250727.mbx

250727.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 27, 2025, Vol. 29, No. 207 Headlines ABPCI DIRECT 21: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes AMMC CLO 23: S&P Assigns BB- (sf) Rating on Class E-R3 Notes ARES XLVII CLO: Moody's Affirms Ba3 Rating on $29.4MM Cl. E Notes ASHFORD HOSPITALITY 2018-KEYS: Moody's Cuts F Certs Rating to Caa3 BAIN CAPITAL 2022-3: Fitch Assigns 'BB-sf' Final Rating on E Notes BALLYROCK CLO 29: S&P Assigns BB- (sf) Rating on Class D Notes BANK 2019-BNK18: Fitch Affirms 'Bsf' Rating on Two Tranches BARCLAYS MORTGAGE 2025-NQM4: S&P Assigns 'B' Rating on B-2 Notes BARINGS MIDDLE 2023-II: S&P Assigns Prelim 'B-'Rating on E-R Notes BBCMS 2020-BID: S&P Lowers Class X-EXT Notes Rating to 'BB- (sf)' BENCHMARK 2025-V16: Fitch Assigns 'B-(EXP)sf' Rating on F-RR Certs BENEFIT STREET X: S&P Assigns BB- (sf) Rating on Class D-R3 Notes BLUEMOUNTAIN CLO XXVIII: Fitch Assigns BB- Rating on Cl. E-R Notes BSST 2021-1818: S&P Lowers Class C Notes Rating to 'B+ (sf)' BSST 2022-1700: S&P Lowers Class D Certs Rating to 'B- (sf)' CARLYLE US 2019-4: Moody's Cuts Rating on $22MM Cl. D-R Notes to B1 CASTLELAKE AIRCRAFT 2025-2: Fitch Gives BB+(EXP) Rating on C Notes CBAM LTD 2017-3: Moody's Cuts Rating on $65MM Cl. E-R Notes to B1 CEDAR FUNDING XVII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CIFC FUNDING 2025-V: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes COLT 2025-7: S&P Assigns B (sf) Rating on Class B-2 Certs CSMC 2020-FACT: Moody's Downgrades Rating on Cl. E Certs to B2 DAVIS PARK CLO: Moody's Assigns B3 Rating to $250,000 F-R Notes DAVIS PARK: Fitch Assigns 'BB+sf' Rating on Class E-R Notes EFMT 2025-CES4: Fitch Assigns 'B(EXP)sf' Rating on Class B-2 Certs EFMT 2025-INV3: S&P Assigns B- (sf) Rating on Class B-2 Certs ELMWOOD CLO 43: Fitch Assigns 'BBsf' Rating on Class E Notes ELMWOOD CLO 43: S&P Assigns B- (sf) Rating on Class F Notes FRANKLIN PARK VI: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes FRANKLIN PARK VI: Fitch Assigns 'BB-sf' Rating on Class E Notes GCAT 2025-NQM4: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs GENERATE CLO 22: S&P Assigns BB- (sf) Rating on Class E Notes GOLUB CAPITAL 2014-1: Fitch Assigns 'BBsf' Rating on Cl. E-R Notes GOLUB CAPITAL 81(B): Fitch Assigns 'BB-sf' Rating on Class E Notes GUGGENHEIM CLO 2019-1: S&P Cuts Cl. C-R Notes Rating to 'BB+ (sf)' HPS LOAN 2023-18: Fitch Assigns 'B-sf' Rating on Class F-R Debt ICG US 2023-1(i): S&P Assigns BB- (sf) Rating on Class E-R Notes INVESCO US 2023-3: Fitch Assigns 'BB-sf' Rating on Class E-R Notes JCP DIRECT 2023-1: S&P Assigns BB- (sf) Rating on Class E-R Notes JCP DIRECT 2023-1: S&P Assigns Prelim BB- (sf) Rating on E-R Notes JPMBB COMMERCIAL 2015-C29: Fitch Cuts Rating on 2 Tranches to BBsf KKR CLO 23: Moody's Affirms B3 Rating on $7.25MM Class F Notes LCM XXIII: S&P Lowers Class D Notes Rating to 'CCC (sf)' MIDOCEAN CREDIT XII: Fitch Assigns 'BB-sf' Rating on Cl. E-RR Notes MKP CBO I: Moody's Ups Rating on $250MM Class A-1L Notes to Caa1 MORGAN 2025-NQM5: S&P Assigns Prelim B (sf) Rating on B-2 Certs MORGAN STANLEY 2018-MP: Moody's Cuts Rating on Cl. E Certs to B1 NEUBERGER BERMAN 32R: S&P Assigns BB- (sf) Rating on Class E Notes NEW MOUNTAIN 5: Fitch Assigns 'BB-sf' Rating on Class E-R Debt NEWSTAR ARLINGTON: S&P Lowers Class F-R Notes Rating to 'CCC+(sf)' OAKTREE CLO 2023-2: S&P Assigns BB- (sf) Rating on Cl. E-R Notes OHA CREDIT 12-R: S&P Assigns BB- (sf) Rating on Class E Notes ORION CLO 2025-6: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes PMT LOAN 2025-INV7: Moody's Assigns B3 Rating to Cl. B-5 Certs POINT BROADBAND: Fitch Assigns 'BB-sf' Final Rating on Cl. C Notes RAD CLO 20: Fitch Assigns 'BB-(EXP)sf' Rating on Class D-R Notes RAD CLO 20: Fitch Assigns 'BB-sf' Rating on Class D-R Debt RCKTL 2025-1: Fitch Gives 'BB-(EXP)sf' Rating on Class E Notes RR 23: Fitch Assigns BB-sf Rating on Cl. D-R2 Notes, Outlook Stable SANDSTONE PEAK II: S&P Assigns BB- (sf) Rating on Class E-R Notes SCALELOGIX ABS 2025-1: S&P Assigns BB-(sf) Rating on Class C Notes SDART 2025-3: Fitch Assigns BB(EXP)sf Rating on Cl. E Debt SIERRA TIMESHARE 2025-2: S&P Assigns BB-(sf) Rating on Cl. D Notes SIXTH STREET 29: S&P Assigns BB- (sf) Rating on Class E Notes SOUTHWICK PARK: S&P Assigns BB- (sf) Rating on Class E-RR Notes SYMPHONY CLO 34-PS: S&P Assigns Prelim 'BB-' Rating in E-R2 Notes TALON FUNDING I: Moody's Ups Rating on $402.5MM Cl. A Notes to B3 TRIMARAN CAVU 2025-2: S&P Assigns Prelim BB-(sf) Rating on E Notes TRINITAS CLO XVIII: S&P Affirms BB- (sf) Rating on Class E Notes TRINITAS CLO XXXIII: S&P Assigns BB- (sf) Rating on Class E Notes VOYA CLO 2025-3: Fitch Assigns 'BB-sf' Rating on Class E Notes WESTLAKE AUTOMOBILE 2025-2: S&P Assigns BB (sf) Rating on E Notes WIND RIVER 2017-1: Moody's Cuts Rating on $24MM Cl. E-R Notes to B1 [] Moody's Takes Rating Action on 14 Bonds From 10 US RMBS Deals [] Moody's Takes Rating Action on 54 Bonds From 15 US RMBS Deals [] Moody's Takes Rating Action on 6 Bonds from 2 US RMBS Deals [] Moody's Upgrades Ratings on 8 Bonds from 2 US RMBS Deals ********* ABPCI DIRECT 21: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to ABPCI Direct Lending Fund CLO 21 LLC's floating- and fixed-rate rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by managed by AB Private Credit Investors LLC, a subsidiary of AllianceBernstein. The preliminary ratings are based on information as of July 22, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned ABPCI Direct Lending Fund CLO 21 LLC Class A-1, $148.00 million: AAA (sf) Class A-1L-A(i), $50.00 million: AAA (sf) Class A-1L-S(ii), $150.00 million: AAA (sf) Class A-2, $24.00 million: AAA (sf) Class B-1, $36.50 million: AA (sf) Class B-2, $8.50 million: AA (sf) Class C (deferrable), $42.00 million: A (sf) Class D (deferrable), $33.00 million: BBB- (sf) Class E (deferrable), $36.00 million: BB- (sf) Subordinated notes, $75.10 million: NR (i)The class A-1L-A loans are convertible into class A-1 notes. (ii)The class A-1L-S loans are not convertible into notes. NR--Not rated. AMMC CLO 23: S&P Assigns BB- (sf) Rating on Class E-R3 Notes ------------------------------------------------------------ S&P Global Ratings assigned its 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. At the same time, S&P withdrew its ratings on the outstanding class A-1-R2, A-2-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt following payment in full on the July 17, 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 17, 2027. -- The reinvestment period was extended to July 17, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 17, 2038. -- Additional assets were purchased on the July 17, 2025, refinancing date, and the target initial par amount increased to $350 million. There was 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 were amended. -- An additional $9 million in subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned AMMC CLO 23 Ltd./AMMC CLO 23 LLC 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) Ratings Withdrawn AMMC CLO 23 Ltd./AMMC CLO 23 LLC Class A-1-R2 to NR from 'AAA (sf)' Class A-2-R2 to NR from 'AAA (sf)' Class B-R2 to NR from 'AA (sf)' Class C-R2 (deferrable) to NR from 'A (sf)' Class D-1-R2 (deferrable) to NR from 'BBB (sf)' Class D-2-R2 (deferrable) to NR from 'BBB- (sf)' Class E-R2 (deferrable) to NR from 'BB- (sf)' Other Debt AMMC CLO 23 Ltd./AMMC CLO 23 LLC Class A-R3, $224.00 million: NR Subordinated notes, $40.14 million: NR NR--Not rated. ARES XLVII CLO: Moody's Affirms Ba3 Rating on $29.4MM Cl. E Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Ares XLVII CLO Ltd.: US$41.3M Class C Mezzanine Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Oct 3, 2024 Upgraded to Aa1 (sf) US$44.8M Class D Mezzanine Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Oct 3, 2024 Upgraded to Baa2 (sf) Moody's have also affirmed the ratings on the following notes: US$406M (Current outstanding amount US$19,836,310) Class A-1 Senior Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 16, 2018 Definitive Rating Assigned Aaa (sf) US$49M Class A-2 Senior Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 16, 2018 Definitive Rating Assigned Aaa (sf) US$73.5M Class B Senior Floating Rate Notes, Affirmed Aaa (sf); previously on Oct 3, 2024 Upgraded to Aaa (sf) US$29.4M Class E Mezzanine Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Apr 16, 2018 Definitive Rating Assigned Ba3 (sf) Ares XLVII CLO Ltd., issued in April 2018, 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 April 2023. RATINGS RATIONALE The rating upgrades on the Class C and Class D notes are primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in October 2024. The affirmations on the ratings on the Class A-1, Class A-2, Class B and Class E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1 notes have paid down by approximately USD151.0 million (37.2% of original balance) in the last since the last rating action in October 2024 and USD386.1million (95.1%) 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 197.9%, 151.1%, 121.5% and 107.6% compared to September 2024[2] levels of 147.3%, 129.1%, 113.8% and 105.7%, respectively. Moody's note 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: USD286.0 million Defaulted Securities: USD1.6 million Diversity Score: 47 Weighted Average Rating Factor (WARF): 3223 Weighted Average Life (WAL): 3.3years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.1% Weighted Average Recovery Rate (WARR): 45.9% Par haircut in OC tests and interest diversion test: 3.3% 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. 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. ASHFORD HOSPITALITY 2018-KEYS: Moody's Cuts F Certs Rating to Caa3 ------------------------------------------------------------------ Moody's Rating has affirmed the rating on one class and downgraded the rating on one class of Ashford Hospitality Trust 2018-KEYS, Commercial Mortgage Pass-Through Certificates, Series 2018-KEYS as follows: Cl. E, Affirmed B1 (sf); previously on Aug 4, 2020 Downgraded to B1 (sf) Cl. F, Downgraded to Caa3 (sf); previously on Aug 4, 2020 Downgraded to Caa2 (sf) RATINGS RATIONALE The rating on one P&I class, Cl. E, was affirmed based on Moody's expectations of principal recovery from the remaining loan pools. Furthermore, the class has already paid down 29% from its original balance from prior principal paydowns including the payoffs from four of the original loan pools. Cl. E will also benefit from priority of payments from future principal paydowns from property sales from the two remaining loan pools in special servicing. The rating on Cl. F was downgraded due to higher anticipated losses and an increase in Moody's loan to value (LTV) due to the continued underperformance of the properties securing the two remaining loans. As of the June 2025 remittance date, the remaining loans are in special servicing. Pool A (6 hotels – 49% of the pooled balance) and Pool B (7 hotels – 51% of the pooled balance) were last paid through May 2025 and April 2024, respectively. The combined 2024 net cash flow (NCF) DSCR on the remaining loans was approximately 1.00X, however, recent performance varied significantly across the remaining loans with a NCF DSCR of 1.32X and 0.64X, respectively, on Pool A and Pool B. Furthermore, due to the delinquent loan status and distressed cash flow, there was total of approximately $17.2 million of advances (inclusive of P&I, T&I, other expense advances and cumulative accrued unpaid advance interest outstanding) as of the June 2025 remittance statement, which accounted for 6% of the total aggregate loan balance. Servicing advances are senior in the transaction waterfall and are paid back prior to any principal recoveries which may result in lower recovery to the total trust balance. The servicer is actively working to sell off the remaining properties and Moody's action on Cl. F is primarily driven by the continued underperformance on Pool B. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than what Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan, realized losses or interest shortfalls. DEAL PERFORMANCE As of the June 2025 distribution date, the transaction's certificate balance was $293.8 million, compared to $982.0 million at securitization. The reduction in principal balance is due to the payoffs of four loan pools within the original portfolio. One of the original pools paid off in the fourth quarter of 2023 and three loan pools were paid off in the first quarter of 2025. The interest-only, floating-rate mortgage loan was originally secured by six loan pools of 34 hotel properties totaling 7,270 guestrooms diversified across 16 states, however, after the previous loan paydowns the certificate balance was secured by two loan pools of 13 hotels totaling 2,294 guestrooms as of the June 2024 remittance statement. There is mezzanine debt of approximately $288 million held outside of the trust. The two remaining loan pools, Pools A and B, have both been in special servicing since April 2023 and passed their final maturity date in June 2023. Pools A and B were each originally secured by 7 hotels. Courtyard Tipton Lakes Indiana in Pool A was sold via a receiver sale in November 2024 and the net proceeds were used to pay down outstanding Pool A advances. According to servicer commentary, two hotels in Pool A and five hotels in Pool B are currently being marketed for receiver sales. The reported 2024 NCF of Pools A and B was $13.6 million and $6.9 million, respectively, down significantly by 29% and 64%, respectively, from the NCF in 2018. Based on the 2024 reported NCF, Pool A has an NCF DSCR of 1.32X but Pool B has an NCF DSCR was approximately 0.64X contributing to a weighted average pooled DSCR of 0.97X on the combined loan balance. The remaining first mortgage balance of $293.8 million represents a Moody's LTV of 166%. Moody's first mortgage stressed DSCR is 0.80X. Moody's analysis also factored in the significant loan advances and the potential for higher expected losses and interest shortfall concerns given the continued loan delinquency and uncertainty of the timing of the ultimate resolution of the remaining assets. As of the June 2025 distribution date, Pool A has a total outstanding advances (inclusive of P&I, T&I, and cumulative accrued unpaid advance interest outstanding) of $1.4 million (1% of Pool A outstanding balance) and Pool B has a total outstanding advances of $15.8 million(11% of Pool B outstanding balance). There are outstanding interest shortfalls totaling $72,805 affecting Cl. F and Cl. VRR and no losses as of the June 2025 distribution date. BAIN CAPITAL 2022-3: Fitch Assigns 'BB-sf' Final Rating on E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to the Bain Capital Credit CLO 2022-3, Limited refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Bain Capital Credit CLO 2022-3, Limited A-1 05684NAA9 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-2 05684NAC5 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 05684NAE1 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 05684NAG6 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 05684NAJ0 LT BBB-sf Affirmed BBB-sf E 05684QAA2 LT BB-sf Affirmed BB-sf Transaction Summary Bain Capital Credit CLO 2022-3, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit U.S. CLO Manager II, LP. The secured notes, excluding class D and E, will be refinanced on July 17, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $484 million of primarily first lien senior secured leveraged loans (excluding defaults and including principal cash). Fitch has affirmed the class D and E notes at 'BBB-(sf)' and 'BB-(sf)', respectively. The Rating Outlooks for both is Stable. 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 97.22% 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 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 two-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. Key Provision Changes The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. - The spreads for A-1-R, A-2-R, B-R and C-R notes are 1.16%, 1.48%, 1.63%, and 1.90% compared to the spreads of 1.42%, 1.75%, 2.00%, and 2.40%, for classes A-1, A-2, B, and C, respectively, before refinancing. - The non-call period for the refinanced notes is extended to July 17, 2026. - Updated Fitch Test Matrix applicable on the refinancing date - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. Fitch Analysis Fitch's analysis is based on the latest portfolio presented to Fitch from the arranger that includes 472 assets from 401 primarily high-yield obligors. The portfolio balance is approximately $484 million, excluding defaulted assets and including principal cash. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 44.5% of the current portfolio par balance, while 54.4% of the ratings were derived using Fitch's Issuer Default Rate Equivalency Map. Assets unrated by Fitch or without public ratings from other agencies make up 1.2% of the portfolio. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level. - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries of 15%, 12% and 12%, respectively; - Assumed risk horizon: 6.0 years; - Minimum Fitch Weighted Average Spread of 3.20%; - Maximum Fitch Weighted Average Rating Factor of 27; - Minimum Fitch Weighted Average Recovery Rate of 72.6%; - Fixed Rate Assets: 5.0%; - Minimum weighted average coupon of 5.5% The transaction will exit the reinvestment period in July 2027. Current Portfolio Fitch generated indicative default and recovery statistics of the current portfolio using its portfolio credit model (PCM) on the underlying collateral pool excluding defaulted assets. The PCM default and recovery rate outputs for the current portfolio at the 'AAAsf' rating stress were 41.9% and 39.4%, respectively. The PCM default and recovery rate outputs for the current portfolio at the 'AAsf' rating stress were 39.0% and 48.5%, respectively. The PCM default and recovery rate outputs for the current portfolio at the 'Asf' rating stress were 34.8% and 58.0%, respectively. The PCM default and recovery rate outputs for the current portfolio at the 'BBB-sf' rating stress were 26.8% and 67.5%, respectively. The PCM default and recovery rate outputs for the current portfolio at the 'BB-sf' rating stress were 22.4% and 72.8%, respectively. In the current portfolio analysis, the class A-1-R, A-2-R, B-R, C-R, D and E notes passed the 'AAAsf', 'AAAsf', 'AAsf', 'Asf', 'BBB-sf' and 'BB-sf' rating thresholds in all nine cash flow scenarios with minimum cushions of 14.1%, 11.6%, 11.5%, 10.2%, 9.8% and 4.6%,, respectively. Fitch Stressed Portfolio (FSP) Fitch generated projected default and recovery statistics of the Fitch Stressed Portfolio (FSP) using PCM on the underlying collateral pool excluding defaulted assets. The PCM default and recovery rate outputs for the FSP at the 'AAAsf' rating stress were 52.2% and 38.7%, respectively. The PCM default and recovery rate outputs for the FSP at the 'AAsf' rating stress were 48.4% and 46.4%, respectively. The PCM default and recovery rate outputs for the FSP at the 'Asf' rating stress were 43.3% and 56.0%, respectively. The PCM default and recovery rate outputs for the FSP at the 'BBB-sf' rating stress were 34.5% and 65.3%, respectively. The PCM default and recovery rate outputs for the FSP at the 'BB-sf' rating stress were 29.3% and 71.1%, respectively. In the analysis of the FSP, the class A-1-R, A-2-R, B-R, C-R, D and E notes passed the 'AAAsf', 'AAAsf', 'AAsf', 'Asf', 'BBB-sf' and 'BB-sf' rating thresholds in all nine cash flow scenarios with minimum cushions of 4.8%, 2.7%, 2.8%, 2.0%, 1.9% and 0.0%,, respectively. The Stable Outlook on the class A-1-R, A-2-R, B-R, C-R, D and E notes reflect Fitch's expectation that the notes have a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolio. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, and between less than 'B-sf' and 'BB+sf' for class D and between less than 'B-sf' and 'Bsf' 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-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, and 'Asf' for class D and 'BBBsf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. ESG Considerations Fitch does not provide ESG relevance scores for Bain Capital Credit CLO 2022-3, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BALLYROCK CLO 29: S&P Assigns BB- (sf) Rating on Class D Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Ballyrock CLO 29 Ltd./Ballyrock CLO 29 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The 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 Ballyrock CLO 29 Ltd./Ballyrock CLO 29 LLC Class A-1a, $320.00 million: AAA (sf) Class A-1b, $10.00 million: AAA (sf) Class A-2, $50.00 million: AA (sf) Class B (deferrable), $30.00 million: A (sf) Class C-1 (deferrable), $30.00 million: BBB- (sf) Class C-2 (deferrable), $5.00 million: BBB- (sf) Class D (deferrable), $15.00 million: BB- (sf) Subordinated notes, $46.05 million: Not rated BANK 2019-BNK18: Fitch Affirms 'Bsf' Rating on Two Tranches ----------------------------------------------------------- Fitch Ratings has affirmed 17 classes BANK 2019-BNK18 commercial mortgage pass-through certificates, series 2019-BNK18. The Rating Outlooks on classes A-S, B, C, D, E, F, X-B, X-D, and X-F remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BANK 2019-BNK18 A-1 065402AY5 LT AAAsf Affirmed AAAsf A-2 065402AZ2 LT AAAsf Affirmed AAAsf A-3 065402BB4 LT AAAsf Affirmed AAAsf A-4 065402BC2 LT AAAsf Affirmed AAAsf A-S 065402BF5 LT AAAsf Affirmed AAAsf A-SB 065402BA6 LT AAAsf Affirmed AAAsf B 065402BG3 LT AA-sf Affirmed AA-sf C 065402BH1 LT A-sf Affirmed A-sf D 065402AJ8 LT BBBsf Affirmed BBBsf E 065402AL3 LT BBsf Affirmed BBsf F 065402AN9 LT Bsf Affirmed Bsf G 065402AQ2 LT CCCsf Affirmed CCCsf X-A 065402BD0 LT AAAsf Affirmed AAAsf X-B 065402BE8 LT A-sf Affirmed A-sf X-D 065402AA7 LT BBsf Affirmed BBsf X-F 065402AC3 LT Bsf Affirmed Bsf X-G 065402AE9 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: The affirmations reflect generally stable pool performance and loss expectations since the prior rating action. Deal-level 'Bsf' rating case loss is 5.4% compared to 4.9% at the prior rating action. The transaction has five Fitch Loans of Concern (FLOCs; 12.1% of the pool), including one loan in special servicing. The Negative Outlooks reflect continued performance deterioration and lack of stabilization of the FLOCs, particularly Central Tower (6.3%) and the specially serviced 801 Barton Springs (3.4%). Downgrades are possible should performance continue to deteriorate and if submarket fundamentals for the larger office FLOCs do not stabilize. The Negative Outlooks also reflect a sensitivity scenario that assumes a higher probability of default on the Central Tower loan due to submarket and lease rollover concerns. In addition, the pool has a high exposure to loans secured by office properties (56.5% of the pool). Largest Contributors to Loss: The largest contributor to overall loss expectations is the Central Tower loan (6.3%), which is secured by a 164,848-sf office property located in San Francisco, CA. The property's major tenants Unity Technologies (51.8% of NRA, leased through August 2025), Bedrock Robotics (3.2%; July 2027), and Glow Holding (3.2%, December 2026). The Unity Technologies space is largely dark, and, according to the servicer, the tenant is not renewing upon lease expiry in August 2025. Physical occupancy was 24.4% as of the March 2025 rent roll, compared to 73.8% at YE 2024, 67.8% at YE 2023, and 67.4% YE 2022. The loan reported $8.5 million or $51.4 psf in total reserves as of the June 2025 loan level reserve report. Per CoStar, the property lies within the Yerba Buena office submarket of the San Francisco, CA market. As of 2Q25, submarket asking rents averaged $43.30 psf and the submarket vacancy rate was 44.6%. Fitch's 'Bsf' rating case loss of 26.8% (prior to a concentration adjustment) is based on a 9.25% cap rate and 20.0% stress to the YE 2023 NOI. In addition to its base case analysis, Fitch performed a sensitivity analysis that assumed a higher probability of default due to the significant upcoming lease rollover and weak submarket fundamentals. The second largest contributor to expected losses is the specially serviced 801 Barton Springs loan (3.4%), which is secured by an 89,577-sf office property located in Austin, TX. The loan transferred to special servicing in May 2024 due to a maturity default. The property is 100% leased to 801 Barton Springs Tenant LLC, a subsidiary of WeWork Companies, Inc., which also controls the sponsorship entity. According to the servicer, a loan assumption is currently in progress with a purchase sale agreement (PSA) executed in April 2025, and an estimated sale date by the end of the third-quarter 2025. Fitch requested for additional information relating to the loan assumption, but this information was not provided. The loan reported $620,834 ($6.93 psf) in total reserves as of the June 2025 loan level reserve report. Per CoStar, the property lies within the South office submarket of the Austin, TX market. As of 2Q25, submarket asking rents averaged $43.76 psf and the submarket vacancy rate was 18.0%. Fitch's 'Bsf' rating case loss of 41.2% (prior to a concentration adjustment) is based on a stress to the most recent March 2025 appraisal value and reflects a stressed value of approximately $228 psf. Minimal Increase in CE: As of the June 2025 remittance reporting, the pool's aggregate principal balance has been reduced by 2.4% since issuance. Twenty loans (68.6%) are full term, interest-only. Twelve loans (16.2%) have a partial, interest-only component, of which eleven loans (15.5%) have begun amortizing. There is one defeased loan in the pool (Walgreens - St. Paul; 0.9%). Cumulative interest shortfalls totaling $303,968 are affecting the risk-retention RRI class and class H. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly or interest shortfalls occur or are expected to occur. Downgrades to the junior 'AAAsf' rated class with a Negative Outlook are possible with continued performance deterioration of the FLOCs, particularly Central Tower, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades may occur if there are lower than expected recoveries upon the eventual resolution of the specially serviced 801 Barton Springs loan. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to classes with Negative Outlooks in the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with further loan performance deterioration of FLOCs, additional transfers to special servicing, and/or with greater certainty of losses on the specially serviced loans and/or FLOC. Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur should additional loans transfer to special servicing or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased credit enhancement (CE), coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' and 'BBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BARCLAYS MORTGAGE 2025-NQM4: S&P Assigns 'B' Rating on B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Barclays Mortgage Loan Trust 2025-NQM4's mortgage-backed securities. The note issuance is an RMBS transaction backed by first- and second-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, condotels, five- to 10-unit multifamily properties, and manufactured housing. The pool consists of 730 loans, which are which are qualified mortgage (QM)/non-higher priced mortgage loan (HPML) (average prime offer rate [APOR]), QM/HPML (APOR), non-QM/ability-to-repay (ATR) compliant, and ATR-exempt. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P's outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned(i) Barclays Mortgage Loan Trust 2025-NQM4 Class A-1, $216,041,000: AAA (sf) Class A-2, $21,588,000: AA (sf) Class A-3, $32,538,000: A (sf) Class M-1, $16,962,000: BBB- (sf) Class B-1, $7,248,000: BB (sf) Class B-2, $8,635,000: B (sf) Class B-3, $5,397,909: NR Class SA, $43,713(ii): NR Class XS-1, notional(iii): NR Class XS-2, notional(iii): NR Class PT-1(iv), $308,453,622: NR Class PT-2(iv), $262,185,578: NR Class BX(iv), $539,790: 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)Pre-existing servicer advances. (iii)The class XS-1 and XS-2 certificates on any payment date will have a notional amount equal to approximately 10% and 90%, respectively, of the aggregate stated principal balance of the mortgage loans as of the first day of the related due period respectively and will not be entitled to payments of principal. (iv)The class PT-1, PT-2, and BX notes are exchangeable classes and are entitled to receive a proportionate share of all payments otherwise payable to the related initial exchangeable notes. NR--Not rated. BARINGS MIDDLE 2023-II: S&P Assigns Prelim 'B-'Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-1R, A-2R, B-R, C-R, D-R, and E-R debt from Barings Middle Market CLO 2023-II Ltd./Barings Middle Market CLO 2023-II LLC, a middle market CLO managed by Barings LLC. This is a proposed refinancing of its December 2023 transaction, which is currently amortizing. The preliminary ratings are based on information as of July 22, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 30, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original class A, B, C, D, and E debt and assign ratings to the replacement class A-1R, A-2R, B-R, C-R, D-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 debt is expected to be issued at a lower spread over three-month CME term SOFR than the original debt. -- The reinvestment period will be extended to July 20, 2026. -- The non-call period will be extended to July 30, 2026. -- The legal final maturity dates for the replacement debt and the subordinated notes will be extended to July 20, 2034. -- The target initial par amount is set 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. 20, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- Additional subordinated notes will be issued on the refinancing date. S&P Said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and 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 Barings Middle Market CLO 2023-II Ltd./ Barings Middle Market CLO 2023-II LLC Class A-1R, $210.00 million: AAA (sf) Class A-2R, $28.00 million: AA (sf) Class B-R (deferrable), $29.00 million: A (sf) Class C-R (deferrable), $21.75 million: BBB- (sf) Class D-R (deferrable), $21.00 million: BB- (sf) Class E-R (deferrable), $8.50 million: B- (sf) Other Debt Barings Middle Market CLO 2023-II Ltd./ Barings Middle Market CLO 2023-II LLC Subordinated notes, $50.38 million(i): NR (i)The balance includes additional subordinated notes that will be issued on the refinancing date. NR--Not rated. BBCMS 2020-BID: S&P Lowers Class X-EXT Notes Rating to 'BB- (sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on seven classes of commercial mortgage pass-through certificates from BBCMS 2020-BID Mortgage Trust. This is a U.S. stand-alone (single-borrower) CMBS transaction that is backed by a floating rate (indexed to SOFR plus a 3.756% spread, including converting from LIBOR to SOFR benchmark adjustment), interest-only (IO) mortgage loan totaling $423.5 million as of the July 15, 2025, trustee remittance report. The loan, which matures Oct. 9, 2025 (the sponsor has exercised all three of its extension options), is secured by the borrower's fee-simple interest in a 10-story, 506,074-sq.-ft. gallery, auction, and office property built in 1925 located at 1334 York Ave. between East 71st and East 72nd Streets in the Upper East Side office submarket of Manhattan. Overview The downgrades on classes A, B, C, D, E, and HRR primarily reflect: -- S&P's growing concerns on the sustainability of owner and tenant Sotheby's. Since its Oct. 10, 2023, review, S&P Global Ratings lowered the issuer credit rating on Sotheby's twice (currently 'B-/Negative') due primarily to persistently weak performance and high leverage. -- The uncertainty surrounding the continued financial commitment of the other tenant, Weill Cornell Medicine, to build out and open its new medical research center at the subject property in a timely manner amidst reported significant federal funding cuts by the current administration. -- S&P said, "Our revised expected-case valuation for the property, which is 11.5% lower than the value we derived in our last review. This is primarily driven by the higher capitalization rate used in our current property-level analysis, which reflects our view of increased market risk premium required for the collateral property in the current office environment." -- S&P said, "Our belief that the borrower may face challenges refinancing the loan by its final maturity date in October 2025 (the master servicer indicated that the borrower is working on refinancing the loan). We also considered that the current market value may be lowered below the appraised value obtained at issuance in 2020 based on the current office market conditions, along with the tenants' negative financial developments, the substantial capital investments still needed to build out Cornell's space, and observed higher market risk premiums generally on office properties." -- The downgrade on class HRR to 'CCC (sf)' also reflects our qualitative consideration that the class's repayment depends on favorable business, financial, and economic conditions and that it is vulnerable to default. -- The downgrade on the class X-EXT IO certificates reflects our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-EXT references class A. Class X-EXT is also entitled to receive additional interest distribution amount based on the difference between the SOFR floor rate and the actual SOFR rate that accrued on the class A, B, C, and D certificates. -- S&P said, "We will continue to monitor the performance of the property and loan, including the borrower's ability to refinance the loan by its final maturity date in October 2025. If we receive information that differs materially from our expectations, we may revisit our analysis and take further rating actions as we determine necessary." Property-Level Analysis Update In S&P's October 2023 review, it noted that owner and tenant Sotheby's announced in June 2023 that in 2025 it will relocate its global headquarters from the subject property into the Breuer building at 945 Madison Ave. Sotheby's also executed a lease amendment to allow Weill Cornell Medicine (Cornell University; 'AA/Stable') to backfill the space (about 53% of the net rentable area) that it was expected to vacate in phases. According to a November 2023 news publication from Weill Cornell Medicine, it planned to expand and open a medical research center (opening expected in 2026) at the subject property, which is one block from its main campus building at 1300 York Ave. The tenant leased five floors totaling about 200,000 sq. ft. at the subject property on a 30-year triple net basis. S&P said, "At that time, we considered the new leasing development, including staggered occupancy, rent abatements, rental rate differentials, and capital investments to buildout Cornell's space, and concluded that our assumed net cash flow and expected-case value were generally unchanged from the levels we derived at issuance." On Oct. 18, 2023, shortly after S&P's last review, S&P Global Ratings' lowered Sotheby's issuer credit rating to 'B/Negative' from 'B+/Stable'. Sotheby's was again downgraded in June 2024 to 'B-/Negative' due primarily to weak performance from lower auction and inventory sales and higher direct costs and elevated leverage. According to various news articles in late 2024, Sotheby's financial challenges led to staff layoffs as well as concerns about its ability to meet its financial obligations. In addition, in recent months, several news outlets reported significant federal funding cuts to research institutions, including freezing about $1.0 billion of federal funds and grants from the National Institutes of Health, the United States Agency for International Development, and the National Oceanic and Atmospheric Administration to Cornell. The tenant issued a statement in May 2025 that federal agencies have stopped work or terminated more than 100 research projects at Cornell. Recent news articles also indicated that Cornell is exploring layoffs and spending reductions to counter the federal funding cuts. The impact of these developments on the tenant's plan to open a new medical research center at the subject property is uncertain. The master servicer indicated that the buildout of the space that Cornell currently has possession of and is paying rent on has not been completed yet, and no progress updates were provided on the work. S&P said, "Given our growing concerns on the viability of the owner and tenant Sotheby's and uncertainty surrounding Weill Cornell Medicine's ongoing financial commitment to build out and open its new medical research center at the subject property in a timely manner amidst reduced federal fundings, we believe that a higher market risk premium is required for the office building. "As a result, in our current property-level analysis, we increased our capitalization rate by 75 basis points to 7.25% from 6.50% at issuance and in our last review while maintaining our S&P Global Ratings' net cash flow assumption of $32.5 million derived at issuance and in our last review. This yielded an S&P Global Ratings' expected-case value of $443.0 million, or $875 per sq. ft., 11.5% below the $500.6 million value we derived in our last review and at issuance and a 46.6% decline from the $830.0 million appraised value at issuance. The loan-to-value ratio based on our revised expected-case value is 95.6% on the trust balance and 109.2% on total debt balance (including the $60.0 million mezzanine loan)." Table 1 Servicer-reported collateral performance 2024(i) 2023(i) 2022(i) Occupancy rate (%) 100.0 100.0 100.0 Net cash flow (mil. $) 46.4 43.0 41.5 Debt service coverage (x)(ii) 0.98 0.87 1.43 Appraisal value (mil. $)(iii) 830.0 830.0 830.0 (i)Reporting period. (ii)On the total debt (the trust balance plus a $60.0 million mezzanine loan). (iii)At issuance, as of May 1, 2020. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (July 2025)(i) (Oct 2023)(i) (Oct 2020)(i) Occupancy rate (%) 95.4 95.4 93.0 Net cash flow (mil. $) 32.5 32.5 32.5 Capitalization rate (%) 7.25 6.50 6.50 Value (mil. $) 443.0 500.6 500.6 Value per sq. ft. ($) 875 989 989 Loan-to-value ratio (%)(ii) 95.6 84.6 84.6 (i)Review period. (ii)Including the $60.0 million mezzanine loan balance, the loan-to-value ratio increases to 109.2%, 96.6%, and 96.6%, respectively. Ratings Lowered BBCMS 2020-BID Mortgage Trust Class A to 'AA (sf)' from 'AAA (sf)' Class B to 'A- (sf)' from 'AA- (sf)' Class C to 'BBB- (sf)' from 'A- (sf)' Class D to 'BB- (sf)' from 'BBB- (sf)' Class E to 'B- (sf)' from 'BB- (sf)' Class HRR to 'CCC (sf)' from 'B+ (sf)' Class X-EXT to 'BB- (sf)' from 'BBB- (sf)' BENCHMARK 2025-V16: Fitch Assigns 'B-(EXP)sf' Rating on F-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2025-V16 Mortgage Trust, commercial mortgage pass-through certificates, series 2025-V16 as follows: - $559,000 class A-1 'AAAsf'; Outlook Stable; - $175,000,000a class A-2 'AAAsf'; Outlook Stable; - $253,659,000a class A-3 'AAAsf'; Outlook Stable; - $70,515,000 class A-S 'AAAsf'; Outlook Stable; - $429,218,000b class X-A 'AAAsf'; Outlook Stable; - $27,592,000 class B 'AA-sf'; Outlook Stable; - $23,761,000 class C 'A-sf'; Outlook Stable; - $121,868,000b class X-B 'A-sf'; Outlook Stable; - $19,928,000c class D 'BBB-sf'; Outlook Stable; - $19,928,000bc class X-D 'BBB-sf'; Outlook Stable; - $11,497,000cd class E-RR 'BB-sf'; Outlook Stable; - $7,664,000cd class F-RR 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $22,994,480cd class G-RR; - $11,493,805ce class V-RR. (a) The initial certificate balances of classes A-2 and A-3 are unknown and expected to be $428,659,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balances range is $0 to $175,000,000 and the expected class A-3 balance range is $253,659,000, to $428,659,000. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention. (e) Vertical risk retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 31 loans secured by 157 commercial properties with an aggregate principal balance of $624,663,285, as of the cutoff date. The loans were contributed to the trust by Citi Real Estate Funding Inc., German American Capital Corporation, Goldman Sachs Mortgage Company, Barclays Capital Real Estate Inc., and Bank of Montreal. Trimont LLC is expected to serve as the master servicer. LNR Partners, LLC is expected to serve as the special servicer. Wilmington Savings Fund Society, FSB is expected to be the trustee. Citibank, N.A. is expected to be the certificate administrator. Park Bridge Lender Services LLC is expected to be the operating advisor. The certificates will follow a sequential paydown structure. The transaction is expected to close on Aug. 13, 2025. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 22 loans totaling 88.3% by balance. Fitch's resulting net cash flow (NCF) of $61.7 million represents a 17.5% decline from the issuer's underwritten NCF of $74.8 million. Fitch Leverage: The pool leverage is in-line with those of recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value (LTV) ratio of 99.2% is in line with the 2025 YTD and higher than the 2024 averages of 100.9% and 95.2%, respectively. The pool's Fitch NCF debt yield (DY) of 9.9% is in line with the 2025 YTD and 2024 averages of 9.7% and 10.2%, respectively. Investment-Grade Credit Opinion Loans: Three loans representing 25.9% of the pool received an investment-grade credit opinion. The ILPT 2025 portfolio (9.6% of the pool) received a standalone credit opinion of "A-sf*", 841-853 Broadway (9.0% of the pool) received a standalone credit opinion of "AAsf*", and The Wharf (7.2% of the pool) received a standalone credit opinion of "A-sf*". The pool's total credit opinion percentage is higher than the 2025 YTD and 2024 averages of 9.6% and 12.6%, respectively. Excluding the credit opinion loans, the pool's Fitch LTV and DY of 111.9% and 8.4%, respectively, are worse than the equivalent conduit YTD 2025 LTV and DY averages of 104.0% and 9.4%, respectively. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically mostly included loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else being equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'Asf'/'BBBsf'/'BBsf'/'B-sf'/ below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'BBBsf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E ("Form 15E") as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET X: S&P Assigns BB- (sf) Rating on Class D-R3 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1 loans and class A-1-R3, A-2-R3, B-R3, C-1-R3, C-2-R3, and D-R3 notes from Benefit Street Partners CLO X Ltd./Benefit Street Partners CLO X LLC. At the same time, S&P withdrew its ratings on the original class A-1-RR, A-2A-RR, A-2B-RR, B-RR, C-RR, and D-RR debt following payment in full on the July 21, 2025, refinancing date. 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-1 loans and class A-1-R3, A-2-R3, B-R3, C-1-R3, C-2-R3, and D-R3 notes were issued at a lower spread than the original debt. -- The non-call period was extended to July 20, 2027. -- The stated maturity was extended to July 20, 2038. -- The reinvestment period was extended to July 20, 2030. 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 X Ltd./ Benefit Street Partners CLO X LLC Class A-1-R3, $140.00 million: AAA (sf) Class A-1 loans(i), $180 million: AAA (sf) Class A-2-R3, $60.00 million: AA (sf) Class B-R3 (deferrable), $30.00 million: A (sf) Class C-1-R3 (deferrable), $30.00 million: BBB- (sf) Class C-2-R3 (deferrable), $3.75 million: BBB- (sf) Class D-R3 (deferrable), $16.25 million: BB- (sf) (i)The class A-1 loans shall not be exchangeable or convertible into notes, and the notes shall not be exchangeable or convertible into class A-1 loans at any time. Ratings Withdrawn Benefit Street Partners CLO X Ltd./ Benefit Street Partners CLO X LLC Class A-1-RR to NR from 'AAA (sf)' Class A-2A-RR to NR from 'AA (sf)' Class A-2B-RR to NR from 'AA (sf)' Class B-RR to NR from 'A (sf)' Class C-RR to NR from 'BBB- (sf)' Class D-RR to NR from 'BB- (sf)' Other Debt Benefit Street Partners CLO X Ltd./ Benefit Street Partners CLO X LLC Subordinated notes, $69.26 million: NR NR--Not rated. BLUEMOUNTAIN CLO XXVIII: Fitch Assigns BB- Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to BlueMountain CLO XXVIII Ltd. reset transaction which originally closed in March 2021. Entity/Debt Rating ----------- ------ BlueMountain CLO XXVIII Ltd X LT AAAsf New Rating A-1R LT NRsf New Rating A-2R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary BlueMountain CLO XXVIII Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Point Capital Management LP that originally closed in Mar 2021. This is the first refinancing where the existing secured notes will be refinanced in whole. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.36, 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 93.95% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.96% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 48% of the portfolio balance in aggregate while the top five obligors can represent up to 9% 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, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'AA-sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, and between less than 'B-sf' and 'BB+sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, and 'A-sf' for class D-2R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch 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 BlueMountain CLO XXVIII, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BSST 2021-1818: S&P Lowers Class C Notes Rating to 'B+ (sf)' ------------------------------------------------------------ S&P Global Ratings lowered its ratings on four classes of commercial mortgage pass-through certificates from BSST 2021-1818 Mortgage Trust, a U.S. CMBS transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by an unhedged floating-rate (indexed to SOFR plus 3.55% spread, including converting from LIBOR to SOFR benchmark adjustment), interest-only (IO) mortgage loan totaling $222.9 million as of the July 15, 2025, trustee remittance report. The loan, which matured on March 9, 2024, is secured by the borrower's fee-simple and leasehold interests in a 1972-built, 37-story, 999,828-sq.-ft. class A office building located at 1818 Market Street in the Philadelphia central business district. Rating Actions The downgrades on classes A, B, and C primarily reflect: -- S&P said, "Our revised net recovery value, which is 12.7% lower than the value we derived in our last review in July 2024, primarily due to actual additional vacancies at the collateral property and the higher capitalization rate assumption used in our current property-level analysis, which reflects our observed increased market risk premium required for the collateral property. Occupancy declined to the current 69.4% from 72.5% as of our July 2024 review." -- The property's ongoing low leasing activities and reported year-over-year declines in occupancy, which is compounded by the still weak office submarket fundamentals. -- S&P said, "Our view that the lack of meaningful workout terms and protracted resolution timing, as well as a lower appraised value and the continued increase in loan exposure due primarily to servicer advances for loan debt service, may further reduce liquidity and recovery of the $222.9 million loan, which has a reported nonperforming matured balloon payment status." As of the July 2025 trustee remittance report, the servicer has advanced an additional $6.5 million since our last review (to date, $11.5 million has been advanced and accrued). The servicer reported a 0.63x debt service coverage as of year-end 2024. The downgrade on the class X-EXT IO certificates is based on S&P's criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X-EXT certificates references the IO stripped class, which is the class A certificates. The loan, which currently has a nonperforming matured balloon payment status (paid through January 2025), transferred to special servicing on Sept. 29, 2023, due to imminent monetary default following the borrower's request to engage in loan modification discussions with the special servicer. The prior special servicer, Rialto Capital Advisors LLC, was in discussions with the borrower for a potential loan modification. The current special servicer, KeyBank Real Estate Capital (KeyBank; effective as of Sept. 11, 2024), stated that it is actively pursuing receivership and foreclosure at this time. The resolution timing is uncertain. In addition, the KeyBank has ordered an updated appraisal value. The April 2024 appraised value of $211.3 million was 25.1% below the issuance appraised value of $282.1 million. S&P believes the updated appraised value for the property will likely continue to decline due to observed recent market values for similar office properties. S&P said, "Since our July 2024 review, the loan exposure increased to $234.4 million from $227.9 million, according to the July 15, 2025, trustee remittance report. The $11.5 million total outstanding servicer advances and accruals included $7.1 million for debt service, $4.2 million for cumulative appraisal subordinate entitlement reduction amount from a $37.5 million appraisal reduction amount, and $134,456 for cumulative accrued unpaid advance interest. "We will continue to monitor the performance of the property and loan, and the receivership and foreclosure proceedings. If we receive information that differs materially from our expectations (such as reported negative changes in performance beyond those that we have already considered, additional declines in the appraised value, and accelerated increases in the advance and accrual amounts) or if the resolution strategy negatively affects the transaction's recovery and liquidity, we may revisit our analysis and take further rating actions as we determine necessary." Property-Level Analysis Update S&P said, "In our July 2024 review, we noted that the collateral property was 74.0% occupied as of the March 31, 2024, rent roll. At that time, we assumed a 72.5% occupancy rate, a $40.46 per sq. ft. S&P Global Ratings' gross rent, a 50.3% operating ratio, and higher tenant improvement costs, to arrive at an S&P Global Ratings' long-term sustainable net cash flow (NCF) of $12.0 million. Utilizing a 7.75% S&P Global Ratings' capitalization rate and deducting $13.0 million for net advances and accruals to date and our projection for the next 12 months, we arrived at an S&P Global Ratings' net recovery value of $142.3 million or $142 per sq. ft." As of the March 31, 2025, rent roll, the property was 69.4% leased. The five largest tenants comprise 29.2% of NRA: -- WSFS Financial Corp. (10.0% of NRA; 11.5% of in-place gross rent, as calculated by S&P Global Ratings; December 2025, December 2028, and January 2034 lease expirations). -- eResearch Technology (5.9%; 9.1%; February 2032). The tenant has two termination options effective Feb. 29, 2028, and Feb. 28, 2031, with lease termination fees of approximately $3.7 million and $1.0 million, respectively. According to CoStar, the tenant is currently marketing its space for sublease. -- McCormick Taylor (5.9%; 9.6%; December 2033). -- Berger & Montague (4.4%; 5.8%; August 2034). The tenant has a termination or contraction option effective Aug. 31, 2029, with a lease termination or contraction fee of approximately $4.2 million. -- Coalition of Cancer Cooperative Groups (3.0%; 4.3%; January 2030). According to CoStar, the Market Street West office submarket, where the property is located, continues to experience elevated vacancy and availability rates for 4- and 5-star office properties of 18.3% and 22.2%, respectively, as of year-to-date July 2025. This compares with a $37.01 per sq. ft. S&P Global Ratings' gross rent and a 30.6% in place vacancy rate at the property. CoStar projects vacancy for 4- and 5-star office properties in the office submarket to 18.3% and asking rent to $35.98 per sq. ft. in 2026. In addition, S&P assumed a 52.2% operating expense ratio (in line with the property's operating history), and higher tenant improvement costs to arrive at an S&P Global Ratings' NCF of $10.8 million, which is 9.9% lower than that of our last review. S&P said, "We utilized an 8.25% S&P Global Ratings' capitalization rate, which is 50 basis points higher than that of our July 2024 review, to reflect our observed increased market risk premium for office properties and deducting our projected additional expenses and accruals incurred prior to the loan's eventual resolution. As a result, we arrived at an S&P Global Ratings' net recovery value of $124.2 million or $124 per sq. ft., which is 12.7% lower than our last review and 41.2% below the updated appraised value as of April 2024 of $211.3 million. Based on our revised value, S&P Global Ratings' loan-to-value ratio is 179.4%. "We also considered that 1500 Market Street, another downtown Philadelphia office building that was appraised in September 2024 at $223.5 million or $127 per sq. ft., saw a 52.6% decline from its "as-is" appraised value of $471.1 million at issuance. The property, which secures the sole loan in the J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-MKST (not rated by S&P Global Ratings), has a reported foreclosure in progress payment status." Table 1 Servicer-reported collateral performance 2024(i) 2023(i) 2022(i) Occupancy rate (%) 68.8 74.0 83.4 Net cash flow (mil. $) 12.7 17.3 13.7 Debt service coverage (x) 0.63 1.99 1.23 Appraisal value (mil. $)(ii) 211.3 282.1 282.1 (i)Reporting period. (ii)As of April 2024 and January 2021, respectively Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (July 2025)(i) (July 2024)(i) (March 2021)(i) Occupancy rate (%) 69.4 72.5 82.0 Net cash flow (mil. $) 10.8 12.0 13.2 Capitalization rate (%) 8.25 7.75 7.75 Net deduct to value (7.2) (13.0) (3.1) (mil. $)(ii) Value (mil. $) 124.2 142.3 167.6 Value per sq. ft. ($) 124 142 168 Loan-to-value ratio (%) 179.4 156.7 133.0 (i)Review period. (ii)The deduction from value in the July 2025 and July 2024 reviews reflect our assumed net recovery value after considering actual and projected additional expenses and accruals incurred prior to the loan's eventual resolution. At issuance, we deducted from value unfunded landlord obligations not reserved for six tenants. Ratings Lowered BSST 2021-1818 Mortgage Trust Class A to 'A- (sf)' from 'AA- (sf)' Class B to 'BB+ (sf)' from 'BBB+ (sf)' Class C to 'B+ (sf)' from 'BB+ (sf)' Class X-EXT to 'A- (sf)' from 'AA- (sf)' BSST 2022-1700: S&P Lowers Class D Certs Rating to 'B- (sf)' ------------------------------------------------------------ S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from BSST 2022-1700 Mortgage Trust, a U.S. CMBS transaction. This is a U.S. stand-alone (single-borrower) CMBS transaction that is backed by an unhedged floating-rate (indexed to SOFR plus a 3.89% spread) interest-only (IO) mortgage loan totaling $188.0 million as of the July 15, 2025, trustee remittance report. The loan is secured by the borrower's fee-simple interest in 1700 Market Street, a 1968-built, 32-story, 850,209-sq.-ft. class A office building, in the Market Street West submarket of Philadelphia. Rating Actions The downgrades on classes A, B, C, and D reflect the following: -- S&P's revised expected-case value, which is 6.1% lower than the valuation it derived in its last review in July 2024, primarily due to its observed higher market risk premium for this property. -- S&P's concern that an updated appraisal for the property, which the special servicer reports has been ordered, will be below the $199.0 million appraised value as of Dec. 4, 2024. -- S&P's view that the loan's protracted time in special servicing without a resolution in conjunction with its exposure to floating interest rates may result in reduced liquidity and eventual recovery to the trust. The downgrade on the class X-EXT IO certificates is based on S&P's criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X-EXT certificates reference the IO stripped class, which is the class A certificates. As of the July 15, 2025, trustee remittance report, the loan was paid through July 2025 and there is $473,037 in lender-controlled reserve accounts. S&P said, "We will continue to monitor the performance of the property and loan, the foreclosure proceedings, and the workout negotiations between the borrower and special servicer. If we receive information that differs materially from our expectations, such as property performance that is below our expectations, delinquency, or a workout strategy that negatively affects the transaction's liquidity and recovery, we may revisit our analysis and take additional rating actions as we deem appropriate." Property Level Analysis Update S&P said, "In our July 2024 review, we noted that the loan had matured in February 2024. Despite having been with the special servicer since August 2023, no resolution had yet been finalized. Occupancy and net cash flow (NCF) at the property were relatively unchanged at that time compared to 2023. As a result, we assumed a $9.3 million NCF and a 7.75% capitalization rate, arriving at an S&P Global Ratings expected-case value of $119.5 million, or $141 per sq. ft." Since then, a receiver was installed at the property in January 2024, and a foreclosure hearing is anticipated in September 2025. The special servicer, Rialto Capital Advisors LLC (Rialto), stated that the borrower has recently reengaged in workout discussions, but no proposed terms were shared. As of the May 31, 2025, rent roll, the property was 74.1% leased, which is slightly below the 76.2% reported in the March 2024 rent roll obtained in S&P's last review; however, NCF increased, a result of the receiver reducing expenses in 2024 to $9.2 million. From 2019 to 2023, reported operating expenses were between $11.3 million and $12.9 million. S&P said, "Given the decline in reported occupancy and our assessment that operating expenses may return to historical levels, we maintained our NCF from last review of $9.3 million. Utilizing an 8.25% S&P Global Ratings' capitalization rate, a 50-bps increase to reflect our observed higher risk premium for this property, we arrived at an S&P Global Ratings expected-case value of $112.3 million, or $132 per sq. ft., a decline of 43.6% from the December 2024 appraisal value of $199.0 million ($234 per sq. ft.) and 6.1% below our last review value of $119.5 million. This yielded an S&P Global Ratings' loan-to-value ratio of 167.4%." Table 1 Servicer-reported collateral performance 2024(i) 2023(i) 2022(i) Occupancy rate (%) 75.7 76.7 80.0 Net cash flow (mil. $) 13.5 10.3 12.4 Debt service coverage (x)(ii) 0.85 0.65 0.78 Appraisal value (mil. $)(iii) 199.0 244.5 244.5 (i)Reporting period. (ii)As calculated by S&P Global Ratings, based on the current one-month SOFR plus spread. (iii)As of Dec. 4, 2024, and Oct. 20, 2021, respectively. Table 2 S&P Global Ratings' key assumptions Last Current review published review At issuance (July 2025)(i) (July 2024)(i) (Feb 2022)(i) Occupancy rate (%) 72.8 76.2 85.0 Net cash flow (mil. $) 9.3 9.3 10.8 Capitalization rate (%) 8.25 7.75 7.75 Value (mil. $) 112.3 119.5 141.8 Loan-to-value ratio (%) 167.4 157.3 132.6 (i)Review period. Ratings Lowered BSST 2022-1700 Mortgage Trust Class A to 'A+ (sf)' from 'AA- (sf)' Class B to 'BBB- (sf)' from 'BBB (sf)' Class C to 'BB (sf)' from 'BB+ (sf)' Class D to 'B- (sf)' from 'B+ (sf)' Class X-EXT to 'A+ (sf)' from 'AA- (sf)' CARLYLE US 2019-4: Moody's Cuts Rating on $22MM Cl. D-R Notes to B1 ------------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Carlyle US CLO 2019-4, Ltd.: US$22,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2035, Downgraded to B1 (sf); previously on February 17, 2022 Assigned Ba3 (sf) Carlyle US CLO 2019-4, Ltd., originally issued in January 2020 and refinanced in February 2022, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in April 2027. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class D-R notes reflects the specific risks to the junior notes posed by par loss and spread deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the total collateral par balance, including recoveries from defaulted securities, is $542.4 million, or $7.6 million less than the $550 million initial par amount targeted during the deal's ramp-up. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level[1] is 3.22% compared to 3.62% in June 2024[2]. No actions were taken on the Class A-1-1-R, Class A-1-2-R, Class A-2-R, Class B-R and Class C-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published 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: $541,238,299 Defaulted par: $2,988,871 Diversity Score: 86 Weighted Average Rating Factor (WARF): 2774 Weighted Average Spread (WAS): 3.04% Weighted Average Recovery Rate (WARR): 45.64% Weighted Average Life (WAL): 5.8 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in 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. CASTLELAKE AIRCRAFT 2025-2: Fitch Gives BB+(EXP) Rating on C Notes ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings to the issued notes by Castlelake Aircraft Structured Trust 2025-2 (CLAS 2025-2): - A Notes 'Asf (EXP)'; - B Notes 'A-sf (EXP)'; - C Notes 'BB+sf (EXP)'. Entity/Debt Rating ----------- ------ Castlelake Aircraft Structured Trust 2025-2 Series A LT A(EXP)sf Expected Rating Series B LT A-(EXP)sf Expected Rating Series C LT BB+(EXP)sf Expected Rating Transaction Summary The notes issued by CLAS 2025-2 are secured by lease payments (rent/maintenance) and disposition proceeds on a pool of 26 passenger aircraft operated by third-party lessees. Proceeds from the notes will be used to acquire assets from the seller, fund the initial expense and maintenance reserve accounts, and pay transaction fees and expenses related to the offering. Castlelake Aviation Holdings (Ireland) Limited (Castlelake) as servicer, will be responsible for managing the aircraft, including aircraft leasing, maintenance and disposition. This is the fourth public Fitch-rated Castlelake transaction, and the fifth public transaction serviced by Castlelake since 2018. KEY RATING DRIVERS Asset Quality and Tiering: The pool is largely mid-life with a weighted average age of 12.0 years. The distribution of aircraft ages is quite broad; the youngest aircraft is less than a year old and the oldest is 21 years old. The weighted average remaining lease term is 4.8 years. Although the pool is largely mid-life, asset quality is high. The pool contains desirable aircraft models: Tier 1 narrow-body aircraft represent 72% of the pool by value (Maintenance Adjusted Base Value (MABV)), Tier 2 aircraft represent 19%, and Tier 3 aircraft represent 9%. Age-adjusted Tiers are 45%, 46%, and 9% for Tier 1, 2 and 3 respectively. The starting Fitch-value (FV) is $676.5 million versus a mean MABV of $719.6 million. To derive the FV, Fitch used the lesser of the mean and median HLBVs or HLMVs, depending on the remaining leasable life of the aircraft. Morten Beyer & Agnew, Inc. (mba), Collateral Verifications LLC (CV) and Aircraft Information Services, Inc. (AISI) provided appraisals. A320-200s, with an average age of 14 years, make up the largest portion of the pool by MABV (32%). Three widebody freighter aircraft make up 24%. Two A321Ns and one 737-8 Max aircraft (all latest technology, best-in-class aircraft), constitute 18% of the pool by MABV. Pool Concentration: Developed Europe, with three leases, has the highest share (25% based on MABV), followed by Developed Asia Pacific (21%). Emerging South and Central America (18%) and the other regions make up the remaining share (36%). Lessee concentration is well-diversified, with the largest lessee (Korean Air) representing 17% of the pool (two aircraft). The next largest exposure (EasyJet) represents 9% (three aircraft). There are 26 aircraft in the portfolio, with an effective aircraft count, weighted by aircraft value, of 18. To address asset concentration and account for idiosyncratic risk, Fitch haircuts cash flows as the effective count decreases. Fitch's cumulative gross cash flow haircut is 5% in the Asf rating case. Lessee Credit Risk: There are 21 lessees in the pool. By aircraft value, 9% are leased to 'BBB' category lessees, 26% leased to 'B' category lessees, and the remaining 65% to 'CCC' to 'CC' credits. The weighted average (WA) credit rating by FV is between 'B-' and 'CCC+', which is similar to other aircraft ABS transactions. All of the assets are on-lease and current. Operational and Servicing Risk: Fitch has found Castlelake to be an effective servicer with a demonstrated track-record in remarketing, underwriting, procuring and managing aircraft maintenance, and portfolio management. This is reflected in its experienced team and the servicing of the managed fleet. Transaction Structure: Leverage is acceptable at 69.4% for the Class A notes, 79.4% for the Class B notes, and 85.4% for the Class C notes using MABV. Notes amortize straight line over varying timeframes based on the aircraft type and age; narrowbodies less than eight years old amortize over 13 years while those older that eight years amortize over 12 years. The transaction is structured with sequential pay, with A note interest and principal senior to B note interest and principal, which is senior to the C note interest and principal in the waterfall. Concentration risk toward the end of the transaction is mitigated through a mechanism that results in a cash sweep if aircraft count drops below eight aircraft. Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings to a maximum of 'Asf'. For further details, refer to Fitch's "Global Structured Finance Rating Criteria" and "Aircraft Operating Lease ABS Rating Criteria" at www.fitchratings.com. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Credit Stress Sensitivity: The central scenario assumes future lessees are 'B' credits. Fitch ran a sensitivity assuming future lessees are rated 'CCC' to test the performance of the transaction in a more stressed environment, considering the historical volatility and cyclicality of the commercial aviation industry. The lower assumed lessee credit quality decreased gross cash flows due to increased downtime resulting from aircraft repossessions and remarketing resulting in a one notch decrease in the model-implied ratings for the class C Notes. Combined Credit Stress and Gross Rental Cash Flow Sensitivity: The combined down sensitivities of credit (CCC future lessees) and haircutting gross rental cash flows (5% under performance) resulted in a one-notch decrease to the model-implied ratings for the class C notes. Given uncertainties inherent in forecasting end of life (EOL) cash flows over the leasable lives of aircraft, Fitch conducted a sensitivity relating to EOLs. Fitch adjusted the central scenario by modeling EOL cash flows commensurate with 'Asf' assumptions, which employ lessee default rates that are higher than the base case. This application results in a significant haircut to EOLs as the probabilities increase that a given credit will default and fail to pay the EOL. This sensitivity resulted in a one notch decrease to the class C notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rental Sensitivity: Fitch considered the impact of a 5% over-performance in rental cash flows through the end of the aircraft's 20-to-30-year leasable lives. Under this scenario, the model-implied ratings did not change. Given the Asf rating cap, the A note would not be subject to an upgrade. CRITERIA VARIATION Fitch applied a variation from its Aircraft Operating Lease ABS Rating Criteria to deviate downward from the Model Implied Rating for the series C notes. The ultimate ratings were informed by the sensitivity of the ratings to model assumptions and conventions, repayment timing and tranche thickness. 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. CBAM LTD 2017-3: Moody's Cuts Rating on $65MM Cl. E-R Notes to B1 ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings on the following notes issued by CBAM 2017-3, Ltd.: US$65,000,000 Class E-R Deferrable Floating Rate Notes due 2034, Downgraded to B1 (sf); previously on Jul 19, 2021 Assigned Ba3 (sf) CBAM 2017-3, Ltd., originally issued in September 2017 and refinanced in July 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 2026. A comprehensive review of all credit ratings for the respective transaction have been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the total collateral par balance, including recoveries from defaulted securities, is $1.27 billion, or $27 million less than the $1.3 billion initial par amount targeted during the deal's ramp-up. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level[1] is 3.19%, compared to 3.51% in June 2024[2]. No actions were taken on the Class A-R, Class B-R, Class C-R, and Class D-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published 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: $1,271,650,319 Defaulted par: $5,092,771 Diversity Score: 86 Weighted Average Rating Factor (WARF): 2814 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.96% Weighted Average Recovery Rate (WARR): 45.70% 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 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. CEDAR FUNDING XVII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Cedar Funding XVII CLO, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Cedar Funding XVII CLO, Ltd. A-R LT AAAsf New Rating B-1R LT NRsf New Rating B-FR LT NRsf New Rating C-R LT NRsf New Rating D-1R LT NRsf New Rating D-JR LT NRsf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating X-R LT AAAsf New Rating Transaction Summary Cedar Funding XVII CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by AEGON USA Investment Management, LLC. This is the first reset transaction of Cedar Funding XVII CLO, Ltd. The original transaction closed in 2023 and was not rated by Fitch. The net proceeds from the issuance of the secured 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 23.61 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 95.94% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.07% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, and between 'BBB+sf' and 'AA+sf' for class A-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 and class A-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, and 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 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Cedar Funding XVII 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. CIFC FUNDING 2025-V: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to CIFC Funding 2025-V, Ltd. Entity/Debt Rating ----------- ------ CIFC Funding 2025-V, Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary CIFC Funding 2025-V, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.95, 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 99.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.82% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBBsf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, 'AA+sf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 CIFC Funding 2025-V, 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. COLT 2025-7: S&P Assigns B (sf) Rating on Class B-2 Certs --------------------------------------------------------- S&P Global Ratings assigned its 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- to 10-unit multifamily residential properties. The pool consists of 618 loans, which are qualified mortgage (QM)/non-higher-priced mortgage loans (non-HPML), non-QM/ability-to-repay-compliant (ATR-compliant), and ATR-exempt. S&P said, "After we assigned preliminary ratings on July 10, 2025, the sponsor provided updated balances and pay strings for certain loans. We processed the pool and provided updated loss coverage feedback." The sponsor provided an updated structure with final priced coupons and kept the subordination credit enhancement the same as in the preliminary ratings structure. After analyzing the updated structure, the assigned ratings for all classes are unchanged from the preliminary ratings. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P's outlook that considers 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. Ratings(i) Assigned COLT 2025-7 Mortgage Loan Trust Class A-1, $182,583,000: AAA (sf) Class A-2, $17,829,000: AA (sf) Class A-3, $26,027,000: A (sf) Class M-1, $13,014,000: BBB (sf) Class B-1, $9,240,000: BB (sf) Class B-2, $7,548,000: B (sf) Class B-3, $4,034,560: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, not applicable: NR (i)The 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. CSMC 2020-FACT: Moody's Downgrades Rating on Cl. E Certs to B2 -------------------------------------------------------------- Moody's Ratings has downgraded six classes in CSMC 2020-FACT, Commercial Mortgage Pass-Through Certificates, Series 2020-FACT as follows: Cl. A, Downgraded to Aa1 (sf); previously on Oct 28, 2020 Definitive Rating Assigned Aaa (sf) Cl. B, Downgraded to A2 (sf); previously on Feb 9, 2022 Confirmed at Aa3 (sf) Cl. C, Downgraded to Baa2 (sf); previously on Feb 9, 2022 Confirmed at A3 (sf) Cl. D, Downgraded to Ba2 (sf); previously on Feb 9, 2022 Upgraded to Baa2 (sf) Cl. E, Downgraded to B2 (sf); previously on Feb 9, 2022 Upgraded to Ba2 (sf) Cl. F, Downgraded to Caa2 (sf); previously on Feb 9, 2022 Upgraded to B2 (sf) RATINGS RATIONALE The ratings on all six P&I classes were downgraded primarily due to an increase in Moody's loan-to-value (LTV) ratio resulting from recent and anticipated further declines in property cash flow. Despite the property having increased its cashflow from securitization levels, recent drop in occupancy levels and higher operating expenses combined with the significant increase in the floating interest rate has caused the uncapped net cash flow (NCF) DSCR on the mortgage debt to decline to less than 1.0X. The loan has a final maturity in October 2025 and may have difficulty to refinance based on the current performance. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values that could impact loan proceeds at each rating level. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking views of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns, or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan, an increase in realized and expected losses or increased interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. DEAL PERFORMANCE As of the July 2025 distribution date, the transaction's certificate balance was $300 million, the same as at securitization. The interest only, floating rate loan matures in October 2025 and is secured by a fee simple interest in The Factory, 1.1 million SF mixed-use office property located in Long Island City, NY. There is parking for up to 190 vehicles. The Factory was built in 1920 as a build-to-suit for Macy's to serve as a furniture warehouse for their Manhattan retail stores. Since acquiring the property in 2014, the sponsor redeveloped the property at capital expenditures of over $51 million. The Long Island City office market is comprised of three submarkets and the subject property is located within the Factory District office submarket. The Factory, due to its size and physical attributes, does not have a direct competitor and makes up the total Class A inventory within the Factory District office submarket within Long Island City. The property was 73% leased as of the April 2025 rent roll and has leases representing less than 2% of the NRA expire through year-end 2025 plus an additional 3% through year-end 2026. The School Construction Authority (SCA and 9% of NRA) has extended its lease that expires in August 2025. As of September 01, 2020, the SCA has the right to terminate the lease at any time with 90 days' notice; however, the tenant has been at the property since 1995 and their rent is significantly below that of the overall building average as well those of new leased that have been signed in the last 12 months. The property's financials continued to improve from securitization, having surpassed Moody's net cash flow (NCF) by 2022 and peaking in 2023. The 2024 NCF fell back to 2022 levels and 2025 NCF is expected to decline further due to lower occupancy and increased expenses. Due to the combination of the lower cash flow and significantly higher floating interest rate, the loan's floating rate uncapped DSCR has now dropped to below 1.0X. Moody's has adjusted the NCF from $21.6 million at securitization to $18.6 million whereas Moody's cap rate assumption has not changed. The first mortgage balance represents a Moody's LTV of 145% based on Moody's Value. The Adjusted Moody's LTV ratio for the first mortgage balance is 139% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's stressed DSCR is 0.67X. DAVIS PARK CLO: Moody's Assigns B3 Rating to $250,000 F-R Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Davis Park CLO, Ltd. (the Issuer): US$315,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$250,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of 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. DAVIS PARK: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Davis Park CLO, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Davis Park CLO, Ltd. A-1-R LT NRsf New Rating NR(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AA+sf New Rating AA+(EXP)sf C-R LT A+sf New Rating A+(EXP)sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB+sf New Rating BB+(EXP)sf F-R LT NRsf New Rating NR(EXP)sf Transaction Summary Davis Park CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Blackstone CLO Management LLC. The CLO originally closed in 2022. The 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 $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 95.67% first-lien senior secured loans and has a weighted average recovery assumption of 74.51%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee 11 July 2025 ESG Considerations Fitch does not provide ESG relevance scores for Davis Park 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 in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. EFMT 2025-CES4: Fitch Assigns 'B(EXP)sf' Rating on Class B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to EFMT 2025-CES4. EFMT 2025-CES4 uses Fitch's new Interactive RMBS Presale feature. To access the interactive feature, click the link at the top of the presale report's first page, log into dv01 and explore Fitch's loan-level loss expectations. Entity/Debt Rating ----------- ------ EFMT 2025-CES4 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates backed by 100% closed-end second lien (CES) loans on residential properties to be issued by EFMT 2025-CES4, as indicated above. This is the fifth transaction to be rated by Fitch that includes 100% CES loans off the EFMT shelf. The transaction is scheduled to close on or about July 24, 2025. The pool consists of 3,434 non-seasoned performing CES loans with a current outstanding balance (as of the cutoff date) of $281.91 million. The loans in the pool are mainly originated by loanDepot.com (47.8%) and Lakeview Loan Servicing, LLC (23.1%), which are both considered 'Acceptable' originators by Fitch. Cornerstone Home Lending (RPS3/Positive) will be servicing 48.2% of the loans, loanDepot.com (Acceptable) will service 47.8% of the loans and the remaining 4.0% will be serviced by Nationstar Mortgage LLC d/b/a Mr. Cooper (RPS2/RSS2/Stable). Nationstar Mortgage LLC (RMS1-/Stable) is the master servicer. Distributions of interest and principal are based on a sequential structure, while losses are allocated reverse sequentially, starting with the most subordinate class. The servicers will not be advancing delinquent monthly payments of principal and interest (P&I). The collateral comprises 100% fixed-rate loans. Class A-1, A-2 and A-3 certificates with respect to any distribution date prior to the distribution date in August 2029 will have an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates or (ii) the net weighted average coupon (WAC) for such distribution date. On and after August 2029, the pass-through rate will be a per annum rate equal to the lower of (i) the sum of (a) the applicable fixed rate set forth in the table above for such class of certificates and (b) the step-up rate (1.0%) or (ii) the net WAC rate for the related distribution date. The pass-through rate on the class M-1, B-1 and B-2 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates or (ii) the net WAC for such distribution date. The pass-through rate on class B-3 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the net WAC for such distribution date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.1% above a long-term sustainable level (versus 11.0% on a national level as of 4Q24, down 0.1% since the prior quarter), based on Fitch's updated view on sustainable home prices. Housing affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices had increased 2.7% yoy nationally as of April 2025, notwithstanding modest regional declines, but are still being supported by limited inventory. High Quality Prime Mortgage Pool (Positive): The pool consists of 3,434 performing, fixed-rate loans secured by CES on primarily one- to four-family residential properties (including planned unit developments [PUDs]), condos and townhouses totaling $281.91 million. The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of eight months, according to Fitch, and six months per the transaction documents. The pool has a weighted average (WA) original FICO score of 736, as determined by Fitch, indicative of very high credit quality borrowers. About 38.6% of the loans, as determined by Fitch, have a borrower with an original FICO score equal to or above 750. The original WA combined loan-to-value ratio (cLTV) of 68.4%, as determined by Fitch, translates to a sustainable LTV ratio (sLTV) of 76.7%. The transaction documents stated a WA original LTV of 18.4% and a WA cLTV of 64.7%. The LTVs represent moderate borrower equity in the property and reduced default risk, compared with a borrower cLTV of over 80%. Of the pool loans, 93.7% were originated by a retail channel. Based on Fitch's documentation review, it considers 100.0% of the loans to be fully documented. Of the pool, 99.5% of the loans are owner occupied, 0.3% are second homes and 0.1% are investor homes. Single-family homes, PUDs, townhouses and single-family attached dwellings constitute 96.4% of the pool; condos make up 3.6% and multifamily homes make up 0.03%. The pool consists of 99.9% cashout refinances (cashouts) and 0.1% purchase loans. (based on Fitch's analysis of the pool and per the transaction documents). Fitch only considers loans a cashout if the cashout amount is greater than 2% of the original balance. None of the loans in the pool have a current balance over $1.0 million. Of the pool of loans, 21.3% are concentrated in California. The largest MSA concentration is the New York MSA (6.1%), followed by the Los Angeles MSA (5.6%) and the Phoenix MSA (4.1%). The top three MSAs account for 15.8% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. As all of the loans are fully documented with high FICOs. Fitch's prime loan loss model was used for the analysis of this pool. Second Lien Collateral (Negative): The entire collateral pool consists of CES loans originated by various originators (the main originators are loanDepot.com and Lakeview Loan Servicing LLC). Fitch assumed no recovery and 100% loss severity (LS) on second lien loans, based on the historical behavior of the loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans. After controlling for credit attributes, no additional penalty was applied. Sequential Structure with No Advancing of Delinquent P&I (Mixed): The proposed structure is a sequential structure in which principal is distributed, first, to the A-1 class and then sequentially to the A-2, A-3, M-1, B-1, B-2 and B-3 classes. Interest is prioritized in the principal waterfall, and any unpaid interest amounts are paid prior to principal being paid. The transaction has monthly excess cash flows that are used to repay any realized losses incurred and then unpaid cap carryover interest shortfalls. A realized loss will occur if, after giving effect to the allocation of the principal remittance amount and monthly excess cash flow on any distribution date, the aggregate collateral balance is less than the aggregate outstanding balance of the outstanding classes. Realized losses will be allocated reverse sequentially, with the losses allocated first to class B-3 and, once the class A-2 is written off, class A-1 will take losses. The transaction will have subordination and excess spread, providing credit enhancement (CE) and protection from losses. 180-Day Chargeoff Feature/Best Execution (Positive): With respect to any mortgage loan that becomes 180 days MBA delinquent, the servicer will review, and may charge off, such mortgage loan (based on an equity analysis review performed by the servicer) if such review indicates no significant recovery is likely in respect of such mortgage loan. Fitch views the servicer conducting an equity analysis to determine the best execution strategy for the liquidation of severely delinquent loans as a positive, as the servicer and controlling holder are acting in the best interest of the certificate holders to limit losses on the transaction. The servicer deciding to write off the losses at 180 days would compare favorably to a delayed liquidation scenario, whereby the loss occurs later in the life of the transaction and less excess is available. In its cash flow analysis, Fitch assumed the loans would be written off at 180 days, as this is the most likely scenario in a stressed case when there is limited equity in the home. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.2%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics, SitusAMC, Clarifii, and Digital Risk. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis. The review confirmed strong origination practices, with 98.7% of the loans by count receiving a final grade of "A" or "B" and 1.3% of loans receiving a final grade of "C". The 44 loans that received a final grade of "C" had TRID-related compliance issues; however, the loans have been clean pay since origination and the statute of limitations for TRID will expire in the next six months. Fitch did not give due diligence credit for the loans with a "C" grade. Based on the results of the due diligence performed on the pool, Fitch reduced the overall 'AAAsf' expected loss by 0.83%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Consolidated Analytics, SitusAMC, Clarifii, and Digital Risk. were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and property grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. EFMT 2025-INV3: S&P Assigns B- (sf) Rating on Class B-2 Certs ------------------------------------------------------------- S&P Global Ratings assigned its 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 by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family units, five- to 10-unit multifamily residential properties, and a condotel 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 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 our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings 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 ratings address the ultimate payment of interest and principal. (ii)Notional amount equals the loans' 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. ELMWOOD CLO 43: Fitch Assigns 'BBsf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Elmwood CLO 43 Ltd. Entity/Debt Rating Prior ----------- ------ ----- Elmwood CLO 43 Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT NRsf New Rating NR(EXP)sf C LT NRsf New Rating NR(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BBsf New Rating BB-(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Elmwood CLO 43 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Elmwood Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. The final rating assigned to the class E notes is one notch higher than the expected rating communicated in the presale report. The rating change from 'BB-(EXP)sf' to 'BBsf' for the class E notes is driven by the lower cost of funding on the senior and deferrable tranches compared to the cost of funding used during the EXP rating analysis. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.28% first-lien senior secured loans and has a weighted average recovery assumption of 75.31%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, 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 'A+sf' for class D and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Elmwood CLO 43 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ELMWOOD CLO 43: S&P Assigns B- (sf) Rating on Class F Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Elmwood CLO 43 Ltd./Elmwood CLO 43 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Elmwood Asset Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Elmwood CLO 43 Ltd./Elmwood CLO 43 LLC Class A-1, $307.50 million: AAA (sf) Class A-2, $17.50 million: NR Class B, $55.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: NR Class E (deferrable), $19.00 million: NR Class F (deferrable), $6.20 million: B- (sf) Subordinated notes, $46.65 million: NR NR--Not rated. FRANKLIN PARK VI: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Franklin Park Place CLO VI. Entity/Debt Rating ----------- ------ Franklin Park Place CLO VI A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B-1 LT AA(EXP)sf Expected Rating B-2 LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Franklin Park Place CLO VI (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Franklin Advisers, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.94, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.93% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Franklin Park Place CLO VI. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. FRANKLIN PARK VI: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Franklin Park Place CLO VI. Entity/Debt Rating Prior ----------- ------ ----- Franklin Park Place CLO VI A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.94, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.93% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee July 14, 2025 ESG Considerations Fitch does not provide ESG relevance scores for Franklin Park Place CLO VI. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. GCAT 2025-NQM4: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GCAT 2025-NQM4 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-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 residential properties, planned-unit developments, townhouses, condominiums, a cooperative, and two- to four-family residential properties. The pool has 901 loans, which are either qualified mortgage (QM)/non-higher-priced mortgage loans (HPML) (average prime offer rate), QM/HPML, non-QM/ability-to-repay (ATR) compliant, or ATR-exempt. The preliminary ratings are based on information as of July 23, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty (R&W) framework; -- The mortgage aggregator, Blue River Mortgage V LLC; the transaction-specific review on the mortgage originator, Arc Home LLC; and any S&P Global Ratings-reviewed mortgage originators; and -- S&P's economic outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) GCAT 2025-NQM4 Trust Class A-1A(ii), $323,599,000: AAA (sf) Class A-1B(ii), $48,084,000: AAA (sf) Class A-1(ii), $371,683,000: AAA (sf) Class A-2, $23,320,000: AA (sf) Class A-3, $44,477,000: A (sf) Class M-1, $19,474,000: BBB- (sf) Class B-1, $7,933,000: BB (sf) Class B-2, $8,655,000: B (sf) Class B-3, $5,289,948: NR Class A-IO-S, notional(iii): NR Class X, notional(iii): NR Class R, not applicable: NR (i)The preliminary ratings address our expectation for the ultimate payment of interest and principal. (ii)Initial exchangeable certificates can be exchanged for the exchangeable certificates, and vice versa. The class A-1 certificates are entitled to receive a proportionate share of all payments otherwise payable to the initial exchangeable certificates. (iii)The notional amount equals the aggregate stated principal balance of the loans. NR--Not rated. GENERATE CLO 22: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Generate CLO 22 Ltd./Generate CLO 22 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, a subsidiary of Kennedy Lewis Management L.P. The 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. 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-2 (deferrable), $4 million: BBB- (sf) Class E (deferrable), $12 million: BB- (sf) Subordinated notes, $38 million: NR NR--Not rated. GOLUB CAPITAL 2014-1: Fitch Assigns 'BBsf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital Partners Static 2024-1, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital Partners Static 2024-1, Ltd. A-1 381929AA6 LT PIFsf Paid In Full AAAsf A-2 381929AC2 LT PIFsf Paid In Full AAAsf A-L-R LT AAAsf New Rating A-R LT AAAsf New Rating B-1 381929AE8 LT PIFsf Paid In Full AA+sf B-2 381929AG3 LT PIFsf Paid In Full AA+sf B-R LT AAsf New Rating C 381929AJ7 LT PIFsf Paid In Full A+sf C-R LT Asf New Rating D 381929AL2 LT PIFsf Paid In Full BBB+sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 381944AA5 LT PIFsf Paid In Full BB+sf E-R LT BBsf New Rating Transaction Summary Golub Capital Partners Static 2024-1, 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 $550 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 26.68, 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 76.51% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44% 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 0.5-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. 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-R and class A-L-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'BB+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R notes and class A-L-R loans as they are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Golub Capital Partners Static 2024-1, Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. GOLUB CAPITAL 81(B): Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital Partners CLO 81(B), Ltd. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital Partners CLO 81(B), Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary 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. Date of Relevant Committee 10 July 2025 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. GUGGENHEIM CLO 2019-1: S&P Cuts Cl. C-R Notes Rating to 'BB+ (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on the class C-R, D-1-R, and D-2-R debt from Guggenheim CLO 2019-1 Ltd., a U.S. CLO transaction managed by Guggenheim Partners Investment Management LLC. S&P also removed the ratings on the class D-1-R and D-2-R debt from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on the class A-1-R, A-2-R, and B-R debt from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the June 5, 2025, trustee report. The CLO exited its reinvestment period in October 2024, and the class A-1-R notes has received a cumulative paydown of $17.97 million since then. S&P had placed the ratings on the class D-1-R and D-2-R debt on CreditWatch negative due to the weakened cash flow results and a decline in the overcollateralization (O/C) ratios. The O/C ratios have changed since the CLO was refinanced in November 2021: -- The class A O/C ratio declined to 129.49% from 133.45%. -- The class B O/C ratio declined to 116.96% from 121.24%. -- The class C O/C ratio declined to 108.56% from 112.98%. -- The class D O/C ratio declined to 103.60% from 108.06%. The decline in the overcollateralization (O/C) ratios are primarily due to par losses and an increase in defaults. The trustee O/C cushion at the class C and D levels were 0.96% and 0.2%, respectively. In addition, collateral obligations with ratings in the 'CCC' category have increased to $31.37 million as of the June 2025 trustee report from $14.04 million as of November 2021, when the CLO refinanced its notes. The increase in 'CCC' assets increased the portfolio's scenario default rates. At the same time, the decline in the portfolio's weighted average spread affected the notes break-even defaults rates. A combination of the above factors contributed to the weakening of the cash flows, especially at the mezzanine and junior levels of the capital structure. The lowered ratings on the class C-R, D-1-R, and D-2-R debt reflect the drop in the credit support and failing cash flow results at their previous rating levels. S&P said, "Though our cash flows indicate lower ratings on the class D-1-R and D-2-R debt, we restricted the downgrades at this time considering that the existing credit support commensurate with the new rating levels and continued paydowns, which started only two payment periods back, have the potential to improve the credit support of all notes." S&P said, "The affirmations of the ratings to the class A-1-R, A-2-R, and B-R debt reflect our view that the existing credit support is commensurate with the current rating levels. Though the cash flow results indicated a higher rating for the class A-2-R debt, we affirmed its rating after considering extra sensitivity analysis we performed considering the increased exposure to assets rated in the 'CCC' category. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Ratings Lowered And Removed From CreditWatch Guggenheim CLO 2019-1 Ltd./Guggenheim CLO 2019-1 LLC Class D-1-R to 'BB- (sf)' from 'BB+ (sf)/Watch Neg' Class D-2-R to 'B (sf)' from 'BB- (sf)/Watch Neg' Rating Lowered Guggenheim CLO 2019-1 Ltd./Guggenheim CLO 2019-1 LLC Class C-R to 'BB+ (sf)' from 'BBB- (sf)' Ratings Affirmed Guggenheim CLO 2019-1 Ltd./Guggenheim CLO 2019-1 LLC Class A-1-R: AAA (sf) Class A-2-R: AA (sf) Class B-R: A (sf) HPS LOAN 2023-18: Fitch Assigns 'B-sf' Rating on Class F-R Debt --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to HPS Loan Management 2023-18, Ltd. reset transaction. Entity/Debt Rating ----------- ------ HPS Loan Management 2023-18, Ltd. A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT B-sf New Rating Subordinated LT NRsf New Rating Transaction Summary HPS Loan Management 2023-18, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by HPS Investment Partners, LLC. The transaction originally closed in June 2023 and is anticipated to undergo its first refinancing on July 21, 2025. Net proceeds from the full refinancing of the secured notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.69 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 96.73% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.77% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 46% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with 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-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, between less than 'B-sf' and 'B+sf' for class E-R, and less than 'B-sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, 'BBB+sf' for class E-R, and 'BB+sf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for HPS Loan Management 2023-18, 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. ICG US 2023-1(i): S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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. 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 18, 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 18, 2027. -- The reinvestment period was extended to July 18, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 18, 2038. -- No additional assets were purchased on the July 18, 2025, refinancing date, and the target initial par amount remained at $350 million. There is 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 were amended. In addition, the interest diversion test threshold was amended, and the weighted average life test was extended to nine years from the first refinancing date. -- No additional subordinated notes were issued on the refinancing date. -- The transaction was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and 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." 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) Ratings Withdrawn ICG US CLO 2023-1(i) Ltd./ICG US CLO 2023-1(i) LLC Class A to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C to not rated from 'A (sf)' Class D to not rated from 'BBB- (sf)' Class E to not rated from 'BB- (sf)' INVESCO US 2023-3: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Invesco U.S. CLO 2023-3, Ltd. Reset Transaction Entity/Debt Rating ----------- ------ Invesco U.S. CLO 2023-3, Ltd. X-R LT AAAsf New Rating A-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Invesco U.S. CLO 2023-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Invesco CLO Equity Fund 3 L.P. This is the first refinancing where the existing secured notes will be refinanced in whole on July 15, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.91, 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 97.5% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.56% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% 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-R, between 'BBB+sf' and 'AA+sf' for class A-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 X-R and class A-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Invesco U.S. CLO 2023-3, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. JCP DIRECT 2023-1: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to JCP Direct Lending CLO 2023-1 Ltd./JCP Direct Lending CLO 2023-1 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Jefferies Credit Partners LLC. The ratings reflect: -- The diversification of the collateral pool, which consists primarily of middle market speculative-grade (rated 'BB+' and lower) senior secured term loans; -- 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 JCP Direct Lending CLO 2023-1 Ltd./ JCP Direct Lending CLO 2023-1 LLC Class A-1-R, $193.275 million: AAA (sf) Class A-1-R loans, $10.000 million: AAA (sf) Class A-J-R, $14.000 million: AAA (sf) Class A-J-R loans, $3.500 million: AAA (sf) Class B-R, $17.525 million: AA (sf) Class C-R (deferrable), $28.025 million: A (sf) Class D-R (deferrable), $24.550 million: BBB- (sf) Class E-R (deferrable), $17.525 million: BB- (sf) JCP DIRECT 2023-1: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to JCP Direct Lending CLO 2023-1 Ltd./JCP Direct Lending CLO 2023-1 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Jefferies Credit Partners LLC. The preliminary ratings are based on information as of July 17, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool, which consists primarily of middle market speculative-grade (rated 'BB+' and lower) senior secured term loans; -- 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 JCP Direct Lending CLO 2023-1 Ltd./ JCP Direct Lending CLO 2023-1 LLC Class A-1-R, $193.275 million: AAA (sf) Class A-1 loans, $10.000 million: AAA (sf) Class A-J-R, $14.000 million: AAA (sf) Class A-J loans, $3.500 million: AAA (sf) Class B-R, $17.525 million: AA (sf) Class C-R (deferrable), $28.025 million: A (sf) Class D-R (deferrable), $24.550 million: BBB- (sf) Class E-R (deferrable), $17.525 million: BB- (sf) JPMBB COMMERCIAL 2015-C29: Fitch Cuts Rating on 2 Tranches to BBsf ------------------------------------------------------------------ Fitch Ratings has downgraded four and affirmed six classes of JPMBB Commercial Mortgage Securities Trust, series 2015-C29 (JPMBB 2015-C29). Fitch assigned Negative Rating Outlooks to downgraded classes B, C, EC, and X-B. Fitch has also downgraded eight and affirmed five classes of JPMBB Commercial Mortgage Securities Trust 2016-C1 commercial mortgage pass-through certificates (JPMBB 2016-C1). Fitch assigned Negative Outlooks to downgraded classes, B, C, D, D-1, D-2, E, F and X-D. Entity/Debt Rating Prior ----------- ------ ----- JPMBB 2015-C29 B 46644RBE4 LT Asf Downgrade AA-sf C 46644RBF1 LT BBsf Downgrade BBB-sf D 46644RBH7 LT CCCsf Affirmed CCCsf E 46644RAN5 LT CCsf Affirmed CCsf EC 46644RBG9 LT BBsf Downgrade BBB-sf F 46644RAQ8 LT Csf Affirmed Csf X-B 46644RBC8 LT Asf Downgrade AA-sf X-D 46644RAE5 LT CCCsf Affirmed CCCsf X-E 46644RAG0 LT CCsf Affirmed CCsf X-F 46644RAJ4 LT Csf Affirmed Csf JPMBB 2016-C1 A-4 46645LAX5 LT AAAsf Affirmed AAAsf A-5 46645LAY3 LT AAAsf Affirmed AAAsf A-S 46645LBD8 LT AAAsf Affirmed AAAsf A-SB 46645LAZ0 LT AAAsf Affirmed AAAsf B 46645LBE6 LT AA-sf Downgrade AA+sf C 46645LBF3 LT A-sf Downgrade Asf D 46645LAG2 LT BB-sf Downgrade BBB-sf D-1 46645LAC1 LT BBB-sf Downgrade BBBsf D-2 46645LAE7 LT BB-sf Downgrade BBB-sf E 46645LAJ6 LT B-sf Downgrade BB-sf F 46645LAL1 LT CCCsf Downgrade B-sf X-A 46645LBA4 LT AAAsf Affirmed AAAsf X-D 46645LAA5 LT BB-sf Downgrade BBB-sf KEY RATING DRIVERS Increased 'B' Loss Expectations: Deal-level 'Bsf' ratings case losses have risen since Fitch's prior rating actions on both transactions. In JPMBB 2015-C29, losses have increased to 28.07% (9.51% of the original pool balance) from 19.23% (9.34%) while losses have risen to 7.10% from 4.56% in JPMBB 2016-C1. Fitch Loans of Concern (FLOCs) comprise eight loans (100.0% of the pool) in JPMBB 2015-C29, including six loans in special servicing (80.8%) and five loans (35.9%) in JPMBB 2016-C1, with one loan (10.6%) in special servicing. Due to the near-term loan maturities, increasing pool concentration and adverse selection, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to loans that are anticipated to default at maturity due to performance declines and/or rollover concerns. JPMBB 2015-C29: The downgrades in the JPMBB 2015-C29 transaction reflect higher pool loss expectations since Fitch's prior rating driven by ongoing performance deterioration and the transfer of additional loans to special servicing. The Negative Outlooks reflect the adversely selected pool, with 80.8% in special servicing and significant office exposure of over 65%, including a mixed-use loan with a substantial office component. Further downgrades are possible if performance does not stabilize or with prolonged workouts for loans in special servicing. JPMBB 2016-C1: The downgrades in the JPMBB 2016-C1 transaction are due to increasing loss expectations primarily from loans at risk of defaulting at maturity and potential for transfer to special servicing, including 32 Avenue of the Americas (9.9%), The 9 (4.4%), Hampton Inn & Suites by Hilton - Lynnwood (2.4%), Seeley Building (1.4%), 111 Townsend (1.3%), Tangerine Crossing (0.9%) and The River House (0.7%). Negative Outlooks reflect the elevated office concentration of 44.9% and the potential for downgrades should loans fail to refinance. The Outlooks also reflect the lack of performance stabilization of 5 Penn Plaza (10.6%) and the FLOCs, and should the 7700 Parmer (9.6%) fail to refinance. Largest Contributors to Loss: The largest contributor to loss expectations and the second largest increase in loss since the prior rating action in the JPMBB 2015-C29 transaction is the 2025 M Street loan (36.4%), secured by a 191,248-sf office property in Washington DC. The loan transferred to special servicing in July 2024. Occupancy for the property declined in 2020 when the second largest tenant, Smith Bucklin (37.3%) vacated at lease expiration causing a fall in property occupancy to 63% from 92% in 2019. As of March 2025, occupancy has declined further to 59% with NOI DSCR insufficient to cover debt service at 0.57x. YE 2024 NOI has declined 16.4% year-over-year and remains 69% below the originator's underwritten NOI from issuance. Fitch's 'Bsf' rating loss of 48% (prior to concentration add-ons) reflects an elevated cap rate of 9.5% (100 bps above issuance) on YE 2024 NOI and factors a higher probability of default to account for heightened default risk given the deteriorated occupancy and cash flow. The largest increase in loss expectations since the prior rating action and the second largest overall contributor to loss in the JPMBB 2015-C29 transaction is the 400 Poydras loan (29.7%), secured by a 595,566-sf office building located in New Orleans, LA. While overall performance remains stable, the loan defaulted at maturity in April 2025 and subsequently transferred to special servicing. As of YE 2024, occupancy was 89% with NOI DSCR of 2.45x improved from occupancy of 87% and NOI DSCR of 1.97x at YE 2023. YE 2024 NOI has improved 24.4% year-over-year and remains 33.8% above the originator's underwritten expectations. Fitch's 'Bsf' rating loss of 12.4% (prior to concentration add-ons) reflects an elevated cap rate of 10.0% (100 bps above issuance) with a 10% stress to the YE 2024 NOI. It also factors a higher probability of default to account for maturity default and transfer to special servicing. The largest overall contributor to loss expectations and second largest increase in loss since the prior rating action in the JPMBB 2016-C1 transaction is the 32 Avenue of the Americas loan (9.9%), secured by a 1.2 million-sf office property/data center in New York, NY. The property was identified as a FLOC due to sustained performance declines. Occupancy has fallen to 57% as of Q1-2025, in-line with YE 2024, but a decline from 60.5% at YE 2023, and remains lower than YE 2020 occupancy of 89%. Due to the occupancy declines, NOI DSCR has fallen to 1.22x which compares with 1.09x at YE 2024 and 1.15x as of YE 2023 and 2.00x at issuance. YE 2024 NOI declined 5.1% year-over-year and remains 45.6% below the originator's underwritten NOI at issuance. Fitch's 'Bsf' rating case loss of 20% (prior to concentration adjustments) reflects a 9.5% cap rate and 10% stress to the YE 2024 NOI and factors an increased probability of default due to the loan's heightened default concerns. The loan matures in November 2025. The next largest overall contributor to loss expectations in the JPMBB 2016-C1 transaction is the 5 Penn Plaza loan (10.6%), secured by a 26-story, office building totaling 630,329-sf located in Manhattan, NY, across the street from Penn Station. The loan transferred to special servicing in November 2024 due to imminent default from declining occupancy. A modification is in the final stages of approval. The two largest tenants are Sirius XM Radio (14.3%; expires November 2029) and Thomas Publishing Company (13.7%; expires December 2025), representing a combined 28% of NRA. The Sirius XM Radio space has been vacated and the space is listed as available for sublease. Thomas Nelson is also marketing one floor (28,977 sf) for sublease. The borrower notes that the renewal intentions of Thomas Nelson remain uncertain. While YE 2024 NOI has improved 2.7% year-over-year, the most recent NOI remains 11.8% below the originator's underwritten expectations. YE 2024 occupancy has fallen to 85% from 97% at issuance. The borrower has invested capital to upgrade the property, including the addition of a new amenity center and gym and finishing buildouts for tenant-ready space on select floors. Fitch's 'Bsf' rating loss of 9% (prior to concentration add-ons) reflects an elevated cap rate of 9.0% (75 bps above issuance) with a 25% stress to the YE 2024 NOI which equates to a stressed value of approximately $360 psf. The third largest overall contributor to loss expectations and largest increase in loss since the prior rating action is the 7700 Parmer loan (9.6%), secured by a 911,579 sf office property in Austin, TX. The largest tenants at the property include Google (33.3% of NRA) expiring in September 2027 and Electronic Arts (19.2%) with lease expiration in August 2026. Occupancy declined to 81% in 2023 from 99% in 2022 due to the downsize of eBay from 24% of the property down to 10% and the departure of Fair Isaac (2.7% of NRA) and Deloitte (1.5%) in 2023 at their respective lease expiration dates. YE 2024 NOI is down 28% year over year and is 8% below the originator's underwritten NOI at issuance. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 10% reflects a 10% stress to the YE 2024 NOI with a cap rate of 9.5% which equates to a stressed value of approximately $173 psf. Changes in Credit Enhancement (CE): As of the July 2025 distribution date, the aggregate balances of the JPMBB 2015-C29 and JPMBB 2016-C1 transactions have been paid down by 84.6% and 28.2%, respectively, since issuance. The JPMBB 2016-C1 has 10 loans (10.9%) that are fully defeased while the JPMBB 2015-C29 transaction has no defeased loans. Cumulative interest shortfalls of $4.47 million are affecting classes E, F and the non-rated NR class in JPMBB 2015-C29 and $262,242 is affecting the non-rated NR class in JPMBB 2016-C1. 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 position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories, which have Negative Outlooks, may occur should performance of the FLOCs, which include Aspen Heights - Texas A&M University Corpus Christi, and specially serviced loans: 2025 M Street, 400 Poydras, AllStore Center Self Storage, Lyons Station, Hampton Inn Ft. Wayne, and Walgreens - Brunswick in JPMBB 2015-C29, and 5 Penn Plaza, 32 Avenue of the Americas, 7700 Parmer, and The 9 in JPMBB 2016-C1, deteriorate further or more loans than expected default at or prior to maturity. Downgrades to in the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings would occur should additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected, but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. KKR CLO 23: Moody's Affirms B3 Rating on $7.25MM Class F Notes -------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by KKR CLO 23 Ltd.: US$26M Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Sep 4, 2024 Assigned Aa2 (sf) Moody's have also affirmed the ratings on the following notes: US$250.63M (Current outstanding amount US$154,176,250) Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 4, 2024 Assigned Aaa (sf) US$47.75M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 4, 2024 Assigned Aaa (sf) US$32.5M Class D-R Senior Secured Deferrable Floating Rate Notes, Affirmed Baa1 (sf); previously on Sep 4, 2024 Assigned Baa1 (sf) US$28.75M Class E Senior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Oct 5, 2020 Confirmed at Ba3 (sf) US$7.25M Class F Senior Secured Deferrable Floating Rate Notes, Affirmed B3 (sf); previously on Oct 5, 2020 Confirmed at B3 (sf) KKR CLO 23 Ltd., originally issued in November 2018 and partially refinanced in September 2024, 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 2023. RATINGS RATIONALE The rating upgrades on the Class C-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 September 2024. The affirmations on the ratings on the Class A-1-R, Class B-R, Class D-R, Class E and Class F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1-R notes have paid down by approximately USD 96.5 million (31.6%) since the last rating action in September 2024 and USD 150.8 million (49.5%) 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/B, Class C and Class D OC ratios are reported at 145.76%, 130.48% and 115.36% compared to August 2024[2] levels of 135.00%, 124.81% and 114.04%, respectively. Moody's note that the Class E 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 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: USD 334.4m Defaulted Securities: USD 1.1m Diversity Score: 63 Weighted Average Rating Factor (WARF): 3198 Weighted Average Life (WAL): 3.84 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.19% Weighted Average Recovery Rate (WARR): 46.38% Par haircut in OC tests and interest diversion test: 3.50% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability Moody's are analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. LCM XXIII: S&P Lowers Class D Notes Rating to 'CCC (sf)' -------------------------------------------------------- S&P Global Ratings raised its rating on the class C-R debt from LCM XXIII Ltd. At the same time, S&P lowered its rating on the class D debt and withdrew its rating on class B-R from the same transaction. S&P said, "The rating actions follow our review of the transaction's performance using data from the July 2025 trustee report. Although the same portfolio backs all of the tranches, there can be circumstances such as this one, where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements because it experienced both principal paydowns (which increased the credit support to the senior outstanding notes) and faced principal losses, increases in defaults, a higher concentration of 'CCC' rated assets, and a decline in credit quality, which decreased the junior credit support." As of the July 2025 payment date report, the transaction has paid down approximately $182 million in collective paydowns to the class A-1-R, A-2-R, and B-R and C-R debt since our February 2024 rating actions. Following are the changes in the reported overcollateralization (O/C) ratios since the January 2024 trustee report, which we used for our previous rating actions: -- The class C-R O/C ratio improved to 133.57% from 111.96%. -- The class D O/C ratio declined to 100.62% from 104.83%. Though paydowns have helped the senior classes, the collateral portfolio's credit quality has slightly deteriorated since our last rating actions. Collateral obligations with ratings in the 'CCC' category have decreased in dollar amount, with $9.09 million reported as of the July 2025 trustee report, compared with $19.17 million reported as of the January 2024 trustee report. However, over the same period, the 'CCC' asset concentration percentage increased to 13.82% from 7.51%. Over the same period, the par amount of defaulted collateral decreased to $0.48 million from $2.51 million. This increased the scenario default rates of the portfolio, which in turn affected the credit support to the classes. However, despite the slightly larger concentrations in 'CCC' category and defaulted collateral, the transaction has benefited from a drop in the weighted average life due to underlying collateral's seasoning, with 2.76 years reported as of the July 2025 trustee report, compared with 3.38 years reported at the time of our February 2024 rating actions. The upgraded rating reflects the improved credit support available to the class C-R debt at the prior rating levels. Additionally, the class C-R debt is most senior in this transaction with sufficient assets to cover the remaining liability. The lowered rating reflects deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class D notes. In addition, the cash flows were failing at their respective prior ratings due to an increase in scenario default rates (SDRs) and decrease in the break-even default rates (BDRs). While SDRs increased due to an increase in exposure to 'CCC' category assets, the BDRs declined due to an increase in defaults and par losses. The weighted average recovery rates for the portfolio have decreased, further contributing to the downward pressure on the ratings. Lower recovery expectations imply that in the event of defaults, the value recovered from the assets will be less than previously estimated. On a standalone basis, the cash flow results indicate a lower rating for class D debt. However, it is S&P's view that the class D debt is currently dependent upon favorable business, financial, or economic conditions to meets its contractual obligations of timely interest and ultimate repayment of principal by legal final maturity and does meet our definition of 'CCC' risk, because of the failing O/C test, higher level of distressed assets, a payment-in-kind balance has accrued, and higher concentration of 'CCC' and defaulted assets. Further increases in defaults or par losses could lead to further negative rating actions on this class. The class B-R notes were fully repaid on the July 2025 payment date; therefore, the rating on this class is being withdrawn. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." Rating Raised LCM XXIII Ltd./LCM XXIII LLC Class C-R: to AAA (sf) from BBB (sf) Rating Lowered LCM XXIII Ltd./LCM XXIII LLC Class D: to CCC (sf) from B- (sf) Rating Withdrawn LCM XXIII Ltd./LCM XXIII LLC Class B-R: to NR from A+ (sf) NR--Not rated. MIDOCEAN CREDIT XII: Fitch Assigns 'BB-sf' Rating on Cl. E-RR Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to MidOcean Credit CLO XII Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- MidOcean Credit CLO XII Ltd A-1-R 59803TAQ4 LT PIFsf Paid In Full AAAsf A-1-RR LT AAAsf New Rating A-2-R 59803TAS0 LT PIFsf Paid In Full AAAsf A-2-RR LT AAAsf New Rating B-R 59803TAU5 LT PIFsf Paid In Full AAsf B-RR LT AAsf New Rating C-R 59803TAW1 LT PIFsf Paid In Full Asf C-RR LT Asf New Rating D-R 59803TAY7 LT PIFsf Paid In Full BBB-sf D-RR LT BBB-sf New Rating E-R 59804HAE6 LT PIFsf Paid In Full BB-sf E-RR LT BB-sf New Rating Transaction Summary MidOcean Credit CLO XII Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by MidOcean Credit RR Manager LLC. The CLO's secured notes will be refinanced on July 18, 2025, using net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $349 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 23.72, 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 94.41% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.91% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43% 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-RR, between 'BBB+sf' and 'AA+sf' for class A-2-RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'BBB+sf' for class C-RR, and between less than 'B-sf' and 'BB+sf' for class D-RR and between less than 'B-sf' and 'B+sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-RR and class A-2-RR 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-RR, 'AAsf' for class C-RR, and 'Asf' for class D-RR and 'BBB-sf' for class E-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. ESG Considerations Fitch does not provide ESG relevance scores for MidOcean Credit CLO XII Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MKP CBO I: Moody's Ups Rating on $250MM Class A-1L Notes to Caa1 ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on notes issued by MKP CBO I, Ltd.: US$250,000,000 Class A-1L Floating Rate Notes Due February 2036 (current outstanding balance $16,263,509), Upgraded to Caa1 (sf); previously on April 24, 2009 Downgraded to Ca (sf) MKP CBO I, Ltd., issued in February 2000, is a collateralized debt obligation backed primarily by a portfolio of structured finance assets. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating action reflects the current level of credit enhancement available to the notes, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation. The notes have either incurred a missed interest payment or is currently undercollateralized. Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original notes balance. No actions were taken on the other rated classes in the deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Structured Finance CDOs" published in June 2025. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. Certain deal features and their characteristics, such as amortization profile assumptions, and waterfall features can also influence the rating outcomes. MORGAN 2025-NQM5: S&P Assigns Prelim B (sf) Rating on B-2 Certs --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-NQM5'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, and two- to four-family residential properties. The pool consists of 831 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate), non-QM/ability-to-repay (ATR) compliant, and ATR-exempt loans. The preliminary ratings are based on information as of July 17, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. See the Related Research section for the home price index and over/under-valuation assessments used in our analysis for this transaction. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A.; -- The mortgage originators, including reviewed originator Hometown Equity Mortgage LLC; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, which is updated if necessary, when these projections change materially." Preliminary Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2025-NQM5 Class A-1-A, $223,602,000: AAA (sf) Class A-1-B, $33,574,000: AAA (sf) Class A-1, $257,176,000: AAA (sf) Class A-2, $19,305,000: AA- (sf) Class A-3, $31,056,000: A- (sf) Class M-1, $11,416,000: BBB- (sf) Class B-1, $6,043,000: BB (sf) Class B-2, $6,715,000: B (sf) Class B-3, $4,029,075: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $16,789,875: NR Class PT, $318,950,200: 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 $335,740,075. NR--Not rated. MORGAN STANLEY 2018-MP: Moody's Cuts Rating on Cl. E Certs to B1 ---------------------------------------------------------------- Moody's Ratings has affirmed the rating on one class and downgraded the ratings on four classes of Morgan Stanley Capital I Trust 2018-MP, Commercial Mortgage Pass-Through Certificates, Series 2018-MP as follows: Cl. A, Affirmed Aaa (sf); previously on Nov 25, 2019 Affirmed Aaa (sf) Cl. B, Downgraded to A1 (sf); previously on Feb 9, 2022 Upgraded to Aa2 (sf) Cl. C, Downgraded to A3 (sf); previously on Feb 9, 2022 Upgraded to A1 (sf) Cl. D, Downgraded to Baa3 (sf); previously on Feb 9, 2022 Upgraded to Baa1 (sf) Cl. E, Downgraded to B1 (sf); previously on Feb 9, 2022 Upgraded to Ba1 (sf) RATINGS RATIONALE The rating on the most senior P&I class, Cl. A, was affirmed because the Moody's loan-to-value (LTV) ratio was within acceptable ranges. Furthermore, the loan is secured by a portfolio of eight retail and office properties across five states and Cl. A benefits from priority of principal payments or paydowns from the portfolio. The ratings on four P&I classes were downgraded due to an increase in Moody's LTV ratio as a result of the decline in the financial performance of the portfolio. The portfolio's cash flow has generally declined since securitization driven primarily by a drop in occupancy and increase in operating expenses. While the properties' combined revenue has generally remained in-line with levels at securitization, the decline in cash flow was primarily driven by the significant expense growth in the properties' combined operating expenses. The 2024 total operating expenses were 31% higher than the operating expenses in 2018. As a result, the property's 2023 and 2024 cash flows were below Moody's expected levels from securitization. The overall portfolio's net cash flow (NCF) for the year-end 2024 was approximately 17% lower than in 2018, however, the declines are primarily driven by four underperforming properties combining for an aggregate 48% of the allocated loan amount ("ALA"). The four loans that have had material declines in occupancy and/or cash flow include the Millenium Tower Boston (26% of ALA), Four Seasons San Francisco Retail (12% of ALA), Lincoln Triangle (8% of ALA) and Ritz Carlton Georgetown Retail (3% of ALA). Despite the decline in cash flow, the trust mortgage loan had a 2024 NCF DSCR of 1.42X based on its fixed interest rate of 4.285% through its loan maturity in July 2028. Moody's anticipates the loan will remain current on its monthly debt service payments due to its low fixed interest rate combined with the portfolio's performance as well as the location and property type diversity of the underlying properties. However, Moody's rating action reflects the sustained lower occupancy and cash flow performance of the portfolio combined with the ultimate refinance risk associated with higher prevailing market interest rates. The rating on the most junior outstanding P&I class, Cl. E, also reflects the outstanding interest shortfalls impacting this class. As of the June 2025 remittance statement, Cl. E had outstanding interest shortfalls of $24,192 due to the extraordinary trust fund expenses that occurred in 2023. If these interest shortfalls are not recouped prior to the ultimate refinance or payoff of the loan, they could cause a loss to this class. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and the portfolio nature of the collateral, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than what Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. DEAL PERFORMANCE As of the June 2025 distribution date, the transaction's aggregate certificate balance remains unchanged at approximately $464 million. The 10-year, fixed rate, interest only whole loan of $710 million has a split loan structure represented by the trust loan component of $464 million and companion loan components across multiple conduit transactions with an aggregate balance of $246 million (not included in this trust). The trust loan amount includes the A-1, B-1, and C notes. The A-1 and B-1 notes and the companion loan components are pari passu and the C note is junior to both the trust notes A-1 and B-1 and the non-trust companion loan components. In addition, the property is encumbered with an approximately $280 million of subordinated and non-pooled mezzanine debt. The portfolio is comprised of condominium interests in eight Class A properties all centrally located within top tier gateway markets (New York, Boston, San Francisco, Washington D.C. and Miami). In aggregate, the collateral improvements contain 1,549,699 SF of retail, office and/or parking area. The three New York City properties represent retail components of luxury apartment condominiums on Manhattan's Upper West Side. The Boston property represents the retail and office component of a luxury residential tower in Boston's Downtown Crossing neighborhood. The remaining four properties represent commercial condominium components of a related 5-star luxury hotel (two Ritz-Carlton hotels and two Four Seasons hotels). While the overall portfolio performance has generally declined since securitization due to higher operating expenses and lower portfolio occupancy, the performance across the underlying properties varies. Four of the underlying properties for a combined 52% of the ALA (Lincoln Square - 26% of ALA, Lincoln West - 11% of ALA, Commercial Units at the Four Seasons Miami - 8% of ALA, and Ritz Carlton Washington DC Retail - 7% of ALA) were performing in-line or better than Moody's initial expectations at securitization. However, the aggregate portfolio performance has been negatively impacted by four of the underlying assets that have underperformed since securitization. The underperforming assets include Millennium Tower Boston (26% of ALA), Four Seasons San Francisco Retail (12% of ALA), Lincoln Triangle (8% of ALA), and Ritz Carlton Georgetown Retail (3% of ALA), which were a combined 77% leased as of May 2025, compared to 98% at securitization. The 2024 cash flows across these assets were each below Moody's expectations at securitization and more than 20% lower than their respective reported NCF in 2018. Furthermore, the decline in occupancy of the Millennium Tower Boston asset was due to the largest tenant at securitization, 33% of the property's NRA, vacating at its lease expiration in November 2024. As a result, the Millennium Tower Boston was 62% leased in May 2025 compared to 100% at securitization and the property's cash flow may decline further in 2025 if the borrower is unable to release the recently vacated space. The weighted average portfolio occupancy including all assets was 88% in May 2025, compared to 94% at securitization. While the portfolio's 2024 NCF of $60.2 million improved year over year from the 2023 NCF of $58.0 million, it was 17% lower than the portfolio's NCF in 2018 and remained below Moody's initial expectations at securitization. Given the lower portfolio occupancy and cash flow since securitization, Moody's lowered Moody's NCF to $54.8 million from $61.9 million at securitization. Moody's LTV ratio for the first mortgage balance is 104% based on Moody's Value. The Adjusted Moody's LTV ratio for the first mortgage balance is 100% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's stressed DSCR is 0.84x. The loan remains current on its debt service payments as of the June 2025 remittance statement and the trust has not experienced any losses since securitization. NEUBERGER BERMAN 32R: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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 reissue CLO managed by Neuberger Berman Loan Advisers IV LLC. This is a 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. 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 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 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) Ratings Withdrawn Neuberger Berman Loan Advisers CLO 32 Ltd./ Neuberger Berman Loan Advisers CLO 32 LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R (deferrable) to NR from 'A (sf)' Class D-R (deferrable) to NR from 'BBB- (sf)' Class E-R (deferrable) to NR from 'BB- (sf)' Other Debt Neuberger Berman CLO 32R Ltd./Neuberger Berman CLO 32R LLC Subordinated notes, $47.17 million: NR NR--Not rated. NEW MOUNTAIN 5: Fitch Assigns 'BB-sf' Rating on Class E-R Debt -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to New Mountain CLO 5 Ltd reset transaction. Entity/Debt Rating ----------- ------ New Mountain CLO 5 Ltd A-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary New Mountain CLO 5 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by New Mountain Credit CLO Advisers, L.L.C. Fitch did not previously rate this transaction that originally closed in March 2024 and will refinance on July 21, 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. Fitch Collateral Quality Tests have been added to this deal. 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 24.4 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.81% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a three-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 New Mountain CLO 5 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. NEWSTAR ARLINGTON: S&P Lowers Class F-R Notes Rating to 'CCC+(sf)' ------------------------------------------------------------------ S&P Global Ratings raised its ratings on the class C-1-R, C-2-R, and D-R notes from NewStar Arlington Senior Loan Program LLC, a middle market CLO. At the same time, S&P lowered its rating on the class F-R notes and affirmed its ratings on the class B-R and E-R notes from the same transaction. S&P said, "The rating actions follow our review of the transaction's performance using data from the June 2025 trustee report. Although the same portfolio backs all of the tranches, there can be circumstances such as this one, where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements because it experienced both principal paydowns (which increased the senior credit support) and par losses, along with an increase in 'CCC' rated assets, which decreased the credit support to junior F-R notes." The transaction has paid down $92.71 million in collective paydowns to the class A-R and B-R notes since S&P's March 2024 rating actions. Following are the changes in the reported overcollateralization (O/C) ratios since the January 2024 trustee report, which S&P used for its March 2024 rating actions: -- The class B-R O/C ratio improved to 396.24% from 173.86%. -- The class C-R O/C ratio improved to 189.63% from 140.39%. -- The class D-R O/C ratio improved to 138.48% from 123.54%. -- The class E-R O/C ratio declined to 108.16% from 109.84%. S&P said, "The upgraded ratings reflect the improved credit support available to the notes at the prior rating levels. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class C-1-R, C-2-R, and D-R notes. However, because the transaction currently has a higher exposure to 'CCC' and below rated collateral obligations, our actions reflect our considerations of the cash flow cushions available to these notes under additional sensitivity runs that evaluated this exposure. In addition, the CLO has rapidly amortized with only 55 performing obligors remaining. Our rating actions also reflect this increasing concentration risk." While the paydowns helped the senior O/C levels, the junior O/C ratio declined due to a combination of some par losses and haircuts following an increase in the portfolio's exposure to 'CCC' category assets. Collateral obligations with ratings in the 'CCC' category are $48.55 million, about 34.90% of the portfolio, as of the June 2025 trustee report. S&P said, "This has increased from $35.95 million reported as of the January 2024 trustee report, which we used in our last rating action. As the portfolio amortizes and the 'CCC' exposure increased, the haircut on the excess exposure also increased. The cash flows were affected by both an increase in the exposure to 'CCC' assets--which increased the CLO's scenario default rates--and a decline in the portfolio's weighted average spread, which affected the break-even rates. Based on the weakened cash flows, current credit support, and the portfolio's relatively high exposure to 'CCC' assets, it is our opinion that this tranche requires favorable credit conditions as per our 'CCC' ratings definition." The lowered rating reflects the decrease in credit support available to the class F-R notes and the failure of its cash flow at the previous rating level. The affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could results in further ratings changes. 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 NewStar Arlington Senior Loan Program LLC Class C-1-R to 'AA+ (sf)' from 'A+ (sf)' Class C-2-R to 'AA+ (sf)' from 'A+ (sf)' Class D-R to 'BBB (sf)' from 'BBB- (sf)' Ratings Affirmed NewStar Arlington Senior Loan Program LLC Class B-R: AAA (sf) Class E-R: BB- (sf) Rating Lowered NewStar Arlington Senior Loan Program LLC Class F-R to 'CCC+ (sf)' from 'B- (sf)' OAKTREE CLO 2023-2: 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, 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. At the same time, S&P withdrew its ratings on the original class B, C, D, and E debt following payment in full on the July 21, 2025, refinancing date. The original class A and A-J debt was not rated by S&P. 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 20, 2027. -- The reinvestment period was extended to July 20, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 20, 2038. -- No additional assets were purchased on the July 21, 2025 refinancing date, and the target initial par amount remains at $400 million. There is 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 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 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) Ratings Withdrawn Oaktree CLO 2023-2 Ltd./Oaktree CLO 2023-2 LLC 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 Oaktree CLO 2023-2 Ltd./Oaktree CLO 2023-2 LLC Subordinated notes, $38.00 million: NR NR--Not rated. OHA CREDIT 12-R: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1, B-1, B-2, C, D, and E debt and new class X debt from OHA Credit Funding 12-R Ltd./OHA Credit Funding 12-R LLC, a CLO managed by Oak Hill Advisors L.P. that was originally issued in August 2022 and underwent a refinancing in July 2023. The 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 20, 2027. -- The reinvestment period was extended to July 20, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 20, 2037. -- New class X debt was issued in connection with this refinancing and is expected to be paid down using interest proceeds during the first four payment dates, beginning with the Jan. 20, 2026, payment date. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. -- The transaction adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned OHA Credit Funding 12-R Ltd./OHA Credit Funding 12-R LLC Class X(i), $3.57 million: AAA (sf) Class A-1, $396.50 million: AAA (sf) Class B-1, $35.50 million: AA (sf) Class B-2, $10.00 million: AA (sf) Class C (deferrable), $52.00 million: A (sf) Class D (deferrable), $39.00 million: BBB- (sf) Class E (deferrable), $26.00 million: BB- (sf) Ratings Withdraw OHA Credit Funding 12-R Ltd./OHA Credit Funding 12-R LLC Class B-R to NR from AA (sf) Class C-R (deferrable) to NR from A (sf) Class D-R (deferrable) to NR from BBB- (sf) Class E-R (deferrable)to NR from BB- (sf) Other Debt OHA Credit Funding 12-R Ltd./OHA Credit Funding 12-R LLC Class A-2, $39.00 million: NR Subordinated notes, $41.50 million: NR (i)The class X debt is expected to be paid down using interest proceeds over the course of four payment dates beginning with the payment date in January 2026. NR--Not rated. ORION CLO 2025-6: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Orion CLO 2025-6 Ltd./Orion CLO 2025-6 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 Antares Liquid Credit Strategies LLC, a subsidiary of Antares Capital Advisers LLC. The preliminary ratings are based on information as of July 21, 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 Orion CLO 2025-6 Ltd./Orion CLO 2025-6 LLC Class A-1, $246.0 million: AAA (sf) Class A-2, $14.0 million: NR Class B, $44.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $12.0 million: BB- (sf) Subordinated notes, $40.1 million: NR NR--Not rated. PMT LOAN 2025-INV7: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 61 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2025-INV7, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2025-INV7 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aa1 (sf) Cl. A-32, Definitive Rating Assigned Aa1 (sf) Cl. A-33, Definitive Rating Assigned Aa1 (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X7*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X11*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X25*, Definitive Rating Assigned Aaa (sf) Cl. A-X26*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X31*, Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1A Loans, assigned on July 09, 2025, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.74%, in a baseline scenario-median is 0.45% and reaches 7.49% 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. POINT BROADBAND: Fitch Assigns 'BB-sf' Final Rating on Cl. C Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Point Broadband Funding, LLC, Secured Network Revenue Notes, Series 2025-1 as follows: - $15 million(a) 2025-1 class A-1-L 'Asf'/Outlook Stable; - $125 million(b) 2025-1 class A-1-V 'A-sf'/Outlook Stable; - $437.2 million 2025-1 class A-2 'A-sf'/Outlook Stable; - $72.9 million 2025-1 class B 'BBB-sf'/Outlook Stable; - $90.0 million 2025-1 class C 'BB-sf'/Outlook Stable. Entity/Debt Rating Prior ----------- ------ ----- Point Broadband Funding, LLC, Secured Network Revenue Notes, Series 2025-1 A-1-L LT Asf New Rating A(EXP)sf A-1-V LT A-sf New Rating A-(EXP)sf A-2 LT A-sf New Rating A-(EXP)sf B LT BBB-sf New Rating BBB-(EXP)sf C LT BB-sf New Rating BB-(EXP)sf (a) This note is a liquidity funding note that can be drawn for the purpose of funding liquidity funding advances subject to the satisfaction of certain conditions. The balance of the note will be $0 at issuance and is not counted when calculating debt/Fitch net cash flow (NCF) ratio. (b) This note is a Variable Funding Note (VFN) and has a maximum commitment of $125 million contingent on leverage consistent with the class A-1 notes. This class will reflect a zero balance at issuance. Transaction Summary The transaction is a securitization of the contract payments derived from an existing fiber to the premises (FTTP) network and wireless network assets. Debt is secured by the cash flow from operations and benefits from a perfected security interest in the securitized assets, which includes conduits, cables, network-level equipment, access rights, customer contracts, transaction accounts and an equity pledge from the asset entities. The collateral network consists of approximately 306,000 fiber passings and approximately 112,000 subscribers, primarily located across the Southeast, Mid-Atlantic, Midwest, and Northeast regions of the United States with the top three markets including Virginia (34.1% of annualized revenue), Alabama (18.6%) and Michigan (14.6%). The network is operated by Point Broadband, who provides fiber internet and voice services for residential (62.9% of annualized revenue [AR]) and commercial (17.4%) customers. In addition, the sponsor provides fixed wireless internet and voice services (13.6%) of AR. Approximately 6.0% of AR is comprised of other revenue and installation revenue. The ratings reflect a structured finance analysis of cash flows from the ownership interest in the underlying fiber optic network, rather than an assessment of the corporate default risk of the ultimate parent, Point Broadband Intermediate, LLC. KEY RATING DRIVERS Net Cash Flow and Trust Leverage: Fitch's NCF on the pool is $60.0 million in the base case, implying a 17.7% haircut to issuer base case NCF as of the series 2025-1 closing date. The debt multiple relative to Fitch's NCF on the rated classes is 10.0x in this scenario, versus the debt/issuer NCF leverage of 8.2x. Inclusive of the cash flow required to draw on the maximum VFN commitment of $125 million, the Fitch NCF on the pool is $77.3 million, implying a 19.6% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.4x, compared with the debt/issuer NCF leverage of 7.6x. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and maximum potential leverage (MPL) include the high quality of the underlying collateral networks, scale of the network, market diversity, the market position of the sponsor, capability of the operator, higher barriers to entry and strength of the transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology will be developed that renders obsolete the current transmission of data through fiber optic cables. Fiber optic cable networks are currently the fastest and most reliable means to transmit information and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Declining cash flow as a result of higher expenses, contract churn, contract amendments or the development of an alternative technology for the transmission of data could lead to downgrades; - Fitch's base case NCF is 17.7% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 from 'A-sf' to 'BBB-sf', class B from 'BBB-sf' to 'BBsf', and class C from 'BB-sf' to 'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Increasing cash flow without an increase in corresponding debt from rate increases, additional contracts, contract amendments, or expense reductions could lead to upgrades; - A 10% increase in Fitch's base case NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 from 'A-sf' to 'Asf', class B from 'BBB-sf' to 'BBBsf', and class C from 'BB-sf' to 'BBsf'; - Upgrades are unlikely for these transactions due to the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. The transaction is also structured with VFNs, which will likely offset any improvements in cash flow with a corresponding increase in debt. In addition, the transaction is capped in the 'Asf' category, considering the risk of technological obsolescence. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations 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. RAD CLO 20: Fitch Assigns 'BB-(EXP)sf' Rating on Class D-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to RAD CLO 20, Ltd. reset transaction. Entity/Debt Rating ----------- ------ RAD CLO 20, Ltd. A-1a-R LT NR(EXP)sf Expected Rating A-1b-R LT AAA(EXP)sf Expected Rating A-2-R LT AA(EXP)sf Expected Rating B-R LT A(EXP)sf Expected Rating C-1-R LT BBB-(EXP)sf Expected Rating C-2-R LT BBB-(EXP)sf Expected Rating D-R LT BB-(EXP)sf Expected Rating Transaction Summary RAD CLO 20, LTD. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Redding Ridge Asset Management LLC. The transaction originally closed in September 2023 and is anticipated to undergo its first refinancing on July 21, 2025. Net proceeds from the full refinancing of the secured notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.05 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 97.83% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.68% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1b-R, between 'BB+sf' and 'A+sf' for class A-2-R, between 'B+sf' and 'BBB+sf' for class B-R, between less than 'B-sf' and 'BB+sf' for class C-1-R, and between less than 'B-sf' and 'BB+sf' for class C-2-R and between less than 'B-sf' and 'B+sf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2-R, 'AA+sf' for class B-R, 'A+sf' for class C-1-R, and 'A-sf' for class C-2-R and 'BBB+sf' for class D-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for RAD CLO 20, 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. RAD CLO 20: Fitch Assigns 'BB-sf' Rating on Class D-R Debt ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RAD CLO 20, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- RAD CLO 20, Ltd. A-1a-R LT NRsf New Rating NR(EXP)sf A-1b-R LT AAAsf New Rating AAA(EXP)sf A-2-R LT AAsf New Rating AA(EXP)sf B-R LT Asf New Rating A(EXP)sf C-1-R LT BBB-sf New Rating BBB-(EXP)sf C-2-R LT BBB-sf New Rating BBB-(EXP)sf D-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary RAD CLO 20, LTD. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Redding Ridge Asset Management LLC. The transaction originally closed in September 2023 and is anticipated to undergo its first refinancing on July 21, 2025. Net proceeds from the full refinancing of the secured notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.05 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 97.83% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.68% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1b-R, between 'BB+sf' and 'A+sf' for class A-2-R, between 'B+sf' and 'BBB+sf' for class B-R, between less than 'B-sf' and 'BB+sf' for class C-1-R, between less than 'B-sf' and 'BB+sf' for class C-2-R, and between less than 'B-sf' and 'B+sf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2-R, 'AA+sf' for class B-R, 'A+sf' for class C-1-R, 'A-sf' for class C-2-R, and 'BBB+sf' for class D-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee 14 July 2025 ESG Considerations Fitch does not provide ESG relevance scores for RAD CLO 20, 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. RCKTL 2025-1: Fitch Gives 'BB-(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to the notes issued by RCKTL 2025-1. Entity/Debt Rating ----------- ------ RCKTL 2025-1 A LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating KEY RATING DRIVERS Solid Receivables Quality: The RCKTL 2025-1 pool consists of unsecured consumer loans made to obligors with strong credit scores. The weighted average (WA) credit score is 741, and WA income of $137,737. The pool consists of amortizing loans with a WA net interest rate of 14.29% and a WA original term of 52 months, averaging seven months of seasoning. Of the loans, 94.6% are originated to borrowers who own a home. Base Case Default Reflects Recent Performance Trends: RockLoans Marketplace LLC's (RockLoans) managed default rates increased in 2022 and 2023. The cumulative gross default (CGD) rate in vintage 1Q22 was approximately 6.8% and peaked at around 9.0% in vintage 4Q22. However, since initiating corrective measures that included tightening credit standards, performance in second half of 2023 and 2024 vintages improved QoQ. Fitch's WA base case gross default assumption (the default assumption) for RCKTL 2025-1 is 9.38%. The default assumption was established based on data stratified by RockLoans' default probability score and loan term. In setting the expected case (default assumption), Fitch considered performance trends from vintage year 2020 and recognized improving default curves in vintage year 2024. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 37.4%, 25.8%, 16.3%, 9.1%, and 2.3% of the adjusted pool balance for class A, B, C, D and E notes, respectively. The transaction amortizes the notes sequentially and excess cash is not released before the specified overcollateralization amount of 12.00% is met. Fitch tested the initial CE under stressed cash flow assumptions for all classes and found that the classes pass all stresses at the rating level assigned to the respective class of notes. In particular, Fitch applied a 'AAAsf' rating stress of 4.5x the base case default rate for consumer loans. The stress multiples decrease for lower rating levels according to the "higher" prescribed multiples described in Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history for the loans, the WA FICO score of the borrowers and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Assurance for True Lender Status for Partner Bank-Loan Origination: RockLoans' securitization transactions comprise consumer loans originated by Cross River Bank, a New Jersey state-chartered commercial bank. The bank's true lender status in the context of RockLoans' loan acquisition is subject to legal and regulatory uncertainty, especially if the loans' interest rates exceeded those allowed by the borrowers' state usury laws. If a court ruling or regulatory action deems that RockLoans, rather than Cross River Bank, is the true lender, loans could be declared unenforceable, void or subject to interest rate reductions and other penalties. This would increase negative rating pressure. Fitch's analysis and expected ratings reflect a review of the transaction's eligibility criteria for selecting the receivables for RCKTL 2025-1, which reduces exposure to loans with interest rates above usury caps. Fitch also performed an operational risk review and deemed RockLoans' compliance, legal and operational capabilities as acceptable to meet consumer protection regulations. Adequate Servicing Capabilities: RockLoans has a strong record of servicing consumer loans. Since launching of the RockLoans Platform in 2016, RockLoans has acted as a subservicer of the consumer loans originated by Cross River Bank. Starting in May 2025, RockLoans became the sole servicer of certain personal loans originated through the RockLoans Platform. The entity's credit risk profile is mitigated by backup servicing provided by Systems & Services Technologies, Inc. Fitch considers all parties to be adequate servicers for this pool at their expected rating levels. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Current Expected Ratings: 'AAAsf', 'AAsf', 'Asf', 'BBBsf', 'BB-sf'; Increased default base case by 10%: 'AA+sf', 'AA-sf', 'A-sf', 'BBB-sf', 'B-sf'; Increased default base case by 25%: 'AAsf', 'A+sf', 'BBBsf', 'BB+sf', 'CCCsf'; Increased default base case by 50%: 'A+sf', 'A-sf', 'BBB-sf', 'BB-sf', 'NRsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Current Expected Ratings: 'AAAsf', 'AAsf', 'Asf', 'BBBsf', 'BB-sf'; Decreased default base case by 25%: 'AAAsf', 'AAAsf', 'AA-sf', 'A-sf', 'BB+'. 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 of certain characteristics with respect to 150 randomly selected preliminary portfolio loans. Fitch considered this information in its analysis, and the findings did not have an impact on its analysis. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. RR 23: Fitch Assigns BB-sf Rating on Cl. D-R2 Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RR 23 Ltd reset transaction. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- RR 23 Ltd A-1a-R 75000GAR7 LT PIFsf Paid In Full AAAsf A-1a-R2 LT AAAsf New Rating AAA(EXP)sf A-1b-R 75000GAT3 LT PIFsf Paid In Full AAAsf A-1b-R2 LT AAAsf New Rating AAA(EXP)sf A-2-R 75000GAV8 LT PIFsf Paid In Full AAsf A-2-R2 LT AAsf New Rating AA(EXP)sf B-1-R 75000GAX4 LT PIFsf Paid In Full A+sf B-2-R 75000GAZ9 LT PIFsf Paid In Full Asf B-R2 LT Asf New Rating A(EXP)sf C-1-R 75000GBB1 LT PIFsf Paid In Full BBBsf C-1a-R2 LT BBBsf New Rating C-1b-R2 LT BBB-sf New Rating BBB-(EXP)sf C-2-R 75000GBD7 LT PIFsf Paid In Full BBB-sf C-2-R2 LT BBB-sf New Rating BBB-(EXP)sf D-R 78111FAL2 LT PIFsf Paid In Full BBsf D-R2 LT BB-sf New Rating BB-(EXP)sf Transaction Summary RR 23 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Redding Ridge Asset Management LLC that previously reset in August 2023. The CLO's secured notes will be refinanced in whole on July 15, 2025, from proceeds of new secured and subordinated notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $850 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 23.49 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 97.82% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.24% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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-1a-R2, between 'BBB+sf' and 'AA+sf' for class A-1b-R2, between 'BB+sf' and 'A+sf' for class A-2-R2, between 'Bsf' and 'BBB+sf' for class B-R2, between less than 'B-sf' and 'BB+sf' for class C-1a-R2, between less than 'B-sf' and 'BB+sf' for class C-1b-R2, and between less than 'B-sf' and 'BB+sf' for class C-2-R2 and between less than 'B-sf' and 'B+sf' for class D-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1a-R2 and class A-1b-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2-R2, 'AAsf' for class B-R2, 'A+sf' for class C-1a-R2, 'Asf' for class C-1b-R2, and 'A-sf' for class C-2-R2 and 'BBB+sf' for class D-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for RR 23 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. SANDSTONE PEAK II: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, 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. 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 21, 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 stated maturity, reinvestment period, and non-call period were each be extended by two years. -- No additional assets were purchased on the refinancing date, and the target initial par amount remained 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 were amended. -- The outstanding amount of subordinated notes was reduced in connection with the refinancing. 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 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) Ratings Withdrawn Sandstone Peak II Ltd./Sandstone Peak II 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 Sandstone Peak II Ltd./Sandstone Peak II LLC Subordinated notes, $30.74 million: NR NR--Not rated. SCALELOGIX ABS 2025-1: S&P Assigns BB-(sf) Rating on Class C Notes ------------------------------------------------------------------ S&P Global Ratings assigned ratings to Scalelogix ABS US Issuer LLC's series 2025-1 data center revenue term notes. The note issuance is an ABS transaction backed by primarily the asset entities' real property interests in one U.S. data center property, the personal property and fixtures located in the data center, tenant leases, reserves and escrows, certain transaction accounts, and the equity interest in each asset entity. S&P said, "After we released our preliminary ratings, the initial principal balance on the class C notes were reduced to $10 million from $25 million. Additionally, our cash flow analysis indicated that the class C notes can pass stresses at or above its current rating level in our rating runs." The ratings reflect S&P's view of: -- The lease portfolio's projected performance; -- The data centers' real estate value; -- The manager's and the servicer's experience; -- The manager-, indenture trustee-, and servicer-provided advances, if deemed recoverable by the applicable advancing party; -- The available cushion as measured by the estimated closing date class A debt service coverage ratio of approximately 1.47x; -- The initial liquidity reserve deposit of approximately $6.6 million, sized to three months of class A senior note interest; and -- The transaction's structure. Ratings Assigned Scalelogix ABS US Issuer LLC (series 2025-1) Class A-2, $466.00 million: A- (sf) Class B, $49.00 million: BBB- (sf) Class C, $10.00 million: BB- (sf) SDART 2025-3: Fitch Assigns BB(EXP)sf Rating on Cl. E Debt ---------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to Santander Drive Auto Receivables Trust (SDART) 2025-3. Entity/Debt Rating ----------- ------ Santander Drive Auto Receivables Trust 2025-3 A1 ST F1+(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Collateral Performance — Stable Credit Quality: SDART 2025-3 is backed by collateral consistent with that of prior SDART series, with a weighted average (WA) Fair Isaac Corporation (FICO) score of 602 and an internal WA loan funded score (LFS) of 536. While the WA FICO score is the lowest on the platform since the 2023-6 transaction, the WA LFS score remains consistent with that of prior transactions over the past five years. WA seasoning is 4.11 months, a decrease from 4.48 months for 2025-2 and the lowest on the platform since 2024-3. New vehicles total 29.8% of the pool, up from 27.7% in 2025-2. In addition, the pool is diverse in terms of vehicle models and geographic concentrations. The transaction's percentage of extended-term loans (61+ months) remains elevated at 93.2%, and greater than 72-month term loans total 20.2%, slightly up from 20.0% in 2025-2. Forward-Looking Approach to Derive Rating Case Proxy — Delinquencies Up, Losses Contained: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series' rating case loss proxy. Fitch used the 2007-2009 and 2015-2018 vintage ranges to derive the loss proxy for 2025-3, representing through-the-cycle performance. While performance has deteriorated for 2022 and 2023 originations, increases in delinquencies have not fully rolled into losses. Fitch's rating case cumulative net loss (CNL) proxy for 2025-3 is 15.00%. Payment Structure — Adequate CE: Initial hard credit enhancement (CE) totals 37.85%, 29.55%, 20.50%, 10.20% and 5.40% for classes A, B, C, D and E, respectively, all slightly up from 2025-2. After a trend of declining hard CE over the past several transactions, initial hard CE increased in 2025-3. Excess spread is expected to be 9.65% per annum. Loss coverage for each note class is sufficient to cover the respective multiples of Fitch's rating case CNL proxy of 15.00%. Operational and Servicing Risks — Consistent Origination/Underwriting/Servicing: SC has adequate abilities as the originator and underwriter and SBNA as the servicer, as evidenced by their historical portfolio and securitization performance. Fitch rates SC's ultimate parent, Santander, 'A'/ Stable/'F1'. Fitch deems SC capable of servicing this transaction. Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 13.00% based on Fitch's "Global Economic Outlook — June 2025" report and transaction-based forecast projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. In addition, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Fitch therefore conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions, as well as by examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. Fitch also conducts 1.5x and 2.0x increases to the rating case CNL proxy, representing both moderate and severe stresses. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected ratings for the subordinate notes could be upgraded by up to one category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 150 loans from the statistical data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The concentration of hybrid and electric vehicles of approximately 5.6% did not have an impact on Fitch's ratings analysis or conclusion for this transaction and has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SIERRA TIMESHARE 2025-2: S&P Assigns BB-(sf) Rating on Cl. D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Sierra Timeshare 2025-2 Receivables Funding LLC's timeshare loan-backed notes. The note issuance is an ABS securitization backed by vacation ownership interest (timeshare) loans. The ratings are based on information as of July 22, 2025. Subsequent information may result in the assignment of final ratings that differ from the ratings. The ratings reflect S&P's view of: -- The credit enhancement available in the form of subordination, overcollateralization, a reserve account, and available excess spread. -- The transaction's ability, on average, to withstand breakeven default levels of 71.4%, 54.9%, 40.8%, and 33.1% for the class A, B, C, and D notes, respectively, based on S&P's various stressed cash flow scenarios. These levels are higher than the 3.18x, 2.28x, 1.77x, and 1.33x multiples of its expected cumulative gross defaults (ECGD) of 21.5% for the class A, B, C, and D notes, respectively. -- The transaction's ability to make interest and principal payments according to the terms of the transaction documents on or before the legal final maturity date under our rating stresses, and performance under the credit stability and sensitivity scenarios at their respective rating levels. -- The collateral characteristics of the series' timeshare loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the timeshare sector. -- The series' bank accounts at U.S. Bank Trust Co. N.A. and the reserve account amount to be represented by a letter of credit to be provided by The Bank of Nova Scotia, which do not constrain the ratings. -- S&P's operational risk assessment of Wyndham Consumer Finance Inc. (WCF) as servicer, and its views of the company's servicing ability and experience in the timeshare market. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance (ESG) credit factors. -- The transaction's payment and legal structures. Ratings Assigned Sierra Timeshare 2025-2 Receivables Funding LLC Class A, $142.959 million: AAA (sf) Class B, $67.041 million: A (sf) Class C, $59.082 million: BBB (sf) Class D, $30.918 million: BB- (sf) SIXTH STREET 29: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Sixth Street CLO 29 Ltd./Sixth Street CLO 29 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Sixth Street CLO 29 Management LLC, an affiliate of Sixth Street Credit Market Strategies Management LLC. The 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 Sixth Street CLO 29 Ltd./Sixth Street CLO 29 LLC Class A, $274.50 million: AAA (sf) Class B, $58.50 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D (deferrable), $27.00 million: BBB- (sf) Class E (deferrable), $15.75 million: BB- (sf) Subordinated notes, $45.00 million: NR NR--Not rated. SOUTHWICK PARK: S&P Assigns BB- (sf) Rating on Class E-RR Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-2RR, B-1RR, C-RR, D-RR, and E-RR debt from Southwick Park CLO Ltd./Southwick Park CLO LLC, a CLO managed by GSO/Blackstone Debt Funds Management LLC that was originally issued in August 2019 and underwent a refinancing in November 2021. At the same time, S&P withdrew its ratings on the outstanding class A-2R, B-1R, C-R, D-R, and E-R debt following payment in full on the July 21, 2025, refinancing date. S&P also affirmed its rating on the class B-2R 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. 20, 2026. -- No additional assets were purchased on the July 21, 2025, refinancing date. There was no additional effective date or ramp-up period and the first payment date following the refinancing is Oct. 20, 2025. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class E-RR debt. There has been some par loss leading to a decline in overcollateralization (O/C) levels, as well as recent increases in 'CCC'/'D' rated assets and overall credit deterioration. Despite those changes, we view the refinancing as an overall positive for the transaction on a standalone basis. As such, we assigned our 'BB- (sf)' rating to the class E-RR debt after considering the margin of failure; the O/C tests, which are all passing; and that the transaction has entered 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. However, any further credit deterioration or lack of improvement could lead to potential negative rating actions in the future." Replacement And Outstanding Debt Issuances Replacement debt -- Class A-1RR, $301.05 million: Three-month CME term SOFR + 1.00% -- Class A-2RR, $10.00 million: Three-month CME term SOFR + 1.30% -- Class B-1RR, $28.75 million: Three-month CME term SOFR + 1.40% -- Class C-RR (deferrable), $29.75 million: Three-month CME term SOFR + 1.55% -- Class D-RR (deferrable), $30.00 million: Three-month CME term SOFR + 2.70% -- Class E-RR (deferrable), $21.50 million: Three-month CME term SOFR + 6.25% Outstanding debt -- Class A-1R, $301.05 million: Three-month CME term SOFR + 1.06% + CSA(i) -- Class A-2R, $10.00 million: Three-month CME term SOFR + 1.25% + CSA(i) -- Class B-1R, $28.75 million: Three-month CME term SOFR + 1.50% + CSA(i) -- Class B-2R, $20.00 million: 2.46% -- Class C-R (deferrable), $29.75 million: Three-month CME term SOFR + 1.95% + CSA(i) -- Class D-R (deferrable), $30.00 million: Three-month CME term SOFR + 2.95% + CSA(i) -- Class E-R (deferrable), $21.50 million: Three-month CME term SOFR + 6.25% + CSA(i) -- Subordinated notes, $43.45 million: Not applicable (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 Southwick Park CLO Ltd./Southwick Park CLO LLC Class A-2RR, $10.00 million: AAA (sf) Class B-1RR, $28.75 million: AA (sf) Class C-RR (deferrable), $29.75 million: A (sf) Class D-RR (deferrable), $30.00 million: BBB- (sf) Class E-RR (deferrable), $21.50 million: BB- (sf) Ratings Withdrawn Southwick Park CLO Ltd./Southwick Park CLO LLC Class A-2R to NR from 'AAA (sf)' Class B-1R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Class E-R to NR from 'BB- (sf)' Ratings Affirmed Southwick Park CLO Ltd./Southwick Park CLO LLC Class B-2R: AA (sf) Other Debt Southwick Park CLO Ltd./Southwick Park CLO LLC Class A-1RR, $301.05 million: NR Subordinated notes, $43.45 million: NR NR--Not rated. SYMPHONY CLO 34-PS: S&P Assigns Prelim 'BB-' Rating in E-R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class X-R2, A-R2, B-R2, C-R2, D-1-R2, D-2-R2 and E-R2 debt from Symphony CLO 34-PS Ltd./Symphony CLO 34-PS LLC, a CLO managed Symphony Alternative Asset Management LLC that was originally issued in July 2022 and was first refinanced in July 2023. The preliminary ratings are based on information as of July 17, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 24, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class X-R2, A-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt is expected to be issued at a lower spread over three-month CME term SOFR than the 2023 debt. -- Additional subordinated notes will be issued in the amount of $4.4 million, and the stated maturity of the subordinated notes will be extended to July 24, 2038. -- The reinvestment period will be extended to Feb. 24, 2030. -- The non-call period will be extended to Feb. 24, 2027. -- The 2023 class B-1-R and B-2-R debt will be replaced by the class B-R2 debt. -- The 2023 class D-R debt will be replaced by class D-1-R2 and D-2-R2 debt. -- The class X-R2 debt will be issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first 10 payment dates beginning with the first payment period. -- Of the identified underlying collateral obligations, 99.14% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 94.74% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. 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 Symphony CLO 34-PS Ltd./Symphony CLO 34-PS LLC Class X-R2, $4.00 million: AAA (sf) Class A-R2, $251.25 million: AAA (sf) Class B-R2, $52.25 million: AA (sf) Class C-R2 (deferrable), $24.00 million: A (sf) Class D-1-R2 (deferrable), $20.00 million: BBB (sf) Class D-2-R2 (deferrable), $4.25 million: BBB- (sf) Class E-R2 (deferrable), $14.25 million: BB- (sf) Other Debt Symphony CLO 34-PS Ltd./Symphony CLO 34-PS LLC Subordinated notes, $35.40 million: NR NR--Not rated. TALON FUNDING I: Moody's Ups Rating on $402.5MM Cl. A Notes to B3 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on notes issued by Talon Funding I, Ltd.: US$402,500,000 Class A Floating Rate Notes due 2035 (current outstanding balance $10,791,279), Upgraded to B3 (sf); previously on July 13, 2010 Downgraded to Ca (sf) Talon Funding I, Ltd., issued in April 2000, is a collateralized debt obligation backed primarily by a portfolio of structured finance assets. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating action reflects the current level of credit enhancement available to the notes, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation. The notes have either incurred a missed interest payment or is currently undercollateralized. Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original notes balance. No actions were taken on the other rated classes in the deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Structured Finance CDOs" published in June 2025. Factors that would lead to an upgrade or downgrade of the rating: The performance of the Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. Certain deal features and their characteristics, such as amortization profile assumptions, and waterfall features can also influence the rating outcomes. TRIMARAN CAVU 2025-2: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Trimaran CAVU 2025-2 Ltd./Trimaran CAVU 2025-2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior-secured term loans. The transaction is managed by Trimaran Advisors LLC. The preliminary ratings are based on information as of July 23, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- S&P's view of the 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 debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Trimaran CAVU 2025-2 Ltd./Trimaran CAVU 2025-2 LLC Class A, $244.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $3.00 million: BBB- (sf) Class E (deferrable), $13.00 million: BB- (sf) Subordinated notes, $39.35 million: Not rated TRINITAS CLO XVIII: S&P Affirms BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R and B-R debt from Trinitas CLO XVIII Ltd./Trinitas CLO XVIII LLC, a CLO managed by Trinitas Capital Management LLC that was originally issued in December 2021. At the same time, S&P withdrew its ratings on the original class A-1 and B debt following payment in full on the July 21, 2025, refinancing date. S&P also affirmed its ratings on the class A-2, C, 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 non-call period was extended to July 20, 2026. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a one-notch lower rating on the class E debt (which was not refinanced). However, we affirmed our 'BB- (sf)' rating on the class E debt after considering its improved cash flow results following the refinancing, the margin of failure, the low exposure to 'CCC'/'CCC-' rated obligors, the passing coverage tests, and that the CLO is still in its reinvestment period. 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 debt -- Class A-1-R, $285.00 million: Three-month CME term SOFR + 1.22% -- Class B-R (deferrable), $70.00 million: Three-month CME term SOFR + 1.75% Original debt -- Class A-1, $285.00 million: Three-month CME term SOFR + 1.17% + CSA(i) -- Class A-2, $25.00 million: 2.5623% -- Class B, $70.00 million: Three-month CME term SOFR + 1.75% + CSA(i) -- Class C (deferrable), $30.00 million: Three-month CME term SOFR + 2.15% + CSA(i) -- Class D (deferrable), $27.50 million: Three-month CME term SOFR + 3.60% + CSA(i) -- Class E (deferrable), $19.00 million: Three-month CME term SOFR + 7.05% + CSA(i) -- Subordinated notes, $51.60 million: Not applicable (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. "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 Trinitas CLO XVIII Ltd./Trinitas CLO XVIII LLC Class A-1-R, $285.00 million: AAA (sf) Class B-R (deferrable), $70.00 million: AA (sf) Ratings Withdrawn Trinitas CLO XVIII Ltd./Trinitas CLO XVIII LLC Class A-1 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Ratings Affirmed Trinitas CLO XVIII Ltd./Trinitas CLO XVIII LLC Class A-2: AAA (sf) Class C: A (sf) Class D: BBB- (sf) Class E: BB- (sf) Other Debt Trinitas CLO XVIII Ltd./Trinitas CLO XVIII LLC Subordinated notes, $51.60 million: NR NR--Not rated. TRINITAS CLO XXXIII: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Trinitas CLO XXXIII Ltd./Trinitas CLO XXXIII LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Trinitas Capital Management LLC. The 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 Trinitas CLO XXXIII Ltd./Trinitas CLO XXXIII LLC Class A(i), $179.00 million: AAA (sf) Class A loans(i), $100.00 million: AAA (sf) Class B, $63.00 million: AA (sf) Class C (deferrable), $27.00 million: A (sf) Class D-1 (deferrable), $22.50 million: BBB- (sf) Class D-2 (deferrable), $7.65 million: BBB- (sf) Class E (deferrable), $13.95 million: BB- (sf) Subordinated notes, $43.80 million: NR (i)All or a portion of the class A loans can be converted into class A notes. Upon such conversion, the class A loans will be decreased by the converted amount with a corresponding increase in the class A notes. No class A or any other class of notes may be converted into class A loans. NR--Not rated. VOYA CLO 2025-3: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Voya CLO 2025-3, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Voya CLO 2025-3, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary 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. Date of Relevant Committee 10 July 2025 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. WESTLAKE AUTOMOBILE 2025-2: S&P Assigns BB (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Westlake Automobile Receivables Trust 2025-2's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 45.8%, 39.6%, 30.9%, 23.7%, and 20.5% 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 post-pricing 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 of 12.75% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios, which, S&P believes, are appropriate for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Westlake Services LLC as servicer and our view of the company's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Westlake Automobile Receivables Trust 2025-2 Class A-1, $394.60 million: A-1+ (sf) Class A-2-A, $478.40 million: AAA (sf) Class A-2-B, $100.00 million: AAA (sf) Class A-3, $199.85 million: AAA (sf) Class B, $134.46 million: AA (sf) Class C, $213.96 million: A (sf) Class D, $183.53 million: BBB (sf) Class E, $95.20 million: BB (sf) WIND RIVER 2017-1: Moody's Cuts Rating on $24MM Cl. E-R Notes to B1 ------------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Wind River 2017-1 CLO Ltd.: US$24,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2036 (the "Class E-R Notes"), Downgraded to B1 (sf); previously on April 20, 2021 Assigned Ba3 (sf) Wind River 2017-1 CLO Ltd., originally issued in March 2017, last refinanced in April 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-R notes reflects the specific risks to the junior notes posed by par loss and spread deterioration observed in the underlying CLO portfolio. Based on the Moody's calculations, the total collateral par balance, including recoveries from defaulted securities, is $582.7 million, or $17.3 million less than the $600 million initial par amount targeted during the deal's ramp-up. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level[1] is 3.07%, compared to 3.43% in June 2024[2]. No actions were taken on the Class X and Class A-RR 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: $582,714,389 Defaulted par: $718,382 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2565 Weighted Average Spread (WAS) (before accounting and reference rate floors): 2.91% Weighted Average Recovery Rate (WARR): 46.51% Weighted Average Life (WAL): 5.0 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. [] Moody's Takes Rating Action on 14 Bonds From 10 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 12 bonds and downgraded the ratings of two bonds from 10 US residential mortgage-backed transactions (RMBS), backed by scratch and dent mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: EMC Mortgage Loan Trust Pass-Through Certificates, Series 2001-A Cl. B, Upgraded to Caa2 (sf); previously on May 20, 2011 Downgraded to C (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on May 20, 2011 Downgraded to C (sf) Issuer: RAAC Series 2006-RP1 Trust Cl. M-4, Upgraded to Aa2 (sf); previously on Sep 25, 2024 Upgraded to A1 (sf) Issuer: RAAC Series 2006-RP4 Trust Cl. M-2, Upgraded to Caa2 (sf); previously on May 4, 2009 Downgraded to C (sf) Issuer: RAAC Series 2006-SP3 Trust Cl. M-3, Upgraded to Ca (sf); previously on May 4, 2009 Downgraded to C (sf) Issuer: RAAC Series 2006-SP4 Trust Cl. M-3, Downgraded to Caa1 (sf); previously on Oct 16, 2018 Upgraded to B1 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Aug 14, 2014 Reinstated to C (sf) Issuer: RAAC Series 2007-SP1 Trust Cl. M-2, Upgraded to A3 (sf); previously on Oct 3, 2024 Upgraded to Baa1 (sf) Issuer: RAAC Series 2007-SP2 Trust Cl. M-1, Upgraded to Ca (sf); previously on May 4, 2009 Downgraded to C (sf) Issuer: RAMP Series 2004-SL1 Trust Cl. M-I-3, Downgraded to B2 (sf); previously on Jul 1, 2015 Downgraded to Ba3 (sf) Cl. M-I-6, Upgraded to Caa1 (sf); previously on Jul 1, 2015 Downgraded to Caa2 (sf) Issuer: Structured Asset Securities Corp Trust 2007-TC1 Cl. M-4, Upgraded to Aaa (sf); previously on Oct 3, 2024 Upgraded to A1 (sf) Cl. M-5, Upgraded to A2 (sf); previously on Oct 3, 2024 Upgraded to Ba1 (sf) Issuer: Terwin Mortgage Trust 2007-QHL1 Cl. M-1, Upgraded to Baa2 (sf); previously on Oct 3, 2024 Upgraded to Ba3 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Credit enhancement grew by 10% on average over the past 12 months for the upgraded bonds. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 54 Bonds From 15 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 34 bonds and downgraded the ratings of 16 bonds from 15 US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM, and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE3 Cl. M-3, Downgraded to Caa1 (sf); previously on May 28, 2015 Upgraded to B1 (sf) Cl. M-4, Downgraded to Caa1 (sf); previously on Nov 7, 2018 Upgraded to B1 (sf) Cl. M-5, Upgraded to Ca (sf); previously on Mar 12, 2013 Affirmed C (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2003-7 Cl. A, Upgraded to Aaa (sf); previously on Jun 29, 2023 Downgraded to A1 (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R7 Cl. M-3, Downgraded to Caa1 (sf); previously on Nov 3, 2015 Upgraded to B1 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to C (sf) Cl. M-6, Upgraded to Ca (sf); previously on Mar 13, 2009 Downgraded to C (sf) Issuer: Bear Stearns ALT-A Trust 2004-3 Cl. A-1, Upgraded to Aaa (sf); previously on Dec 18, 2019 Upgraded to Aa1 (sf) Cl. B, Downgraded to B1 (sf); previously on Jun 9, 2020 Confirmed at Ba3 (sf) Cl. M-2, Downgraded to B1 (sf); previously on Jun 9, 2020 Downgraded to Ba2 (sf) Issuer: Bear Stearns ALT-A Trust 2004-4 Cl. B, Upgraded to Caa2 (sf); previously on Mar 14, 2011 Downgraded to C (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Oct 2, 2024 Downgraded to B2 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Oct 2, 2024 Downgraded to B3 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2004-AC4 Cl. A-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B2 (sf) Cl. A-2, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B2 (sf) Cl. A-5, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B2 (sf) Cl. A-6*, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B2 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to Ca (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2004-HE7 Cl. M-2, Downgraded to Caa1 (sf); previously on Sep 12, 2018 Upgraded to B3 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Mar 11, 2011 Downgraded to C (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 11, 2011 Downgraded to C (sf) Cl. M-7B, Upgraded to Caa3 (sf); previously on Mar 11, 2011 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2004-HE8 Cl. M-1, Downgraded to Caa1 (sf); previously on Sep 19, 2024 Downgraded to B1 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 5, 2013 Affirmed Ca (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Dec 19, 2013 Downgraded to C (sf) Issuer: Bear Stearns Asset-Backed Securities I Trust 2004-AC3 Cl. A-1, Downgraded to Caa1 (sf); previously on Sep 19, 2024 Downgraded to B2 (sf) Cl. A-2, Downgraded to Caa1 (sf); previously on Sep 19, 2024 Downgraded to B2 (sf) Cl. B-1, Upgraded to Caa1 (sf); previously on Mar 24, 2011 Downgraded to C (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Apr 17, 2012 Downgraded to Ca (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Apr 17, 2012 Downgraded to C (sf) Issuer: Bear Stearns Mortgage Funding Trust 2006-AR4 Cl. A-1, Upgraded to Aaa (sf); previously on Nov 14, 2022 Upgraded to A2 (sf) Cl. A-2, Downgraded to Caa1 (sf); previously on Jul 19, 2018 Upgraded to B2 (sf) Underlying Rating: Downgraded to Caa1 (sf); previously on Jul 19, 2018 Upgraded to B2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Chase Funding Trust, Series 2003-4 Cl. IA-5, Upgraded to A1 (sf); previously on Sep 20, 2024 Upgraded to A3 (sf) Cl. IB, Upgraded to Ca (sf); previously on Mar 7, 2011 Downgraded to C (sf) Cl. IIA-2, Upgraded to Aaa (sf); previously on Sep 20, 2024 Upgraded to Aa1 (sf) Cl. IM-2, Upgraded to Caa1 (sf); previously on Mar 7, 2011 Downgraded to C (sf) Issuer: Chase Funding Trust, Series 2003-5 Cl. IA-5, Upgraded to Baa2 (sf); previously on Nov 21, 2023 Downgraded to Ba2 (sf) Cl. IB, Upgraded to Ca (sf); previously on Mar 7, 2011 Downgraded to C (sf) Cl. IIM-1, Upgraded to Ba1 (sf); previously on Sep 20, 2024 Upgraded to B2 (sf) Cl. IIM-2, Upgraded to B3 (sf); previously on Apr 23, 2012 Downgraded to C (sf) Cl. IM-2, Upgraded to B1 (sf); previously on Sep 13, 2018 Upgraded to Caa3 (sf) Issuer: Fremont Home Loan Trust 2006-2 Cl. II-A-3, Upgraded to Aaa (sf); previously on Oct 3, 2024 Upgraded to A1 (sf) Cl. II-A-4, Upgraded to Aaa (sf); previously on Oct 3, 2024 Upgraded to Baa1 (sf) Issuer: Impac CMB Trust Series 2004-10 Cl. 1-A-2, Upgraded to Caa1 (sf); previously on Aug 12, 2013 Confirmed at Caa3 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Aug 12, 2013 Confirmed at Caa2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. 2-A, Upgraded to Caa1 (sf); previously on Aug 12, 2013 Confirmed at Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Aug 12, 2013 Confirmed at Caa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: IndyMac IMSC Mortgage Loan Trust 2007-HOA1 Cl. A-1-1, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to Caa3 (sf) Cl. A-2-1, Upgraded to Caa2 (sf); previously on Dec 1, 2010 Downgraded to Ca (sf) Cl. A-2-2, Upgraded to Caa3 (sf); previously on Dec 1, 2010 Downgraded to Ca (sf) Cl. A-2-3, Underlying Rating: Upgraded to Caa1 (sf); previously on Dec 1, 2010 Upgraded to Ca (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed A1, Outlook Stable on July 10, 2024) Cl. A-2-4, Upgraded to Caa3 (sf); previously on Dec 1, 2010 Upgraded 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. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating upgrades on bonds that are not expected to experience a default are a result of the improving performance of the related pools, and an increase in credit enhancement available to the bonds. The credit enhancement available to the these bonds showed a one-year increase of 19% on average. Most of the rating downgrades are the results of outstanding credit interest shortfalls that are unlikely to be recouped. These downgraded bonds have a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. The rating downgrade of Class A-2 from Bear Stearns Mortgage Funding Trust 2006-AR4 is the result of missed interest that is unlikely to be recouped. This bond 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 Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 6 Bonds from 2 US RMBS Deals -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of six 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: Bear Stearns Mortgage Funding Trust 2007-AR5 Cl. I-A-2A, Upgraded to Caa2 (sf); previously on Dec 7, 2010 Downgraded to C (sf) Cl. II-A-2, Upgraded to Caa1 (sf); previously on Dec 7, 2010 Downgraded to Ca (sf) Grantor Trust I-A-2B, Upgraded to Caa2 (sf); previously on Dec 7, 2010 Downgraded to C (sf) Underlying I-A-2B, Upgraded to Caa2 (sf); previously on Dec 7, 2010 Downgraded to C (sf) Issuer: Structured Asset Mortgage Investments II Trust 2007-AR4 Cl. A-3, Upgraded to Caa1 (sf); previously on Dec 3, 2015 Upgraded to Ca (sf) Cl. A-5, Upgraded to Caa1 (sf); previously on Jul 18, 2011 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. All of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 8 Bonds from 2 US RMBS Deals ----------------------------------------------------------- Moody's Ratings has upgraded eight ratings from two US residential mortgage-backed transactions (RMBS), backed by Alt-A and option ARM mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2007-2 Cl. A-1, Upgraded to Caa2 (sf); previously on Dec 9, 2010 Confirmed at Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Dec 9, 2010 Confirmed at Caa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-1I, Upgraded to Caa2 (sf); previously on Dec 9, 2010 Confirmed at Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Dec 9, 2010 Confirmed at Caa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-NA, Upgraded to Caa2 (sf); previously on Dec 9, 2010 Confirmed at Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Dec 9, 2010 Confirmed at Caa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Residential Asset Securitization Trust 2005-A5 Cl. A-5, Upgraded to Caa1 (sf); previously on Apr 1, 2010 Downgraded to Caa2 (sf) Cl. A-6*, Upgraded to Caa1 (sf); previously on Oct 27, 2017 Confirmed at Caa2 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The single-user TCR subscription rate is $1,400 for six months or $2,350 for twelve months, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each per half-year or $50 annually. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***