. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, made the following adjustment to its analysis: a 5% credit was given at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 31-bps reduction to the 'AAA' expected loss ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. REALT 2021-1: DBRS Hikes Class G Certs Rating to B(high) -------------------------------------------------------- DBRS Limited upgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2021-1 issued by Real Estate Asset Liquidity Trust (REALT) Series 2021-1 as follows: -- Class C to AA (high) (sf) from AA (sf) -- Class D-1 to A (high) (sf) from BBB (high) (sf) -- Class D-2 to A (high) (sf) from BBB (high) (sf) -- Class E to A (sf) from BBB (sf) -- Class F to BB (high) (sf) from BB (sf) -- Class G to B (high) (sf) from B (sf) Morningstar DBRS confirmed the credit ratings on the remaining classes as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (high) (sf) In addition, Morningstar DBRS changed the trends on Classes B, C, D-1, D-2, E, F, and G to Positive from Stable. The trends on the remaining classes are Stable. The credit rating upgrades and Positive trends reflect the continued principal paydown since issuance, as a result of loan repayments and amortization; favorable property type concentrations; and the overall stable-to-improving performance of the remaining loans in the pool, which reported a weighted-average (WA) debt service coverage ratio (DSCR) of 1.71 times (x); based on the most recent year-end financial reporting. Since Morningstar DBRS' previous credit rating action, one loan, Conklin Place Plaza (Prospectus ID#12, previously 2.2% of the pool balance), which was previously identified as being at increased risk of default given a below breakeven DSCR, repaid in full. In total, loan repayments and amortization have reduced the pool balance to $456.3 million as of the June 2025 reporting, representing a collateral reduction of 16.1% since issuance. In addition, 17 loans, representing 19.8% of the current pool balance, have maturity dates in 2025 and 2026. Morningstar DBRS expects these loans will repay from the trust based on their WA debt yield and DSCR of 10.96% and 1.59x, respectively. This additional paydown will lead to further improvement in credit enhancement levels, further supporting the Positive trends assigned with this review. As of the June 2025 remittance, 74 of the original 79 loans remain in the pool. There are no specially serviced or delinquent loans. One loan (representing 0.9% of the pool balance) has been defeased, and four loans (7.4%) are on the servicer's watchlist, one of which (2.0%) is being monitored for an upcoming maturity. The transaction is generally well distributed by property type with multifamily, retail, and industrial assets accounting for 34.8%, 19.7%, and 18.5% of the pool balance, respectively. Only four loans, representing 8.9% of the pool balance, are backed by office properties, further highlighting the favorable makeup of the pool's underlying collateral. The majority of loans remaining in the pool benefit from some level of meaningful recourse to the loan's sponsor. The largest remaining loan in the pool, McKeown Commons North Bay (Prospectus ID#2, 5.1% of the current pool balance), is secured by a retail power center in North Bay, Ontario. The property is primarily leased to national and investment-grade rated tenants. Morningstar DBRS previously noted that tenants representing approximately 50.0% of the net rentable area (NRA) had leases set to expire prior to December 2025. However, according to the servicer, the vast majority of those tenants have elected to exercise their respective extension options. According to the June 2024 rent roll, the property remains 100.0% occupied. Given the developments outlined above, Morningstar DBRS removed the probability of default (POD) adjustment in its analysis for this review, resulting in a loan-level expected loss (EL) that is relatively in line with the WA pool EL. The largest loan on the servicer's watchlist, Tamarack Gardens Multifamily Edmonton (Prospectus ID#8, 3.1% of the current pool balance), is secured by a 126-unit multifamily complex in Edmonton, Alberta. The loan was added to the servicer's watchlist in January 2023 for a low DSCR. Cash flow has trended downward as a result of an increase in total operating expenses, which, as of the September 2024 reporting, was 78.2% higher than the underwritten figure at issuance. The increase is primarily attributable to repairs and maintenance costs due to the hiring of additional maintenance and cleaning staff and extensive repairs across several units. According to the February 2025 rent roll, the property was 89.7% occupied, a decrease from the January 2024 and issuance figures of 96.2% and 95.2%, respectively. Rising expenses have been partially offset by an increase in average rental rates at the property, which as of February 2025 was $1,698 per unit compared with the January 2024 and issuance underwritten figures of $1,438 and $1,260, respectively. As a result, the trailing 12-month (T-12) ended September 30, 2024, DSCR improved to 1.14x from the T-12 ended September 30, 2023, figure of 0.87x, in line with the Morningstar DBRS DSCR at issuance. Given the loan's status on the servicer's watchlist and decline in the property's occupancy rate, Morningstar DBRS maintained a conservative POD adjustment in the analysis for this review, resulting in an EL that was almost five times the pool average. Notes: All figures are in U.S. dollars unless otherwise noted. REGATTA XXV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Regatta XXV Funding Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Regatta XXV Funding Ltd. A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-1 758978AC4 LT PIFsf Paid In Full AAsf B-2 758978AJ9 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 758978AE0 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 758978AG5 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 758979AA6 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Regatta XXV Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Napier Park Global Capital (US) LP. The original CLO, which closed in September 2023 was also rated by Fitch. On July 11, 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 $396 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 23.76, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.6% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.34% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39.9% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 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-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. 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, '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 Authorityregistered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Regatta XXV Funding Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. RIN LLC VI: Moody's Assigns Ba3 Rating to $4.5MM Class E-R Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to seven classes of CLO refinancing notes issued and two classes of loans incurred by RIN VI LLC (the Issuer): US$92,500,000 Class A-1-R Floating Rate Senior Notes due 2038, Definitive Rating Assigned Aaa (sf) US$0 Class A-1-R-L Floating Rate Senior Notes due 2038, Definitive Rating Assigned Aaa (sf) US$49,500,000 Class A-1-R-L1 Loans maturing 2038, Definitive Rating Assigned Aaa (sf) US$50,000,000 Class A-1-R-L2 Loans maturing 2038, Definitive Rating Assigned Aaa (sf) US$6,000,000 Class A-2-R Floating Rate Senior Notes due 2038, Definitive Rating Assigned Aaa (sf) US$30,000,000 Class B-R Floating Rate Senior Notes due 2038, Definitive Rating Assigned Aa1 (sf) US$18,000,000 Class C-R Deferrable Floating Rate Mezzanine Notes due 2038, Definitive Rating Assigned A2 (sf) US$18,000,000 Class D-R Deferrable Floating Rate Mezzanine Notes due 2038, Definitive Rating Assigned Baa3 (sf) US$4,500,000 Class E-R Deferrable Floating Rate Mezzanine Notes due 2038, Definitive Rating Assigned 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. The portfolio is 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: 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): 2.85% 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 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. SANDSTONE PEAK II: S&P Assigns Prelim 'BB-' Rating on Cl E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from Sandstone Peak II Ltd./Sandstone Peak II LLC, a CLO managed by Beach Point CLO Management LLC that was originally issued in June 2023. The preliminary ratings are based on information as of July 15, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 21, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The stated maturity, reinvestment period, and non-call period will each be extended by two years. -- No additional assets will be purchased on the refinancing date, and the target initial par amount will remain at $400,000,000. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- The outstanding amount of subordinated notes is expected to be reduced 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 Sandstone Peak II Ltd./Sandstone Peak II LLC Class A-1-R, $244.00 million: AAA (sf) Class A-2-R, $12.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Other Debt Sandstone Peak II Ltd./Sandstone Peak II LLC Subordinated notes, $30.74 million: NR NR--Not rated. SHACKLETON 2019-XIV: Moody's Assigns Ba3 Rating to E-RR Notes ------------------------------------------------------------- Moody's Ratings has assigned ratings to five classes of refinancing notes (collectively, the "Refinancing Notes") issued by Shackleton 2019-XIV CLO, Ltd. (the "Issuer"). Moody's rating action is as follows: US$215,500,000 Class A-1-RR Senior Secured Floating Rate Notes due 2034 (the "Class A-1-RR Notes"), Assigned Aaa (sf) US$43,400,000 Class B-RR Senior Secured Floating Rate Notes due 2034 (the "Class B-RR Notes"), Assigned Aa1 (sf) US$23,200,000 Class C-RR Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class C-RR Notes"), Assigned A1 (sf) US$28,200,000 Class D-RR Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class D-RR Notes"), Assigned Baa3 (sf) US$25,350,000 Class E-RR Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class E-RR Notes"), 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. Alcentra NY, LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one other class of secured notes and one class of subordinated notes, which will remain outstanding. 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: extensions of the non-call period and updates to alternative benchmark replacement provisions. No action was taken on the Class A-2-R notes because its expected loss remain commensurate with its current rating, 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: $430,379,986 Defaulted par: $2,304,867 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2859 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.13% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.75% Weighted Average Life (WAL): 5.25 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 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. SIGNAL PEAK 4: S&P Lowers Class F-R Notes Rating to 'CCC+ (sf)' --------------------------------------------------------------- S&P Global Ratings lowered its rating on the class E-R, D-R, and F-R debt from Signal Peak CLO 4 Ltd., a U.S. CLO managed by ORIX Advisers LLC. At the same time, S&P removed its rating on the class E-R debt from CreditWatch, where it was placed with negative implications on May 1, 2025. In addition, S&P affirmed its ratings on the class X-R, A-R, B-R, and C-R debt from the transaction. The CLO is in its reinvestment phase, which is expected to end in October 2026. The rating actions follow our review of the transaction's performance using data from the May 14, 2025, trustee report. Although the trustee-reported overcollateralization (O/C) ratios of all tranches are currently passing, they have declined since closing. The reported O/C ratios changes between the May 2025 and December 2021 reports (when the CLO went effective) include: -- The class A/B O/C ratio declined to 127.63% from 131.61%. -- The class C O/C ratio declined to 118.29% from 121.98%. -- The class D O/C ratio declined to 110.23% from 113.66%. -- The class E O/C ratio declined to 106.30% from 109.62%. The drop in the O/C ratios is primarily due to par losses and increases to defaults since close. The amount of defaulted assets held in the portfolio increased to $4.67 million as of the May 2025 trustee report from $0 as of the December 2021 trustee report, which S&P used in our effective date analysis. In addition, the recovery rates and weighted average spread have declined overall. As a result of all these factors, credit support has weakened for all tranches and the class D-R, E-R, and F-R cash flows are no longer passing at the previous ratings, which, in turn, resulted in a one-notch downgrade of classes D-R, E-R, and F-R. S&P said, "On a standalone basis, the result of our cash flow analysis for class F-R indicated a lower rating. While we believe that the class F-R debt now aligns with our 'CCC' rating category, we limited its downgrade to one notch to 'CCC+ (sf)' after considering its credit enhancement level and other qualitative aspects, such as lower exposure to 'CCC' and 'CCC-' rated assets and passing O/Cs. However, any increase in defaults or par losses could lead to negative rating actions in the future. "The affirmations reflect adequate credit support at the current rating levels. Although the cash flow results indicated a higher rating for the class B-R debt, our rating actions considered that the CLO is still in its reinvestment period (which is scheduled to expire October 2026) and that future reinvestment activity could change some of the portfolio characteristics. "Our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenario, based on our criteria. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. The results of our cash flow analysis and other qualitative factors, as applicable, demonstrated that the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. "We will continue to review whether the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Rating Lowered And Removed From CreditWatch Signal Peak CLO 4 Ltd. Class E-R to 'B+ (sf)' from 'BB- (sf)/Watch neg' Ratings Lowered Signal Peak CLO 4 Ltd. Class D-R to 'BB+ (sf)' from 'BBB- (sf)' Class F-R to 'CCC+ (sf)' from 'B- (sf)' Ratings Affirmed Signal Peak CLO 4 Ltd. Class X-R: AAA (sf) Class A-R: AAA (sf) Class B-R: AA (sf) Class C-R: A (sf) SIXTH STREET XX: S&P Assigns B- (sf) Rating on Class F-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R loans and A-1-R notes and new class X and F-R notes from Sixth Street CLO XX Ltd./Sixth Street CLO XX LLC, a CLO managed by Sixth Street CLO XX Management LLC that was originally issued in June 2021. At the same time, S&P withdrew its ratings on the original class A-1, B, C, D, and E debt following payment in full on the July 8, 2025, refinancing date. The replacement class A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt was not rated on the 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 8, 2027. -- The reinvestment period was extended to July 17, 2030. -- The legal final maturity date for the replacement debt was extended to July 17, 2038. -- The target initial par amount remains at $500 million, and there was no additional effective date or ramp-up period. The first payment date following the refinancing is Oct. 17, 2025. -- New class X debt was issued on the refinancing date and is expected to be paid down using interest proceeds during the first 16 payment dates in equal installments of $281,250, beginning on the first payment date. -- New class F-R debt was issued in connection with this refinancing. -- The replacement class D-1-R and D-2-R debt replaced the original class D debt. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "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 Sixth Street CLO XX Ltd./Sixth Street CLO XX LLC Class X, $4.50 million: AAA (sf) Class A-1-R, $200.00 million: AAA (sf) Class A-1-R loans, $100.00 million: AAA (sf) Class F-R (deferrable), $0.25 million: B- (sf) Ratings Withdrawn Sixth Street CLO XX Ltd./Sixth Street CLO XX LLC Class A-1 to NR from 'AAA (sf)' Class B to NR from 'AA (sf) Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Sixth Street CLO XX Ltd./Sixth Street CLO XX LLC Class A-2-R, $30.00 million: NR Class B-R, $40.00 million: NR Class C-R (deferrable), $38.75 million: NR Class D-1-R (deferrable), $31.25 million: NR Class D-2-R (deferrable), $2.50 million: NR Class E-R (deferrable), $17.50 million: NR Subordinated notes, $51.25 million: NR NR--Not rated. SOLVE 2025-HEC1: DBRS Finalizes BB Rating on Class B Notes ---------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes (together, the Notes) issued by SOLVE 2025-HEC1: -- $112.1 million Asset-Backed Notes, Series 2025-HEC1, Class A at BBB (sf) -- $18.9 million Asset-Backed Notes, Series 2025-HEC1, Class B at BB (sf) The BBB (sf) credit rating reflects a cumulative advance rate of 56.5 % for Class A and the BB (sf) credit rating reflects a cumulative advance rate of 66.1 % for Class B. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Home equity investments (HEIs) allow homeowners to access the equity in their homes without having to sell their homes or make monthly mortgage payments. HEIs provide homeowners with an alternative to borrowing and are available to homeowners of any age (unlike reverse mortgage loans, for example, for which there is often a minimum age requirement). With an HEI, a homeowner receives an upfront cash payment (an Investment Amount) and, in exchange, gives an investor (i.e., an originator) a stake in the property. The homeowner retains sole right of occupancy at the property and pays all upkeep and expenses during the term of the HEI, but the originator earns an investment return based on the future value of the property. Like reverse mortgage loans, the HEI underwriting approach is asset based, meaning that there is greater emphasis on the underlying property's value and the amount of home equity than on the homeowner's credit quality. The property value is the main predictor of investment return because it is the source of funds to satisfy the obligation. HEIs are nonrecourse; in a default situation, a homeowner is not required to provide additional funds when the HEI settlement amount exceeds the remaining equity value in the property (after accounting for any other obligations such as senior liens, if applicable). Recovery of the Investment Amount and any originator return is subject to the amount of appreciation/depreciation on the property, the amount of debt that may be senior to the HEI, and the cap on investor return, if applicable. As of the cut-off date, May 31, 2025, 116 contracts in the transaction were first-lien contracts, representing $10.54 million in original investment payments; 786 were second-lien contracts, representing $83.65 million in original investment payments; 82 were third-lien contracts, representing $10.24 million in original investment payments; and five were fourth-lien contracts, representing $0.34 million in original investment payments. Of the pool, 10.06% of the contracts by original investment amount are first lien with a weighted-average (WA) option percentage of 58.74%; 79.84% are second-lien contracts with a WA option percentage of 57.28%; 9.77% are third-lien contracts with a WA option percentage of 61.07%; and the remaining 0.33% are fourth-lien contracts with a WA option percentage of 63.46%. This brings the entire transaction's WA option percentage to 57.82%. The current unadjusted loan-to-value ratio of the pool is 36.69% (i.e., of senior liens ahead of the contracts). At the cut-off date, the pool had a WA original option-to-value ratio of 18.47% and a WA original loan-plus-option-to-value ratio of 61.79%. The transaction uses a sequential structure in which cash distributions are first made to reduce the interest amount and cap carryover amount on Class A. Payments are then made to the note amount on Class A until such notes reduce to zero followed by payments to reduce the additional accrued amounts for Class A that accrued on any earlier payment date but have not been paid until the additional accrued amounts reduce to zero. Class B are full accrual notes and will not be entitled to receive any payments of interest or principal until the Class A and Class A additional accrued amounts have been paid in full. Payments will not be made to Class B unless and until an optional redemption, auction proceeds redemption, or indenture default. Upon an optional redemption, auction proceeds redemption, or indenture default, payments are made to the aggregate note amount on the outstanding Notes. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related note amounts. In addition, the associated financial obligations for Class A include the related cap carryover and interest amounts. Notes: All figures are in U.S. dollars unless otherwise noted. TALLMAN PARK: Fitch Assigns 'BB-(EXP)sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to the Tallman Park CLO, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Tallman Park CLO, Ltd. X-R LT NR(EXP)sf Expected Rating A-1-R LT NR(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1-R LT BBB-(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Transaction Summary Tallman Park CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Blackstone CLO Management LLC that original closed on May 28, 2021. This is the first refinancing where the existing secured notes will be refinanced in whole on July 17, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.17 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.9% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.33% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 47% 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 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-2-R 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-1-R notes, between less than 'B-sf' and 'BB+sf' for class D-2-R 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-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 notes, 'AAsf' for class C-R notes, 'Asf' for class D-1-R notes, 'A-sf' for class D-2-R notes and 'BBBsf' 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 Tallman 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. UBS COMMERCIAL 2017-C4: S&P Lowers Cl. X-F Certs Rating to 'D(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on 20 classes of commercial mortgage pass-through certificates from six U.S. CMBS transactions. S&P said, "The downgrades to 'D (sf)' on 14 principal- and interest-paying classes from six U.S. CMBS transactions reflect material accumulated interest shortfalls that we expect to remain outstanding for the foreseeable future. We also considered that some of these classes may incur principal losses upon the eventual liquidation of the specially serviced assets in the respective transactions. These classes have had accumulated interest shortfalls outstanding for at least three consecutive months. "The downgrade to 'CCC- (sf)' on the class A certificates from CSMC Trust 2017-CALI reflects our qualitative consideration that its repayment is dependent upon favorable business, financial, and economic conditions and that this class is vulnerable to default. Specifically, we assessed that the class may incur principal losses upon the eventual resolution of the specially serviced loan based on the lower revised 2025 appraised value." The downgrades on five interest-only (IO) certificate classes from three U.S. CMBS transactions reflect our criteria for rating IO securities, which state that the ratings on the IO securities would not be higher than that of the lowest rated reference class. The interest shortfalls are primarily due to one or more factors: -- A nonrecoverable determination as a result of a new lower appraisal value received, -- The appraisal subordinate entitlement reduction (ASER) amounts in effect for specially serviced assets, -- Special servicing fees, and -- Workout fees. S&P said, "Our analysis primarily considered ASER amounts based on appraisal reduction amounts (ARAs) calculated using recent Member of the Appraisal Institute (MAI) appraisals. We also considered servicer-nonrecoverable advance determinations, special servicing fees, and workout fees, which are likely, in our view, to cause recurring interest shortfalls." The servicer implements ARAs and resulting ASER amounts according to each transaction's terms. Typically, these terms call for an ARA equal to 25% of the loan's stated principal balance to be implemented when it is 60 days past due and an appraisal or other valuation is not available within a specified time frame. S&P's primarily considered ASER amounts based on ARAs calculated from MAI appraisals when deciding which classes from the affected transactions to downgrade to 'D (sf)'. This is because ARAs based on a principal balance haircut are highly subject to change or even reversal once the special servicer obtains the MAI appraisals. Servicer-nonrecoverable advance determinations can prompt shortfalls due to a lack of debt-service advancing, the recovery of previously made advances after an asset was deemed nonrecoverable, or the failure to advance trust expenses when non-recoverability has been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses. GS Mortgage Securities Corp. Trust 2018-TWR S&P lowered its rating to 'D (sf)' on the class A certificates from GS Mortgage Securities Corp. Trust 2018-TWR, a U.S. CMBS stand-alone (single borrower) transaction due to accumulated interest shortfalls that S&P expects will remain outstanding for the foreseeable future until the eventual resolution of the specially serviced loan. According to the June 16, 2025, trustee remittance report, the trust received no monthly interest distribution (totaling $1.2 million) due primarily to a nonrecoverable determination on the sole specially serviced Tower Place loan. An updated appraisal value dated as of August 2024 on the underlying mixed-use property securing the loan was $153.0 million, a 44.8% decline from the issuance appraised value of $277.0 million. The accumulated interest shortfalls (totaling $1.8 million as of the June 2025 trustee remittance report) on class A have been outstanding for five consecutive months. J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PTC S&P said, "We lowered our ratings on the class A, B, C, and D certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PTC, a U.S. CMBS stand-alone (single borrower) transaction, to 'D(sf)' due to accumulated interest shortfalls that we believe will remain outstanding for the foreseeable future until the eventual resolution of the specially serviced loan. "We lowered our rating on the class X-EXT IO certificates based on our criteria for rating IO securities. Class X-EXT references classes A, B, C and D." According to the June 13, 2025, trustee remittance report, the trust did not receive a monthly interest distribution totaling $786,253 due to a nonrecoverable determination on the sole specially serviced Peachtree Center real estate-owned asset. According to the special servicer, the mixed-use (office/retail) properties are currently not being marketed for sale. It plans to continue operating and stabilizing the properties before considering disposition options. The accumulated interest shortfalls on classes A, B, C, and D (totaling $1.6 million as of the June 2025 trustee remittance report) have been outstanding for three consecutive months. WFLD 2014-MONT Mortgage Trust S&P lowered its rating on the class D certificates from WFLD 2014-MONT Mortgage Trust, a U.S. stand-alone (single-borrower) transaction, to 'D (sf)' due to accumulated interest shortfalls that it expects will remain outstanding for the foreseeable future. According to the June 12, 2025, trustee remittance report, class D had accumulated interest shortfalls outstanding totaling $75,158 for at least five consecutive months due mainly to special servicing fees that the special servicer passed onto the trust in February 2025. According to the special servicer, the loan, which transferred to special servicing on April 4, 2024, due to maturity default, has been modified and extended to Aug. 1, 2026. It returned to the servicer on Dec. 31, 2024. The servicer indicated that special servicing fees totaling $75,158 submitted by the special servicer in late 2024/early 2025 were not paid and are not expected to be paid by the borrower. CSMC Trust 2017-CALI S&P said, "We lowered our ratings on the class B, C, D, E, and F certificates from CSMC Trust 2017-CALI, a U.S. stand-alone (single-borrower) CMBS transaction, to 'D (sf)', due to accumulated interest shortfalls that we expect will remain outstanding for the foreseeable future until the eventual resolution of the specially serviced loan. Based on our current analysis, we also believe these classes will incur principal losses upon the eventual resolution of the specially serviced One California Plaza whole loan. "In addition, we lowered our rating to 'CCC- (sf)' on class A because we qualitatively considered that its repayment is dependent upon favorable business, financial, and economic conditions and that this class is vulnerable to default. Based on our current analysis and the updated appraisal value as of March 2025 of $121.2 million on the office property securing the loan (73.5% lower than the issuance appraised value of $459.0 million), we believe that this class is likely to experience principal losses upon the eventual liquidation of the specially serviced loan. The updated appraised value was released subsequent to our review of this transaction in April 2025. "Further, we lowered our ratings on the class X-A and X-B IO certificates based on our criteria for rating IO securities. Class X-A references class A, and class X-B references classes B and C. According to the June 12, 2025, trustee remittance report, the trust experienced current monthly interest shortfalls totaling $535,938 due primarily to ASER amounts from an ARA of $167.6 million that is in effect against the loan. According to the special servicer, receivership and foreclosure are currently in progress. The accumulated interest shortfalls on classes B, C, D, E, and F (totaling $1.1 million as of the June 2025 trustee remittance report) have been outstanding for three consecutive months. CG-CCRE Commercial Mortgage Trust 2014-FL2 S&P said, "We lowered our rating on the class COL1 raked certificates from CG-CCRE Commercial Mortgage Trust 2014-FL2, a U.S. CMBS large-loan transaction, to 'D (sf)' due to accumulated interest shortfalls that we expect to remain outstanding for the foreseeable future until the eventual resolution of the specially serviced loan. Based on our current analysis and the revised September 2024 appraised value of $68.7 million, we also believe this class will incur principal losses upon the eventual resolution of the specially serviced Colonie Center whole loan totaling $99.8 million." According to the June 16, 2025, trustee remittance report, the trust experienced current monthly interest shortfalls totaling $404,301 due primarily to special servicing fees, ASER amounts after the servicer implemented an ARA of $43.7 million against the loan, and accrued interest. The accumulated interest shortfalls on class COL1 (totaling $138,585 as of the June 2025 trustee remittance report) have been outstanding for four consecutive months. UBS Commercial Mortgage Trust 2017-C4 S&P said, "We lowered our ratings on the class E and F certificates from UBS Commercial Mortgage Trust 2017-C4, a U.S. CMBS conduit transaction, to 'D (sf)' due to accumulated interest shortfalls that we expect will remain outstanding for the foreseeable future until the eventual resolution of the specially serviced loans. "We also lowered our ratings on the class X-E and X-F IO certificates based on our criteria for rating IO securities. Class X-E references class E, and class X-F references class F." According to the June 17, 2025, trustee remittance report, the trust experienced current monthly interest shortfalls totaling $147,211 due primarily to special servicing fees of $32,325, workout fees of $3,698, ASER amounts of $93,637, and reimbursement for interest on advances of $17,552. Classes E and F had accumulated interest shortfalls (totaling $211,675 as of the June 2025 reporting period) for five consecutive months. Ratings Lowered GS Mortgage Securities Corp. Trust 2018-TWR Class A to 'D (sf)' from 'CCC- (sf)' J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PTC Class A to 'D (sf)' from 'CCC (sf)' Class B to 'D (sf)' from 'CCC- (sf)' Class C to 'D (sf)' from 'CCC- (sf)' Class D to 'D (sf)' from 'CCC- (sf)' Class X-EXT to 'D (sf)' from 'CCC- (sf)' WFLD 2014-MONT Mortgage Trust Class D to 'D (sf)' from 'CCC (sf)' CSMC Trust 2017-CALI Class A to 'CCC- (sf)' from 'BB+ (sf)' Class B to 'D (sf)' from 'B (sf)' Class C to 'D (sf)' from 'CCC (sf)' Class D to 'D (sf)' from 'CCC (sf)' Class E to 'D (sf)' from 'CCC- (sf)' Class F to 'D (sf)' from 'CCC- (sf)' Class X-A to 'CCC- (sf)' from 'BB+ (sf)' Class X-B to 'D (sf)' from 'CCC (sf)' CG-CCRE Commercial Mortgage Trust 2014-FL2 Class COL1 to 'D (sf)' from 'CCC- (sf)' UBS Commercial Mortgage Trust 2017-C4 Class E to 'D (sf)' from 'B- (sf)' Class F to 'D (sf)' from 'CCC (sf)' Class X-E to 'D (sf)' from 'B- (sf)' Class X-F to 'D (sf)' from 'CCC (sf)' UNLOCK HEA 2025-1: DBRS Finalizes BB Rating on Class C Notes ------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the Asset-Backed Securities, Series 2025-1 (the Notes) issued by Unlock HEA Trust 2025-1 as follows: -- $180.9 million Class A at BBB (sf) -- $9.6 million Class B at BBB (low) (sf) -- $27.8 million Class C at BB (sf) The BBB (sf) credit rating reflects credit enhancement of 17.3% for Class A, the BBB (low) (sf) credit rating reflects credit enhancement of 12.9% for Class B, and the BB (sf) credit rating reflects credit enhancement of 0.2% for Class C. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Home equity investments (HEIs) allow homeowners access to the equity in their homes without having to sell their homes or make monthly mortgage payments. HEIs provide homeowners with an alternative to borrowing and are available to homeowners of any age (unlike reverse mortgage loans, for example, for which there is often a minimum age requirement). A homeowner receives an upfront cash payment (an Advance or an Investment Amount) in exchange for giving an Investor (i.e., an Originator) a stake in their property. The homeowner retains sole right of occupancy of the property and pays all upkeep and expenses during the term of the HEI, but the Originator earns an investment return based on the future value of the property, typically subject to a returns cap. Like reverse mortgage loans, the HEI underwriting approach is asset-based, meaning there is greater emphasis placed on the value of the underlying property and the amount of home equity than on the credit quality of the homeowner. The property value is the main focus for predicting investment return because it is the primary source of funds to satisfy the obligation. HEIs are nonrecourse; in a default situation a homeowner is not required to provide additional funds when the HEI settlement amount exceeds the remaining equity value in the property (after accounting for any other obligations such as senior liens, if applicable). Recovery of the Advance and any Originator return is driven by the structure of the agreement, the amount of appreciation/depreciation on the property, the amount of debt that may be senior to the HEA, and the cap on investor return. As of the cut-off date, the collateral consists of approximately $218.7 million in current exercise value from 2,149 nonrecourse HEI agreements secured by first, second, or third liens on single-family detached, multifamily (two- to four-family), condominium, and townhouse properties. All the contracts in the asset pool were originated between 2023 and 2025. Of the pool, 267 contracts in the transaction are first-lien contracts, representing roughly $38.9 million in current exercise value; 1,578 are second-lien contracts, representing roughly $151.8 million in current exercise value; and 304 are third-lien contracts, representing roughly $27.9 million in current exercise value. Of the pool, 17.8% of the contracts are first lien and have a weighted-average (WA) exchange rate of 1.77 times (x; i.e., a multiplier of 1.77x); 69.4% are second-lien contracts and have a WA exchange rate of 1.90x; and the remaining 12.8% of the pool are third-lien contracts with a WA exchange rate of 1.94x. This brings the entire transaction's WA exchange rate to 1.88x. To better understand the impact and mechanics of exchange rates, please see the example in the Contract Mechanics--Worked Example section of the presale report. The current unadjusted loan-to-value ratio (LTV) of the pool is 34.46% (i.e., of senior liens ahead of the contracts). At cut-off, the pool had a WA contract-to-value (also known as option-to-value (OTV)) of 20.89%, and a WA loan plus contract-to-value (also known as loan plus option-to-value (LOTV)) of 55.35%. The OTV of a $100,000 option on a house worth $1,000,000 would be 10%. If that house had a $600,000 first lien, the unadjusted LTV would be 60%, and the LOTV would be 70%. The transaction uses a sequential structure in which cash distributions are first made to reduce the interest payment amount and any interest carryforward amount on Class A-IO, Class A, Class B (as long as a trigger event is not in effect), and Class C Notes (as long as a trigger event is not in effect). Payments are then made to reduce the note principal balance on Class A Notes until such notes are paid off. With respect to the Class B Notes, payments are first made to any remaining Interest Payment Amount and Interest Carryforward Amount and then to reduce the note principal balance until such notes are paid off. With respect to the Class C Notes, payments are first made to any remaining Interest Payment Amount and Interest Carryforward Amount and then to reduce the note principal balance until such notes are paid off. The Class D Notes are principal only and will not entitled to any payments until the Class A, B, and C Notes have been paid down. A trigger event will occur if (1) the payment date on which the Reserve Fund is less than 50% of the Reserve Fund Target Amount or (2) the payment date on which the average home price valuation of the outstanding HEA is less than 80% of the starting home valuation as of the cut-off date. During a trigger event, the Class B and C Notes shall not receive any interest or principal payments until the Class A Notes are fully paid down. The Class C Notes shall not receive any interest or principal payments until both the Class A and B Notes are fully paid down. Notes: All figures are in U.S. dollars unless otherwise noted. VERUS SECURITIZATION 2025-6: Moody's Assigns B1 Rating to B-2 Certs ------------------------------------------------------------------- Moody's Ratings has assigned definitive 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, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned Aa3 (sf) Cl. M-1, Definitive Rating Assigned Baa1 (sf) Cl. B-1, Definitive Rating Assigned Ba1 (sf) Cl. B-2, Definitive Rating Assigned 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 2.74%, in a baseline scenario-median is 1.97% and reaches 24.26% 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 B+ (sf) Rating on B2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitizations Trust 2025-6's mortgage-backed notes. The note issuance is an RMBS transaction backed by U.S. residential mortgage loans that are 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 1,238 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. S&P said, "After we assigned preliminary ratings on July 7, 2025, 10 loans were removed from the collateral pool, and certain loan balances and pay strings were updated, along with changes to bond sizes to reflect the updated loan balances. The resized bonds reflect a slight increase in credit enhancement levels for the class A-1, A-2, M-1 and B-1 notes. In addition, the class B-1 notes were priced to receive a coupon rate equal to the lesser of a fixed rate and the net weighted average coupon rate. After analyzing the updated collateral pool, structure, and final coupons, we assigned ratings to the classes that are unchanged from the preliminary ratings we assigned." The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; -- 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." Ratings Assigned Verus Securitization Trust 2025-6(i) Class A-1, $489,279,000: AAA (sf) Class A-2, $32,509,000: AA (sf) Class A-3, $66,661,000: A (sf) Class M-1, $26,598,000: BBB (sf) Class B-1, $18,389,000: BB (sf) Class B-2, $10,180,000: B+ (sf) Class B-3, $13,135,280: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address 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. VERUS SECURITIZATION 2025-R1: S&P Assigns Prelim B(sf) on B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2025-R1's mortgage-backed notes. The note issuance is an RMBS securitization backed by seasoned first-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and non-prime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, townhouses, mixed-use properties, and five- to 10-unit multifamily residences. The pool has 1,340 loans backed by 1,361 properties, which are qualified mortgage (QM)/non-higher-priced mortgage loan (safe harbor), QM rebuttable presumption, non-QM/ability-to-repay (ATR) compliant, and ATR-exempt loans. Of the 1,340 loans, seven loans are cross-collateralized loans backed by 28 properties. The preliminary ratings are based on information as of July 15, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; and -- S&P's U.S. economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) Verus Securitization Trust 2025-R1 Class A-1, $363,167,000: AAA (sf) Class A-2, $22,925,000: AA (sf) Class A-3, $40,175,000: A (sf) Class M-1, $10,895,000: BBB (sf) Class B-1, $7,037,000: BB (sf) Class B-2, $5,447,000: B (sf) Class B-3, $4,313,305: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class DA, N/A: NR Class R, N/A: NR (i)The collateral and structural information reflect the term sheet dated July 11, 2025. 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. VOYA CLO 2025-3: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Voya CLO 2025-3, Ltd. Entity/Debt Rating ----------- ------ Voya CLO 2025-3, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Voya CLO 2025-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.38 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 99.4% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.04% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: 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-2 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'B+sf' and 'BBB+sf' for class C notes, between less than 'B-sf' and 'BB+sf' for class D-1 notes, between less than 'B-sf' and 'BB+sf' for class D-2 notes, and between less than 'B-sf' and 'BB-sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'AAsf' for class C notes, 'A+sf' for class D-1 notes, 'A-sf' for class D-2 notes, and 'BBB+sf' for class E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 Voya CLO 2025-3, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. WELLFLEET CLO 2021-1: S&P Affirms BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, and C-R debt from Wellfleet CLO 2021-1 Ltd./ Wellfleet CLO 2021-1 LLC, a CLO managed by Blue Owl Liquid Credit Advisors LLC that was originally issued in March 2021. At the same time, S&P withdrew its ratings on the class A-1, B, and C debt following payment in full on the July 10, 2025, refinancing date. S&P did not rate the original class A-2 debt. S&P also affirmed its ratings on the class D and E debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The first payment date following the refinancing is July 10,2025. -- The non-call period was extended to April 20, 2026. -- No additional subordinated notes were issued on the refinancing date. On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class D and E debt. S&P said, "Given the overall credit quality of the portfolio and the passing coverage tests, we affirmed our 'BBB- (sf)' and 'BB-(sf)' ratings on the class D and E debt. 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." Replacement And March 2021 Debt Issuances Replacement debt -- Class A-1-R notes, $240.00 million: Three-month CME term SOFR + 1.18000% -- Class A-2-R notes, $12.00 million: Three-month CME term SOFR + 1.49000% -- Class B-R notes (deferrable), $52.00 million: Three-month CME term SOFR + 1.65000% -- Class C-R notes (deferrable), $24.00 million: Three-month CME term SOFR + 2.15000% March 2021 debt -- Class A-1 notes, $240.00 million: Three-month CME term SOFR + 1.48161% -- Class A-2 notes, $12.00 million: Three-month CME term SOFR + 1.66161% -- Class B notes (deferrable), $52.00 million: Three-month CME term SOFR + 1.8161% -- Class C notes (deferrable), $24.00 million: Three-month CME term SOFR + 2.41161% -- Class D notes (deferrable), $24.00 million: Three-month CME term SOFR + 3.76161% -- Class E notes (deferrable), $14.00 million: Three-month CME term SOFR + 6.87161% -- Subordinated notes (deferrable), $40.54 million: Three-month CME term SOFR + 0.00000% 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 Wellfleet CLO 2021-1 Ltd./Wellfleet CLO 2021-1 LLC Class A-1-R, $240.00 million: AAA (sf) Class A-2-R, $12.00 million: NR Class B-R (deferrable), $52.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Ratings Withdrawn Wellfleet CLO 2021-1 Ltd./Wellfleet CLO 2021-1 LLC Class A-1 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Ratings Affirmed Wellfleet CLO 2021-1 Ltd./Wellfleet CLO 2021-1 LLC Class D: BBB- (sf) Class E: BB- (sf) Other Debt Wellfleet CLO 2021-1 Ltd./Wellfleet CLO 2021-1 LLC Subordinated notes, $40.54 million: NR NR--Not rated. [] DBRS Confirms 13 Credit Ratings From 6 American Credit Trust --------------------------------------------------------------- DBRS, Inc. confirmed thirteen and upgraded eight credit ratings from six American Credit Acceptance Receivables Trust Transactions as detailed in the summary chart below. The Affected Ratings are available at https://bit.ly/3ICCurV The Issuers are: American Credit Acceptance Receivables Trust 2024-1 American Credit Acceptance Receivables Trust 2022-3 American Credit Acceptance Receivables Trust 2023-3 American Credit Acceptance Receivables Trust 2023-1 American Credit Acceptance Receivables Trust 2024-3 American Credit Acceptance Receivables Trust 2022-1 The credit rating actions are based on the following analytical considerations: -- For American Credit Acceptance Receivables Trust 2022-1 through American Credit Acceptance Receivables Trust 2024-1, although losses are tracking above the Morningstar DBRS initial base-case cumulative net loss (CNL) expectations, the current level of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- For American Credit Acceptance Receivables Trust 2024-3, losses are tracking in line with the Morningstar DBRS initial base-case CNL expectation. The current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- The transaction capital structures and form and sufficiency of available CE. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (June 17, 2025). [] Moody's Takes Rating Action on 15 Bonds from 5 US RMBS Deals --------------------------------------------------------------- Moody's Ratings, on July 15, 2025, upgraded the ratings of 15 bonds from five US residential mortgage-backed transactions (RMBS), backed by Alt-A, subprime, and option ARM mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE2 Cl. M-2, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to C (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR10 Cl. A-2, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to Ca (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR12 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Mar 2, 2015 Upgraded to Caa3 (sf) Cl. 2-A-1B, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to C (sf) Cl. A-PO, Upgraded to Ca (sf); previously on Dec 1, 2010 Downgraded to C (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR14 Cl. 1-A-1B2, Upgraded to Ca (sf); previously on Dec 10, 2010 Downgraded to C (sf) Cl. 2-A-1B, Upgraded to Caa1 (sf); previously on Dec 10, 2010 Downgraded to C (sf) Issuer: Residential Asset Securitization Trust 2005-A11CB Cl. 1-A-4, Upgraded to Caa2 (sf); previously on Aug 30, 2012 Downgraded to Caa3 (sf) Cl. 1-A-5, Upgraded to Caa2 (sf); previously on Aug 30, 2012 Downgraded to Caa3 (sf) Cl. 1-A-6, Upgraded to Caa1 (sf); previously on Jun 20, 2018 Assigned C (sf) Cl. 2-A-1, Upgraded to Caa3 (sf); previously on Aug 30, 2012 Downgraded to Ca (sf) Cl. 2-A-2*, Upgraded to Caa3 (sf); previously on Aug 30, 2012 Downgraded to Ca (sf) Cl. 2-A-4, Upgraded to Caa3 (sf); previously on Aug 30, 2012 Downgraded to Ca (sf) Cl. 2-A-X*, Upgraded to Caa3 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Aug 30, 2012 Downgraded to Ca (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. Class M-2 from Bear Stearns Asset Backed Securities I Trust 2006-HE2 has incurred historical principal losses but subsequently recouped those losses, and as a result, missed interest on principal for those periods will not be recouped. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 29 Bonds From 8 US RMBS Deals --------------------------------------------------------------- Moody's Ratings, on July 15, 2025, upgraded the ratings of 22 bonds and downgraded the ratings of six bonds from eight US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CWABS Asset-Backed Certificates Trust 2005-6 Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 12, 2013 Affirmed C (sf) Cl. M-7, Upgraded to Ca (sf); previously on Mar 12, 2013 Affirmed C (sf) Issuer: Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-H1 Cl. 1-A2, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Cl. 2-A2, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-NC4 Cl. A-1, Upgraded to Aa1 (sf); previously on Sep 10, 2024 Upgraded to Ba1 (sf) Cl. A-2c, Upgraded to Caa1 (sf); previously on Dec 28, 2010 Upgraded to Caa2 (sf) Cl. A-2d, Upgraded to Caa2 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Issuer: New Century Home Equity Loan Trust, Series 2004-3 Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 18, 2011 Downgraded to C (sf) Cl. M-7, Upgraded to Caa2 (sf); previously on Mar 18, 2011 Downgraded to C (sf) Issuer: Renaissance Home Equity Loan Trust 2003-4 M-2A, Upgraded to Caa2 (sf); previously on Apr 9, 2012 Confirmed at Caa3 (sf) M-2F, Upgraded to Caa2 (sf); previously on Apr 9, 2012 Confirmed at Caa3 (sf) M-3, Upgraded to Caa1 (sf); previously on Apr 9, 2012 Confirmed at Ca (sf) M-5, Upgraded to Caa1 (sf); previously on Mar 7, 2011 Downgraded to C (sf) Issuer: Renaissance Home Equity Loan Trust 2004-3 Cl. AF-5, Underlying Rating: Upgraded to A1 (sf); previously on Sep 3, 2024 Upgraded to A2 (sf) Financial Guarantor: Assured Guaranty Inc (Affirmed at A1, Outlook stable on Jul, 2024) Cl. AF-6, Upgraded to Aa2 (sf); previously on Mar 21, 2022 Upgraded to A1 (sf) Underlying Rating: Upgraded to Aa2 (sf); previously on Sep 3, 2024 Upgraded to A1 (sf) Financial Guarantor: Assured Guaranty Inc (Affirmed at A1, Outlook stable on Jul, 2024) Cl. AV-1, Upgraded to A1 (sf); previously on May 24, 2017 Upgraded to A2 (sf) Cl. AV-2B, Upgraded to A1 (sf); previously on Sep 3, 2024 Upgraded to A2 (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Feb 5, 2019 Upgraded to B1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Apr 9, 2012 Downgraded to C (sf) Cl. M-3, Upgraded to Ca (sf); previously on Apr 9, 2012 Downgraded to C (sf) Issuer: Renaissance Home Equity Loan Trust 2004-4 Cl. AF-5, Downgraded to A3 (sf); previously on Oct 17, 2018 Upgraded to A1 (sf) Cl. AF-6, Downgraded to A1 (sf); previously on Oct 17, 2018 Upgraded to Aa3 (sf) Cl. MF-1, Downgraded to Caa1 (sf); previously on Jan 30, 2018 Upgraded to B1 (sf) Cl. MF-2, Upgraded to Caa2 (sf); previously on Apr 9, 2012 Downgraded to C (sf) Issuer: Renaissance Home Equity Loan Trust 2005-2 Cl. AF-4, Upgraded to Aa1 (sf); previously on Sep 11, 2024 Upgraded to Aa2 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Jul 15, 2011 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools, and Moody's revised loss-given-default expectation for each bond. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or are currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. Some of the rating downgrades are the result of outstanding credit interest shortfalls that are unlikely to be recouped. These bonds have weak interest recoupment mechanisms where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. The rating downgrades of Class AF-5 and Class AF-6 from Renaissance Home Equity Loan Trust 2004-4 are primarily due to the amortization of the subordinate bonds due to the deal passing performance triggers. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Specifically, for Class A-1 from Morgan Stanley ABS Capital I Inc. Trust 2006-NC4, credit enhancement grew by 13% over the past 12 months. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 7 Bonds From 2 US RMBS Deals ----------------------------------------------------------- Moody's Ratings, on July 15, 2025, upgraded the ratings of seven bonds from two US residential mortgage-backed transactions (RMBS), backed by option arm mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2005-1 Cl. B-1, Upgraded to Caa3 (sf); previously on Nov 23, 2010 Downgraded to C (sf) Cl. B-1I, Upgraded to Caa3 (sf); previously on Nov 23, 2010 Downgraded to C (sf) Cl. B-1NA, Upgraded to Ca (sf); previously on Nov 23, 2010 Downgraded to C (sf) Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4 Cl. A-2A, Upgraded to Caa2 (sf); previously on Dec 3, 2010 Downgraded to C (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Dec 3, 2010 Downgraded to C (sf) Cl. A-4, Upgraded to Aaa (sf); previously on Sep 3, 2024 Upgraded to Baa1 (sf) Cl. II-A-2, Upgraded to Ca (sf); previously on Dec 3, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Most of these bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. 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Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The single-user TCR subscription rate is $1,400 for six months or $2,350 for twelve months, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each per half-year or $50 annually. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***